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What strategy can be used for such a situation?
paulng

Member Since Aug 13, 2010  43 posts Paul Ng (paulng) Mar 10 2012 at 16:41



Hi everyone,

I'm trying to code a strategy that can be effective in the situation shown in the picture attached. For discussion purpose, let's call it a 'volatile range'. The picture is on a 1-hr chart. At a longer time frame, it will look like a normal range. At a smaller time frame, it will look like a nice trend. Please don't tell me to zoom into a smaller time frame and code a trend strategy, or go to a longer time frame and code a range strategy. I'm trying to solve the situation as illustrated, because it can happen at any time frame.

Any suggestions on how to place a trade? Any strategy to 'out-perform' under such market conditions?

I've tried trend techniques and they end up buying when price is high and shorting when price is low. I also tried reversion techniques (eg, BBands, iEnvelope, RSI, Stoch) and the price action always hits the reasonable SL before turning around.

Many thanks in advance!



Attachments:

"The first rule of forecasting should be that the unforeseen keeps making the future unforeseeable." - David McCasland (January 5,2012, Our Daily Bread)
seravitae

Member Since Feb 08, 2011  5 posts Sebastian Petrik (seravitae) Mar 11 2012 at 11:52
bullish entry when open below center band line and bid/ask/ or close crosses center line, vice versa for bearish entry. SL/TP you may have to play with.

Don't be greedy..
paulng

Member Since Aug 13, 2010  43 posts Paul Ng (paulng) Mar 11 2012 at 13:37
Hi Sebastian,

Thanks for the suggestion. Visually on that picture looking from left to right, it's about 6 wins to 4 losses, at reward/risk slightly greater than 1. Any suggestions from other readers?


"The first rule of forecasting should be that the unforeseen keeps making the future unforeseeable." - David McCasland (January 5,2012, Our Daily Bread)
tradesofgrass

Member Since Sep 30, 2011  8 posts tradesofgrass Apr 04 2012 at 06:34
Enter short when close is greater than previous close for the 6 previous bars.

tradesofgrass

Member Since Sep 30, 2011  8 posts tradesofgrass Apr 04 2012 at 06:49
AND (14,3,3) Stochastic %D > 80 or > 90. This has a 68% win rate over the past 3 years and a profit factor of 2.3

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