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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,
here's the stretch, Crabel uses 10 day
you can copy and paste into TS indicator (or PM me with your e-mail and I'll send you a copy.

Stretch Indicator
inputs: dayave(10);

{run on RTH session @ES.D for futures}

value1=h[1]-o[1];
value2=o[1]-l[1];
if value1>=value2 then value3=value2 else value3=value1;

value30=average(value3,dayave);

Plot1(value30,"Stretch10");
Paul9.
When I try to send you a PM it says that I don't have enough post to PM other members.

I have add the link so others can PM me.

Yes I would like very much to have the Crabel Stretch Indicator for TS.

You may be interested in the Wide Range_Narrow Range Bar study that I found on TS website. Sad to say that I can't upload an .eld file so I had to copy and paste it into a word document.

Thanks
Russ

quote:
Originally posted by PAUL9

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



Click link to access uploaded file:
WR_NR_Bars.doc
Paul9,
I copied your code and got it to work.

Thanks a bunch
Russ
Well ZN didn't get the full target but exited at 4pm with 11.5 points, covering the ES & NQ losses and some left over for a cup of coffee.

quote:
Originally posted by PaulR

So far losses on both ES & NQ. Ouch.
And currently long on ZN. If that hits the target the day will be green.

this is ridiculous.
how many posts do you have to have to be able to pm someone?
I noticed that you had 9 posts, RUSS, and I was going to e-mail you to let you know that TS has ATR indicator but it is labelled Average True Range. but the thing wouldn't let me.
How many posts does it take?
You need 10 posts before you can pm/mail someone. We had to (reluctantly) put this in place because spammers were registering and spamming members of the forum through email. I'm sorry that we had to do this and that it has inconvenience you guys. We are also working on another solution that will hopefully work around this in a more convenient manner.
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?
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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