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RT'ers
I am relatively new to this group, but have been quietly digesting the
posts that have taken place over the last few months. I would
like to thank all those people who with the objective of helping other
traders have shared with us details of their trading.
I would like to discuss a system I am developing using the ADX. As an
introduction I should explain that I have been trading the markets, Futures
and Options since 1985. I have traded in a variety of manners, mechanical,
discretionary, directional, non directional. I have traded profitably for
extended periods throughout that time using a variety of styles, but am a
net loser over the extended period.Thats excluding the thousands of hours I
have spent in research. It has taken me years to discover what I condsier
to be my prefered trading style.Its been a question of trial and error.
I particularly feel at ease with trend following systems that really tell
you when a trend really is trend and not just the likelyhood of the
beginnings a trend followed by a whipsaw. Trading with ADX seems to me to
offer this. An excellent overview of Trading with ADX is offered by Chuck Le
Beau in his book "Computer Analysis of the Futures Markets".
Question: Does anyone know if the further research that Chuck speaks of
regardin ADX was ever published anywhere.
I have been dry running a simple system which uses a rising ADX over 20 as
an indicator to enter the market. Whether you go long or short depends on
the DMI. For short term day trading, I have used this on the E-Mini, using
5 min charts and a 14 period ADX. A signal is gven just after the first
hour of trading.
Using the ADX, the trend is well established before you climb on board. The
analogy that I give is that the train has left the station, you climb on
board for a few stops and get off before it reaches its final destination.
I.E You try to take something out of the middle of the trend.
Question: I remember something being posted about trading real time, with
no money. I would like to test my system real time using such a method.
Anyone any idea how this can be done?
For longer term strategies, I prefer the use of options and have some need
for help here in testing the system.
Again using the rising ADX greater than 20 I add a simple moving av
crossover method (18,9) to signal entry. When the ADX turns down , exit is
signalled.
I prefer to use options sold against the direction of the trend (short
call/put spreads) or straight purchases(long call/put spreads) with the trend.
I need help in testing this system as I need some software/package that
once a signal is given to enter the market will allow me to decide which
series of options I need to purchase. The criteria will depend on the
contract month, volatility, how long the trend is already underway, is it
just begginning or already well underway, the price of the option etc. Is
there any software which can do that ? Alternatively is there any software
which could allow me to test the results of buying the closest to the money
call/put?
I need also to know how to handle the question of the large data files with
all the closing option prices for one day - all strikes, puts and calls
(where I can I get these files ?) over a period of say ten years.
Lastly, any help from other traders with regard to ADX trading would be
appreciated. Experiences, good points, bad points.
Regards
Paul Langham
011 32 477 411664
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