With all due respect to Quah, you may be giving credit where credit may not be due, that is, it may not be particularly critical to enter at exactly a given bar or at exactly a given price with this or that stop or this or that target. By getting so nervous about following the "system" in such minute exactitude, you may be making a number of unnecessary mistakes which you would not make if you were just to relax. For example, I use different sto settings and different stops, but came up with exactly the same results as Quah. And I will probably start using different time intervals during that first half hour since it is sometimes difficult to complete a given trade before the next interval (this was a particular problem this morning).
Yes, yes you are right. But if you have a plan, and that plan is go long now, when filled stop at -1.25, target at +1.00, a computer might as well do that, otherwise these two things could happen: 1) You might miss the market in the 3-5 seconds it takes to get your orders out there. 2) You might screw an order up in your haste, and end up transmitting an incorrect order altogether. That being said, there is no reason why a person couldn't do this all himself.
Quah.....I have been fooling around with your excel order entry system and it seems to work fine. Only the entry order appears as a stop order on TWS. I thought it was suppose to be a limit order only.....do I have something set wrong? Thanks for all your hard work.
That's my point. There is nothing to "miss" unless one thinks that he must enter at just that bar at just that price, when he might be better off entering the next bar and entering either a tick above or below the opening price, or buying the ask and selling the bid. AFAIK, nobody's investigating that. And, again, as far as screwing up an order because one is "in haste", what's the hurry? Why not determine first whether haste is absolutely necessary? --Db
No matter when you enter, if you want your stop 1.5pts below your entry, and before you get your stop out there the market falls 2pts, you have big slippage on your stop. Thats all I am saying. If you don't use such tight stops/ profit targets its not a big deal.
I guess I must be missing something. Are you waiting until the entry order is filled before you enter your stop order? Otherwise, assuming that they're set up in advance, the orders are entered within a fraction of a second of each other. Unless there is some extraordinary delay at the broker end, there should be no problem. And if there is an extraordinary delay at the broker end, I doubt that automating all this would be of much help. At least I haven't seen any need of it yet. But "individual results may vary". --Db
Are you sure the stop order you are looking at there is not the stop on the reversal order? There are 5 orders submitted - one of them is transmitted, the other 4 are not transmitted. If you display the OCA field on your screen you will see what order is what.
I figured it out.....I entered the order as you had it @ 900 and it was killed immediately...when I entered it closer to the market it was there. Thx again P.S. this is without a doubt the best thread on ET I have ever read....thx to all. I already have a successfull trend trading system but needed to have a good scalping system for my quiver.
I agree. I've looked at a number of scalping systems, all of which were crap. But Quah - whether by luck or design - has just the right elements AFAIC. This particular system crowds nearly all the trades into the most volatile and liquid part of the day, it forces you to wait for particular bars rather than search for "setups", it prevents you from over-trading, it forces you to make up your mind instead of consulting 27 indicators and wringing your hands over sentiment and the TICK and the TRIN. You don't have to concern yourself with gaps and news and whether to jump on that coil break or fade it or whatever. And, if you so choose, it allows you to walk away in 90 minutes, which is what I enjoyed most about Teresa Lo's old Done In 90 Minutes. If I had used my usual trend-following strategy, I would have had a grand total of one entry today, which I would have been stopped out of at break-even. Having at least one dependable stragegy of each type seems to me to be essential. --Db
Quah, first let me congratulate you on the success of the system, it's one of the few mechanical systems I have seen that works so consistently. Personally I think the fib entry has little to do with the success of the system. I think the secret is the fact that you use a smaller profit target, than your stop, and as long as you trade with the immediate direction of the market, you will get hit predominantly on the profit target side. As you can see from the performance of the system on the NQ to the ES today, the higher the volatility and the lower the profit target, the better the performance. Buying directional momentum with a very small profit target is what I believe makes this system so good. There was an article in Active Trader magazine a couple of months ago about a trader who also used a longer stop than profit target, which at the time I found interesting. He also had a very high win to loss ratio. Worth a look for any of you guys interested in this thread. From memory he was using much bigger stops, in the region of 7 points. So instead of using the fib entry points, I would like to offer a suggestion to everyone for another entry point, that should give similar results with more trading opportunities per day. Now many traders trade off five minute bars, both scalpers and intraday swing traders, so when each five minute bar is completed, if the high is higher than the high of the previous five minute bar, it is going to trigger, momentum buy signals for a range of traders operating off longer time frames. Therefore if in the last few seconds of a five minute bar, the market has already made a higher high than the previous five minute bar you would go long. Once the market ticks over into the first minute of the new five minute bar, new players get their signal and buy in and the market gives a little surge, which should be enough to get your profit target hit most of the time. You could confirm the direction with any other indicator, such as the Stochastic. The reason the stop reverse also works so well is because when the market doesn't hit your profit target, you have generally bought at the top of an exhaustion move and the market wants to reverse quickly, getting you hit on the other side often. If you traded once every five minutes for the first 2 hours and the last two hours, you would have 40 trades a day plus however many reversals. And you could take a decent lunch break. Many of you may be surprised to know that I trade a swing system, that uses a stop reverse on failed breakouts from a two day high. So the reversal technique can work across any time frame with great effect. I'm not a daytrader so I'd be happy to hear from anyone that can test my theory in the market. Cheers, Runningbear