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MTT System Discussion - Sep 2011 |
amitsaraf21
White Belt
Joined: 20 Feb 2009
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Post: #16  Posted: Thu Aug 11, 2011 8:00 pm Post subject: Re: Multiple Timeframe Momentum Strategy |
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| SwingTrader wrote: | The following method is based on "Multiple timeframe momentum" ideas by Robert Miner. This particular trading method is a variation of his idea.
The attached chart shows a 15 mins NF chart on the left and a 5 mins NF chart on the right. The idea is to trade in the direction of higher timeframe momentum. The higher timeframe chart has one indicator - STS (5,3,3). The lower timeframe chart has one indicator - CCI(3).
LONG SETUP: in higher timeframe STS must be trending up (the blue line must be above the red line). Once this condition is satisfied, switch to lower timeframe chart and wait for CCI to touch -100. After this once CCI turns up and goes above 0 go LONG. Don't worry about the CCI level after this. IMPORTANT CONDITION : Go long only if price is trading above the low of bar on 15 mins chart where STS gave bullish crossover. If price is below the low, ignore the trade.
SHORT SETUP : in higher timeframe STS must be trending down (the blue line must be below the red line). Once this condition is satisfied, switch to lower timeframe chart and wait for CCI to touch +100. After this once CCI turns down and goes below 0 go SHORT. Don't worry about the CCI level after this. IMPORTANT CONDITION : Go short only if price is trading below the high of bar on 15 mins chart where STS gave bearish crossover. If price is above the high, ignore the trade.
ADVANCED SIGNALS : Plot additional indicator on 15 mins chart - STS (13,5,3) - this is to watch for short-term & long-term price cycles turning at the same time which would indicate probable reversals. Let me explain it more....STS (5,3,3) tracks the short-term price cycle and STS (13,5,3) tracks the slightly longer price cycle. When both these indicators go overbought (>= 70 or very close to it) or oversold (<= 30 or very close to it) then it probably is time for a reversal. One can, at this point, switch to 5 mins chart and wait for CCI to reverse above/below zero and go long/short as per the signal. Example: If both STS are oversold then wait for CCI to turn up from -100 levels and go above zero, at this point go long in anticipation of a reversal....and vice versa. The reversal signal is stronger if price is turning from an iCharts level (especially the key bands - bull-r1 / bear-s1).
NOTE: The above advanced signal idea will, of course, not work everytime. The idea is to just catch as many good signals as possible.
The advanced signals are for experienced users only and should be avoided by beginners. Just taking standard long & short signals given above is enough. It just has to be done consistently following the rules given. Even though reversals are not caught, high probability trades are taken using the standard signals. For reversals (advanced signals) anticipation is necessary which requires some experience.
INITIAL STOP LOSS : For longs, on 15 mins chart, 2 pts below the low of the bar where STS crossed over to bullish. For shorts, on 15 mins chart, 2 pts above the high of the bar where STS crossed over the bearish.
TRAILING STOP LOSS : Best way is to use "Live Charts" and plot EMA of LOW (8 period) for trailing SL for longs. EMA of HIGH (8 period) for trailing SL for shorts.
*** STS was changed from 8,3,3 to 5,3,3 to keep a significant difference between the two STS. If you plot both 8,3,3 & 5,3,3 on 15 mins chart and see - the difference is not much. It does not matter which one you use for trend identification on higher timeframe. Stick to 5,3,3 as per above rules. ***
I will be posting examples of these shortly.... |
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vinay28
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Joined: 24 Dec 2010
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| Post: #17 Posted: Thu Aug 11, 2011 8:32 pm Post subject: |
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Thank you ST for your reply. I have a fundamental doubt as below
The various values of Bull, Bear, R1 to R4, S1 to S4, etc. etc. must have been calculated by some software. If so, the input data for it must be Open, high, low values etc. and perhaps time passed. In such a case what happens when input data is wrong e.g. yesterday, open value was 5223, which was never actually seen. Such high variation are seen probably once a week. The same thing happened today, although to lesser degree, e.g. low was never 5122 but 5128 or so.
Wouldn't the software iteself then give wrong signals for "buy" & "sell" based on various values mentioned above??
Your valued views are requested.
Vinay |
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SwingTrader
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Joined: 11 Aug 2006
Posts: 2903
Location: Hyderabad, India
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| Post: #18 Posted: Thu Aug 11, 2011 10:06 pm Post subject: |
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| vinay28 wrote: | Thank you ST for your reply. I have a fundamental doubt as below
The various values of Bull, Bear, R1 to R4, S1 to S4, etc. etc. must have been calculated by some software. If so, the input data for it must be Open, high, low values etc. and perhaps time passed. In such a case what happens when input data is wrong e.g. yesterday, open value was 5223, which was never actually seen. Such high variation are seen probably once a week. The same thing happened today, although to lesser degree, e.g. low was never 5122 but 5128 or so.
Wouldn't the software iteself then give wrong signals for "buy" & "sell" based on various values mentioned above??
Your valued views are requested.
Vinay |
iCharts levels are computed using previous day's intraday moves. They do not depend on precise open/high/low/close values. Be assured that we take lot of care to ensure that icharts levels are computed properly everyday.
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Srikanth Kurdukar
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smartcancerian
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Joined: 07 Apr 2010
Posts: 542
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| Post: #19 Posted: Fri Aug 12, 2011 8:32 am Post subject: |
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| SwingTrader wrote: | | smartcancerian wrote: | | ST sir, in the chart attached, when buy condition met in 15tf, the next candle was trading above the low of trigger candle, in 5 tf cci must be above 0, so we will manage to avoid that trade.. |
No....after we the bullish condition (STS blue line crossing above red line) is met in 15 mins tf, we wait for CCI on 5 mins to go down and hit -100 and then go back up above 0 and at that point if price is above the low of the candle on 15 mins where we got the bullish signal we are fine and can take the trade.
On 15 mins we got the STS bullish crossover on 11:15 bar, so we can go long after this. On 5 mins chart CCI dropped to -100 at 11:50 bar and then CCI went above 0 at the 12:00 bar. The 12:00 bar close (5160.85) was above the 11:15 15 mins bar low of 5137.95, so going long was fine.
I hope I have cleared your doubt? |
yes sir, doubts cleared..i applied it very minutely on nf & silver chart..thanx..one que. also..shouldnot we avoid trade for first 1 hr..because of gap openings & all.so that the stoch in 15tf becomes normal after 4-5 begining candles..your views??? |
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SwingTrader
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| Post: #20 Posted: Fri Aug 12, 2011 8:50 am Post subject: |
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| smartcancerian wrote: |
yes sir, doubts cleared..i applied it very minutely on nf & silver chart..thanx..one que. also..shouldnot we avoid trade for first 1 hr..because of gap openings & all.so that the stoch in 15tf becomes normal after 4-5 begining candles..your views??? |
Yes, I agree. If there is a big gap up/down then it is best to ignore the signals in the first hour or so.
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Srikanth Kurdukar
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guru.july
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Joined: 13 Jul 2010
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| Post: #21 Posted: Fri Aug 12, 2011 9:57 am Post subject: |
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| Bullish condition (STS blue line crossing above red line) is met on 15 mins tf.. |
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SwingTrader
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| Post: #22 Posted: Fri Aug 12, 2011 10:19 am Post subject: |
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| guru.july wrote: | | Bullish condition (STS blue line crossing above red line) is met on 15 mins tf.. |
STS gave bullish indication on the close of 1st 15 mins bar itself. The low of this bar was 5150. So a long is valid above this level only, 2 pts below this level is also the SL for any long initiated on 5 mins. On 5 mins chart CCI hit -100 on the 9:30 bar, it then went above 0 on 9:45 bar triggering the long trade. The trade entry would have been 5152.70 approx (open of next bar following the long trigger). This trade got stopped out on close of 10:10 bar below the SL 5148 (5150 minus 2 pts).
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Srikanth Kurdukar
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smartcancerian
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| Post: #23 Posted: Fri Aug 12, 2011 10:32 am Post subject: |
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I took the trade to understand that..  |
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guru.july
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| Post: #24 Posted: Fri Aug 12, 2011 10:36 am Post subject: |
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| smartcancerian wrote: | | I took the trade to understand that.. |
Me too  |
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SwingTrader
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| Post: #25 Posted: Fri Aug 12, 2011 12:44 pm Post subject: |
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I am sorry to say this but the system sucked big time today!!! It was nowhere near giving a signal when it should have given a signal. The signals are too late.
Please bear with me while I rework the strategy, I promise to give you a more robust system but this might take a while. You are free to follow this system as it gets built here as I keep posting updates on a daily basis. But DO NOT TRADE THE SIGNALS until I post a final draft of the system rules.
I will be completely modifying the ideas keeping only the multiple timeframe idea intact. The indicators itself will change as I try to make sure that we are as inline with the main trend as possible on the higher timeframe and the entries on lower timeframe are optimal and not too late.
You are free to follow my regular posts here or you can check once daily until I post the final draft of the rules once I finish the testing. If I have wasted anyone's time here, I am extremely sorry.
More soon....
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Srikanth Kurdukar
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guru.july
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| Post: #26 Posted: Fri Aug 12, 2011 1:12 pm Post subject: |
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| SwingTrader wrote: | I am sorry to say this but the system sucked big time today!!! It was nowhere near giving a signal when it should have given a signal. The signals are too late.
Please bear with me while I rework the strategy, I promise to give you a more robust system but this might take a while. You are free to follow this system as it gets built here as I keep posting updates on a daily basis. But DO NOT TRADE THE SIGNALS until I post a final draft of the system rules.
I will be completely modifying the ideas keeping only the multiple timeframe idea intact. The indicators itself will change as I try to make sure that we are as inline with the main trend as possible on the higher timeframe and the entries on lower timeframe are optimal and not too late.
You are free to follow my regular posts here or you can check once daily until I post the final draft of the rules once I finish the testing. If I have wasted anyone's time here, I am extremely sorry.
More soon.... |
Hi ST,
I think we can just use STS(8,3,4) and RSI(14) (No CCI) with ichart levels on 5tf to trade & 15tf for confirmation. I tried it this week.. It worked fine.. What do you say? |
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SwingTrader
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| Post: #27 Posted: Fri Aug 12, 2011 8:55 pm Post subject: |
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| guru.july wrote: |
Hi ST,
I think we can just use STS(8,3,4) and RSI(14) (No CCI) with ichart levels on 5tf to trade & 15tf for confirmation. I tried it this week.. It worked fine.. What do you say? |
Thanks. I will check. For single timeframes your suggestion could be fine (I have not checked), even 2-3 moving averages and using CCI for trading pullbacks in the direction of trend (indicated by moving averages will work). The idea of posting multiple timeframe system was to get a early signal of a short-term trend change, unfortunately, the trend change indicates are quite late in most cases. I do have certain variations to get early indications, I will post those after testing them well.
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Srikanth Kurdukar
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SwingTrader
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| Post: #28 Posted: Fri Aug 12, 2011 8:59 pm Post subject: |
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An iCharts user has suggested (via private message) using the standard STS setting 15,3,5 for higher timeframe. I think it is better than the faster one I was suggesting but still when trading ranges are small the trend change indications are getting delayed resulting in lots of missed trades. For bigger trends it will work fine, I guess many other things will work fine for bigger trends, there is no need for anything complicated. For bigger trends just moving averages on a single timeframe are enough For those who want to look into this, please try this good suggestion....use STS 15,3,5 on higher timeframe. I think it is better.
Anyway, I will try and post tested setups that give early probable trend change indications on higher timeframe. Lower timeframe is not complicated as we only need to identify pullbacks to enter trades in direction of trend that is developing.
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Srikanth Kurdukar
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SwingTrader
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| Post: #29 Posted: Fri Aug 19, 2011 11:33 am Post subject: |
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These last few days I have done quite a bit of studying into why the MTM system that I posted misses out on some clear moves/trends. The reason for this is the STS indicator I am using for identifying the momentum cycle. The oscillator isolates only a particular momentum cycle and leaves out other cycles as it looks at the momentum and not the price trend itself. This is the reason why many times STS is heading up and price is heading down. This happens from time to time (and would happen with any oscillator).
Now the issue is this...this setup still works fine and gives decent profits but the major issue for me is that it misses out on trades and the missed trades can hurt if they are big ones like the one missed on 12.08.2011 when I asked that one stop using this strategy. I am testing various ways to see how to minimize the missed trades.
Until then it is still fine to use this strategy, just keep in mind that it will not indicate few trades that are clearly good ones. This is one major issue that I am trying to fix.
More soon....
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Srikanth Kurdukar
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sherbaaz
Yellow Belt
Joined: 27 May 2009
Posts: 543
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| Post: #30 Posted: Fri Aug 19, 2011 3:15 pm Post subject: |
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| SwingTrader wrote: | These last few days I have done quite a bit of studying into why the MTM system that I posted misses out on some clear moves/trends. The reason for this is the STS indicator I am using for identifying the momentum cycle. The oscillator isolates only a particular momentum cycle and leaves out other cycles as it looks at the momentum and not the price trend itself. This is the reason why many times STS is heading up and price is heading down. This happens from time to time (and would happen with any oscillator).
Now the issue is this...this setup still works fine and gives decent profits but the major issue for me is that it misses out on trades and the missed trades can hurt if they are big ones like the one missed on 12.08.2011 when I asked that one stop using this strategy. I am testing various ways to see how to minimize the missed trades.
Until then it is still fine to use this strategy, just keep in mind that it will not indicate few trades that are clearly good ones. This is one major issue that I am trying to fix.
More soon.... |
Hi ST,
As per original system which uses 2 different STS one for the current time frame and one higher time frame (4 to 5 times). If u can back test the same with both the STS it may generate much better and early trade signals. I have not used it much on intra charts but on eod it works well. The issue is to have both the STS on same chart. Even if we multiply the STS 4 or 5 times it distort the slope of STS which (for me personally) dont give the clear picture.
Regards,
Sherbaaz |
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