Your attention to the complex intraday trading system, which was designed to trade on the Nasdaq market futures and S & P.
The advantages of this system are: the maximization of good outcomes in intra-day trends, the system retains good position for the next big movement. The system uses two time format (5 minutes and 15 minutes) to filter out bad deals and to receive early warning of a changing trend.
The disadvantages of the system are: mediocre results in the days with a narrow range. Placing stop orders may be too broad for many traders. The frequency of trading opportunities is too slow to study in real time.
The intensity of trade: on average 10 transactions a day. Keep track of the schedule should be every 5 minutes.
History
The system of "retro-trader, was developed in July 2001. The author of the system intended to find a trading system or style that would satisfy his or her identity and abilities. One of the criteria were simple system and a high ratio of profits to losses. System got its name because of the retrospective definition of transactions at the end of the day.
The results of trade on the "Retro-Trader" for August - October 2001. (e-mini futures Nasdaq)
Note: Figures are given in paragraphs Nasdaq (x20 for $ / contract).
Total transactions - 359
bargain - 180
Winning percentage of transactions - 50%
Wait (revenue per unit of risk) - 0.76
average revenue per winning transaction - 12.13 points
the biggest gains - 80.5 points
the average loss for losing the deal - 3.25 points
the biggest loss - 5.5 points
total prize - 2183.5 points
total loss - 582.5 points
net profit - 1601 points
Schedule
In the above graph demonstrates how the system works "retro-trader" in one day. Total transactions were carried out 5, entry points are marked by circles.
Strategy
The aim is to capture the main movements of the day, as told to Mike Bruns - "hunting for elephants." Trading on the trend of using to enter the market for 15-minute schedule and to exit 5-minute chart. Losses strictly controlled. Stop orders are placed quite broadly, to stay in the trend until it ends. Increase the size of the position occurs as soon as a trend.
Terms of trade
Rules of entry:
1. If there is Flat (a lateral trade), enter the market with the breakthrough of the current 15-minute bar.
2. After a 5-minute and / or 15-minute turn models enter the market in a new direction with the breakthrough of the 15-minute bar (if the previous position has not been closed out of it for the same price).
3. If you are in a position which is already profitable, increase it to 5-minute signal to continue (see bars recovery).
4. If the position is closed by a stop-order, wait for the next entry in the breakthrough 15-minute bar.
5. If the position is closed by a stop-order twice in succession in the same range of trade, stand on the sidelines until the 5-minute breakthrough band, trend lines or triangles. Use the entrance at breaking a 15-minute bars, in what direction he will not appear.
Bars recovery
The decline in the bars upward trend or growing beverage in the descending trend. If the price rises above the bar recovery in an upward trend, it is a signal to continue upwards. Similarly, the descending trend, if the price declines below the bar recovery, it signals the continuation of the movement down.
If a trader is in a position and is looking for a continuation of a warrant for entry will be located in the paragraph "X" on the 5-mintunom schedule to add to positions. Local pubs and bars will be equally considered as bars recovery to add to profitable positions.
Rules of entry:
1. Place an initial stop-order in 5 points for all transactions as soon as a new position.
2. Move stop-order 1 tick below or above the extremum of the opposite side of the open position, after each 5-minute oscillations.
3. Move the stop-order for 5-minute model to turn.
4. Close all positions for 15 minutes prior to the closing of the market.
Definition of terms of "retro-trader."
Sign in to break the bar: For the "retro-trader" position open for a warrant, put at 1 tick above or below the extremes of the bar as soon as the bar is formed.
Trend: For the purposes of "retro-trader," bottom-up trend will be defined as a series of higher minimums and higher maximums for a 5-minute schedule, and vice versa for the downward trend.
Alerts continue:
1. break the bar in the direction of restoring the previous trend;
2. Breakthrough internal bar towards the previous trend.
Declining bar: price bar with a lower maximum and minimum than the previous bar.
Inner Bar: price bar with a higher minimum and lower maximum than the previous bar.
Bar recovery: For a retro-trader "bar recovery is declining bar in an upward trend rising or descending trend in the bar. (see example above). Maybe a few bars recovery in succession before continuing trend, but for the purposes of "retro-trader, if the trend is not resumed after the restoration of a row, 6 bars, cancel all orders and begin to seek the continuation of turn signals.
Models of turn:
1. Refusal to show the new maximum price in the ascending trend, and vice versa during a downward trend. If this happens after the trend is usually a "1-2-3 top or base." For the purposes of "retro-trader" lower fluctuation up to 5-minute schedule will cause output of a long position, and a higher oscillation down to a 5-minute schedule will cause output of a short position in the deployment of stop-order and as shown in the example below. The situation will be seen as a turning trend.
1-2-3 spread
1. the trend line broken
2. a lower maximum in an upward trend or a higher minimum in descending trend.
3. break below the previous minimum in an upward trend or above the previous peak in the descending trend.
At a point confirmed by 3-turn and begin trading in the opposite direction. The freeze order, in this case, re-activated at the crossing point of 3. At the same time, more aggressive traders can enter the market in paragraph X, or even closer to the point 2, based on other indicators (divergence, Fibonacci levels of restoration, touch strips Bollindzhera, etc.)
2. Failure to hold above the previous price level fluctuations, after crossing it at the time of a rising trend, or vice versa, during a downward trend. If this failure occurs after the trend, then a model known as "2B apex or base." For the purposes of "retro-trader" is the same principle applies when testing any important cross-level fluctuations, such as maximum hours, minimum hours, the triangle, the borders of the channel, or the maximum and minimum of the previous oscillation. Stop-orders will be placed as shown in the example below. The situation would be regarded as counter-trend.
2B - spread (a kind of turn 1-2-3)
During a rising trend, if the price crosses the previous maximum, but not in a position to move forward, and immediately falls below the previous peak, the trend tends to spread. Contact the situation will be valid for the downward trend.
Principle 2b-turn operates through a large number of stop orders in the field X. Many traders who bought at the break, would place their stop-order it there, so when prices fall below the blue line, the stop-order and will be struck, giving the acceleration of prices in the opposite direction. If you enter the market in a short position, an explosion of sales can move your position in the green area so quickly and so far that you can place your initial stop-order break-even level. Contact the situation similarly effective for 2B grounds.
Another name for the 2B - "spring." Imagine the blue line on the graph as a gum. The more aftershocks above the blue line, the stronger the potential to turn when a breakthrough will fail. This is the same principle that works with failed and failed triangle breached breached and trend lines. If you bought at the break, then, rather than just placing a stop order to the point X, consider installing a stop-turn. This pattern occurs in the tops and bases consolidations as well as at major turns.
3. Disclaimers prices staying above the domestic bar during an ascending trend, or vice versa, during a top-down.
Inner Bar
Internal bar called the bar, which is entirely within the range of the previous bar, so it has a higher minimum and lower maximum than the bar, located in front of him. The inside bar indicates the time of indecision or consolidation. In less time format that resembles a triangle. Local bars often occur at tops and bases, in the continuation of flags, and at key decision points, such as basic levels of support / resistance and consolidations breakthroughs. They often provide a place of entrance into the market with low-risk, or a logical point of exit. The graph internal bars marked in yellow. As you may notice a yellow bar does not have a higher minimum than the previous bar, as defined above. Some traders use a less stringent definition of domestic bars, allowing the same bars.
Warrant of entry: the order, which was called to the position if the market is specified in the warrant price. If the market does not reach the specified price, the warrant is not activated.
Stop order: an order placed in order to limit losses if prices move against the open position.
Limit order: the order, which indicates the price that must be met before a warrant will be activated. For the purposes of "retro-trader's price and the warrant for entry-limit order will be the same. Retro-Trader uses a limit order or a warrant for entry, that is the same for opening a position, but never to close.
Variation: turning point prices. The maximum fluctuation is a maximum of the bar, which is higher than the bars on both sides of it. Minimum price fluctuation is a minimum bar that is below the bars on both sides of it.
Maximum and minimum fluctuations
Fluctuations - this is the price extrema or turning points that are "retro-trader uses to determine the direction of the trend and turn the trend. Ascending trend - a series of higher maximum and minimum fluctuations. Top-down trend - a series of lower maximum and minimum fluctuations.
Please note, as in the above 5-minute schedule of the third oscillation up following the previous rules for that "retro-trader" has forced us to take profits and look for an opportunity to trade on the spread at 15 - minute chart. However, the spread has not been confirmed by the subsequent price action, but instead was a higher minimum of (4) and resumed upward trend. 15 - minute schedule filtered this wrong turn and saved us from the opening short position, but instead we came back in a long position and continued to trade on an upward trend. This well illustrates why the "retro-trader" using a 5-minute charts for the exits, and 15 minutes to enter.
Trading range: price area congestion or consolidation between resistance and support from top to bottom. The system of "retro-trader" is not very well when the price is in a narrow range.
Rising bar: price bar with a higher minimum and higher maximum than the previous bar.
Note
. The system works well in the afternoon between 40 items and more. Accordingly, it is not very efficient in the day with a narrow range.
. There is a need to conduct additional tests using different time formats, different values of the initial stop-orders, etc. This is especially true when you use it in new markets and various market instruments.
. For a more dynamic market, you can go to 9-minute and 3-minute periods, or to find other more suitable combination.
Conclusion
The system of "retro-trader has not been fully tested on historical data. Trade rules must be reviewed and possibly changed in the process of further study. The proposed levels of risk can be greatly exceeded in extreme market conditions.
The advantages of this system are: the maximization of good outcomes in intra-day trends, the system retains good position for the next big movement. The system uses two time format (5 minutes and 15 minutes) to filter out bad deals and to receive early warning of a changing trend.
The disadvantages of the system are: mediocre results in the days with a narrow range. Placing stop orders may be too broad for many traders. The frequency of trading opportunities is too slow to study in real time.
The intensity of trade: on average 10 transactions a day. Keep track of the schedule should be every 5 minutes.
History
The system of "retro-trader, was developed in July 2001. The author of the system intended to find a trading system or style that would satisfy his or her identity and abilities. One of the criteria were simple system and a high ratio of profits to losses. System got its name because of the retrospective definition of transactions at the end of the day.
The results of trade on the "Retro-Trader" for August - October 2001. (e-mini futures Nasdaq)
Note: Figures are given in paragraphs Nasdaq (x20 for $ / contract).
Total transactions - 359
bargain - 180
Winning percentage of transactions - 50%
Wait (revenue per unit of risk) - 0.76
average revenue per winning transaction - 12.13 points
the biggest gains - 80.5 points
the average loss for losing the deal - 3.25 points
the biggest loss - 5.5 points
total prize - 2183.5 points
total loss - 582.5 points
net profit - 1601 points
Schedule
In the above graph demonstrates how the system works "retro-trader" in one day. Total transactions were carried out 5, entry points are marked by circles.Strategy
The aim is to capture the main movements of the day, as told to Mike Bruns - "hunting for elephants." Trading on the trend of using to enter the market for 15-minute schedule and to exit 5-minute chart. Losses strictly controlled. Stop orders are placed quite broadly, to stay in the trend until it ends. Increase the size of the position occurs as soon as a trend.
Terms of trade
Rules of entry:
1. If there is Flat (a lateral trade), enter the market with the breakthrough of the current 15-minute bar.
2. After a 5-minute and / or 15-minute turn models enter the market in a new direction with the breakthrough of the 15-minute bar (if the previous position has not been closed out of it for the same price).
3. If you are in a position which is already profitable, increase it to 5-minute signal to continue (see bars recovery).
4. If the position is closed by a stop-order, wait for the next entry in the breakthrough 15-minute bar.
5. If the position is closed by a stop-order twice in succession in the same range of trade, stand on the sidelines until the 5-minute breakthrough band, trend lines or triangles. Use the entrance at breaking a 15-minute bars, in what direction he will not appear.
Bars recovery
The decline in the bars upward trend or growing beverage in the descending trend. If the price rises above the bar recovery in an upward trend, it is a signal to continue upwards. Similarly, the descending trend, if the price declines below the bar recovery, it signals the continuation of the movement down.If a trader is in a position and is looking for a continuation of a warrant for entry will be located in the paragraph "X" on the 5-mintunom schedule to add to positions. Local pubs and bars will be equally considered as bars recovery to add to profitable positions.
Rules of entry:
1. Place an initial stop-order in 5 points for all transactions as soon as a new position.
2. Move stop-order 1 tick below or above the extremum of the opposite side of the open position, after each 5-minute oscillations.
3. Move the stop-order for 5-minute model to turn.
4. Close all positions for 15 minutes prior to the closing of the market.
Definition of terms of "retro-trader."
Sign in to break the bar: For the "retro-trader" position open for a warrant, put at 1 tick above or below the extremes of the bar as soon as the bar is formed.
Trend: For the purposes of "retro-trader," bottom-up trend will be defined as a series of higher minimums and higher maximums for a 5-minute schedule, and vice versa for the downward trend.
Alerts continue:
1. break the bar in the direction of restoring the previous trend;
2. Breakthrough internal bar towards the previous trend.
Declining bar: price bar with a lower maximum and minimum than the previous bar.
Inner Bar: price bar with a higher minimum and lower maximum than the previous bar.
Bar recovery: For a retro-trader "bar recovery is declining bar in an upward trend rising or descending trend in the bar. (see example above). Maybe a few bars recovery in succession before continuing trend, but for the purposes of "retro-trader, if the trend is not resumed after the restoration of a row, 6 bars, cancel all orders and begin to seek the continuation of turn signals.
Models of turn:
1. Refusal to show the new maximum price in the ascending trend, and vice versa during a downward trend. If this happens after the trend is usually a "1-2-3 top or base." For the purposes of "retro-trader" lower fluctuation up to 5-minute schedule will cause output of a long position, and a higher oscillation down to a 5-minute schedule will cause output of a short position in the deployment of stop-order and as shown in the example below. The situation will be seen as a turning trend.
1-2-3 spread
1. the trend line broken2. a lower maximum in an upward trend or a higher minimum in descending trend.
3. break below the previous minimum in an upward trend or above the previous peak in the descending trend.
At a point confirmed by 3-turn and begin trading in the opposite direction. The freeze order, in this case, re-activated at the crossing point of 3. At the same time, more aggressive traders can enter the market in paragraph X, or even closer to the point 2, based on other indicators (divergence, Fibonacci levels of restoration, touch strips Bollindzhera, etc.)
2. Failure to hold above the previous price level fluctuations, after crossing it at the time of a rising trend, or vice versa, during a downward trend. If this failure occurs after the trend, then a model known as "2B apex or base." For the purposes of "retro-trader" is the same principle applies when testing any important cross-level fluctuations, such as maximum hours, minimum hours, the triangle, the borders of the channel, or the maximum and minimum of the previous oscillation. Stop-orders will be placed as shown in the example below. The situation would be regarded as counter-trend.
2B - spread (a kind of turn 1-2-3)
During a rising trend, if the price crosses the previous maximum, but not in a position to move forward, and immediately falls below the previous peak, the trend tends to spread. Contact the situation will be valid for the downward trend.Principle 2b-turn operates through a large number of stop orders in the field X. Many traders who bought at the break, would place their stop-order it there, so when prices fall below the blue line, the stop-order and will be struck, giving the acceleration of prices in the opposite direction. If you enter the market in a short position, an explosion of sales can move your position in the green area so quickly and so far that you can place your initial stop-order break-even level. Contact the situation similarly effective for 2B grounds.
Another name for the 2B - "spring." Imagine the blue line on the graph as a gum. The more aftershocks above the blue line, the stronger the potential to turn when a breakthrough will fail. This is the same principle that works with failed and failed triangle breached breached and trend lines. If you bought at the break, then, rather than just placing a stop order to the point X, consider installing a stop-turn. This pattern occurs in the tops and bases consolidations as well as at major turns.
3. Disclaimers prices staying above the domestic bar during an ascending trend, or vice versa, during a top-down.
Inner Bar
Internal bar called the bar, which is entirely within the range of the previous bar, so it has a higher minimum and lower maximum than the bar, located in front of him. The inside bar indicates the time of indecision or consolidation. In less time format that resembles a triangle. Local bars often occur at tops and bases, in the continuation of flags, and at key decision points, such as basic levels of support / resistance and consolidations breakthroughs. They often provide a place of entrance into the market with low-risk, or a logical point of exit. The graph internal bars marked in yellow. As you may notice a yellow bar does not have a higher minimum than the previous bar, as defined above. Some traders use a less stringent definition of domestic bars, allowing the same bars.Warrant of entry: the order, which was called to the position if the market is specified in the warrant price. If the market does not reach the specified price, the warrant is not activated.
Stop order: an order placed in order to limit losses if prices move against the open position.
Limit order: the order, which indicates the price that must be met before a warrant will be activated. For the purposes of "retro-trader's price and the warrant for entry-limit order will be the same. Retro-Trader uses a limit order or a warrant for entry, that is the same for opening a position, but never to close.
Variation: turning point prices. The maximum fluctuation is a maximum of the bar, which is higher than the bars on both sides of it. Minimum price fluctuation is a minimum bar that is below the bars on both sides of it.
Maximum and minimum fluctuations
Fluctuations - this is the price extrema or turning points that are "retro-trader uses to determine the direction of the trend and turn the trend. Ascending trend - a series of higher maximum and minimum fluctuations. Top-down trend - a series of lower maximum and minimum fluctuations.Please note, as in the above 5-minute schedule of the third oscillation up following the previous rules for that "retro-trader" has forced us to take profits and look for an opportunity to trade on the spread at 15 - minute chart. However, the spread has not been confirmed by the subsequent price action, but instead was a higher minimum of (4) and resumed upward trend. 15 - minute schedule filtered this wrong turn and saved us from the opening short position, but instead we came back in a long position and continued to trade on an upward trend. This well illustrates why the "retro-trader" using a 5-minute charts for the exits, and 15 minutes to enter.
Trading range: price area congestion or consolidation between resistance and support from top to bottom. The system of "retro-trader" is not very well when the price is in a narrow range.
Rising bar: price bar with a higher minimum and higher maximum than the previous bar.
Note
. The system works well in the afternoon between 40 items and more. Accordingly, it is not very efficient in the day with a narrow range.
. There is a need to conduct additional tests using different time formats, different values of the initial stop-orders, etc. This is especially true when you use it in new markets and various market instruments.
. For a more dynamic market, you can go to 9-minute and 3-minute periods, or to find other more suitable combination.
Conclusion
The system of "retro-trader has not been fully tested on historical data. Trade rules must be reviewed and possibly changed in the process of further study. The proposed levels of risk can be greatly exceeded in extreme market conditions.
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