1)the stop-entry points should remain, even if it breaks and dips back into the range 2)autotrade it...I manually placed the orders, and got 0 slippage (due to the stop orders), but I found myself watching the screen too much, and even started messing with the exits (manually adjusted to trailing stop).
Questions - -Why have you chosen 0.33% from open for the buy/sell signal ? -Whats the success rate of this trading method ? -Why only ER2 ? would this method work in other markets too ? Please advise tks n rgds
thanks, do you trade this system with the "original" rules, or with tuning it a little bit? regards manfred
only just read this thread. there is a simple explanation for why the "simple system" of the original post has high probability of success - it is taking advantage of the timing of max daily excursions predicted by random walk, which predicts price extremes are far far more likely near the open and near the close and least likely in the middle of the day. and, fortunately, whether or not one believes in RW doesn't really matter because historically the market does in fact act that way. only adjustment i'd be inclined to make is to the entry "coefficients": instead of absolute numbers, these should, for long term robustness, be a function of the volatility. some might look at that as a complication, but to me it's a simplification since it is less reliant on an arbitrary number. the system also depends on highly liquid markets, so i wouldn't be trying to apply this to - shudder - microcaps.
I have studied the hole thread and i don`t really want to tune the system, because KISS. Can you explain your volatility rules? thanks a lot. I will try it with the indexfund IWM, only to get a feeliing for it. best regards manfred
thanks to all who have contributed to this great thread........with extra special thanks to ANOMOLY REASEARCH!!!
I was thinking of using a percentage of the 3 day average daily range added/subtracted from the Opening Price as a substitute of those absolute percentages. I want to use Daily Hi minus Daily Low instead of ATR, because we are using MOC orders and not closing the trades next day on open. Even though there is overnite risk, MOO orders may improve the profitability. Can anyone test this idea please? Maji
try using a fraction of the local trading range, that sort of thing. lots of different ways to skin that cat.
Certain, there are a lot of possibilities...can you post your why by an example if you don´t mind? thanks a lot and best regards