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I have to own up to not being a TS user, and so have no code, but am happy
to give more details. It's a first hour breakout system - tasc had a
similar system for S&P within living memory (but I can't find it). I trade
FTSE.
Buy the high, sell the low of the first hour. If these points hold up as
the day goes on, stops tend to accumulate there, so I actually place my
orders just inside the range, contrary to received wisdom of a tick outside
the range. If the trade goes in my favour, stop is moved to breakeven. If
trade is stopped out either at a loss, or breakeven, a new entry order is
placed using the new high/low of the day. Exit at a profit target, or
close. Cancel unfilled orders 10 minutes before close.
As stated, I use a 20day ema of average true range to determine volatility.
My profit target is 55 percent of this, initial stop is 40 percent (but
subject to a maximum for money management reasons - your choice), and
amount in profit to move stop to breakeven is 15 percent (subject to
minimum of 9 FTSE points, which has not been used for quite a time!).
I have spent a lot of time trying to find a filter to give direction.
Logically, using the direction of a higher trend would be a good idea, but
that filters out all the sharp countertrend moves, from which a large part
of the system profits come.
Advantages: No subjective decisions. Will always catch a good intraday
move. Easy to follow - just program computer to signal when its time to
move stop to breakeven, otherwise forget about it. Trade can give you a
kick start to a position trade if relevant criteria are met.
Disadvantages: Suffers losses in choppy and congested periods. Sensitive to
commission rates because of high frequency of trading and low average
return per trade.
That's the theory. In practice I find it advantageous not to exit MIT at
the profit target, but when the market reaches that point, put a stop at a
*suitable* place. If the market then goes through the profit target, move
stop to that point, and hope for a really good day.
Another trader has suggested that such a system on say the E-mini or Dow
would be better entering 20-30 minutes after the open. With the markets we
have had in the last few months I quite agree. However, in UK our economic
figures come out one hour after the FTSE futures has opened, and I find it
better to wait for these figures before placing orders. In the US you have
the advantage of having most figures before the S&P and Dow open, so any
good trend is more likely to start from the outset of trading.
Hope this is of help.
Hugh.
----------
> From: fpi@xxxxxxxxxxxx
> To: omega-list@xxxxxxxxxx
> Cc: hw@xxxxxxxxxxxxxx
> Subject: System exits
> Date: 28 September 1998 01:52
>
> Dear Hugh:
>
> You wrote:
>
> As a day trader I arrived at the same conclusion as Chuck. After trading
a
> simple breakout system for several years with a fixed profit target, it
> occurred to me that it would be sensible to have a target which varied
with
> market volatility, and I use a 20day ema of average true range. However,
> instead of multiples of atr which are obviously valid for position
trading,
> I use a percentage (55%) for intraday trading.
>
> Interestingly, I find that this exit strategy reduces the overall return
> compared with holding to the close or out at breakeven, but gives a
> smoother equity curve. And as I have learned the hard way, I am allergic
to
> large drawdowns.
>
> Hugh.
>
> Do you have that coded for TS, & if so, are you amenable to posting same?
>
> TIA,
>
> FPI
>
>
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