SPM discussions

See attached for 2m ES trades today

<img src=http://elitetrader.com/vb/attachment.php?s=&postid=2137405 width=800>

 

NOTE:

I would have closed that the previous BUY at around 12:30 when my momentum indicator reversed.

 

Jah - what 'momentum indicator' are you using?

 

basic canned momentum overlaid on an average of momentum, with top and bottom lines representing % of extremes in momemtum high and low during past 20 or 30 bars.

It's similiar to stochastics. Coded in EL, displayed in chart

see second panel of previously attached chart

 

Code:

EL code for momentum indicator -- use as a trigger or filter in conjunction with other indicators etc


inputs:
Price( Close ), 
    MomBars(7),
    MomMaxMinBars(30), 
    AvgMomLength(3),
    MomOverBotSold(70);
 
 
 variables:
 mom(0),
 AvgMom(0),
 Minmom(0),
 maxmom(0), 
 moverbot(0), 
 moversold(0), 
 Zeroline(0), 
 OverSColor( red ), 
overBColor( green );
 
 
 mom = Momentum( Price, MomBars ) ;
AvgMom = Average(mom, AvgMomLength);

// Update Max/Min mom
// reset Max/Min each bar
maxmom = -9999;
MinMom = 9999;
for value1=1 to MomMaxMinBars
  begin
     if mom[value1] > maxmom then
        maxmom = mom[value1];
     if mom[value1] < MinMom then
        MinMom = mom[value1];
  end;
  
moverbot   =  MomOverBotSold * maxmom/100.0;
moversold  =  MomOverBotSold * Minmom/100.0;

Plot1(mom);
Plot2(Avgmom);
Plot3(moverbot);
Plot4(moversold);
Plot5(Zeroline);

 

Sold ES at 909

no time now to post chart

later

Keltner exit @ 904 or better

 

See attached chart

Momentum indicator is in panel above MACD

red is "oversold" and green is "over bought"

very short term - used to trigger entry/exit or delay entry/exit

<img src=http://elitetrader.com/vb/attachment.php?s=&postid=2137663 width=800>
(click on attachment to enlarge)

 

KELTNER CHANNEL:

Google "Keltner chanels" or "keltner bands"


A volatility based 'envelope' indicator that measures the movement of stocks in relation to an upper and lower moving-average band.

This indicator, named after Chester W. Keltner, is used by sophisticated investors to predict the trend of the market. An overbuy occurs when prices move above the upper band, and an oversell occurs when prices move below the lower band.

http://www.investopedia.com/articles/forex/06/BandsChannels.asp

http://www.trading-naked.com/library/Trading Manual_C25_213-224.pdf

http://www.investopedia.com/terms/k/keltnerchannel.asp

 

If 965/969 can hold, markets will bounce; weak support @ 873
Good support zone 965/973

If it cannot hold then 837/841 is next support

 

I programmed the basics of this in NinjaTrader. I want to add the 10 minutes no profit bail idea because I think this will improve the win loss ratio and is an interesting concept. I also have been using a simple percentage profit target which is also the stop loss, and tweaking it by eye for what "works" seems to be ok, but I think I might try to figure out something with this based on average true range, tho using the keltner bands as both target and stop is possible. With the 10 minutes bail idea then it seems wouldn't have to take too many stops at the worst volatility expansion against you which I hate about efficient things like es or SPY in my case.

I think this might be a good way to trade this "artfully" by seeing the signals and then trying to judge them based on other market dynamics, but, then that might not be simple anymore....