See the tangent thread in the early parts of the thread. Particularly my own comments. Then you'll find a half way NT version, but it has severe flaws and isn't identical to the initial system
The model did quite well today - 10 trades, 29.50 points ($1,475), the capture ratio was 0.94 and 78% in the market. Not too bad for a single contract! Of course it was the last hour of the day that accounted for 21.50 points. I continue to think of ways to improve the performance because I often see the model NOT taking trades that I AM taking (manually). The model is usually a âbar lateâ compared to my manual trading. However, one thing the model does do that is much harder for me to do personally is to hold on to winning trades such as the last hour of today. My personal fear/greed has me exiting much earlier. In any event, this week is showing some consistency. I will wait until the week is finished to see how these model settings have worked for an entire week before I make any changes. Some additional ideas that I plan to incorporate is price/volume/indicators for the YM and NQ. I am also working on some âpattern recognitionâ functions that can override the indicators under certain scenarios. This I think will help me keep more of the profits and not be a bar late on many of the entries or exits. All comments welcomed.
I am just curious. In this last upmove we saw in NQ, after testing days low. How early does your program go long? At what price? Again, very impressive results you got..
The contents of this thread discusses the methodology in depth. But the short answer is becuase the S(5)K crossed over 50 and the ROC turned positive (bar #69). That was the reversal signal. The model only trades at eob, therefore the close is the entry/reversal/exit price.
Well today was the first loosing day this week. 14 trades, -6.5 points. All things considered for a day with some periods of high volatility chop, it could have been worse. Clearly the model made trades that I did not take manually, but the purpose of this excercise was to see how this particular strategy worked for a week without tweaking it each day to get the best results for that day. Hey if you're going to use an ATS, you have to take the good with the bad. However for the week the results were positive. 58 trades for 58.75 points ($2,937.50 gross). This is trading a single contract. Next week I am going to incorporate price/volume pattern functions that I believe will improve the performance dramatically. In any event, I'm satisified that an ATS (loosely) based Jack and Scott's logic is more than viable. Enough for me to continue the development, although I'm going to be taking it in a different direciton. Thanks to Scott and Jack for your contributions and starting this thread. I hope my posts have been helpful to others. Good luck to everyone. WGTrader
Quote from jack hershey: As spyder indicated in SCT trading there is no chop. This thread came about from Scott's indest in programming using indicators. As previously seen in the failure of the SPM mechanical signals generated "chop" was a severe handicap that defeated profitability. Several kinds of chop are documented by CW PA and CW indicator traders. They have needs to avoid deterioration of their P/L. Scott and I agreed to shovel some coding into these pot holes for such people. Spyder is correct on not seeing chop in pool extraction of its applications. It is not there because of the algorithms operating principles. Chop is there for you and it is possible you do not have the workarounds for chop. Thats how it goes. We'll see if you have such a workaround in due time.......... Are you guys stuck in a pot hole ? Or just busy playing whack-a-mole ? Typical hershey blather.... make some grandiose claims then let the thread slink into the ET abyss. AND later claim the effort was a resounding success!! LOL