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If you use "return on margin + drawdown" as your basis, then its definitely
discretionary trading. But you have to work a lot harder and I can therefore
work fewer markets at a time - only one in my case as I am a very short
term trader.
Tom
-----Original Message-----
From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
Sent: Monday, September 11, 2000 12:39 AM
To: profilic@xxxxxxxx; omega-list@xxxxxxxxxx; Brian Keith Voiles
Subject: RE: "Right Brained" EL Programming Idiot Requests Assistance...
Great points......but can anyone answer this:
which technique (mechanical with indicators vs. automated signals) is more
profitable ?
> -----Original Message-----
> From: Tom [mailto:profilic@xxxxxxxx]
> Sent: Thursday, September 07, 2000 8:54 AM
> To: omega-list@xxxxxxxxxx; Brian Keith Voiles
> Subject: RE: "Right Brained" EL Programming Idiot Requests Assistance...
>
>
> This is a perfect example of why it is difficult to program a
> trading system
> equal to the way we trade.
>
> You have some very specific rules which can be easily programmed
> - right up
> to the point that you introduce some subjective observations such
> as "flat",
> "bullish" and "bearish". These are "beauties in the eye of the beholder".
>
> For example, when you say "flat", you may see a slight slope as
> still flat,
> or a bearish candlestick may not look so bearish as the tail may be too
> short or the penetration of the previous body is only a very little over
> 50%.
>
> A computerised mechanical trading system is very different from a
> mechanical
> system that you apply by looking at the indicators and then pulling the
> trigger. You not only make these subjective decisions but often
> allow other
> factors to come into the mix before you decide whether to make or
> reject the
> trade.
>
> Tom
>
>
> -----Original Message-----
> From: Brian Keith Voiles [mailto:admagic@xxxxxxxx]
> Sent: Wednesday, September 06, 2000 11:41 PM
> To: omega-list@xxxxxxxxxx
> Subject: "Right Brained" EL Programming Idiot Requests Assistance...
>
>
> Dear Members,
>
> Okay... I admit it -- I'm a creative dork.
>
> These are the rules for my S&P day trading method.
> I've been studying the ELA manual from Omega and the "Ask Mr.
> EasyLanguage"
> book... (the Omega downloadable manual is much, much better/clearer) but
> I just don't seem to have enough "left brain" logic to create an indicator
> for these rules.
>
> I have manually back-traded over 1,000 trades using this method. It really
> seems to work well as long as I follow the rules with discipline and
> integrity.
> The back-trading was not "computer-done" ... it was manually done by me
> and because entries are signalled on the open of a new bar, I subtracted
> 7 ticks ($175 S&P) on the entry AND the exit for slippage.
>
> Anyway... anyone want to take a stab at coding this?...
> Anyway want to give me a bid on coding this?... I have tried and tried...
> I'm just too darned "right-brain" creative type to get the EL down for it.
>
> Anyway... thanks to all who care. Here's my method's rules:
>
> (By the way... here is the "key" to my many abbreviations:
> XMA = 10-Period Exponential Moving Average
> MAL = 40-Period 1-Line Moving Average of the Low
> MAH = 40-Period 1-Line Moving Average of the High
> LRS = the following code: Input: Len(10);
> Plot1(LinearRegSlope(close,Len),"LRS");
> ADX = the regular ADX that comes with TradeStation 2000i)
>
> Rules (All rules apply to the 5-minute chart only)
> Long Position Entry Rules
> To enter a long position:
> 1) No trades before 8:00 a.m. MST (The first 6 candlesticks)
> 2) The 6th candlestick of the day (the 7:55 candle) cannot signal a trade
> 3) When a 5-min candle closes above the XMA, go long with a 5 point
> stop-loss below.
> 4) If the XMA is in-between the 40-Period MA's, then a long entry
> signal is
> invalid.
> 5) If the XMA is flat and not pointing or bending up, then a long entry
> signal is invalid.
> 6) If the ADX is below 15, then a long entry signal is invalid.
> 7) The LRS must be headed up in support of the long entry, otherwise the
> long entry signal is invalid.
>
> Long Position Exit Rules
> There are 6 valid exit options listed here, in order of preference:
> 1) Let Profits Run Exit: If the trade moves to 3+ points in profit ($750)
> then the stop must be moved up to the point of entry, plus 3 ticks
> ($75). Then exit the trade at any point when price action shows potential
> reversal (i.e. a bearish candlestick, confirmed by a second bearish
> candlestick; or a bearish candlestick pattern) and the price action is
> fervent, suggesting that the probabilities are strong for this to be the
> end of this up move.
>
> However, if the price movement of any potential reversal is weak (i.e. a
> bearish candlestick or candlestick pattern without bearish confirmation)
> allow the potential reversal candle to close, then move the stop
> loss up to
> where the XMA is at on the close of the potential reversal candle.
> As long as price action remains bullish, at each subsequent potential
> reversal point allow the potential reversal candle to close and move the
> stop-loss up to where the XMA is at on the close of the potential reversal
> candle. Continue to do this as long as there is bullish price action. This
> will allow the market to end the trade by stopping out the position when
> it's finished its bull move.
>
> NOTE: If a position moves into 6 points or more in profit, note the
> position of the ADX. If the ADX is above 30, there's a good chance the
> trade will continue in its current direction. Also, look for bullish
> candlestick continuation patterns to confirm the ADX.
>
> IMPORTANT: If at any point during the trade the price is near where the
> potential reversal candle's XMA suggests the stop be moved up to, the
> probabilities are high that the bullish run is over. The market is then
> likely to move into a sideways, choppy, consolidation period, or reverse
> it's trend. There are 2 exit options at this point:
> 1. Move the stop loss up to 1-tick above the high of the last potential
> reversal candle;
> 2. Immediately exit at the market to take the profit.
>
> 2) Profit Exit: If the trade moves to 3+ points in profit ($750) the stop
> loss must be moved up to the entry point, plus 3 ticks. Then exit at any
> point when price action shows a potential reversal/bearish candlestick
> pattern and the price movement is fervent enough to suggest that
> probabilities are high that this reversal is for real. OR
>
> 3) Cut Losses Short Exit: If price closes below the XMA twice before a
> profit exit unfolds, the XMA Method requires an immediate exit in order to
>
> cut losses short. However, if price closes below the XMA once and then
> closes above the XMA on the next candle, the close below the XMA is
> canceled out and doesn't count as one of two closes to trigger an
> exit. Then, as long as there is continual bullish price action (higher
> highs and higher lows) stick with the trade and wait for a Profit Exit to
> line-up.
>
> 4) Cut Losses Short Exit: Exit when the XMA crosses down over the MAH and
> stays in-between the MAH & MAL=85 suggesting the probabilities
> are that the
> market is preparing to churn sideways or preparing to reverse. There may
> or may not be a profitable exit when this happens.
>
> 5) Caution Exit: Exit when the XMA starts to flatten-out or slope down,
> going against the long position. There may or may not be a profitable exit
> when this happens.
>
> 6) Bail-Out Exit: Exit when the price action hits the stop loss.
>
> Short Position Entry Rules
> To enter a short position:
> 1) No trades before 8:00 a.m. MST (The first 6 candlesticks)
> 2) The 6th candlestick of the day (the 7:55 candle) cannot signal a trade
> 3) When a 5-min candle closes below the XMA, go short with a 5-point
> stop-loss above.
> 4) If the XMA is in-between the 40-Period MA's, then a short entry signal
> is invalid.
> 5) If the XMA is flat, and not pointing or bending down, then a
> short entry
> signal is invalid.
> 6) If the ADX is below 15, then a short entry signal is invalid.
> 7) The LRS must be pointing down in support of the short entry, otherwise
> the short entry signal is invalid.
>
> Short Position Exit Rules
> There are 6 valid exit options listed here, in order of preference:
> 1) Let Profits Run Exit: If the trade moves to 3+ points in profit ($750)
> then the stop must be moved down to the point of entry, plus 3 ticks
> ($75). Then exit the trade at any point when price action shows potential
> reversal (i.e. a bullish candlestick, confirmed by a second bullish
> candlestick; or a bullish candlestick pattern) and the price action is
> fervent, suggesting that the probabilities are strong for this to be the
> end of this down move.
>
> However, if the price movement of any potential reversal is weak (i.e. a
> bullish candlestick or candlestick pattern without bullish confirmation)
> allow the potential reversal candle to close, then move the stop
> loss up to
>
> where the XMA is at on the close of the potential reversal candle.
> As long as price action remains bearish, at each subsequent potential
> reversal point allow the potential reversal candle to close and move the
> stop-loss down to where the XMA is at on the close of the potential
> reversal candle. Continue to do this as long as there is bearish price
> action. This will allow the market to end the trade by stopping out the
> position when it's finished its bear move.
>
> NOTE: If a position moves into 6 points or more in profit, note the
> position of the ADX. If the ADX is above 30, there's a good chance the
> trade will continue in its current direction. Also, look for bearish
> candlestick continuation patterns to confirm the ADX.
>
> IMPORTANT: If at any point during the trade the price is near where the
> potential reversal candle's XMA suggests the stop be moved down to, the
> probabilities are high that the bearish run is over. The market is then
> likely to move into a sideways, choppy, consolidation period, or reverse
> it's trend. There are 2 exit options at this point:
>
> 1. Move the stop loss down to 1-tick below the low of the last potential
> reversal candle;
> 2. Immediately exit at the market to take the profit.
>
> 2) Profit Exit: If the trade moves to 3+ points in profit ($750) then the
> stop loss must be moved down to the entry point, plus 3 ticks. Then exit
> at any point when price action shows a potential reversal/bullish
> candlestick pattern and the price movement is fervent enough to suggest
> that probabilities are high that this reversal is for real. OR
>
> 3) Cut Losses Short Exit: If price closes above the XMA twice before a
> profit exit unfolds, the XMA Method requires an immediate exit in order to
> cut losses short. However, if price closes above the XMA once and then
> closes below the XMA on the next candle, the close above the XMA is
> canceled out and doesn't count as one of two closes to trigger an
> exit. Then, as long as there is continual bearish price action (lower
> highs and lower lows) stick with the trade and wait for a Profit Exit to
> line-up. OR
>
> 4) Cut Losses Short Exit: Exit when the XMA crosses up over the MAL and
> stays in-between the MAL & MAH=85 suggesting the probabilities
> are that the
> market is preparing to churn sideways or preparing to reverse. There may
> or may not be a profitable exit when this happens.
>
> 5) Caution Exit: Exit when the XMA starts to flatten-out or slope up,
> going against the short position. There may or may not be a
> profitable exit
> when this happens.
>
> 6) Bail-Out Exit: Exit when the price action hits the stop loss.
>
> Thanks for any advise, suggestions and assistance,
> Brian Voiles
>
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