Sunday, August 14, 2011

Meantrades with Pivot Farm levels

Did a full year backtest today and found some decent results. Have not done a head to head analysis with the meantrade orb setup yet but I am certain that with the pivotfarm levels I am trading almost twice as many times. That might be good if the market is volatile but when its trending that will surely create some deep drawdowns.

The results came in as follows for the EUR/USD:

August 2010 +482
October 2010 -38
November 2010 +1027!! (I checked it 3 times, couldn't believe it)
December 2010 +398
January 2011 -418
February 2011 +220
March 2011 -202
April 2011 +500
May 2011 +500
June 2011 +450
July 2011  +456

So the average pip total for EURUSD over the past 12 months is 306.8 pips. if anyone has a system trading a single currency with a higher monthly average, please let me know. I think this is the most robust trading incarnation of meantrades yet.

Sunday, August 7, 2011

Interesting Trade Setup using Daily CCI Signals

Just running through old ideas I used to trade on and found something interesting. It employs Daily timeframe signals and relatively fixed trade levels (which is quite useful as everyone knows price has a memory which needs to be respected).

The primary signal is when the CCI on the daily puts in a reversal outside the 100+/- level and the price has pierced the keltner bands. Draw a fibonacci based on that days high and low and trade these levels on the CRB chart (I usually use 20crb by default as it gives me a reasonable risk reward without having the babysit my charts). If price breaks the high or low of the day which created the signal we still trade the extensions from those fibonacci's but instead of looking for reversals we will be trading with the trend. This solves one of the worst problems in my Meantrade systems, fighting the trend. Here are two setups from this year.

We can see the CCI dipped below the 100 level creating a sell signal on 4/5. We then take the fibonacci levels created on that day to the next day of trading which is 4/6. We get a nice short for the clean winner. But the days following the market reverses back long and we don't see any short signals on the CRB chart. At this point we trade the extensions looking for longs. Until the next Daily CCI reversal signal at the end of trading on 4/13 where we are looking for shorts again.

Here is the most recent CCI signal on the close of 7/27. CCI has been short all last week.

The results were fairly good, a few homerun trades coupled with the expected volatility in the current market conditions. With tight stops 182. With mean reversion stops a really tasty 307 in 8 days. Definitely going to be following this for the foreseeable future. Very clean rule based trades which can be automated.