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Wanted to offer the following in the hope that others might review with a constructive eye and, perhaps, conduct additonal backtesting. My technical abilities are limited, so I backtest manually.

The results for the 28 trading days between Apr 2 - May 12 on NQ June show 19 trades. 13 W 164 points 5L 29.75 points 1 BE. Gross of 134.25 points - $2685 before commission

Methodology

Chart set up: On a day session chart plot the 5 period average true range. Also plot a 5 period simple moving average of both the close and the open. Longs are taken only when the 5 period SMA of the close is above the 5 period SMA of the open. Shorts only when below.

Entries and Exits: If taking longs, add 50% of yesterday's ATR to today's open. This is the entry. Exits are either - a stop order at today's open, limit order at 50% of yesterday's ATR added to today's open, or MOC. For shorts simply reverse.

Having a target that is twice the stop really helped when I manually tested this for the same period as above on the 10 yr note (ZN June). 18 trades were taken. 8 W 83.5 points 10 L 47.5 points Gross of 36.5 points - $1140.62 before commission.

Thanks in advance for your constructive ideas for improvement and any additional backtesting you might undertake.



edit - 25% atr changed to 50%

Goof luck at the Doc's.

Don't know what a scale out exit strategy would do to results. Would be interesting to see how it might work if you took 1 off @ equal stop amount and moved stop to BE then look to exit balance on target. Or, leave stop at open, so if it came all the way back, you'd BE on the day.

My ATR on ES is 23.76. That is a 5 period ATR on a daily chart..regular trading hours only...9:30 - 4:15 Eastern.

quote:

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Originally posted by stifland

Yes, my 3:00 close shows 40.25 which woyld be +2.25, but I doubt I would have waited that long. I guess my question is that we gave up about 7 points from the highs. So just wondering on how a phased out exit strategy may work. I'll keep watching. Looks great. I show long again tomorrow with ATR of 27.30.
Cheers,

billy

Will be at DR. so won't be trading it :(

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6/2/09
Short ZN @ 12 below open. Stop @ open. Target +24.
Long NQ @ 9.50 above open. Stop @ open. Target +19.
Long ES @ 6 above open. Stop @ open. Target +12.

frigging tradestation. i know i need to get rid of it. I can change to rth hours except on a daily chart! atleast the other choices are grayed out when in daily mode. grrr.

Similar situation with Ensign. To get around it we specify a 405 min ute chart (9:30-4:15) regular trading hours.

quote:

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Originally posted by stifland

frigging tradestation. i know i need to get rid of it. I can change to rth hours except on a daily chart! atleast the other choices are grayed out when in daily mode. grrr.

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i'm closer but show 42.30 (nq) and 25.7 (es) I guess I need to trade my data. Thanks paul

Back. Looks like Nq and ES filled long, underwater but not stopped out...

quote:

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Originally posted by PaulR

6/2/09
Short ZN @ 12 below open. Stop @ open. Target +24.
Long NQ @ 9.50 above open. Stop @ open. Target +19.
Long ES @ 6 above open. Stop @ open. Target +12.

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ZN -12
ES -6
NQ +1

so Paul, Still looking long tomorrow. What happens generally on days when Daily MA's switch to other side. I guess you hope to not get filled before reversal, but you don't take trade in both directions same day. correct?

quote:

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Originally posted by stifland

so Paul, Still looking long tomorrow. What happens generally on days when Daily MA's switch to other side. I guess you hope to not get filled before reversal, but you don't take trade in both directions same day. correct?

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Yes, long tomorrow on ES & NQ. When SMA's switch from long to short or reverse, very often there will be no trade because price will move away from the open toward the new direction keeping us out. I trade only in the direction of the SMA's. Have tried just going with wherever the 25% of ATR took me, and that didn't work very well. Neither did reversing direction if price went there.

The theory here ( obviously simplistic and likely naive )is to try to catch 50% of the 5 day ATR. Trade direction is dictated by the 5 day sma of close being above or below the 5 day sma of the open. Entry is when price moves in the right direction by 25% of the 5 day ATR from the open. Any and all suggestions for making this work better are very welcome.

6/3/09
ZN short @ 10 below open. Target +20.
ES long 5 above open. Target +10.
NQ long @ 8.75 above open. Target +17.50.

quote:

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Originally posted by PAUL9

that's OK daytrading, I just have to make a few more posts. But when I saw that RUSS had 9 I wondered, how many do you need?

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hi,
you please check if my levels are correct?