If markets trend only 30% of the time intraday...

Discussion in 'Strategy Development' started by Starting Over, Sep 22, 2011.

  1. How can we build a strategy based on this knowledge? I'm trading the es Minis and trying to build a discretionary trading method that can consistently give me profits with the following criteria:
    -No more than 975 dollar loss for the day.
    -5 max contracts available for use.
    -Trade only from 9:30am-12:00pm ET.
    -160pt's after commissions in 1 month.

    Need advice from anybody willing to help. Thanks in advance.
  2. I'm working on a similar strategy, here's the criteria mine is based on.

    1. No more than $800 loss per trade
    2. 7 max contracts
    3. Here is where my criteria differs from yours. Since I am a late sleeper I don't start trading until 10:00 am, but I keep trading until 2:00 pm
    4.Since I owe a lot of back taxes I need 180 pts a month, but once I'm square with the IRS I will start exploring your profit criteria.

    Also, I try to avoid ES about 70% of the time because it is usually too choppy.
  3. oraclewizard77

    oraclewizard77 Moderator

    I think you need more objective criteria to determine the % of trend.

    I am not going to post my charts, but this is a 5 day chart from yahoo on the S&P.


    Day 1, market gapped down, then trended back up, then chopped for rest of the day.

    Day 2, market trended up all day. 100% trend day. (So you wrong if you were fading trends this day.)

    Day 3, market trend up in the morning, got stuck at resistance for rest of day, then trended down.

    Day 4 (WED) Market trended down all day.

    Day 5 (Thur) Market trended down but did bounce off of LL.

    So if we take the 5 day sample, and made a strategy where market trended 30% of the time, you would have lost money all week long.

    Markets actually trend 50% of the time, range 40% of the time, and are random 10% of the time.

    If you combine a strategy that combines trend and range, you then have a 90% win ratio. However, real life execution will bring this down to around 70% win ratio. After that is just a matter of stop and target adjustment.

    Are you automating everything, or are you manual trading?
  4. I'm manually trading. I'm just trying to figure out how I can make money on a consistent basis.
  5. Trend more like 70% of the time between 10am and 12pm based on 15m bars.. You need to define a "trend".
  6. neke


    What is the definition YOU used?
  7. I did:)
  8. Simplest definition of a trend.. Bars traveling in one direction. I chose 15m as I think less noise but still allows reasonable management. 30m and 1H too slow from 9:30 on... Ok for overnight though.
  9. =====================
    Start o;
    i would agree with most of the trend analysis posted as of friday[9-23-11]

    a] But with several cautions;
    i like a good uptrend, but i dont [generally speaking] consider anything closing below a 50 day moving average a good uptrend.May or may not buy SLV,silver, GLD,gold below 50dma...

    b-best]While MSFT, QQQ... tend to uptrend in 4th quarter;
    below 200 dma makes an uptrend even more risky.

    c-citigroup]Citigroup & C sector is downtrending much better then SPY or ES & Citigroup has been downtrending much longer, much better downtrends by many measures.

    ES & SPY, DIA chops a lot, you can find better & more wise trends than that .................................Not a prediction.
  10. Recently it has been trendy. I feel when this volatility ends, it's going to be back to that general principle that it will trend less intraday and want to be able to capitalize on that basic principle that it only trends 30%. Basically, I want to build a strategy based on price action.
    #10     Sep 23, 2011