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Trading intraday patterns and volume breakouts in Futures

Discussion in 'Derivatives' started by CanOz, May 9, 2013.

  1. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    Well we ended up even yesterday...down almost -50 ticks from CL and GC...but thanks to the EUR i snagged 50+ pips on a 100k long, using a longer time frame methodology through IB. That solved my data issues.

    Today i took no trades until just before the pit opened where i grabbed +10 ticks on a short blast.

    Until i get my new ISP i'll be trading some mini futures through IB, taking the EOD volatility compressions to intra-day and watching for volume breakouts.

    If this trades ok through the minis then maybe I'll post some results over time and then bump up the account to full size.

    Cheers,


    CanOz
     
  2. chops_a_must

    chops_a_must Printing My Own Money

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    Re: Daily Trade Review Process

    Just an observation CanOz and you can take it how you like...

    Your analysis and so on seems to be really quite good. But it's better for a longer term time frame than what you seem to be trading.

    Would you be better off looking to trade off a slightly longer time frame? i.e. on a 1 - 5 day time frame rather than on intraday setups.
     
  3. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    Re: Daily Trade Review Process

    Thanks for the interest Chops. What I'm trying to do simply, is swing trade futures. I want to take advantage of the short term volatility so i can get it on an intra-day pattern to get the risk as low as possible. Then i will attempt to hang on as long as possible.

    Please don't confuse this with my intra-day index trading which is basically dead thanks to a shoddy ISP. IB seems to maintain its connection though, allowing me to trade this method, using the mini futures.

    You can see on wheat we entered last night, with lots of intra-day structure to place limit orders and stops. Now that we're well underway I'll trail the stop and see how long we can hold this.

    I'll update the Wheat EOD chart when i have the data....another great setup is evolving in Silver (and gold) as well.

    Cheers,


    CanOz
     

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  4. chops_a_must

    chops_a_must Printing My Own Money

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    Re: Daily Trade Review Process

    I understand.

    Have you tested moves from EOD data to be able to get on intraday entries for moves on the high probability side?
     
  5. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    Re: Daily Trade Review Process


    No, but it wouldn't be hard to test i suppose, i would need to have it coded for me and it would need to use intra-day data. You could get an idea if say, these inside days resulted in volume breakouts, and if they did what were the extent of te moves that resulted...etc...

    I'm only entering when i see the volume start to pick up intra-day, this is very difficult to test because I'm using continuation patterns on hourly time frames. So how do you code that?

    Here's the wheat chart after the volume breakout last night.

    BTW, we have a USDA report out tonight, so we need to be mindful of that.

    CanOz
     

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  6. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    Lots of energy and metals and the verge of a move....
     

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  7. chops_a_must

    chops_a_must Printing My Own Money

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    Is the top chart soybean?
     
  8. Gringotts Bank

    Gringotts Bank

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    Can, did you backtest the double inside bar idea on any contracts?
     
  9. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    No, i was just using it as a scan...but then i released that its easier to eyeball the products as there is not that many that i watch anyway.

    Besides, what is it going to tell me GB? I'm not looking to take trades off the pattern, only looking for a compression in price, an alert to watch inside the bars for volume breakouts....

    CanOz
     
  10. Gringotts Bank

    Gringotts Bank

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    Double inside bar + volume breakout on a smaller time frame....what else do you need before you pull the trigger? Program it and backtest, yeh? AB has multi time frame analysis, as you know.
     
  11. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    I'm quite happy to trade this as a discretionary method.

    You can write it up if you like, i will test it for you, or give you some data to test it on.

    CanOz
     
  12. Gringotts Bank

    Gringotts Bank

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    How would you define the volume breakout, and in what time frame? Also, what is the time frame of the 2 inside bars pattern?

    I trade something similar for my discretionary trades, but daily bars and >3 bars, with a definite higher low in place. I can't code this myself - beyond my skill level. But I like the pattern.
     
  13. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    The inside days or price compressions are EOD. Volume needs to be above some kind of average, well above....

    Exited our Silver longs, and we're now short the gold mini from 58, looking for a test of 1440

    CanOz
     
  14. Gringotts Bank

    Gringotts Bank

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    This assumes you have hourly historical data.

    TimeFrameSet( inHourly );
    Vma = MA(V,12);
    Vcond = (V-Vma)/Vma*100>50; //last volume bar is 50% greater than 12 bar hourly MA of volume
    TimeFrameRestore();
    a = Inside();
    b = Ref(a,-1)==1;
    d = Ref(a,-2)==1;
    Buy = Vcond AND a AND b AND d;
    Sell = C>0;
     
  15. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    No, i don't have any historical intra-day data for Amibroker. Its a different format. I could hook up IB to Amibroker but i really can't handle doing that again....

    I have daily data though....

    Metals are breaking down, although HG is holding up well and actually broke out intra-day...Waiting for energies now....the DX is breaking higher as well, and the DAX is at new highs....

    CanOz
     
  16. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    Today was my best day yet trading this method....

    Still short bean oil....stop at BE
     

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  17. chops_a_must

    chops_a_must Printing My Own Money

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    Well done man.

    What do you think the difference has been?
     
  18. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    What i want to say....

    The humble truth.....:eek:

    1.) Getting away from Index trading with a dodgy connection and going back to what always worked....what Radge taught me well, low risk high probability patterns....and stop limit orders.

    2.) Trading mini sized version of large contracts and smaller sized contracts in order to play to my tolerance for risk...

    3.) Playing only when volatility is available, staying away from in balance conditions.

    4.) Doing what TH said....focus on the two or three setups that always worked.

    5.) Perseverance.:bonk:
     
  19. chops_a_must

    chops_a_must Printing My Own Money

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    Could print that out and stick it on the wall where you trade!
     
  20. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    Wheat is looking like fail, the trade was in earlier and i missed it so i took the gap fill. We'll hang onto it with the stop very close to BE....

    CanOz
     

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