I'm using a crossover system on a 5 min chart,using a 3 and 10 period ema and only taking trades when price is above 14 ema {below for shorts} On SPY I use a target of .30 with a stop of .20 which I trail . I 'm looking for something to use as a filter to either get an earlier entry and/or to cut down on losers. I've tried stochastics,ADX with no luck. Any suggestions? TIA
Yeah, those periods you like are the ones with the most volume and volatility so your crossovers and trend indicators will be more valid. I don't take trades from 1115 to 230 for this very reason. MA crossovers will be deadly thru quiet times. And even though trend indicators are indicating trend, they are doing so relative to recent data which will give false signals. Consider increasing size during the good times and avoiding the not-so-good times altogether. Of course, you have to tell your friends that you work less than 4 hours a day. But they'll get used to it. Especially when you're buying the drinks.
May I ask, are you using the final close of each 5min' bar as a limit price for you entry on the cross, or just sending a market ? How have fills been ? I have played with the idea of using say a 5ema (or smaller) price of the last bar for my limit price . This does two things one it sometimes stops you paying too much, ie getting in at the high of the previous bar. Though it also can allow you to miss the trade, because the price of the new bar doesn't back far enough to get in. I guess as far as filters or an earlier entry, how about watching ES on the same system set up, but enter on SPY when ES gives the cross, can be sometimes quicker (on the one min' anyway). Do you trade SPY through ISLD or has that stopped now ? Is this something your actually trading now as far as a system ? It looks like the .20 stop is to tight for a 5 min' bar, have you had problems with this ? All the best, Andy
first, test the system for efficacy like in the article in Dec issue of Technical Analysis of Stocks and Commodities. the test can be modified for your specific time frame. next try adding a volume indicator like the one here: http://www.amibroker.com/library/detail.php?id=209 Amibroker is free to download, and you can cut and paste the indicator into your chart. you may have to construct a volume indicator buy adding volume from several of the top companies in the SPX. adding volume from 5-10 companies should suffice. volatility should dictate stops and profit targets. use volatility trends (say average from past few days) and normalize. never set fixed exit points because you will end up getting whipped, kinda like the in the bucket shops but without the leverage.
May I ask, are you using the final close of each 5min' bar as a limit price for you entry on the cross, or just sending a market ? How have fills been ? I have played with the idea of using say a 5ema (or smaller) price of the last bar for my limit price . This does two things one it sometimes stops you paying too much, ie getting in at the high of the previous bar. Though it also can allow you to miss the trade, because the price of the new bar doesn't back far enough to get in. " I guess as far as filters or an earlier entry, how about watching ES on the same system set up, but enter on SPY when ES gives the cross, can be sometimes quicker (on the one min' anyway). Do you trade SPY through ISLD or has that stopped now ? Is this something your actually trading now as far as a system ? It looks like the .20 stop is to tight for a 5 min' bar, have you had problems with this ? " I am currently trading this for approx. a month with 200 shares using the SPY and am slightly positive but not enough to make a living even with increasing the size. I use a limit order and usually get filled if its moving slowly I move up the price if its running i consider it a lost opportunity. I use smart routing on IB which is usually ARCA,not as good as ISLD but not too bad. The stop has not been a problem, increasing the win/loss ratio or win/loss ratio is the problem
have you ever tried to use an indicator like RSI? and maybe not just by spotting over sold/bought levels, but by watching the trend of the indicator itself change by drawing trendlines and watching for breaks. I've never used that, but I remember reading an article about it somehwere. sidenote: Marc Bulger is turning out to be a decent QB, but looks frail...and one nasty hit could really hurt him...if he tries to scramble tonight , Urlacher will be salivating.
I use a 5, 15 and 65 MA on a 3 minute chart and find that works best....the 65 is to determine the predominant trend to trade pullbacks off of. Also use a volitility or volume indicator because you do not want to be trading like this during quiet times. I am finding the stochastics that I use give a lot of false signals in this crazy market. So I treat them with a grain of salt and go with the crosses and pullbacks on the MA.
I like that idea. I will have to research it further. Can you tell me what you use to determine volume/ volatility?? Also do you hold overnight? Hedge? Thanks for your response. Bert