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Tuesday, February 19, 2013

Small Range Strategy for Ninjatrader

The Small Range Indicator for Ninjatrader has been finally Automated !

If you like the Small Range Setup, one of the most easy to configure and follow, with the best results, then you will love this automated version :
The PM_Small_Range_Trader strategy will trade the Small Range Setup Signals ( as explained on previous post of this blog ) with the following enhancements :

  • We can specify 3 different Time Windows where to place orders, and also define if positions must be held outside those windows
  • When we have a signal, the system will place a stop entry order and keep adjusting its value until we get a fill or the signal is gone.
  • When the signal is gone without a fill, We can also define the number of bars to keep the order alive. Sometimes, on manual trading I leave the order by just one bar until I cancel it.
Now we can backtest and get the optimal results; on Gold and Crude Oil I found that using 1 bar ( instead of zero ) is the best option.

On the following picture we can see both ; the indicator and the strategy on a trade setup where the usual cancel at next gray bar is outperformed by the strategy by waiting one extra bar before cancelling the order :


This video shows how I manual place orders on 4 different markets ( Crude Oil, Gold, Euro and British Pound ) using the TIS_Small_Range Indicator :


....and on this new video, I show how to auto trade the same 4 Instruments :



Please post any question or comments here !

Good Trading !
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Pablo Maglio The Indicator Store 
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Tuesday, February 12, 2013

Internal Fibs Indicator for Ninjatrader

The Internal Fibs Ratios provide very important information that we can use to define New Trade Setups

Today we are going to cover the definitions of Internal Fibs and explain two very easy to follow setups :

Definition : Given a Time Interval ( it may be a number of bars into the past, or today's price action ), we take the High, the Low, and then we calculate a percentage inside that range.

If for example we are using the 78.6 % fib ratio, we have 2 levels :
  • The 78.6% of the High
  • The 78.6% of the Low ( or 100-78.6 = 21.4% of the High)
The most useful values to follow are the 50% ( the middle of the range ) and the 78.8%

One setup we can try is the 50-Vwap Trade ;
It consists on looking at the confluence of the Vwap ( Volume Weighted Price Average ) and the 50% retracement of today's Range.

This is a very easy to follow setup, we just need a fib tool and a Vwap.

If we want to have a dedicated indicator to keep adjusted the high and low of the session and plot the real time 50%, we can use the indicator TIS_Int_Fibs

Another setup, called ITS and designed to be used on 1 Min Index Futures ( like ES ) is as follows :
We plot the 78.6% Internal Fib and count bars above the upper line or below the lower line.
When we have N bars in row outside the fib line, we have a signal ; if we are above the upper fib line, we have a long signal. If we are below the lower fib line we have a short signal.
The Entry ? ....I use a previous low pivot, for that purpose I plot a Donchian channel to follow the last pivot....but each one can use its own ideas...

On this picture we can see an example of the ITS Trade Setup on YM ( Dow Jones )


On this example we have the trade setup detection when the count of bars below the lower 786 reaches 8. Then on the zoomed portion of the screen we can see how to trade the setup shorting a previous low pivot.

Please post your questions, ideas or suggestions here
Best wishes !
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Sunday, February 3, 2013

New Setup using TIS_ATR_BarColor Indicator for NinjaTrader

Using the Multitrail Indicator for Ninjatrader logic to define a New Trade Setup ; we present the TIS_ATR_BarColor

Some time ago we discussed how to use the TIS_Multitrail Indicator and today We are going to describe how to use it to define a New Trade Setup.
As we know, the Multitrail uses ATR and HMA ( Hull Moving Average ) to have the best price following effect and proportional to the current Volatility. This give us the best tool for trailing stops....
...but how can we use it to define a Trade Setup ?

For that purpose we just need 2 events :
  • Multitrail level has been broken ( if we were trailing a runner we are flat now )
  • If going to reverse, we require a pivot to be formed first
Look at the following example :


Bars are Red and Multitrail is on Downside Mode until price breaks above it, taking out the trailing stop ( if we were short ) and generating a possible Entry on this New Setup :
  • To trade a continuation we only need to break the multitrail upside blue dots.
  • To trade a reversal we need to create a pivot as confirmation and then go long at its breakout.

While the market doesn't breaks the pivot or the multitrail, the setup is on neutral state and the Indicator paint the bars in Yellow.

On the following example we can see a Continuation Entry :


On this example, the trend is UP, mutlitrail line is broken and a pivot is generated ( gray line ) but the pivot is never broken, so there is no short trade.
Market continues going up and the multitrail line is broken to the upside, so we have a Long Continuation Entry.

This new TIS_ATR_BarColor Indicator not only follows the TIS_Multitrail lines and the described Setup ( with all the Bar Coloring, Pivot detecting, and entry breakout entries ) but also has an acceleration Input parameter that avoids to keep an horizontal movement ( not moving the trail stop ) when the market is starting to reverse. Leaving this input parameter to zero has same effect than the classic Mutilitrail.
On the following chart we can see the effect of using the "acceleration" setting :


As we see, we can use TIS_ATR_BarColor for Trailing purposes with same functionality as TIS_MultiTrail adding the acceleration enhancement, AND we can also add a New Trade Setup to our ToolBox.

Hope this info be useful for your trading.
Please post any question or send me an email

Regards,

logo Pablo Maglio The Indicator Store 
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Wednesday, January 30, 2013

Impulse Trades of the Week

These are the Last Trades of the Impulse Setup, as we explained the last week

British Pound Futures ( 6B ) and Forex ( GBPUSD)


The chart has overlapped the entry markers of the Indicator TIS_Impulse_Indicator and the entries executed by the PM_Impulse Strategy.

As we see there is only 1 entry missed due the time filter used on the strategy.

Euro Futures ( 6E ) and Forex ( EURUSD)


This chart shows the same setup executed on Euro Futures ( or EUR-USD Currency Pair on Forex ).
We are missing one trade again, because the start time adjustment of the strategy.

As we already explained, the Impulse Setup Logic is SIMPLE;

When a Fast Band is above a Small Band, We are in Long mode.
When a Fast Band is below Small Band, We are in Short mode.

..on old versions ( PM_Impulse_v2), Fast Band was just a moving average. This behavior can be emulated on this last version using a null width.

Once We are in Long/Short Mode, the system Entry on all prior versions was related to the Slow Band.
On this new release, we can take more aggressive entries by referring the Entry to a different Band. I suggest using the Fast, but any Period can be selected.
On the following example, we are using the same Impulse Setup on Euro but changing the Entry to the Fast Band :


We are proud to announce that the new version of the Impulse Strategy ; PM_Impulse_V6 is ready and will be delivered to all current owners of PM_Impulse.
It can trade all setups covered by prior versions and all combinations available on the TIS_Impulse Indicator, so the combinations of different setups is huge.
Impulse V6 has the Donchian Channel Filter introduced on V5, Trend Filter, AutoBreakeven , and Trailing Stop using the TIS_Multitrail Indicator.


Input Parameters of PM_Impulse_V6


Please post any questions or suggestions or send me an email.
Regards,
logo Pablo Maglio The Indicator Store 
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Monday, January 28, 2013

TIS_MultiTrail Indicator for Ninjatrader

TIS_MultiTrail Indicator for NinjaTrader
... a Tool to Manage Trailing Stops

Once we have cashed out the First Target of our trade, one of the most difficult tasks to achieve is optimizing the performance of our runners.
I call runners to those positions without a defined target, where we keep moving the stop trying to stay in the market the most part of the trend.
Placing our stop a few ticks from the previous bar extreme is one of the most usual methods, but not the best ; we usually get stopped out at a small retracement, and then the market keeps going on the same direction...without us !
The Multitrail indicator uses a combination of ATR ( Average True Range ) and HMA ( Hull Moving Average ) to get the fastest move according to the current volatility :

Click on the Chart to Zoom














If you look at the chart with detail, you will see that there are several instances where price touches the line, without changing the trend ; this is because the indicator requires a breach to consider a reversal.
We can change the settings making  the trailing more aggressive, so if we have multiple runners, we can have different settings for each one, as on the following example :

Click on Chart to Zoom














This trailing stop method is used on the PM_Impulse Strategy
You can find this Indicator for NinjaTrader on the Following Link

If you have any question please post your comments here or send me an email.

Good Trading !

logo Pablo Maglio The Indicator Store 
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Saturday, January 19, 2013

PM_EMA Strategy for NinjaTrader - Setup Review

Hello everyone !
It has been a long time since the last post we made about this setup, so we are going to explain it to the maximum detail and show how to trade it with its TIS_EMA_Indicator and the Strategy PM_EMA_Trader.


This is a Trend Following Setup, so it works better with trending Markets.
It can be optimized for Impulsive Markets, but it will not perform in its best way. There are other Setups focused to Impulsive Markets ( See Impulse Setup ).

In terms of simplicity and easy to use this is one of the most easy and simple setups to follow and we only need to focus on 2 ( two ) Indicators :

  • An Exponential Moving Average ( EMA )
  • An Envelope ( Fixed number of ticks above and below the EMA )

The Exponential Moving Average (EMA) defines the trend and also is the entry ;
...when price is above the EMA, we want to go Long at its price
...when price is below the EMA, we want to go Short at its price

The logic is that the price will bounce near the moving average, several times, until the trend is over.... ( more about this later...)

Now we need to define when we are trade ready, and this is where we use the envelope.
While price is inside the envelope, we can consider the market is in sideways mode. So, no signals, no trades...

When price touches the upper band of the envelope, the setup changes to BUY Mode.
When price touches the lower band of the envelope, the setup changes to SELL Mode.

Some examples on the following charts :


This example starts with bars inside the envelope, so the setup is in neutral mode.
When bar touches upper band, the Buy Mode Start and we start looking for an entry at the moving average










Similar example for Short Signal :

On this example price start from inside the envelope ( bars are gray ) until the low of one bar touches the lower envelope and the Setup switches to Sell Mode.
At this point we start looking to short the moving average.
We get several entries ; each time price touches the lower band the bars turn red and the setup sets to Sell mode again.





What happens when the trend is over ...?

Lets look at the following example ;

We can see on the last Short of this chart, that price continued going against the trade touching the upside band triggering the Buy Mode.
If our stop is big enough to survive this move, when the price comes back to allow the long entry we can unload the short entry at a minimal loss.
This behavior is very frequent on  trending markets.





There are several ways to trade this setup, we can use a small stop, slightly lower than the envelope size, so we have a standard size loser at the end of the trend. The advantage is that those losers will be always equal and small.
Or we can use a big stop, usually twice the size of the envelope, resulting in a final average loser small but with some big losers.

Detail of the reversal procedure :


On these example charts we are using the Indicator for Ninjatrader TIS_EMA_Trader_Indicator with which we can indicate the period of the moving average and the size of the envelope and it will paint bars according to the trade setup.

With this trade setup automated, like the PM_EMA_Trader Strategy, we can 


  • Perform a Scan of all moving averages to find the bests to use and worsts to avoid



  • Optimize Targets, Stops and Envelope Sizes
  • Research Best Times and Days of Week to trade
  • AutoTrade the Setup !
If you have any question about this setup just let me know or post your opinions here !

Regards,

logo    Pablo Maglio The Indicator Store 
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