Post Tagged with: "breakout"

A Revolution In Open Range Breakouts

October 31, 2016 5:00 am17 comments

In last week’s article, A License To Print Money, we took a look at three different opening range breakout methods that were used by several well-known traders. These traders grew very small seed accounts into large winnings. All these traders used a very similar trade setup. That was, variations of the opening range breakout on the futures and/or bond markets. The three traders which were highlighted were… Tony Crabel Sheldon Knight Larry Williams We also discovered that the recent performance of these open range breakout setups has been diminishing. It’s assumed that a couple of factors are coming into play which are reducing their effectiveness. Most notably is the introduction of the electronic markets which reduced the impact of the traditional […]

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A License To Print Money

October 24, 2016 5:00 am2 comments

When it comes to legends in the trading world, the name Larry Williams comes up often. Larry is the creator of the ultimate oscillator and the Williams %R Indicator. Furthermore he has written many popular books. His claim to fame is taking a $10,000 account to $1,100,000 during the 12-month competition known as the World Cup Championship of Futures. Interestingly his daughter, Michelle Williams won the same contest at age 17. I bet a little help from Dad went a long way with that one! While Larry’s impressive story is well known to many there is another trader who has done equally as well when it comes to taking a small account to large sums. That trader is Sheldon Knight. […]

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Finding Out What Works, And What Doesn’t Work

August 22, 2016 5:00 am12 comments

Many traders who try system trading have previously had difficulty at discretionary or manual trading. Most of these folks eventually recognize the benefit of trading a system with well defined rules – a system that has performed well in the past. It is nice to know a trading approach has historically worked, but as with all things related to trading, past performance is no guarantee of future results. Unfortunately, many people who try systematic/algorithmic/mechanical/rule-based trading for the first time bring along a lot of the baggage that they have acquired from their previous method. Depending on the pre-conceived notions they bring into mechanical trading, these new systematic traders may run into a lot of frustration and trouble. Many times, for […]

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Opening Range Breakout Trading Strategy Design and Implementation

May 30, 2016 5:00 am4 comments

The goal of this research is to find various set-ups and exit strategies that could be used for trading the opening range breakouts. The time frames we will be looking at are 10-min, 15-min, and 30-min opening range breakouts. We will focus our attention on the very liquid futures markets, in particular we will analyze the S&P500 futures. We would like to encourage you as the reader to participate in the discussion and share your knowledge and/or ideas about opening range trading systems. Our research is focused on a popular trading principle called the opening range breakout. We define that range as the first n-bars of minutes of a trading day. Isn’t the electronic futures market trading almost 24 hours a […]

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

January 25, 2016 5:00 am1 comment

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 expect from my breakout model and I’ll also add some more information which are quite important. Markets, Timeframes, Exits One of the usual questions is what markets and timeframes should be the model applied to. I personally trade only futures markets and I’ve found that this model can be applied to any market. Most of my breakout ATSs have been developed for index markets, however, […]

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The Anatomy Of A Breakout Automated Trading Strategy: The Components

January 18, 2016 5:00 am0 comments

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 it comes to scouting for the best Point Of Initiation (POI), you must be as creative as possible. Your POI can be basically anything. When I started constructing my first breakout ATS strategies, I used pretty simple methods of getting a POI. It usually was: Yesterday’s Close Today’s Open Today’s Low (for longs) Today’s High (for shorts) Lowest O/H/L/C X-days back Highest O/H/L/C X-days back […]

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The Anatomy Of A Breakout Automated Trading Strategy: The Concept

January 11, 2016 5:00 am0 comments

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 all you know or can imagine. But from my experience, breakout models are timeless and very universal. In the following three articles I’d like to share some of my concepts and the most crucial components behind them. A Breakout Automated Trading System (ATS) modeI use: 4 crucial components There is no reason for looking for (over) complexity in automated trading. In fact, over the years […]

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Finding Out What Works, And What Doesn’t Work – Part II

October 27, 2014 5:00 am6 comments

In Part 1 of this series, found here, I ran a simple study of a trading system, in order to look at some of the common components (such as end of day closes, short versus long bar periods) that many system developers add to their trading system. Could some of these strategy building blocks be hurting their development efforts? To answer the question, I analyzed one trading system over 7 different markets for a 5 year period. Even though I was able to extract some conclusions from the study, I also said the following: “Of course, I made these conclusions based on one study. What if the strategy was different? What if the timeframes or markets were different? What if […]

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The nth Order Polynomial Acceleration Strategy, Part 2

December 2, 2013 5:00 am0 comments

This is the second part of a two part article on testing a polynomial acceleration strategy. You can read part one here. Finding The Strategy Input Parameters in The Walk Forward In-sample/test sections The PWFO generates a number of performance metrics in the in-sample/test section.  The question we are attempting to answer statistically, is which performance metric or combination of performance metrics (which we will call a filter) in in-sample/test section will produce strategy inputs that produce statistically valid  profits in the out-of-sample section.  In other words, we wish to find a performance metric filter that we can apply to the in-sample/test section that can give us strategy inputs that will produce, on average, good trading results in the future.  […]

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FirstStrike Trading System, Part II

October 14, 2013 5:00 am6 comments

When testing a trading system I will often start looking at the big picture first. That’s why during part one of this series of articles I started with looking at a bull/bear regime filter. This filter broadly divided the market into two modes: bullish and bearish. Trades would be taken in the direction of the overall market mode. The results of the regime filter were positive, although it did not make a huge difference with the net profit or profit factor. I decided to keep the regime filter since it did make the system more tradable. You could see this by viewing the equity curve and seeing it was much more linear with far less drawdown and shorter time between […]

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