TPS (Time, Price, Scale-in) Revisited

Trading Systems
499

Well. Been a good week. Unfortunately not for the TPS though. When the markets tanked today I was up almost 2K and was tempted I have to admit. But price has now retraced a quite a bit so back into losses albeit that they’re small. Unfortunately have also not had the opportunity to scale in the last tier (tier 4) positions either (I did not count the new highs made yesterday). So it’s short we stay and interest we pay!!! LOL!!!

Truth be told: had they been full sized positions (bearing in mind I’m using the last supercharged method described above) the profit on the table would have been substantial and the chances are that I would indeed have caved and taken it and then shorted again before the close tonight. I mention this purely to note that sometimes your profits are of a material nature. And when you have bills to pay: well it’s a no brainer.

500

Well. Monday morning. All looking good with this system (as well).

Dunno the details of my last update but for the record I’m currently short:

Nikkei (first tier only unfortunately).
DAX (second tier only unfortunately).
S&P (third tier only unfortunately).
NASDAQ (third tier only unfortunately).
Dow (third tier only unfortunately).

Lot’s of unfortunates up there I know. But I chose to ignore the slight movement up on Thursday last week when the US was closed hence my not being in full sized positions (on the S&P, NASDAQ, and Dow).

Anyway. Again and all things being equal: if these things close with RSI(2) at the right place tonight well the profit will still be alright (good actually).

BUT NOW:

I may ALSO have figured out a way to squeeze those missed profits out of this system. And that could be by using the Momentum Factor as detailed in Wilder’s Trend Balance Point System. I’m still investigating. Not sure I’m going to try it today as I am going to have to withdraw profits and probably part of capital as I have bills to pay this week (not least of which is my damn rent). But I shall see. But the basic theory that I have is that Wilder’s MF has a nasty habit of keeping you trading the right direction until momentum weakens or starts to slow down or decelerate. So the idea being postulated is this: once RSI(2) has closed at or below 30 (talking short trades here) then you consult the MF. If the MF is still indicating that momentum is to the downside then you simply stay in the trade UNTIL the MF indicates otherwise (and this you will know before the close of the next trading day). Once the MF indicates that momentum to the downside (shorts again being used as an example) then you TP before the close on the next trading day (or on whichever trading day the MF gives and indication of trend exhaustion). The logic seems to work for me anyway bearing in mind that between Wilder’s TBPS, pivots, and my new toys: I’ve got more trades going on a daily basis and taking profits probably four days out of five with that combination. Point is: that MF has loads of merit to it for sure.

501

Oh well. Out for 923.95. So now flat. Rinse and repeat.

502

Definitely onto something here i.e. combining this trading system with Wilder’s TBPS (Trend Balance Point and the Momentum Factor). The trades that this system would have me TP on last night (and which I did by the book) are still going down. And the TBPS quite correctly indicated that the momentum was still indeed strongly down. But I shall monitor the Dow and the S&P and see where these trades would have eventually have ended up had I been using the TBPS trading rules. Bearing in mind that one knows the day before what the probable direction of the market is going to be the next day and one also know the day before where an instrument must close on the day in order for the momentum to have changed. Maybe this value could be used as a trailing stop. Either that or I must formalize the alternate method applied before i.e. calculate what the price WAS when RSI(2) reached it’s limits and use THAT price as the initial trailing stop. If the trade continues on the right direction then it’s a question of deciding on how to trail the stop from that point if not stopped out.

I guess what I’m saying is that as effective as this trading system is: it is capable of squeezing a lot more out of the market under certain conditions. There is nothing worse, in spite of taking profits, than sitting watching huge moves that would have been in your favor.

503

Jeez this burns me!!!

This lot have just traded to R2 on the day. That 900 would have been double at least by now.

Anyway. I’m now sitting and reverse engineering RSI again (cannot find my original spreadsheet that I used to use for this when I experimented with this previously).

Essentially the idea is as follows:

If RSI(2) has signaled an exit you check the TPBS. If the TBPS indicates that the trades are still in the right direction you then lock in profits at the price point where RSI(2) actually hit 30 or 70. If the TBPS indicates otherwise then you simply TP as indicated by RSI(2). I cannot think of another or better way to do this.

504

Looks like we’re setting up for some trades (shorts) finally.

Will check in the morning and place limit sells.

Not sure if I mentioned this at some point but with pivots I’m really concentrating on the Dow, NASDAQ, and S&P. And MAYBE the DAX. Just seems to me of late there’s little to no point using my shotgun approach and trading every instrument known to man. It becomes very difficult and time consuming to begin with. And frankly: one could make more money with bigger position sizes on the S&P and the Dow than you would trading most of the other stuff. And not to mention the costs involved especially with shorts. Anyway. That’s my current take on things i.e. as we know this changes frequently. And sometimes of course: some signals and trades are just too good to ignore. For example: if you’d not been scaling in on something like Italy and you get to the point where you would already have scaled into to a full position but had not as yet: well those are always great trades i.e. you’re fully loaded right from the get go and usually at an extreme price. Anyway. That is it for the day.

505

Morning.

Well sometimes it sure does pay to be a Johnny-come-lately. With this system anyway. The Futures have been on a real rip overnight and I’m pretty sure there’s going to be nice follow through today. So not placing any limit sell orders this morning (we’re way past where those orders would have been placed anyway). Well: not placing any limit sell orders for THIS trading system but for sure will be fading pivot levels but that’s for my other thread.

506

Well for what it’s worth:

I’ve not done the “how much am I making” exercise for a while now. But figured I’d better download the transaction data because the transaction history starts dropping off from the beginning from three months back (and then I only have access to monthly statements which are in PDF format so I cannot do any calcs. on the data once that happens).

Well to my pleasant surprise:

I’m up either by 8% or 18% depending on whether I use my initial capital deposited or my now capital (as I was able to increase my capital about four weeks ago).

And the above includes those two debauched trades where the lot sizes were more than double than they should have been due to my error made. So if I normalize those two losses to what they SHOULD have been had I not screwed up:

Then I’m up either by 33% or 15% again depending on whether I use my initial capital deposited or my now capital (as I was able to increase my capital about four weeks ago as already noted).

And this is NET i.e. after all charges etc. (which I can tell you have been substantial since May).

Edit: for the sake of interest just worked out the value of the additional debits and credits e.g. dividends paid or received, interest paid or received, etc. etc. etc. Not actually material i.e. depending on which capital balance used in the calculation it’s either around 3.7% of capital or around 1.7% of capital. Certainly nothing to bother about.

But I do have to add this:

There have been relatively few trades with the TPS I’m afraid i.e. the bulk of the above to a VERY large degree has come from WIlder’s TBPS and pivots (and now as of late my intraday or day trading of the US Indices with TradeStation).

Makes it all kinda worth it then (the late nights and slog).

And one other thing that must be added here:

Since implementing risk based position sizing for this trading system: lot sizes have been radically reduced from those days of simply estimating (thumb suck) what they should be for any given trade. The reason that this is important: I’m no longer entirely sure if this trading system is indeed going to be good for my quoted 5% - 10% per month on average as has been stated numerous times on this thread. I know @Spudfan has done some extensive testing and based on his extensive testing I could be wrong in making my last statement. And I’m not about to go back historically to see if I’m right or wrong. I do know that for some or the other very obscure reason: this may very well have been the quietest three months for this TBPS trading system i.e. I don’t remember ever having this few trades with it in the last five years. I was pretty much either long or short at any given point in time but that’s not been the case this year for some or the other reason.

In closing this post:

I’ve FINALLY managed to get my act together and reverse engineer RSI. I shall be implementing this from now on with this trading system. It may result in lesser profits on those trades when price immediately reverses. But for sure it will keep you in those trades where a trend develops i.e. no longer will you be sitting on your hands watching what WOULD HAVE BEEN hugely profitable trades passing you by.

507

@dpaterso -

Tx for the Adam Theory link.

I’m on page 72. great intell to be reminded of. Very easy read and understandable, looking forward to finishing.

KC

508

My pleasure. Very good book that is.

509

Well. Can’t win 'em all. Closed today for a net loss of 570. Pity. But up 2.3K for the week, Correction. TPS trades accounted for 904 of the total. Balance from TBPS/Pivots. Continued on my TBPS/Pivots thread.

510

Well. Time to start the long haul scaling in I guess.

Have a tier 2 signal on the S&P and a tier 1 signal on the Dow. And frankly: it think that’s all I’m taking i.e. I need to watch margin here for my TBPS/Pivots trading.

511

Nothing new here obviously. But all things being equal should be able to scale in further at the close tonight. Had one long TBPS trade close at profit this morning (S&P) and waiting for the Dow to do the same (I’m in the fortunate position where I am able to trade certain instruments both ways).

Later then.

512

Nothing to report here.

DId not scale in any further last night as the moves yesterday were so muted and the difference between yesterday’s close and Friday’s close wasn’t enough for me to want to scale in any further.

Managed to (somehow) eek a small profit yesterday but again: not with the TPS. I say “somehow” because the markets were dead as dead could be yesterday.

Oh well. Today is another day and tonight is another night (for this system).

513

Broke the rules I’m afraid. Took profit on the S&P and Dow positions that were opened with this trading system i.e I just happened to be short both with my other trading system and the markets tanked so I thought what the heck. So no positions open here. Even although the potential exists for the Indices to go down further: I don’t see today’s action as the start of any decent pullback or correction i.e. I think there’s still another leg up before that happens. So on the next higher closes I’ll start to scale in again but with the a number of positions AS IF I’d started from the beginning. This results in you getting in late of course but it means that when RSI(2) closes below 30 (in this case) the profits are greater of course. Of course: I could be wrong too in which case I’ll have missed the shorts. But oh well.

514

Figured I’d better update this thread.

The trades with this particular trading system are as elusive at the Yeti it would seem. I honestly don’t remember a time in the last few years being out of the market with this trading system for this long. But then again: could be me that just never noticed or didn’t really have to care one way or the other until May of this year. I do, however, have a feeling that we’re going to shoot for another record high and, well, after that, watch out below. At which time this will shine (as will at least two other trading systems which I shall begin implementing when the time comes i.e. “Turtle Soup” and “Turtle Soup Plus One” and “Memory of Price”) (and those that have known me for a while will be all too familiar with both).

515

Wrong thread!!! And it’s my own!!! LOL!!!

516

I see this thread has gone dormant. Seems like all of us have gone off in search of greener pastures, I certainly have. The 2-bar pullback strategy I described briefly some time back is really working for me and as things stand it seems as if that is what I should be doing for the rest of my trading life. How boring! But I don’t think trading should be exciting, which is more reason to stick with it.

What my fairly extensive backtesting of the TPS strategy on forex showed me is that it is profitable, but not as profitable as one might expect and some years are losing years - years, not months or weeks. Also, there does not seem to be a one-setting-fits-all. Some forex pairs / years / periods of time suit a longer period SMA, others shorter, some a larger TP, others smaller, and so on, so overall, it is a go, but not earth-shatteringly so.

517

Hi.

The thread has gone dormant for a number of reasons not least of which is the fact that I reached and inflection point insofar as capital is concerned i.e. constantly having to withdraw profits plus capital to pay the bills so got to a point where there wasn’t a point to trading anymore. I seem to have somehow managed to get a reprieve however which will allow me to kick the can down the road for another few months all things being equal. But I’ll not be posting around these parts much anymore i.e. I’ve had it with the fake accounts and BS and quite frankly it (once again) became a distraction and a hinderance. It served its purpose though I guess. And not to mention the time and effort involved and for which there is absolutely no return in any way, shape, or form. And last but not least: no interest in a system that actually does make money. It may be boring and slow: but money it does make. And I’ve pretty much whittled things down to only this trading system and Wilder’s Trend Balance Point System (really nothing much more than pivots). This system makes nice profits but sometimes takes its sweet time about it. Whereas Wilder’s TBPS has a lot of action albeit that it’s a bit of a pain in the you-know-what to trade. But it would appear that the combination of the two do it for me.

For the sake of interest and completeness though (mainly for you I guess):

I’ve spent a good deal of time of late comparing ETFs with the rest of the stuff e.g. the Futures and the Cash Indices. And lo and behold: there are VAST differences especially when it comes to the all important closing prices and signals generated by this system. And this system was, after all, specifically designed for ETFs and nothing else. To explain further: because the ETFs are not traded 24/5 the signals generated at the close are different. In short and for example: trading the SPY SPDR ETF yields totally different (and far better) results than trading the S&P Futures. I’ve actually seen many trades closed profitably on the ETF but the same trades on the Futures resulted in smaller profits and in some cases even losses. And it pretty much boils down to the after hours trading of the Futures. And there’s more benefits e.g. the ETFs have opening and closing times so none of this 24/5 nonsense i.e. allows you to have a life especially if you’re trading ETFs listed on the LSE for example i.e. open at 09h00 our time and close at 17h30 our time. That’s like a “normal” working day. Also: no interest is payable on ETFs (but of course no dividends earned either). Also: more capital is required to trade ETFs and the spreads are wider. But all in all: the trade-offs are worth it. For me anyway.

So as far as I’m concerned: my work is done here. The system has been very clearly detailed. And anybody interested in it has the added benefit, as a result of this thread, of being able to correctly size their positions and implement stops based on risk based position sizing (which really is the keys to the kingdom with this trading system). And if anybody is interested and wiling to take the time and go to the trouble of learning and trading this system but cannot grasp it from the content of this thread: too bad. Cross my palm with USD/EUR/GBP and I’ll gladly help. Unfortunately: my experiences of the last few months have taught me a hard lesson i.e. nothing for nothing in this world. And I don’t see why that should apply to me and not everyone else.

518

Yes, I think this thread has served its purpose. It was interesting for a while, we all learned some valuable things, and it prompted me to get serious about some backtesting. But, like you, I seem to have found what works for me and continues to do so in the 2-bar pullback system I described previously, so why spend time doing stuff that distracts from the main purpose of making money from a system one is comfortable with.

I wish you well, as always, and profitable trading! Hope our paths cross again!