The "Magic" is in the Methodology

I had a comment about periodicities yesterday. Here's the comment and my response:

Anonymous13 July 2012 00:20

I must ask. You don't just choose the product; you also change the range bar settings for the product often? How can ther ebe a consistent backtest for this? Frankly, for those of us that have read the blog for some time, it feels like cherry-picking after the fact.

Electronic Local13 July 2012 04:54

Anon 02:20, for the ES it's always 0.75 points (3 ticks) for renkos with wicks or 5 ticks for range bars - they trade similarly and keep the noise out. Having said that, the periodicity is not the "magic". I'm trading as a discretionary trader, identifying the trend of my chart and then trading the pullbacks. I don't post all my trades - I trade a lot and in different markets. What I'm trying to do is show a chart of a good trade or set of trades so you can see how these these trading pictures setup - there are over a thousand of them now in the blog - so you can learn to identify them in real time. It's helped many people to CP and that's my goal - to help people trade better.

My focus is to identify the trend on my one chart and then trade the pullbacks. Everything else is just managing the trade. And if I keep it simple then I can't muck it up too much.


The pic below shows Flo trading 30 second bars on the DAX. Pretty difficult to do all day as a discretionary trader . I have a hard wired close target and Flo just grinds it out. This is the simplest of algos and the closest I'd want to get to HFT.


Tip: If you use a close target you can easily have a very high win rate. Then all you need to do in the algo is manage the losing exits so you lose less on those few losers than you make on your 75% plus winners. It doesn't have to be complicated.