Hi.
Been trying to follow this trading strategy for trading Crude Oil.
The steps are as follows:
I can’t for the life of me work out how to calculate the mid-point of the daily range. Been using the EMA and SMA indicators but getting nowhere.
Any help would be greatly appreciated!
Hi @Charlie1234!
It would be helpful if you could provide some more detail about the strategy you are looking at. I would guess the idea here is to wait two hours after the open (if this is specifically an oil strategy then I guess they mean the open of the futures market?) and then note the high value and the low value during those two hours. That would be the daily range so far. You then simply add them together manually and divide by two to get a midpoint and add a horizontal line to your chart at that value.
I don’t know of an indicator that would automatically do that but there is the pivot indicator that averages the HIgh Low and Close but that would not be a midpoint of the high/low range.
If you are looking at the 5-min bar and when its low crosses this line for a buy then you are looking for a bounce upwards off this midpoint. What are the SL/TP criterias for this? What happens if the 5min approaches the midpoint line from below and the high crosses it, do you then sell it?
Sounds a bit strange to me, if I’m honest. Where did you get this from?
Hi,
Thank you for your reply!
That already helps me understand what he means better.
The strategy I was looking at can be found here;
All credit of course to the author.
I was basically looking to focus on WTI futures and was looking for a decent day trading plan to play with. See if I could get some consistent results under my belt after a seriously rough December/early Jan.
I don’t see any SL/TP criteria. It looks to close either way at the end of the day regardless of pips made or lost, from my understanding. Of course, if I were actively trading it, I would just get out when I hit my own profit target.
Again, thanks for the help.
OK, I will have a look at it and see if there is anything more I can help with here…
Thanks that’s very kind of you!
A Bollinger Band will provide at 2% deviation the high and low pretty accurately with the mean or center line MA.
There are also several web sites that provide that info along with the S and R levels.
OK, I took a quick look and he does define the midpoint as expected, i.e. wait until the first two hours have completed and then take an average of the high and low of that period.
I am sorry but I said that wrong in my first reply - I will correct that. I should have said , and meant to say, that you take the high and low of that first two hours and not the open/close.
Here’s what the blog says:
“The mid-point of the daily range is a simple indicator. Suppose that are you are trading the Emini SP500 futures contract. And the high of the day is 2350, and the low of the day is 2300. What is the mid-point? No fancy calculator needed. The mid-point would be 2325.”
However!!! it seems that he then recalculates this midpoint every time the 5min chart creates a new high or low - as in this diagram (the thin blue tine):
I didn’t see this explained anywhere.
More to come…
The idea is, it seems, to first wait until the first two hours are done in order to set an initial range for the day so far. After that you want to trade in the direction of the trend for the rest of the day unless the direction changes intraday.
You are watching the 5m chart and if the price is below the midpoint line then you wait until an entire 5min candle closes above the line, i.e. thelow of that candle is above the line. You enter your long position. You then stick with that position until one of two things happen:
the end of the day
an entire 5min candle closes under the midpoint line such that the high of that candle is also under the line. i.e. the trend is now down.
A sell position would be the opposite procedure.
My first thoughts are that this is a very intensive method as it seems you have to monitor it manually all day and watch every 5min candle? Or can you set an alarm or an automated closure if a full candle occurs on the opposite of the line? I guess an EA could be written for that.
He does not seem to say whether a cross back over the line is just a stop out or is it also a reverse entry for a new position - I guess that is up to you?
He also says:
"The best time of day to trade crude oil futures contracts is during the ‘day session’. The day session would be defined as 9 AM (EST) – 11:30 AM (EST). "
I didn’t really understand this - 2,5 hours? and you should wait for the first two hours before starting a trade?
What are your thoughts here so far?
I will think about this midpoint line a bit more in the meantime…
Thanks again.
I’m with you until he starts talking about recalculating the mid-point every time it creates a new high or low. Surely that’s be like, erm, every 5 minutes or so!? Wouldn’t it make sense to get the mid point from H1 and then wait until the 5 minute high or low goes past that line?
Hi, thanks for your help first and foremost. Just chatting about the strategy helps me understand it better.
My thoughts are, as it relies on the 5 minute chart, it’s pretty time intensive, like you pointed out.
My main thing is that in WTI futures, the first two hours London time would take you to 1am on Sunday night to plot that first line and open a position; not an ideal scenario to be honest. I’d rather be asleep.
Whilst the authors results are impressive, as a beginner, I think it’s safe to say I should be looking at simpler trade strategies for now that aren’t as time intensive.
Monay folks define the range at the High and Low as plotted from the NY close then just slice it. and using the next higher time frame to allow room for expansion in either direction.
Yes it could occur quite frequently, but, on the other hand, once the market has moved say 50 pips then the line could remain a fair distance away and not need updating all the time - but either way you have to watch the new high/lows all the time,
I agree with you!
It was interesting to note that he states:
"When to turn this strategy OFF
All strategies break. The markets are efficient, other participants will eventually find this edge and attempt to exploit it. Once this happens, then the edge disappears. So you need to have a mechanism in place, that shuts the system off.
If you notice on the above equity curve, there is a blue line. This line is a 100-period moving average of the equity curve. Once the real-time performance pierces the equity curve–the gig is up. The edge is gone. Probably never to return. So it’s important to have this already in place
I noted from the comments at the bottom of the article that others also had queries about this strategy and the date is 2017 - so maybe the “edge” has already gone"! 
I guess you mean that you only adjust the new values of the high/low using a higher TF after the first 2 hours?
Problem is that this method has an exit based specifically on a 5min bar closing under the line adjusted according to the 5min High/Lows. If you use a higher TF then the market can move a lot further before the midpoint line is updated - but I think that would only result in a possible loss of profit rather than a greater loss since the original midl’point line would still be there? It could work!
I use percentage of deviation from the mean and reversal to the mean, however I think like the S&W thread they are finding the variance from day to day for S&W, I look to a higher time frame and plot to slope and time cycle. between the 2% deviation of the channel
Yup - onto the next one I guess, thanks again all for your help. Much appreciated.
I think it might be possible to apply Donchian channels to track new high and lows and with a midpoint. I vagualy remember something about that from about three centuries ago 
If so then an EA would be quite feasible!
Hey.
The other issue I got is that I don’t use EA’s. I’m 90% of the time on my phone. 10% laptop.
I’ve got MT4/5, but because I’m always on the move, I prefer/have to use more user friendly apps which means most of my trades are manual. It also causes a lot of difficulties in reading charts! ha
on the other hand, you only need to actually recalculate the midpoint whenever the 5min bar creates a new high or low for the entire day’s range so far, but that still requires a lot of monitoring and recalculating when the market drifts like today.
I plotted it for today and it seems like it would have worked fine after an early false break (during the time we would normally be asleep anyway)
The red solid line is the midpoint of the initial red dotted high and low for the first two hours between the green verticals. I circled the first long and then the second stop/reverse position.
The blue solid line is the new midpoint at the new low at the arrow (I didn’t update all the interim new lows, but there would have been quite many in theory!
But the second trade would still be live and doing well…
Just for fun, I also looked at this on an hourly chart - easier to update and the first trade would not have happened - it would have a been a great day!! 
Wow - thanks for doing that, super helpful. And really interesting. The green horizontals are the initial 2 hours after open, correct?
What is the second blue dotted line?
So, you’re changing your mind a bit that this is actually a pretty viable strategy (if you put the time in)?
