Using a trading system to daytrade

Discussion in 'Trading' started by Splat, Jan 30, 2002.

  1. Splat

    Splat

    Hi, I saw one of your messages in another thread describing
    your Kirshenbaum indicator. Can I ask you where you saw it
    described ? i.e. in a book, paper etc?

    Regards,

    Splat


    jboydston
    Member

    Registered: Aug 2000
    Posts: 43


    02-02-02 04:19 PM

    I don't use a system to actually place my trades, however I do use OMNITRADER to automate the process of collecting buy/sell signals that I set. I feel it is a waste of my time to stare at the charts all day when I can glance over, only when something is "happening."

    An no, the signals don't always work. I have found that the signals work best only when they are "confirmed" by my brain. For example: TA doesn't take into account FED MEETINGS, NEWS and the like. I only place trades:

    1.) Based on simultaneous TA signals
    2.) With the trend
    3.) Absent of major news or economic events

    Here is an overview of my strategy:

    I scalp the mini-ES 4-8 time a day, 2-4 contracts each. My goal is 2 ticks. $200-800 per day gross

    I use the following charts:
    5-Minute candle chart for TREND (up or down)
    1-Minute candles for buy/sell signal (with the trend)
    Tick chart for the trigger.

    These are the basic 4 indicators I use:
    RSI peaks
    DMI Crossover
    Commodity channel
    Kirshenbaums

    I chart with QCHARTS and use IB as a broker.
    Hope this helps.
     
    #21     Feb 3, 2002
  2. I use OMNITRADER to automate the process of looking for setups. For those who aren't aware of how OMNITRADER works: you give it a list of signals that you are looking for (or select from a pre-defined list of signals) and OT will scan you list of securities for each setup.

    When OT gives a signal, you can click on the signal and it will tell you about the signal and it's possible significance in the market. I learned a lot about TA from this program. You can read it in books, but seeing the signals being generated live is priceless.
     
    #22     Feb 3, 2002
  3. @SPLAT: I have just one question: Do you trend to trade by putting a limit on the book or by takin' or hitting with marketable orders ?
     
    #23     Feb 3, 2002
  4. Splat

    Splat

    saschabr:
    I am not trading currently. I have not daytraded before.
    My intention is to daytrade in the near future but I am
    setting up my system and intend to do pure data analysis
    initially, build a system and then start trading.

    Regards,

    Splat
     
    #24     Feb 3, 2002
  5. SPLAT: i am in a situation very common to yours (building a system) but I find it is difficult to plan such a thing on a short time basis (as you said: 2 points in ES, maybe 4 in NQ on a 3-10 min time basis) without really trading it. (being filled after joining the bid / ask is a major concern, on ES the 0.5 pts slippage per RT is 25% of your planned capital fluctiation)
     
    #25     Feb 3, 2002
  6. Splat

    Splat

    saschabr:

    I was also anticipating that that filling was going to be the
    main problem for me.

    However I am planning to do this in stages. viz:

    1) Analyse stocks to build my system and define entry/exit rules.

    2) Look/research some brokers to analyse the fill level possibly using limits/stops.

    3) Start trading but do some relatively small trades
    using a semi automatic system.

    4) When I am confident then I will start auto-trading.

    Regards,

    Splat
     
    #26     Feb 3, 2002
  7. SPLAT: Are you programming an own application ? If yes, we could exchange some knowledge...
     
    #27     Feb 3, 2002
  8. Splat

    Splat

    saschabr: I am not planning to build a full app. Only as much
    that will do some full analysis/optimization using matlab. At this
    stage I dont have a datafeed yet but I have asked you a few
    setup questions in the thread 'Realtime data analysis using SDK'.

    This is my first choice. However If I cant get a proper setup using
    a decent datafeed then I will use Tradestation 200oi and hook into matlab to do the analysis.

    Regards,

    Splat
     
    #28     Feb 3, 2002
  9. newbie

    newbie

    I looked at www.thesystemtrader.com about a year ago but didn't like how all the systems were optimized. Has anyone on this thread looked into his new stuff?
     
    #29     Feb 4, 2002
  10. rcreal

    rcreal

    I contribute this (unoptimized) code in the hopes others will post information so we can all benefit.

    Here is the logic for a system I have been playing with:

    135 Min bars of SP (full or emini) Day session
    135 min bars of advancing issues NY

    If:
    the close and low of the second bar of the day is greater than the close and low of the first bar of the day
    and
    the Rate of change(close, length 6) > rate of change (close,6)[1]
    then buy

    If:

    the close and high of the second bar of the day is less than the close and high of the first bar of the day
    and
    the Rate of change(close, length 6) < rate of change (close,6)[1]
    then sell

    MOC exit, 2 point stop loss from entry

    The easy language is here:

    ---------------------start-------------------------

    input: day_start(0930), stop_loss(500);

    {135 min bars (3 bars per day), roc length=6, stop loss = 500}

    vars: roc_length(6), time_check(0), stoploss(0);

    time_check=(MinutesToTime(TimeToMinutes(day_start)+270));

    if time =time_check then begin;

    if c[1]<=c and h[1]<=h and roc(close[1] data2,roc_length) < roc(close data2,roc_length) then buy;

    if c[1]>=c and l[1]>=l and roc(close[1] data2,roc_length) > roc(close data2,roc_length) then sell;

    end;


    {money management stop}

    If (stop_loss>0) Then
    SetStopPosition
    Else
    SetStopContract;

    SetStopLoss(stop_loss);

    {MOC order}

    SetExitOnClose;

    ------------------------------------end-------------------------------

    I don't claim to be an easy language expert, but the code above seems to work.

    DO NOT TRADE THIS SYSTEM. FOR ILLUSTRATIVE PURPOSES ONLY!

    Comments? :cool:
     
    #30     Feb 4, 2002