Is anyone using this method? http://www.elitetrader.com/vb/showthread.php?s=&threadid=18626 I have been looking at this over the weekend and it seems to have some merit. If you haven't read this thread, be forwarned that it is full of profanity. I thought there was another thread discussing Johnny's thread, but I can't seem to find it. Anyway, if anyone is or has traded this method - or if one of Johnny Rotten's relatives if lurking, I would be interested in hearing from you.
dbphoenix posted a summary of this method a few months ago with some refinements (and got wrongly lambasted by the author for doing so, but that's beside the point). Start digging at this thread: http://www.elitetrader.com/vb/showthread.php?s=&threadid=20357
Given the contraction in ranges, I haven't had much luck with it since September with the NQ or ES. However, you may be successful trading the YM or DAX. Can't say.
Thanks for the replies. I looked at the other thread, and realized that Johnny Rotten wasn't too pleased with the continued discussion of his method. I tried to e-mail JR or Simtrader, but couldn't. I have been trying to use the action of other markets or futures as indicators for one another, and JR's method really interests me. In fact, I got DAX and ESTX50 set up today. It looked interesting. I think that these relationships might merit further discussion, but at this point I don't know enough to lead the discussion. I am basically looking for a way to daytrade futures with the margin I have available during the day. Since I am often at 2 to 1 on my longer term equity trades, I would like to use the 4 to one margin available during the day for trades that would be closed by 4:50. Futures seem to be the perfect vehicle for this, but my attempts so far have been less than profitable. Anyway, if anyone would like to discuss any of this further, I would be very interested.
I've traded the ES and NQ "together" almost since the beginning, and I doubt that I could now trade either without the other. As I said, the range constriction in the ES in particular have made implementation of the "Bollinger Band Breakout" strategy difficult. There's a bit more to it than an angled MA and a poke through the BBs; you've got to have a real honest-to-God trend going, and there haven't been many of those since May. It's for that reason that I've been exploring strategies for range-bound markets. I'm not saying it's impossible to make money with the BBBO strategy. However, with a constricted range, it's pretty difficult to make worthwhile money without playing the reversal, or the turning point, and that comes a long way before the BBBO setup. I should add that what I like about the BBBO is that it enables the trader to get into a move before the more obvious points, such as the high or low of the day. But, again, you've got to know a trend when you see it. You'll probably gain most from this by taking what's been posted and reducing it all to the essential elements of the strategy. I made an effort toward that, but further work should be done.
How about using this sort of setup for reversals in addition to continuation? It might be worth looking into, especially in these range bound days. Something like.. if there is a pivot low then put in a buy stop-limit 1 tick over the high as an entry.
It wouldnt be. I was thinking that this system could be adapted into a system that does well in range days. The other criteria would have to change to make a reversal more likely. My thinking was that the current system is effective at picking out a few points per day on 1 or 2 trades in a trending market. It might be possible to play around with some of the parameters and turn out a system effective at picking out a few points on reversals... just a thought.
These are some of the exact thoughts I was having, I appreciate your input. I agree with your feelings about the "essential elements of the strategy". One of these is the times JR traded. He seemed to feal that the institutional trades at these times really moved the markets. Lately, it seems that some of the mid-day moves have been as good or better than the open and close - probably related to the contraction you referenced. Do you think there might be a filter that would serve the same purpose as the time rule did for JR? Also, would you mind explaining some of the ways you use the ES and NQ together? Do you ever use the DAX and/or ESTX50? Thanks for your help.
I don't know about any additional filters. There seem to be plenty already. The problem is that too many days go by without any trades at all. Can't make money that way. As for the ES/NQ, I watch how they vary together, whether they're making higher highs and lower lows together, whether one is outpacing the other, whether cues in one can be applied to the other. They nearly always vary together. If they don't, I don't trade. Can't help you on the DAX.