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Mini I.B.


Set-up is VERY simple take the first 1/2 hour of RTH and if price trades above buy, and if it goes below sell short.

For mini Russell 2000 use targets of 2 points and a stop of 2 points.

For mini S&P500 use targets of 2.5 points and a stop of 2.5 points.

So far this March the ES has triggered 4 profits and 2 lossers or a gain of +$896.00 trading 4 contracts. It tends to perform better over a longer period. But the TF continues to outperform the ES month after month.
And trading 4 contracts in the past month would have yielded +$3150.00 on the ES

The TF on the other hand trading in the past month has yeilded +$6400.00 via trading 4 contracts

*these are actual results that counted my slippage but not comm.
quote:
Originally posted by wirechild

A couple things I am finding as I backtest the 5B. For me backtesting means going back and replaying the first ~25mins or so and watching the actual market action. I am compiling the numbers from 1/9 - 3/13 and will post the results when I am done, it may be a few days though.

This is for ES
-A strict 2 point stop tends to yield better overall results than a variable range stop, although only slightly better.
-Entering 2 ticks above or below the hi/lo also yields slightly better results so far 4 of the losers were avoided in Feb alone.
-Using the first 6 one min bars instead of 5 also seems to keep you out of some of the losers.
-As CharterJoe mentioned, don't take the trade if the first 5(or 6) candles are red and form a up/down trend. The ones that form a V or chop around seem to work out better.
-And as I mentioned already, holding one contract for maximum gains improves the overall results as well. Basically trailing with a 2 point stop and then selling at 6+ points.

Just something to look at and consider. My backtesting is very slow, but it works out well. I will post Jan and Feb results using a few different methods to compare.




Great observation wirechild,

These are some of the things I am seeing too. Also the first 7 min tends to filter even more losers out and anything over that is going to far. And I think the extra tick rule for entering is a good idea...


quote:
Originally posted by CharterJoe

5b and 30B was +$1950.00 for this week




If we filter the 5B with not taking the trades where all 5 bars are the same color void of any "V" shape it filtered all losers on the 5B. Adding +$2000.00 to this weeks results.
I've traded the 30 min high/low off & on for a year or so. I've tried the 5 minuite. My personal preferance is 2 ticks above or below the first 15 minuite candle. After 15 minuites the advancers minus decliners chart "$ADD Esignal" has an accurate reading, plus or minus 5-700 or more & I usually take a trade, providing the nyse breadth "uvol/dvol" ratio $VOLD is confirming bullish/bearish. I chart both on a 15 minuite & compare the market internals candles with 15 minuite price candles. When uvol/dvol ratio is close to parity & the adv/dec are less than 500, it's usually a choppy sideways morning & I don't take a trade until the market shows it's hand.
Here are numbers from Jan 12 - Mar 13 and I will continue to track this through Apr 10 and post weekly updates. I have never found much benefit in backtesting longer than 3 months anyways.

Setup as follows for ES, the first 3 rules are very important. the last 2 could be modified to your trading preference.
-Use first 6 candles to determine high/low
-Enter short 2 ticks below low and long 2 ticks above high
-Do not take the trade if at least 5 of the bars are all red or all green. In other words if the price has only moved in one direction. See CharterJoe's charts for examples!
-I prefer to scale out, my first target is 2 points and 2nd target is 4+ points. I will manually trail the 2nd target until I feel the steam has run out or stopped out.
-3 point stop. I use a manual trail so once the target is hit I will move stop up 3 points behind target. This goes for both targets..

Here are the results based on 4 contracts not including commissions.
26/33 trades profitable or 78%

Total Profit $9250.00
Total contracts traded 132
Average profit per contract $70


There are several ways to scale out and improve these numbers. One way was to sell 1 contract at 1 point and move stop up to -2. There were 5 trades that hit 1 point before stopping out and that would have made the avg profit per contract $76. Alternatively, just selling the last 2 at 4 points and not holding for more would have dropped the avg to $65. 12/33 2nd target sold for more than 4 points. With the average being 6.25

I tried to use pivot points as a signal and I couldn't find anything useful.

I will update weekly with results and I might do a little more number crunching and see if I can improve this a little more. I prefer at least $100 per contract when testing a strategy. I will say that Feb was an awful month as 58% of the losses were in Feb.

I plan to do the same testing for TF. I hardly ever trade TF, but I am curious if it would be any better.
ES on 3/14:

30B: Short

S @ 76150
B @ 75950

Profit/contract = $100

5B: No trade today
I'm trading these setups in my sim acct to follow along. Thanks to all for your efforts so far!
I am new to this post and just want someone to explain the strategy or the setup you are all talking about

Glen
mkw111,

Read page 1 of this thread. CharterJoe has explained the strategy pretty well. Also look at the posts by wirechild. If you read through all the pages in the thread the strategy will be explained to you.
I am trying to follow the system but am still confused. also what is rth/ I know this is probably simple but I guess I have a menta block so maybe someone could spell it out to me in layman terms
RTH = regular trade hours
(duplicate post in "Mini I.B. vs 7am-9am Breakout" thread)

I have been a member of mypivots for a little over a year now, using the posts as a springboard for learning about the futures and currency markets – I’ve really appreciated the research and insight of so many of the contributors.

I’m now at the point where I’d like to begin systematically back testing one or two strategies for potential trading. I like the concept of breakouts (just finished Fisher, currently reading Crabel) – this thread and Charter Joe's 7am-9am GBP/USD Breakout thread are especially interesting in this regard.

I’d appreciate some advice from the folks here. The IB and 7-9 threads are now over a year old: do both concepts still perform reasonably well in live trading? If so, which of these would you recommend that I begin my back testing with:

1. The 30B
2. The 5B
3. The 7-9 currency breakout

I have a full time job so I need a scheduled window of time to trade in. I plan to trade single lots, primarily intraday. I am methodical by nature and prefer smaller, steady gains to wild gains… and wild losses.

Any thoughts gratefully received! Thanks.

Isaac