Friday, 11 November 2011

And Here's One We Made In The Workshop

We made a lot of progress in the Workshop so far. We worked Saturday to Tuesday. We had guys from all around the globe, stretching from California through Venezuela, Russia to Australia. A great and diligent group intent on moving their trading to the next level.

We are in the hands on portion of the Workshop. The guys are working to put into practice what they have learned. I added a couple of extra hours for tomorrow, Saturday for Q & A, and we have our final session on Sunday to address any issues that the attendees have discovered during their testing.

On Monday we created an algo to autotrade. We wrote it using the ES as our model for picking the trading pictures we wanted to capture. I then reconfigured that exact algo - same trading logic - to trade my favourite DAX. I decided to break my day into two and below you can see the London morning version (DAX trades differently after about London noon when America wakes up). Today it had three trades: two winners and a loser with an overall green day.

This algo has an expected win rate of about 63%. It's still a work in progress because it's missing a couple of filters, BUT IT IS TRADEABLE. The process of creating an algo, as the attendees discovered, is an iterative one. We create something that works and then improve it. We test and test and retest until we create an algo with the profile we want. We start with the trades we want to capture, how much we want to make, what our risk pain threshold is and use that as our goal in building the algo.


  1. EL, I have been following you for a long time and I think the free information you provide your readers with on a daily basis is great. I know it has helped me a great deal but reading this post really has me wondering how this workshop is worth $5,000? It seems kind of obvious and basic, particularly if you have been following this blog for any length of time. I too have hundreds if not thousands of strategies that show 63% profitability. I also know that if I add more filters and backtest more I may be able to get one of them to 65%. I considered joining the workshop but then decided not to mainly due to the fact that no indicator, book or seminar has been worth any dollar spent so far. I know I would be pissed if I spent another $5,000 to learn how to write an algo like the one you posed above. I know for a fact that your algos have losing days and I think it would be instrumental for you to post those as well. Its clear you are trading standard deviations masked in EMAs, and CCI triggers. Is that all there is to this entire blog?

  2. Hi EL,

    In your posts you often reference the Market Profile. Is knowledge of the MP a requirement for becoming CP using your method of trading?

    Thanks for your charts.

  3. ANON 18:16, What a great question!From the fact that you asked the question, perhaps I didn’t make myself too clear. This Workshop is not about giving indicators. Indicators are a dime a dozen. No indicators is worth $5,000, I agree.

    What the workshop is about is how to create an algo that is robust and useful for making money. It’s the how.

    I’ll give a more detailed reply on Monday as there are many points in your comment that I’d like to clarify for everyone. Creating a robust algo and keeping it robust is not an easy thing.

    Again, thanks for the question.

  4. ANON 23:23, Market Profile is a very useful tool for discretionary traders to provide context. I find it very important. The knowledge I use for MP is its use in this way, not as a timing tool as I don't think its good for that now, nor does Pete Steidlmayer.

  5. Hi EL Can you define "context"?

  6. Anon 20:52, Context is the circumstances surrounding that point on the chart where you are looking to make a decision. Looking at where you are in terms of the EMAs, the range of the day, MP's DVA, POC and all the surrounding circumstances. Eg, a short at VAH compare to a short at VAL is a very different context and you may trade the same picture differently depending on which it is.