Yes. When the "FV" for unit 1 crosses the entry. "FV" on unit 1 as I write this is $48.1x, and since I entered at 43.10, that is a lot of pain if CL keeps heading lower.
I agree. Europe has negative effective interest rates and no one says a thing about currency trade wars with Europe: Germany, Not China, Is Today’s Real Trade Culprit http://www.wsj.com/articles/germany-not-china-is-todays-real-trade-culprit-1439463367 "China’s decision to allow its currency to drop in value looks like an act of economic war, an effort to cheapen its currency to boost exports and prosperity at home while hurting trade partners. But Germany, not China, is the real winner in global currency and trade wars right now. Take the 2008 financial crisis as a benchmark. Between June 2008 and June 2015, the euro has dropped 12.5% in value against a broad basket of currencies, according to the Bank for International Settlements. That has added to Germany’s export advantage with the rest of the world. China’s exchange rate appreciated 34% during the same period of time, hurting its trade position. The depreciation of the yuan in the past few days is a small fraction – so far at least – of the appreciation it experienced in the years since the financial crisis and of the depreciation the euro experienced..."
The US had negative real interest rates starting in 2011 but in full force in 2012, which is when China fought back and devalued its currency, aimed straight at the US. So this time the Yuan devaluation was not aimed at the US, it is aimed at the EURO, imo. The EURO may have no choice but to strengthen a bit from here. Greece seems to have been kicked down the road, so EURUSD may see 1.15 ish sooner than 1.00
Predicting a big upmove on Monday to about $46. Then a huge draw on Wednesday further sending oil to about $48. "FV", 47.94. It is quite possible that momentum traders, instead of buying oil, should instead buy oil-linked stocks, e.g., refiners. The R/R ratio might be higher there.
Those lines are drawn in real time and since they don't move around once I draw them, they're not subjective at all. They're like road signs for me. Let's say I see price coming down to a rising lower trend line after make a higher high above the previous swing high. Basically, I see a clearly defined upward trending channel. That lower trend line drawn across rising swing lows is a road sign that says "Initial break of trend line tends to fail. To avoid trap, wait for clarity before trading against trend." I have a choice to position long in the direction of the trend (anticipate the line will hold or will break without conviction and trap shorts prior to making another run at the last high) or I can wait for a breakout pullback if the line breaks with conviction. All key price levels are road signs telling me what happens more often than not. A concrete example: If NQ (futures) price approaches yesterday's close after having traveled at least 20 points away from it, yesterday's close is more likely than not to hold as resistance or support for a 5 point or better favorable excursion off of it. Yesterday's close is a road sign that says, "You've traveled some distance to get here; we suggest you turn around and check out the general store 5 miles back before proceeding any further."
Hi NoDoji, I wanted to look at what you described here. I focused on NQU5 since mid-june when it became the front month contract. I only considered RTH and the first occurence of a travel back to the prior close, with a 5-pt target for now: Date 5-pt target hit MAE 6/16/15 1 12 6/25/15 0 16 6/30/15 1 3 7/6/15 1 9.5 7/7/15 1 0 7/9/15 1 3.5 7/15/15 1 8.25 7/23/15 0 17 7/28/15 1 1 7/30/15 0 33.75 8/4/15 1 2.25 8/7/15 1 4.25 8/12/15 1 7.75 8/13/15 1 5.25 A “1” indicates that a 5-pt support or resistance excursion after touching the prior close was achieved. # observations 14 # target hit 11 Target hit ratio 79% When that excursion did not happen, I considered the MAE until EOD. I did not consider any MFE based on the original idea of 5 pts. Without risk management, this could be either a winning or losing strategy imo: 11 winning trades = 55 pts 3 losing trades = -66.75 pts However, I have not considered the level of stops, moving them to break-even, or entering at a different price after price touches the prior close. I wonder though if doing any of these tweaks are not just curve fitting techniques? Do you trade that setup? I understand that 2 months is a small data set. Are you using a much larger one?
@samuel11: If I am reading your backtest results right, the loss of 66 points is dominated by one 33.xx losing trade. Is that right? If so, this strat might have legs with proper refinements. Thanks @NoDoji for sharing. @nitro: Sorry for my off topic comment. Regards, Monoid.
Yes, you are right. There are multiple refinements I can think of, but I am afraid to be fooled by randomness if I follow that path.
back on topic, nitro consider building spread models. using the term FV on a futures price i'm sorry is extremely humorous. i cannot even address this it makes my head spin. i do not trade cl flies that much but u can build a model of futures fly prices that u will see work around certain levels at particular time and places on the curve. for instance sell sept buy 2 oct sell one nov is a combination that repeats within a range and from that you can derive a FV at any given time ..then compare it to current pricing and determine if there is edge in it to trade to model FV. you can run multiple flies alternating or whatever your models suggest on the entire curve...thats the only place FV is a real term. this is all i do and you will see in old pnl threads it makes a very good living...anyway...i suggest you open your eyes to less linear ways to trade if you want to make a living here.