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Single Prints Forward Test - May 2005


Just to confirm what is and is not a single. Have a look at this Market Profile graphic:
Click image for original size
Single is no longer valid because market opens through the single so it is not a trading point. April 2005


At the close of business on 27 April we have a single print at point 1 because this is a confirmed single print and we close at point 2.
However, the following day the market opens at point 3 and this is through the single and so it is no longer a single and we don't trade it.
So opening the month of May 2005 we have 5 singles that come from April for the ER2. I've taken a screen shot of the White Board as it was at the end of April 2005 and marked the singles. In addition to these 5 singles above us we will have singles that will be created during May and remain the course of the month as well as singles that only last during the day or a few days after they were created. I hope to document that all here and how well they work.

Click image for original size
White Board at end of April 2005
so wot single trades did you do 2day?
2 May 2005: No Trades
Part of the reason for my documenting the signle prints in this manner is to allow people to watch the evolution of a forward tested system and if I have time will extend it beyond the end of this month. I am hoping that we will develop a set of statistics based on the given rules that will show us the probabilities of:
  • success - all targets met

  • partial success - trade closes profitably taking commissions into account

  • failure - trade loses money

and also the financial aspect of the success. Remember that we can have high success/probabilty rate and still lose money if our losses are too large.
3 May 2005: No trades.
Perhaps this journal/forward test has scared away the single trades and we won't get any this month?

I'm going to put together a spreadsheet to record the single trades and will make that available from here later...
4 May 2005: Intra-day update:

Confirmed singles in ER2 at 588.5 in the E bracket. If you're using the eSignal Market Profile chart then the single might be showing up at 588.4 but this is wrong I believe because we traded at 588.4 in the first minute of trade at 9:30 so there should be a D bracket print there which is missing.

At the time of writing this the 588.5 area has a "supporting" cluster:
I have been trying to back test single prints as high probability reversal areas but have been unable to do it so far. As a second prize I'm toying with the idea of forward testing this in simulated real-time using the ER2 contract and testing during the month of May 2005.

So far I've come up with the following rules. Jump in and add or question a rule if you wish:
  • The single print must be less than a month old to be used.

  • The single print must be a confirmed single print.

  • The entry price is one tick inside the single print and an entry will only be recorded if the price touches the single.

  • A stop of one handle will be used.

  • 4 contracts will be traded.

  • Partial profits will be taken at 1, 2, 3, and 4 points.

  • Commissions will be $5 per contract.

  • Stop will be moved to break even after first partial profit has been taken.

  • Stop will not be trailed after moved to break even.

  • No re-entries if stopped out but re-entries always taken if all 4 contracts are taken off profitably and re-entry is then only allowed on that day. (This is logical because single tick will not be there on subsequent days.)

  • All single trades will be taken irrespective of other news items or announcements that are being made at that point.

  • If multiple singles created in same day or time period then all of them will be traded using the same stops and targets and rules.

  • No overnight carry. Any open contracts are closed out at the last traded price (not the settlement price) that is traded during RTH which in this case is usually at 16:14:59 or 16:15:00 EST. Although you would not be able to implement this in real trading it appears to be the fairest way to measure this strategy. In reality you will close the trade before this time and get a slightly more or less favorable price.

so what is the trade?
The trade is a limit order long at 588.6

Because this is being done as a simulated exercise we only assume a fill if 588.5 is touched. The stop is at 587.6 - if touched then the trade is closed for a 1 point loss.

Guy,

This trading method that you do, is that the same one as JPJ does?
The White Board is a discontinued indicator because its functionality was automated through the use of the DVATool which is much faster and more reliable in managing Single Prints - which is primarily what the White Board was used for.