To add or clarify my above reply, I have found my collecting pips thoughts percolating from perhaps impatience and possbily watching or holding trades too long that go from green to red.
I think of it like climbing a pip ladder where each rung gets cashed out, there is no backsliding. It is still something I am pondering and haven’t found clarity in my thoughts yet.
KC
I’ll tell you what can go wrong.
firstly 30 minute charts are far too volatile for this type of thing , IMO
Secondly three markets for this strategy? Two of them are indexes and will probably both be triggered at same time.
Thirdly your idea to cancel after 5 bars means your effectively not trading this strategy at all, it’s become random noise.
this type of thing only works if it’s triggered on the next bar only
I sometimes do a similar thing, only dailys but always cancel after next bar if not triggered
the discretion that is being used for exceptionally wide or narrow bars, is very likely to be overridden
fact is this type of thing works best with short bars because it’s an expansion in voltatility.
the fear of being triggered in both sides is a very real one on such a small timeframe, longer time frames the chance is not so high.
Monday is a notoriously bad day for very short term price action in the stock market.
However, I’ll be keeping my fingers crossed, I do think the type of thing your looking at has potentially but really think you need to try it on only one market first (ftse least volatile intraday) and maybe step up a time frame
Hmmm, some things to think about and lots to learn from observing in real time.
Maybe M30 will indeed prove too volatile and jagged. Intra-day isn’t my thing, I haven’t spent enough time watching M30 to know for sure but its worth a try.
Yes, any two indices could move in step. One should be enough.
Agree on orders - both entry orders are cancelled and re-positioned if not triggered on the next bar.
I’ve trades lots of this sort of thing, if your going to do this the intraday volatility is going to matter.
NASDAQ 100 volatility is pretty wild as is the Dax.
ftse 100 ok but probably the best ones are the Dow and the Eurostoxx.
As for doing this on the grand daddy of intraday volatility, cable, well all I can say is good luck.
Well, that was Week 1, and it was interesting - learned a bit about myself as a day-trader (which I have never been) and the markets at close range.
The initial set-up was to trade just the Dow on the M30 chart, using bracket orders to buy or sell. The run the open position, cancel the other, until price either hit the stop (the cancelled order’s price) or made a second better M30 bar close or at the close of the 5th bar if neither of the previous had occurred. An extraordinarily long bar would trigger an immediate manual exit.
This went along just about alright and was nearly making a profit…
But it was soon obvious that if price got its act together and started to trend, i was going to miss a large proportion of the total price move and almost all the counter-trend trades triggered according to entry rules were going to be losers. In addition to which, looking back over weeks, the 1430 bar on the Dow is often a disruptor: its often a reversal or is just so wide, combined with the 1500 bar, it triggers any stop and inhibits re-entry. Obvious maybe. Its not rocket science…
Today I specifically looked for trend and found it as the Dow just dropped all day. A key milestone could be a bar close below your favourite EMA. The first short was at the low of the preceding bar and after that I just kept setting another sell every 30 or 40 points down - all same size and same SL and TP at 1.5r. Easy money all the way down.
Its not bracket trading but it made money so I will give it another run out on Monday.
Best wishes.
Nice!!
Sounds like you had a great Friday!
KC
Mondays can be a little different - known as the “Monday effect” - let us know how it goes.
I’ve read all the posts above and with due respect, I think we’re just trying to give meaning and good clothes the word ‘guesswork’!
You must understand that I have never been a day-trader but am willing to try various approaches to see if they can work for me. The idea is to find one that has a higher probability than 50%. Anything with a 50:50 chance is guesswork. anything with a better than 50% chance I can live with because I can make money from it.
Surely you accept there is a difference between guesswork and experimentation?
End of Week 1 of this trial. Not Bracket Trading; following trends off the M30 charts and pyramiding winning trades. Most trades were on the Dow, otherwise GBP/USD: a few were on EUR/USD and a couple yesterday on AUD/USD.
Winning days = 4/5
Win rate, all trades = 34/66 (51.5%)
Win rate, automatically closed trades = 26/50 (52.0%)
Initial r:r = 1:1.5
Account net gain = +4.6%
Quite happy with this outcome and able to draw some conclusions going forward for another week following just the same procedure.
The trades were small and pyramid trade entry orders were set ahead of each initial entry at +0.5r, +1.0r and +1.5r. This means that as Trade 1 hits its TP, Trade 4 opens and I add another entry order 0.5r ahead of the last order. So, in a strongly running trend I would normally have 3 trades open with another 2 orders set.
Its obvious right away that the r:r is making the profit, plus the pyramiding, not the plotting up of the initial entry to find the best trend to follow. The win rate of only just over 50% is almost exactly random, so maybe trend-following on this time-frame is guesswork after all!
Doesn’t really matter - if you make a wrong choice, a short series of small losses will get you out: if you make the right choice, there will be a longer string of gains. So the profit in this system does not come from being right, it comes from staying right when you’re right and not staying wrong when you’re wrong.
I think this is key and probably not in Vogue presently! The more trading I do the more I’m lining up with this approach.
@Jerome32 discusses this in his trading journal. And found it to be on the positive side!
I’m thinking of doing this with my micro account. Just being ruthless and cutting my losses.
KC
Continued using this system under trial with tiny positions and it has real potential. It may not make a fortune quickly but its consistent, low risk and demands only a few minutes at 0730 and at 1400.
A pointer as to why it works is shown by the GBP/USD M30 ATR - notice how ATR makes slumps overnight and peaks later afternoon. This is as regular on GBP/USD as a heart-beat trace. Average M30 bar lengths by mid-pm are regularly twice average bar range overnight, sometimes better.
Similar ATR patterns are visible on FTSE100 and EUR/USD They are present but less less regular and less pronounced on USD/JPY and gold. Obviously also DAX, CAC, GBP/JPY, AUD/USD etc. but there’s no point duplicating trades with strong correlation.
Done a look-back over the last 8 months on GBP/USD M30, using bracket trades around the 0700 London 30-minute candle, closing open positions / cancelling untriggered orders at 1400. No TP’s, no pyramiding.
I’ve designated the range of the 0700 bar as r. Adjusted to a standard percentage of the account capital, this is the risk per trade. So the maximum risk per day is 2r: there is no limit to the maximum possible gain per day.
At least one trade triggers each day - it hasn’t happened yet that price stayed within the 0700 bar range from 0730 to 1400, the 0700 bar is often one of the narrowest in that time period. If the first trade is stopped out at the extreme of the bar’s range, that is also the entry point for the second trade. The second trade’s SL is likewise the other extreme of the bar (i.e. it was the entry price for Trade 1 earlier).
One position usually remains open at 1400 and is then closed manually, before the US open, for whatever profit is available. I am expressing this in multiples of r.
In the 8 months studied, the total net gain shows as +85r. Two months showed net losses, averaging -10r per losing month. The 6 winning months averaged +16r.
Good potential system but I probably need to ensure the orders are OCO - having a second trade trigger if the first is stopped out doesn’t seem to pay.
Got some percentages now, was just too tired last night to do any more clear thinking on this.
These numbers are based on laving both orders live - one does NOT cancel the other.
On about 38% of days, Trade 1 triggers and does not hit its stop-loss: Trade 2 is not triggered.
The average gain per day in this scenario is +2r per day.
On 15% of days, Trade 2 is triggered and goes on to make a net gain for the day of at least +1r.
The average gain per day in this scenario is +3r per day.
On 29% of days, Trade 2 is also stopped out, crystallising the maximum possible daily loss of -2r.
On 18% of days, Trade 2 is not stopped out, but the day makes a net loss of up to -1r.
Over 7 months, this system produced an average monthly gain of +10r, with 2 losing months and 5 winning.
This is very interesting!
On the 15% days I am curious what the low is in relation to the low/SL of the 29% and 18% days. Is there a common point of no return?
I can get all geeky excited over stuff like this!
Tx, for all the intell gathering and analysis @tommor!
KC
Cheers. This is an age-old strategy so I think it should stand some variations as long as not too exotic.
the risk on each trade is the same - the range of the 0700 M30 bar, and I have called this amount “r”. Of course, r could be different pips every single day but it would be preferable to use a standardised percentage of your account capital and size the position accordingly.
So let’s say the position’s risk is always 1% of the account capital. So the long from the top of the bar and the short from the bottom of the bar each have the same risk, 1%: the maximum loss per day is therefore 2%. The long’s SL is the low of the bar, the short’s SL is the high of the bar.
Today for example, my M30 GBP/USD chart shows the 0700 bar as having a range 1.28438 to 1.28285, i.e. 15.3 pips.
Price fell through the low during the 0730 bar triggering the short: I set the short’s SL is just 1 pip above the high at 1.28448.
The position is running and in profit, currently showing a gain of 0.00560, 56 pips: this represents a gain better than 3r so far today. Fingers crossed price will drop some more by 2pm…
One slight amendment to this variant of the Big Ben GBP/USD strategy -
Ordinarily the 0700 M30 bar would provide the buy and sell prices from its high and low respectively. This morning the 0700 bar printed as an “inside bar”, within the 0630 bar. So its high was lower than the 0630 bar high and its low was higher than the 0630 bar low. In such a case I recommend using the 0630 bar range to identify the buy and sell prices.
Trading tip -
On NFPR Fridays, exit at 12 noon.
End of Week 1 of trial.
2 days showed Trades 1 only triggered, for +3r and +2r.
2 days showed both trades triggered and both stopped out, for -2r and -2r
1 day showed both trades triggered and Trade 2 made: net result for day = +0.5r.
Net result for Week 1 = +1.5r.
Follows the back-test statistics pretty well. Happy with that.
Nice!
Green is good 