Developing IntraDay Strategies Using ATR for Risk

Discussion in 'Automated Trading' started by SimpleMeLike, Dec 27, 2017.

  1. Not martingale.Martingale is possible if there`s no spread and comissions.Some things were borrowed from Craps, though.

    Again,it requires lots of capital to play with automation.It`s not for the regular Joe.
     
    #11     Dec 28, 2017
  2. Thank you fordewind,

    I understand what you mean now.
     
    #12     Dec 28, 2017
  3. Welcome brother.If thats gonna help...
     
    #13     Dec 28, 2017
  4. Xela

    Xela


    I don't know ...

    The S/R I use myself is the simplest: swings high and low by prices.

    Obviously historical S/R doesn't always become future S/R, but it does often enough to be highly significant.

    I always envisage an increased probability of historical S/R becoming future S/R if it's (a) recent and/or (b) multiple.

    I always look at S/R levels as "very thick, approximate lines" or "zones" rather than ever expecting them to be absolutely accurate.

    In some markets, with a daily close (this doesn't apply so much to the futures I trade, where realistically the daily close is more or less that of an underlying rather than that of the futures themselves) I regard "the close" as a possible area of future S/R, too. For example, if trading the Dax index, I'd always know the previous day's "Frankfurt close" figure, in case it turns out to be relevant. Years ago, I used to trade the FTSE-100 and FTSE-250 indices, for a while, and was continually impressed by what a significant figure the "London close" often turned out to be. I haven't really seen this discussed in any books or forums or anywhere, but I do think there's something real behind it. That said, it may be less significant now than it was a decade ago. I don't know.

    My attitudes and beliefs about almost all trading matters are only evidence-based ones, so I have almost no respect at all for, or interest in, any other kind of "pivot points" at all (doubtless many people will disagree with me about that, of course: nothing new there [​IMG] ) and I've never seen anything other than anecdotal evidence for them, myself. But there you go: thousands of people trade according to phases of the moon, "Elliott waves", "Fibonacci numbers", astrology and probably homeopathy, too. [​IMG]
     
    #14     Dec 28, 2017
    VPhantom and sss12 like this.
  5. Ah, the old grossly disproportionate, reverse risk/reward test. Good luck with that. If only life was that easy. :)
     
    Last edited: Dec 28, 2017
    #15     Dec 28, 2017
    Xela likes this.
  6. There are several ATR/σ/_S/R_/stop-loss/profit-taker discussions in the past year.
    Most have a similar set of commenters to this thread, but with (perhaps) more detail.
    Worth looking up.

    To address your immediate questions:

    1) How many ATR periods?
    I use 6, but really, it depends on the underlying market; investigate and go with what best mirrors the actions of that market. (And check, check, and recheck, over time.)

    2) Where to put stops?
    Just inside the current ATR, whether above or below the market. I don't want max[reward] but rather maxE[reward] -- we have numbers; we have history; we have brains -- it pays (over time) to use 'em.
     
    #16     Dec 28, 2017
  7. sss12

    sss12

    @Xela
    "The S/R I use myself is the simplest: swings high and low by prices"

    Do you determine these levels yourself ie: you're looking at the chart and taking note of the high and low.
    Or do you use a program or service that provides such ?
    Thanks.
     
    #17     Dec 28, 2017
  8. Xela

    Xela


    Yes - just swings high and low by prices, including some from longer time-frame charts than the one I'm trading from (which I transfer over to the one I'm using, just as horizontal lines, albeit without ever expecting all of them to be completely relevant or accurate).



    Nooooooo, I may be a few lampuki short of a torta tal-ħut (as some people say), but even I can see for myself where support and resistance were ... [​IMG]
     
    #18     Dec 28, 2017
  9. LOL! What the heck is that??

    (You cracked a funny. Good going!)
    :)
     
    #19     Dec 28, 2017
    Xela likes this.
  10. IOW... "measure with a micrometer, mark with a paint brush, cut with an axe?"
     
    Last edited: Dec 28, 2017
    #20     Dec 28, 2017
    Xela likes this.