3674 replies to this topic

[delta66]

yesterday late afternoon long @44700..closed 6contracts for 125p@44825/2 still open with tight stops thanks again IG!

[HDB]

I did read the rules. The rules says SMA. Which is not on my system. I only Have MA & EMA

queation has been asked before and answered on this thread!!

 

Sma is same as ma for IG!!

[mx125]

read the rules...

I did read the rules. The rules says SMA. Which is not on my system. I only Have MA & EMA

[Bossie940]

Morning gents, what is the CCI trading system you guys are using

Bossie

[HDB]

Good Morning Everyone

 

I am doubting myself now. Do we use Moving Average 3,10 & 34 or do we use Exponential Moving Average 3,10 & 34? 

read the rules...

[HDB]

short 2 contracts@ 44790

[mx125]

Good Morning Everyone

 

I am doubting myself now. Do we use Moving Average 3,10 & 34 or do we use Exponential Moving Average 3,10 & 34? 

[HDB]

I find that on 27th two shares signalled (you would have entered today - 28th).

Long OML @ 35.58

Long TON @ 125.00

Thanks Aragorn...

 

And here is the chart for OLM with arrows for entries, short arrows for above  34ema and long arrows below 34ema..

 

An excellent chart that shows how system works... For profit to close the tradde i will use the stochs signals..For longs, close when stochs starts turning downwards from  high and shorts to close when stochs start to turn upwards from low!!

Attached Files

•  olm.jpg   118.94KB   15 downloads

[Aragorn]

 

I really appreciate your inputs as it gets me thinking, more honest and spotting more secrets too....and i would really appreciate if you could daily post the cfd shares that meet the system requirements so that i can analyse the chart and see if we can fix the system better!!

 

I find that on 27th two shares signalled (you would have entered today - 28th).

Long OML @ 35.58

Long TON @ 125.00

[Aragorn]

Thanks for the detailed feedback HDB.

Based on this and a few of my own conditions I have recalculated AGL for the past year per details below. Total Profit for the year = 37.64%

Criteria used -

CCI set at 25 periods

EMA set at 34 periods

I have ignored the 204 SMA for the purpose of this exercise (doesn't really affect the computation)

Buy Condition - CCI crosses above 0, Difference between CCI and Previous CCI > 20, Close is above EMA 34.

Sell Condition - CCI crosses below 0, Difference between CCI and Previous CCO > 20, Close is below EMA 34.

Exit Take Profit - 14%

Exit Fixed Stop - 6%

Where a Buy Condition is signalled and you are currently in a Sell trade, exit the trade and go in the opposite direction, likewise the opposite for a Sell Condition.

 

Now to run it against a host of other shares to see the results. Any particular shares you'd like me to use?

 

Date       Action              Price    P/L %  Trigger
2013/06/12 Short               167.01   -      ConditionSell
2013/06/25 Exit                141.00   15.57  ProfitTarget
2013/08/29 Short               133.69   -      ConditionSell
2013/08/30 Exit Short and Long 140.00   -4.72  ConditionBuy
2013/09/11 Exit Long and Short 134.45   -1.94  ConditionSell
2013/10/14 Exit Short and Long 133.75   0.27   ConditionBuy
2013/10/22 Exit                152.48   7.00   ProfitTarget
2013/11/19 Short               149.45    -     ConditionSell
2013/12/03 Exit                128.53   14.00  ProfitTarget
2014/01/13 Long                130.15    -     ConditionBuy
2014/01/20 Exit                148.37   14.00  ProfitTarget
2014/04/24 Long                190.25     -    ConditionBuy
2014/05/08 Exit Long and Short 184.85   -2.84  ConditionSell
2014/05/27 Still in trade      165.41    5.36  OpenPos

Edited by Aragorn, 28 May 2014 - 10:15 PM.

[HDB]

I've been spending time working through trying to sort out backtesting the recommendations for CFD trades based on EOD data (25 CCI, 34 EMA, 204 SMA). I've managed to find a way of systematically eliminating the CCI 0 cross where the cross does not match the so called '45 degree' angle, but have a question. To determine the momentum of the cross, I would need to calculate the difference between the cci value before and after the cross. I settled on a value of 50, just to see the effects thereof, and as a result, MSM only gave me one signal that met the criteria in the passed year, FSR gave no signals. A quick scan through many other shares reflects that cci signal using a difference of 50 at the cross reflect on average 3 to 8 trades each in the past year (with the bias more towards the lower number). I have yet to check the P/L of these though (will do so over the next few days).

 

HDB - would you consider the value of 50 being "too high" or "too low" when trying to emulate a "45 degree" angle? Also, it needs to be considered that the CCI could have moved from -120 to -5 to +5 to +120 over 4 periods. At the cross, the difference is only 10, but the broader picture is different. Easy to see with the naked eye, but too many variables to programme into a computer system.

 

HDB Post Anglo Ashanti chart earlier showing signals for this year - herewith my backtest results for the past 12 months on ANG.

Date       Action              Price    P/L %  Trigger
2013/08/29 Short               133.69     -    ConditionSell
2013/09/04 Exit                141.71   -6.00  FixStop
2014/04/24 Long                190.25     -    ConditionBuy
2014/05/08 Exit Long and Short 184.85   -2.84  ConditionSell
2014/05/27 Still in Trade      165.41    5.36  OpenPos

 

Hi Aragorn...

 

Thanks for talking time and doing some follow up!!

 

OK lets start with 45degree angle first!

 

This i devised as we started using our 5min chart alsi system, I noticed that if the cross over or below 0 the cci was or near horizontial, there was no impetus or momentum to the trade. THis is especially so if price was going sideways for the last few candle bars and the CCI, being sensitive to price change with a small increase in price cross the zero line and it could go up again slowly, or may just as quickly reverse below again!!  Seeing we are day traders and scalpers, we are looking for quick momentum trades and therefore i suggest only do the trade if she cuts at more than 45 degrees which means there is momentum to the cci caused by sharp increase in price.

However for CCI CFD trades which we using longer times frames(daily) and higher CCI, there is no need to use the 45 degree condition.

Cut above zero or below zero is good enough.

 

Now about you wanting to increase/decrease the cci zero to say 50. Here i think i will like to make it clear that 34ema condition supercedes the zero line cross. IOW first check if price is going above or below 34ema. Once having confirmed that, then follow to cci25 to see where she is. By way of an example lets assume AGL is trading below 34ema and -50cci today at R250.00. Our first thing to look at is when price moves and closes above 34ema..lets say price goes to R260.00 and she closes for the first time in this trend abpve 34ema. Now you look at CCI 25..Has it gone above 0. Yes..then go long. If it is at below 0, you will wait for it to go above zero which may be the next day when price has gone to R262.00 to go long...If however at price of R260.00 cci 25 is showing 42 ( remember price has cut 34ema now), you will go long. So basically i should say is that if cci is above 0 ( weather it is 1 or 75 or 100) and price cuts 34ema, you go long!!

I think this makes more sense now. Sorry this is all trial and error on the CFD side and the more deeper we get into it, the more panel beating to the system we can do.  On the Alsi day trading side we seem to have got it spot on and we are live trading there with considerable success.

 

ON the programming side i suggest following:

 

1. if your share program allows, first filter for all shares that cut the 34ema  to the upside on daily chart and whose cci is above 0 ( and vise versa for below 34ema and below 0)

2. If program does not allow this, then how about filter for all shares that closed for the day  .50% above its  34ema and cci above 0 (and vise versa)

 

For point 2 above i said use .50...Depending on filter u could increase or decrease it.

 

Once you have a few shares to work with then i think you should check its charts to see if our conditions are met before you decide on a trade!

For ANG lets analyse your results.

 

 

Date       Action              Price    P/L %  Trigger
2013/08/29 Short               133.69     -    ConditionSell
2013/09/04 Exit                141.71   -6.00  FixStop
2014/04/24 Long                190.25     -    ConditionBuy
2014/05/08 Exit Long and Short 184.85   -2.84  ConditionSell
2014/05/27 Still in Trade      165.41    5.36  OpenPos

 

first two are outside my time period.

Long on 24/4/24...ok that met condition for long. However if you look at the chart there was no impetus and u wud have closed once price fell below 34ema on 6th april at a loss and immediately went short as per system.This is what your program did so thats fine.

 

However your system did not pick up the long on 14Jan 14 as per my chart. I think thois was because of cci25 being well above 0 that you were uncertain about. I think my above explaination now covers this long into your filter.

 

 

Now i picked up something else on the ANG chart as i write this...for trades on 14/01/2014  and 9/05/2014!!! both were excellent winning trades, one short and one long, both meeting system requirements...But there is another different secret here as well...Anyone spot it??

 

I really appreciate your inputs as it gets me thinking, more honest and spotting more secrets too....and i would really appreciate if you could daily post the cfd shares that meet the system requirements so that i can analyse the chart and see if we can fix the system better!!

 

If anyone wants to add more constructive input here, please do, as i am just another wannabe trying to find the holy grail 

[Aragorn]

I've been spending time working through trying to sort out backtesting the recommendations for CFD trades based on EOD data (25 CCI, 34 EMA, 204 SMA). I've managed to find a way of systematically eliminating the CCI 0 cross where the cross does not match the so called '45 degree' angle, but have a question. To determine the momentum of the cross, I would need to calculate the difference between the cci value before and after the cross. I settled on a value of 50, just to see the effects thereof, and as a result, MSM only gave me one signal that met the criteria in the passed year, FSR gave no signals. A quick scan through many other shares reflects that cci signal using a difference of 50 at the cross reflect on average 3 to 8 trades each in the past year (with the bias more towards the lower number). I have yet to check the P/L of these though (will do so over the next few days).

 

HDB - would you consider the value of 50 being "too high" or "too low" when trying to emulate a "45 degree" angle? Also, it needs to be considered that the CCI could have moved from -120 to -5 to +5 to +120 over 4 periods. At the cross, the difference is only 10, but the broader picture is different. Easy to see with the naked eye, but too many variables to programme into a computer system.

 

HDB Post Anglo Ashanti chart earlier showing signals for this year - herewith my backtest results for the past 12 months on ANG.

Date       Action              Price    P/L %  Trigger
2013/08/29 Short               133.69     -    ConditionSell
2013/09/04 Exit                141.71   -6.00  FixStop
2014/04/24 Long                190.25     -    ConditionBuy
2014/05/08 Exit Long and Short 184.85   -2.84  ConditionSell
2014/05/27 Still in Trade      165.41    5.36  OpenPos

[delta66]

chugging on a Jamesons whiskey to steal the nerves..   whether to drown my sorrows or rejoice in gains..time will tell

[Rolycpt]

yes,,im waiting for signal with 50p stop!!

also waiting for signal..dont have such a high stress tolerance as Delta

[HDB]

long 44700...no pain/no gain

yes,,im waiting for signal with 50p stop!!

[delta66]

long 44700...no pain/no gain

[HDB]

Another 50 points down and the gap is closed sitting at 44800.

closed

[MiniTrader]

Another 50 points down and the gap is closed sitting at 44800.

[HDB]

closing up to another long signal but lots of headwinds ahead!!!

 

For it to be a confirmed stress free long, you need one long 5 min candle tto blow right through them.... other wise sit on hands and wait for that candle!!

Edited by HDB, 28 May 2014 - 02:03 PM.

[HDB]

Class another thing to remember is that when you do a trade per system, you want to do the trade with tailwinds and not headwinds!!

 

So if it says long, but 240ema, 24ema , pivot or R1,2 or3 slightly higher than entry...those are headwinds...moght battle to blow up!!

Today shorts were all tailwinds!! Longs battling to go through pivot!!