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Showing posts sorted by relevance for query ema bouncer. Sort by date Show all posts
Showing posts sorted by relevance for query ema bouncer. Sort by date Show all posts

Tuesday, February 3, 2015

EMA Setup for Ninjatrader

WE have discussed several times in the past the EMA Setup for Ninjatrader, as we can see on the links at the end of this article.

Today we are reviewing again the EMA, and its counterpart, the Bouncer.


The EMA Setup is one of the easiest to learn and trade ; it only uses an EMA ( Exponential Moving Average ) and a Fixed Envelope.

The EMA is included on all Platforms, including Ninjatrader.

The Fixed envelope are 2 lines located at a fixed distance from the EMA, one above and the other below.

Most of the Platforms include it. And on Ninjatrader we can get a free version here TIS_EMA_Envelope_Free

On the folowing examples the NEW custom indicator TIS_EMA_V6 will be used

On this example chart we can see an EMA Setup with Neutral Offset.
The EMA is not shown, only the Envelope around it (gray light lines).
When the price touches the Upper Envelope, the trend is Up and the bars are painted in blue.

The Entry Price is at EMA + Offset.

The Blue Points are the Entries, which are located over the EMA because offset is null.

The arrows show the moment where there is an Entry ( compatible with Markers System )

EMA con Offset Neutro

On the next Chart we can see an example with Positive Offset

The Entry Price, shown by the blue dots are over the EMA, at a distance in Ticks equal to Offset.
The type of Order to enter the Market on this Setup is Limit ;

As soon we get a blue dot, we must place a Buy Limit Order over the Blue Dot, and we must update the Entry Price Order each time a blue dot is placed at a different Price.

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With the same logic, we can also use a negative offset, being the Entry Price then, below the EMA

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As we commented at the start of the post, inverting the logic we have a new Setup that we have already commented in the past ; The Bouncer.

The new version 6 of the Indicator TIS_EMA_V6 has an input parameter to invert the logic as shown on the following picture :

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Bouncer Examples :

Using a positive offset we can trade a return of the Market to the EMA after an enough deviation to touch the Envelope :

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Using a negative or null offset on this Setup is useful to trades EMAs with bad response to bounces, producing breaks through the EMA most of the times.

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As explained on previous posts, if we calculate the performance of trading bounces over an EMA and create a chart of the PnL against the period, we get a Performance Profile Chart (using always the same fixed target and stop)

Usually this profile is composed by a well defined series of peaks and lows.

If those peaks are positive, then those points represent the periods of the EMA to use on profitable EMA Setups

If the Lows are negative, then those points represent the periods of the EMA to use on the Bouncer Setup.


Some times, all the peaks and lows are on the positive side. On those cases there are no successful Bouncer Setups.

If all the peaks and lows are on the negative side, then there is no profitable EMA Setup.

Another point to take into account are the Commissions, because the number of trades depends on the period of the moving average to trade. If possible, we should include the commissions in the report before generating the chart.

More Related info on the Following Links :





Best Regards,
Pablo Maglio

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Skype Skype id : pmaglio
      

Saturday, April 13, 2013

PM_EMA_Bouncer Strategy for Ninjatrader Update

EMA Bouncer Strategy for Ninjatrader - Version 2

We have added a New Configuration to the Bouncer Strategy to allow for New Possible Setups.
The classic use was waiting for price to reach an envelope around a moving Average to be Trade Ready.
Then the trade was in direction to the EMA, and the entry was a Stop order placed somewhere between the trigger envelope and the EMA.
On this new version We are including a possible entry at a bigger envelope than the Entry


On this configuration, the entry order must be limit type.
After a Fill, the strategy waits for a reset before taking new entries.
On these example pictures, the green line is the trigger line.
The yellow line is the entry line.
If the market is impulsing, on a free fall or upside move, after having a loss, the strategy will wait for a reset as shown on the following picture :

This configuration can be used together with the classic style of stop entry above the trigger line :

On this example we can see the firs Long was a limit entry at the yellow line, the second long is a buy stop at the entry envelope

A short YouTube video showing both strategies trading together : http://www.youtube.com/watch?v=7n3kw_U5aAc

Please post any question or suggestions,
Regards,
Pablo
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Saturday, February 1, 2014

Automated Strategies for Ninjatrader

Hello Traders !

On this article we are going to review all our trade setups that have a Strategy for Ninjatrader fully automated and can be back tested, optimized and traded live.

This is a list of all those ordered in function of its low complexity ;
  1. EMA ( it trades an Exponential Moving Average ; Read More )
  2. Bouncer ( it is an anti EMA ; as it trades against it )
  3. Vwap ( it trades the Volume Weighted Average Price )
  4. SRS ( Custom Setup ; Read More )
  5. ATR_BarColor
  6. Impulse
  7. High Low Crossover

On this setup we only need to optimize a pair of parameters ;
  • The period of a Moving Average
  • The size of an envelope
The size of the envelope is slightly lower than the stop we are planning to use, so we can focus on finding the Period

This is an example using the Optimizer to scan Moving Averages on ES, looking for a 1.5 points of target against 2 points of Stop :


Depending on the level of the commisions, then we have a few areas with good moving averages to trade with.

This is an example of the equity curve using an EMA(166) :


Now we can optimize all other settings trying to obtain a better shaped equity curve ;


This systems trades agains the PM_EMA, so we can use the same PnL vs Period Chart, and trade the worst performing moving averages. It works better on non trending, but more volatile markets like Crude Oil or Gold

3) PM_VWAP
Similar logic used by PM_EMA, but replacing the moving average by the vwap.
Something interesting about the vwap is that it produces the same result on any timeframe, so this setup is almost not related to time frame. The only impact changing the time frame is the possibility of taking more trades over same entry.

This is a system that uses an envelope, a moving average and a donchian channel to define the trend and entry logic.
It can be configured with or against the trend. (Read More)

This is an optimized report example on CL using a Range 9 Bar Chart taking into account last 2 months ( Dec 2013 and January 2014 )


5)PM_ATR_BarColor

UNDER CONSTRUCTION

Best Regards,
Pablo

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