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Category Archives for System Development

The Myth of Scaling Out

MythicalCastle -The Myth of Scaling Out

— By Matt Haines from  Throwing Good Money After Bad A common tactic for some traders is to scale out of successful positions. The logic is this: I’ve already made some money, so I want to hold onto some of that. I’ll cash out a portion of my trade now, and see how the trade continues, but […]

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Intermarket Divergence – A Robust Method for Signal Generation

Many markets are interrelated. These interrelationships can offer predictive capabilities for many markets. The study of these interrelationships is called intermarket analysis. In this article I will briefly explain a robust method for generating robust signals for a wide range of markets. I will also offer a free TradeStation tool to help you explore intermarket […]

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Improving The Summing Strategy

In a recent series of articles by Kevin Davey, a method of combining multiple trading strategies into one single strategy was presented. Kevin’s concept is a great way to tackle the issues of trading multiple systems on the same instrument. Kevin’s technique is to create a “summing” strategy where there is one single buy or sell signal and the […]

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When To Go Short: S&P Intraday Price Study

When To Go Short: S&P Intraday Price Study

This article is going to be an extension of a previous article where we performed an intraday price study. We do this by exploring different market sessions to determine if we can find an edge for a possible intraday trading system. If you have not read the previous article, When To Go Long, I urge you […]

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Statistical Analysis For Exits

As system designers, we hit the problem that whilst it seems relatively straightforward to develop entries and then test them against arbitrary exits, the reverse is a lot trickier. I have found out that doing some very simple statistical analysis can help in exit rule development. Over the years it has appeared to me that […]

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When To Go Long: S&P Intraday Price Study

In this article I would like to perform an intraday price study to explore the intraday action of the market to determine if we can find an edge. I’m going to be using the S&P E-mini futures market, but the principles here could be applied to any market. In particular, I’m interested how different times of the day affect different […]

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Take Profit Seasonality on Overnight Trading

Take Profit Seasonality on Overnight Trading

I have always thought of a simple exit at the next days open for nightly trades on ES future to be the most simple and non-optimized exit. There is no risks of data-mining biases. This is what I always do until now at Nightly Patterns. Overnight behavior changes with the market’s regimes of volatility. Nobody can […]

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The Anatomy Of A Breakout Automated Trading Strategy: Markets, Timeframes, Exits, Strategies

In the previous two parts, we went through the anatomy of the breakout ATS. I explained all the components of the model I’ve been successfully using for many years, and I went into each component more in detail. In this final part, I would like to show you some examples of what you can realistically […]

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The Anatomy Of A Breakout Automated Trading Strategy: The Components

In the previous part of this 3-part article, I explained the concept of my breakout ATS model that I’ve been successfully using for about seven years. We’ve learned about four crucial components of the model: POI, distance, time filter, and a regular filter. In this part, we’ll explore each filter more in detail. POI When […]

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The Anatomy Of A Breakout Automated Trading Strategy: The Concept

By being an automated full-time trader for 7 years, I came pretty early in my trading career to the conclusion that a well-constructed trading breakout model is by far the best way to aim for stable returns in automated trading. During all those years, I’ve been experimenting with many different approaches – most probably with […]

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