Trading intraday patterns and volume breakouts in Futures

CanOz · 9 May 2013

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

chops_a_must · 10 May 2013

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.

CanOz · 10 May 2013

Re: Daily Trade Review Process

chops_a_must said:
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 intra-day setups.

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

chops_a_must · 10 May 2013

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?

CanOz · 10 May 2013

Re: Daily Trade Review Process

chops_a_must said:
I understand.

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

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.

USDA Apr World Agricultural Supply and Demand Estimates Report (WASDE); USDA Publishes Apr Agriculture Crop Production - Source TradeTheNews.com

CanOz

CanOz · 10 May 2013

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

chops_a_must · 10 May 2013

Is the top chart soybean?

Gringotts Bank · 10 May 2013

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

CanOz · 10 May 2013

Gringotts Bank said:
Can, did you backtest the double inside bar idea on any contracts?

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

Gringotts Bank · 10 May 2013

CanOz said:
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

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.

CanOz · 10 May 2013

Gringotts Bank said:
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.

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

Gringotts Bank · 10 May 2013

CanOz said:
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

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.

CanOz · 10 May 2013

Gringotts Bank said:
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.

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

Gringotts Bank · 10 May 2013

CanOz said:
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

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;

CanOz · 10 May 2013

Gringotts Bank said:
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();
aa = a==1;
b = Ref(a,-1)==1;
d = Ref(a,-2)==1;
Buy = Vcond AND a AND b AND d;
Sell = C>0;

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

CanOz · 10 May 2013

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

Still short bean oil....stop at BE

chops_a_must · 10 May 2013

Well done man.

What do you think the difference has been?

CanOz · 10 May 2013

chops_a_must said:
Well done man.

What do you think the difference has been?

What i want to say....

Spending thousands of dollars on software and indicators, Spending thousands of dollars on PC's and screens, Spending thousands of dollars on system programming and coding....

The humble truth.....

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:

chops_a_must · 10 May 2013

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

CanOz · 10 May 2013

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

Trading intraday patterns and volume breakouts in Futures

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Home runs feel good, but base hits pay bills!

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Home runs feel good, but base hits pay bills!

Home runs feel good, but base hits pay bills!

Home runs feel good, but base hits pay bills!

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Home runs feel good, but base hits pay bills!

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