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Wanted to offer the following in the hope that others might review with a constructive eye and, perhaps, conduct additonal backtesting. My technical abilities are limited, so I backtest manually.

The results for the 28 trading days between Apr 2 - May 12 on NQ June show 19 trades. 13 W 164 points 5L 29.75 points 1 BE. Gross of 134.25 points - $2685 before commission

Methodology

Chart set up: On a day session chart plot the 5 period average true range. Also plot a 5 period simple moving average of both the close and the open. Longs are taken only when the 5 period SMA of the close is above the 5 period SMA of the open. Shorts only when below.

Entries and Exits: If taking longs, add 50% of yesterday's ATR to today's open. This is the entry. Exits are either - a stop order at today's open, limit order at 50% of yesterday's ATR added to today's open, or MOC. For shorts simply reverse.

Having a target that is twice the stop really helped when I manually tested this for the same period as above on the 10 yr note (ZN June). 18 trades were taken. 8 W 83.5 points 10 L 47.5 points Gross of 36.5 points - $1140.62 before commission.

Thanks in advance for your constructive ideas for improvement and any additional backtesting you might undertake.



edit - 25% atr changed to 50%
Russ_OK,
If you use the averages of the previous 5 days ranges that would not be the same as the AverageTrueRange for the same period.
AverageTrueRange takes into account gaps

Wilder started with a concept called True Range (TR) which is defined as the greatest of the following:

*
The current High less the current Low.
*
The absolute value of the current High less the previous Close.
*
The absolute value of the current Low less the previous Close.

JB
Can't get much closer..13.31, 14.84, 15.38, 17.57, 18.10

quote:
Originally posted by jbux

PaulR,

I agree with all of your High Lows for the last 5 days.
Also, I can duplicate your ATR using this formula:
ATR = XAverage(ATR(ATRLength),AvgLength)
ATRLength is 1
AvgLength is 5 (to compute XAvg)

My ATR's for the last 5 days :
7/29 13.29
7/28 14.81
7/27 15.34
7/24 17.51
7/23 18.01

Does this make any sense ?
What are your settings for the ATR ?

John


John,
In Tradestation when I do Format Symbol and use Intraday bars, 405 min. with Session Hours (0900 to 1615). Then add the indicator (TS calls) "Average True Range" set on 5 days into a subgraph I come up with 14.1 for yesterdays range for the ES.

Are you using something different? If so what are you using?

In his book "Day Trading With Short Term Price Patterns" by TOBY CRABEL. He used a formula the Average of the Absolute Value of the Lesser of the (High - Close or Low - Close) averaged over the last 10 days. He called it the Crabel Stretch Indicator.

If you use Tradestation I found the function code and discription for the Stretch on TS website. https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=78000&SearchTerm=Stretch%20Crabel&txtExactMatch=

I don't know how to change a function into an indicator thought.

This may be something better than ATR.

Russ
Russ:

Actually my numbers totalled to 76.5/5 = 15.3/4 = 3.825 round down to 3.75. But I don't use the straight average. I use the exponential moving average which comes out to 13.31/4 = 3.32 rounded down to 3.25. Hope that clarifies things.

PaulR

quote:
Originally posted by Russ_OK

John & Paul,
If you add the price ranges that Paul posted (same as mine) it comes out to 78.
78/5 days= 15.6

15.6 range/4= 3.9
ES opening + 3.9= Enter Price
ES opening + 2(3.9)= Target Price.

I don't know where Paul got 3.25 when the ranges he posted adds up to 78.

Russ




Today's numbers:

ES long @ open + 3.75 target 7.50
NQ long @ open + 6.75 target 13.50
ZN long @ open + 7.25 target 14.50
Okay,

So looks like I am not on the same page with everyone.

Is this a code that you wrote yourself or can I find it somewhere that uses EMAs instead of SMAs?

If anyone is interested in doing a little more research on the ORB. On this website MyPivots: http://www.mypivots.com/investopedia/213/toby-crabel ..is a full discription of the Crabel ORB system.

Also Mark Fisher in his book Logical Trader discribes what he calls the OCD breakout system. There is a lot of OBRs.

Also Murray Ruggiero from Traders Studio had free video on a variation Crabel's OBR system. Now they are selling it for $95.00. I was luck enough to get it when it first came out.

On EliteTrader website you can do a search for a member that goes by the name of 40yotrader that was doing something like this but was more involved. Like Crabel, he qualified his days to apply his method. According to his post he did so well with it he started doing his own hedge fund and disappeared.

One may want to do a little research before putting any real money on this method.

Good Trading to All
Russ

Russ:

First let me thank you for all the great refrences on ORB methods. I have read some of Mark Fisher's work and was very impressed by it. His ACD approach and a variety of others are what led me to work out the approach outlined above. While I'm aware of Crabel, I never actually read any of his stuff. Thanks to your references, I will now do so.

As for writing code...sad to say...its a foreign language to me that I've never pursued. Actually, that's why I started this thread. I was hoping someone who had the interest and ability might be able to properly backtest this approach to see if what I had found through manual backtesting held true. My manual backtesting from the beginning of the year was encouraging. But, I've had other things work for a while then blow up in my face. I knew backtesting over a larger period of time was necessary. To answer your question, I didn't write any code for the EMA of the 5 day ATR. That's done automatically by ny charting software which is Ensign. Sorry to be so long winded. Thanks, again Russ. Good Trading, PaulR.
So far losses on both ES & NQ. Ouch.
And currently long on ZN. If that hits the target the day will be green.
Paul
When it comes to "computerize" I am a dunce. Only been using TS for about 2 months, not to say that time has anything to do with it. LOL

I think we could improve your idea by qualifying the days to take a trade.

I did a search on EliteTrader for my post to 40yotrader with his response.

40yotrader,
Great work.

From what I gather your system is a breakout system:

1. Trades the ES
2. Yesterdays range is below the previous days range.
3. If #2 is true, take the lowest of the previous five days range divide by two. This is the trigger point to go long above the open (reverse for a short).
3. If triggered into the trade the opposite trigger becomes the stop.
4. If the trade reaches 80% trail with a parabolic.
5. If the trade is a winner the position size remains unchanged
6. If the trade is a loser increase the position size by a percentage until the previous equity is reached.

You have added two more nuances having to do with volatility.
1). I added volatility sizing along with mmgt so that as the market volatility dropped I increased size.
2). I put in a volatility cutoff so that when the average daily range dropped below 7 pts. I skipped taking trades for that day.

I assume you are using the ATR to measure volatility. If you are using the 5 day ATR, it hasn’t drop below 7 pts in along time. Or you may mean the daily range dropped below 7 pts not the ATR. Or it could mean drop 7 pts below the previous ATR high. Could you clarify this?

Is the above correct or have I left something out?

This looks similar to Toby Crabels breakout method. Also Mark Fishers ACD method except without the adjusted position sizing.



Sorry I didn't respond to your pm. Tampa PM'd me into the original thread and warned me most people were following to try and copy my system. I'm still paranoid about giving away too much info on it. You've culled out some of the criteria that I use. Here's the selection criteria for taking trades the next day using daily data:

If rg = 1 then trade tomorrow.

if doji(25) and range < range[1] then rg = 1;
if doji(20) and range = lowest(range,7) then rg = 1;
if doji(20) and (high < high[1] and low > low[1]) then rg = 1;
if range = lowest(range,4) and (high < high[1] and low > low[1]) then rg=1;
if (avgTruerange(2) = lowest(avgtruerange(2),20)) then rg = 1;

Also, if oday is not = 1 and a doji[15] exists, then trade tomorrow.
if high > high[1] and low < low[1] then ODAY = 1;

There's some additional next day criteria for only taking one way trades but I don't plan on giving it away. Also, there is plenty of other "stuff" on the moving envelope that I didn't post and don't plan on doing so that is mainly aimed at avoiding rangebound trading days.

I don't use ATR for volatility. I use the average range (high - low), since it's a daytrading system. ATR would add in the range outside the day session.

I hope you find some of this useful, but don't plan on me giving the system away in it's complete form while I'm trading it.

43yotrader

RUSS,
pm me your e-mail address and I'll send you a TS indicator I wrote for Crabels stretch.
also, in TS, if you want just the day session (RTH}, use the symbol @ES.D

and by the way, the day session is 0930 to 1615
quote:
Originally posted by PAUL9

that's OK daytrading, I just have to make a few more posts. But when I saw that RUSS had 9 I wondered, how many do you need?



hi,
you please check if my levels are correct?

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