Wednesday, 27 July 2011

More Than One Way To Skin A Cat

We have had a lot of volatility in some markets as the U.S. debt debacle continues. There are other ways of trading these types of markets if you have an algo.

If markets are "fast", then I can use a faster form of trading. Same methodology, just a shorter periodicity. I let Flo see through the noise that this type of trading brings with it. I wouldn't dream of trying to enter these trades manually as it's way too fast for me, although I do manage the exits if needed. The DAX is a particularly violent market at the best of times but the last few days have seen it on steroids. This is opportunity knocking!!!!

Below is today's chart on the DAX. It's a 6 tick chart from Interactivebrokers data so it's snapshot data. As you can see, the data works. It's important to test and trade the same type of data, as otherwise the testing is not worth much. I use eSignal and TradeStation data as well and the Flo performs differently using each type of data with the same algo settings. The inputs for Flo have been setup for the particular time of day I was trading - 8am until noon London time. The profit for the morning on the chart is a little over 1250 Euros per contract. In fact I managed some of the exits and the profits were about 25% more. For example, I exited that last long as the market went into overbought. I also exited the previous long as it hit my fav fib, which turned that trade into a profit rather than a loss.

The "wild card" for algo trading is the stop and target settings. I can use a dynamic setting or I can fit the stop and target to the volatility of the market at the time, just be looking at what is going on. As I said, I also manually override (Hybrid Trading) when I see overbought or oversold conditions as well as when a target is not quite hit.

I'll turn Flo on again a little before U.S. RTH with inputs that have been optimised for that trading time zone.


  1. Hi EL,

    You mentioned that you exited a trade when the market was overbought. Do you consider overbought/oversold to be when the SlowCCI is over/under 200/-200?

    Thanks for posting your charts. I learn something new every day.

  2. Anon 17:55, Yes, as long as the context doesn't negate it. But I'm ready to re-enter on the pullback if the trend holds.

  3. Hello EL,

    Could you please say who you use for data for
    MarketDelta if you still use them?

    Thanks for everything.


  4. Of course I use MD. Its great and I use eSignal data.