TradeStation Forum - Intraday Volatility Method. Target $500 profit.

Posted - 02/15/2012 11:49:49

108 Posts

quote:
Originally posted by kevinkdog
Tom -
It is fun to watch futures guys like me flounder and flop around in the stock world. Now I remember how the newbs feel!

Know what you mean Kevindog, same for me, its been a while since messing about with stock scans.

Here are my scan settings which returned 206 symbols today.
Attachment:DATA/20120215101757scan.png 78874 bytes

I then copied the list into Radarscan and sorted on APR for the Tradeable Symbols indicator. You can drag the Recent APR column next to All filters.

Attachment:DATA/20120215114219Radarscan.png 244673 bytes

Can anyone confirm if the Beta indicator in the TS scan is the same as the beta calculation provided by Yahoo ? Doesnt seem likely as Tachyonv explains this is to find symbols not closely matching the index and I dont think there is any reference to the index in the beta indicator.

Tach,

You mentioned doing this process every 60-90 days. So once you have run a scan and have a handfull of symbols in Radarscan showing as TRADABLE do you trade the same few symbols for next few months ?

Tom47

4161 Posts

Posted - 02/15/2012 12:17:49

Now that I'm somewhat more familiar with the scanner, I made an indicator for the daily range using 25 days, my scan returns just 4 symbols: ALXN, NFLX, PRGO, and RRC

Posted - 02/15/2012 12:39:48

247 Posts

quote:
Originally posted by tachyonv
ALXN good entries at 9:30 (Central) around $82.65, now trading at $83.86.
NFLX good entries at 9:30 around $121.70 now trading at $124.09.
PRGO good entries at 9:30 around $94.35, rose to $94.85 around 10:50 am, although now trading back down around $94.46.
RRC good entry at 9:30 at $63.00, rose to $63.55 and thereabouts multiple times, now trading around $63.39.

tachyonv,
Pls confirm that you are entering within the first 5 min bar.
Thanks,
ant___

Posted - 02/15/2012 12:43:12

247 Posts

quote:
Originally posted by ant___
quote:
Originally posted by tachyonv
ALXN good entries at 9:30 (Central) around $82.65, now trading at $83.86.
NFLX good entries at 9:30 around $121.70 now trading at $124.09.
PRGO good entries at 9:30 around $94.35, rose to $94.85 around 10:50 am, although now trading back down around $94.46.
RRC good entry at 9:30 at $63.00, rose to $63.55 and thereabouts multiple times, now trading around $63.39.

tachyonv,
I notice now that you are in Central time, which means that you entered trades at 10:30 Eastern (one hour after market open), true?
thanks,
ant___

Posted - 02/15/2012 12:46:24

247 Posts

quote:
Originally posted by tachyonv
Yes ant, all times I mention in this thread are Central.

apologies, I didn't see the Central Time Zone. Got it now.
ant___

TradingDude

18643 Posts

Posted - 02/15/2012 13:38:57

quote:
Originally posted by tachyonv
Check OPEN. Nice entry at 9:30 today at about $45.00. Traded as high as $47.65, now at $46.73.

Notice that these LONG trades make $$$ when the DOW30 is down. This is the reason for the beta parameter.

You can also Short stocks....

and not rely on just Long entries...

forumhermit

41 Posts

Posted - 02/15/2012 14:36:09

Two trades* today. Two winners.

*Sim trades. Now if I just had sim bills to pay...

Posted - 02/15/2012 15:24:30

3721 Posts

quote:
Originally posted by tachyonv
Off topic but part of my day...three grandsons arrived about 12:30 and have been eating constantly since. Wife and I can barely keep up with supplying them food.

Am absolutely going to HAVE to keep trading to keep them in food for when they visit here each week. Beyond belief how much they each eat. None are even a little chubby - all goes to energy and growing.

Mind boggling to consider how much they will be eating in just five more years. May need to keep a refridgerated truck full of food stationed and running in our driveway, besides our current freezer and fridge and pantry.

Posted - 02/15/2012 22:56:46

2597 Posts

tachyonv -

Can you provide any guidance on the initial stop loss placement?

On the trades you listed today, here's where I would have put them, and why:

AXLN - 82.50 >> low of day - .01 before entry, although that seems really tight
NFLX - 121.08 >> low of day -.01 before entry
PRGO - 94.11 >> low of late day yesterday, double bottom with low of day before the entry
RRC - 62.55 >> low of late yesterday (double bottom of yesterday afternoon)

I'm curious to see what you would have done.

THANKS

Posted - 02/16/2012 06:01:51

108 Posts

To get an idea of .52 target winrate I have written an indicator to plot the percentage winrate based on being an expert trader buying on the close of the lowest low 5min bar (If only I knew this beforehand!) before 10:30(Central), calculating the highest high since the lowest low bar being greater than .52. It also assumes the close of the lowest bar is less than the Open of the day but this can be changed easily to fit your own entry.

Inputs: 
EndTime(1140), 
BarsBack(24); 
 
vars: 
FullProfit(0), 
NumberOfDays(0), 
PercentFullProfit(0), 
LowestBarN(0), 
LowestBarClose(0), 
HighestBarN(0), 
Diff(0); 
 
If BarNumber = 1 then clearprintlog; 
If BarNumber = 1 then NumberOfdays =1; 
If Date <> date[1] then NumberOfdays = NumberOfDays + 1; 
 
If Time = EndTime and lowestfc(close,barsback) < OpenD(0) then begin 
 
LowestBarN = LowestBar(low, BarsBack); 
LowestBarClose = close[LowestBarN]; 
 
HighestBarN = HighestBar(High,LowestBarN); 
Diff = highestfc(High,LowestBarN ) - LowestBarClose { lowestfc(low, BarsBack)}; 
If Diff > .52 then FullProfit = FullProfit + 1; 
if FullProfit >= 1 then PercentFullProfit = 100 / ( NumberOfdays / FullProfit )  ; 
 
end; 
 
plot1( PercentFullProfit,"WinRate"); 
{ 
if Time = EndTime then Print (" date= ", d, " NumberOfdays= ", NumberOfdays, " LowestBarN= ", LowestBarN, " LowestBarLow= " , lowestfc(low, BarsBack), " LowestBarClose= ", LowestBarClose, 
 " HighestBarN= ", HighestBarN, " HighestHigh= ", highestfc(High,LowestBarN ), " Diff= ", Diff, " FullProfit= " , FullProfit , " PercentFullProfit= " , PercentFullProfit , "%" ); 
 }

Its still work in progress but you may find it useful for getting an idea of the winrate.

Unless I have coded it incorrectly I havent as yet found any instruments with a winrate greater than 51% using 100 days of 5min data.

Tach,

Presumably your higher winrate is including trades closed before the .52 target has been hit ?

Would be nice if I can get it to work in a Radarscreen alongside the Tradable Symbols indicator but as it requires 5min data I dont think it can be mixed in the same Radarscreen as the Tradable Symbols indicator which requires Daily data.

Posted - 02/16/2012 07:53:02

108 Posts

quote:
Originally posted by tachyonv
In the real world, split, had only one loss in Jan and it was with a different method, and one loss so far in Feb. Without looking the code, I'd say something wrong with it.

Modified previous post to include this question just as you replied.

Tach,

Presumably your higher winrate is including trades closed before the .52 target has been hit ?

Posted - 02/16/2012 09:10:19

108 Posts

Not sure if anyone is interested in this indicator but i did find an error in the way it calculated the days traded so here is an updated version which also includes inputs so can include closing at endtime.

Inputs: 
EndTime(1140), 
BarsBack(24), 
IncEndtimeClose(0), 
FullTarget(.52), 
LowestBarEntry (close); 
 
vars: 
FullProfit(0), 
PartialProfit(0), 
NumberOfDays(0), 
PercentFullProfit(0), 
LowestBarN(0), 
LowestBarClose(0), 
HighestBarN(0), 
Diff(0); 
 
If BarNumber = 1 then clearprintlog; 
 
If Time = EndTime and lowestfc(close,barsback) < OpenD(0) then begin 
NumberOfdays = NumberOfDays + 1; 
LowestBarN = LowestBar(low, BarsBack); 
LowestBarClose = LowestBarEntry[LowestBarN]; 
 
HighestBarN = HighestBar(High,LowestBarN); 
Diff = highestfc(High,LowestBarN ) - LowestBarClose { lowestfc(low, BarsBack)}; 
If Diff > FullTarget then FullProfit = FullProfit + 1; 
if IncEndtimeClose = 1 then begin 
If Diff < FullTarget and  close[1] > LowestBarClose then PartialProfit = PartialProfit + 1; 
end; 
if FullProfit >= 1 then PercentFullProfit = 100 / ( NumberOfdays / (FullProfit + PartialProfit) )  ; 
 
end; 
 
plot1( PercentFullProfit,"WinRate"); 
{ 
if Time = EndTime and lowestfc(close,barsback) < OpenD(0) then Print (" date= ", d, " NumberOfdays= ", NumberOfdays, 
 " LowestBarN= ", LowestBarN, " LowestBarLow= " , lowestfc(low, BarsBack), " Entry= ", LowestBarClose, 
 " HighestBarN= ", HighestBarN, " HighestHigh= ", highestfc(High,LowestBarN ), " Diff= ", Diff, " FullProfit= " , FullProfit , " PercentFullProfit= " , PercentFullProfit , "%" ); 
}

Made another change to original code to calculate partial profits closing at 1035(Central).

Now Im getting winrates in the 80% area.

Now to find entrys near the lows......

Any help in getting it to work in Radarscreen much appreciated.

Posted - 02/16/2012 09:13:15

108 Posts

Tach,

Can your entry's for this method be above the open of the day ?

Posted - 02/16/2012 10:12:00

3721 Posts

Played RGLD this morning 200 shares entry at 9:50est at $69 out 9:56est $69.52.

fyi -- almost no heat on this trade.

Setup much like tach described on page one except used beta .8 on scan.

Posted - 02/16/2012 10:30:50

2597 Posts

Nice job Hook!

What was the trigger for you (the RSI crossing above 20?)? What kind of entry order did you place - market, limit, stop?

Posted - 02/16/2012 10:40:03

3721 Posts

quote:
Originally posted by kevinkdog
Nice job Hook!

What was the trigger for you (the RSI crossing above 20?)? What kind of entry order did you place - market, limit, stop?

Yes. under Keltner channel, %r up above 20 and green candle and price rising -- limit entry, stop of $1.00 exit $0.52. Used the Matrix with a limit entry with OSO, Exit - Brk 1L/1S.

That said, I have no idea what I am doing. I scalp the ES futures for a living.

Posted - 02/16/2012 10:50:03

247 Posts

quote:
Originally posted by theHook
Played RGLD this morning 200 shares entry at 9:50est at $69 out 9:56est $69.52.

fyi -- almost no heat on this trade.

Setup much like tach described on page one except used beta .8 on scan.

RGLD was found by my Scanner, but Tradeable Symbols rated it a REJECT.

AdmiralF

53 Posts

Posted - 02/16/2012 10:58:34

Been following this thread so I decided to try it out today. I suspect others did also but I had a successful NFLX trade with a buy at $120.63, partial profit at $120.90, and sell at $121.28. Thanks Tachyonv!

AF

Posted - 02/16/2012 11:07:51

2597 Posts

quote:
Originally posted by theHook
quote:
Originally posted by kevinkdog
Nice job Hook!

What was the trigger for you (the RSI crossing above 20?)? What kind of entry order did you place - market, limit, stop?

Yes. under Keltner channel, %r up above 20 and green candle and price rising -- limit entry, stop of $1.00 exit $0.52. Used the Matrix with a limit entry with OSO, Exit - Brk 1L/1S.

That said, I have no idea what I am doing. I scalp the ES futures for a living.

Thanks! I was debating limit or stop entry, to not miss the move.

Posted - 02/16/2012 11:08:17

3721 Posts

ant

what is this Tradeable Symbols? I don't trade stocks so any help is welcomed.

Posted - 02/16/2012 11:10:50

3721 Posts

kevinkdog, for larger shares size it may take a market order, just don't know.

Posted - 02/16/2012 11:25:41

247 Posts

quote:
Originally posted by theHook
kevinkdog, for larger shares size it may take a market order, just don't know.

Tradeable Symbols is an indicator; check previous posts in this thread....or, wait till closing and I'll post a link back to it.
ant___

Posted - 02/16/2012 11:26:40

2597 Posts

Tradable Symbol thread: https://www.tradestation.com/Discussions/Topic.aspx?&Topic_ID=36561

Posted - 02/16/2012 11:31:59

3721 Posts

quote:
Originally posted by kevinkdog
Tradable Symbol thread: https://www.tradestation.com/Discussions/Topic.aspx?&Topic_ID=36561

Thanks, I will look at it. I just used the scan!