MTP - Performance Metrics

[rrs]

I thought I would share with all of you the results of using MTP to trade an account with a starting equity of $20,000 (real money!). This account is part of a much larger portfolio and my aim was to see what kind of performance metrics the latest version of MTP would generate under strictly defined conditions enforced over a specific period of time. Here is a description of the conditions:

Equity Size: $ 20,000

Start Date: 06/25/2007

End Date: 07/20/2007

Contracts Traded: Mini Dow, Emini Russell 2000, Emini NASDAQ 100

Time Frames Traded: 3 min and 5min Time Frames

MTP Version: Latest Real-time version of MTP

Platform: Ninja Trader with Market Analyzer for monitoring potential trades in different time frames

Data feed: From TradeStation 8.3

Broker: All trades were executed via Interactive Brokers.

Types of Trades Taken: TS1, TS2, TS3, TS4, Auto DP trades

Risk Management: strictly according to the MTP generated real-time recommendations

Amount Risked per trade: 2% of the total equity

Position Sizing: strictly according to the MTP generated real-time recommendations

Trade Management: according to the June 1st Guidelines (please see Steve’s “Introduction to MTPredictor” document)

Trade Analysis: By Market System Analyzer (MSA - version 2)

Limitation: Between 06/25/2007 and 07/20/2007, due a variety of reasons, I was able to trade on nine trading days only.

Details of the analysis may be found in the pdf file attached to this message.

Even with a limited number of trades executed over a very short period of time, the robustness of MTP as a trading tool and the validity of its trading approach (based on positive expectancy and rigorous risk control and position sizing) are, in my view, well illustrated by its performance metrics. I will be extending this project and continue to collect trading stats for future analysis.

Rama.

Disclaimer: I have no financial association or any other kind of partnership with MTP Ltd. I am a satisfied user of MTP software.

[tombtrader]

Nice stats Rama.

Interestingly, % winning trades were over 50%. Was this due to a high win rate from DP trades? Would be interesting to see the stats on DP trades alone.

I'd love to see these numbers again after 100 trades.

Thanks again for your post.

[rrs]

Nice stats Rama.

Interestingly, % winning trades were over 50%. Was this due to a high win rate from DP trades? Would be interesting to see the stats on DP trades alone.

I'd love to see these numbers again after 100 trades.

Thanks again for your post.

Hi Tombtrader,

Thanks for your comments. Your assumption about DP trades is correct -- 55% of the trades in this series were DP trades. I am continuing to record the trade stats on MSA software and hope to analyse a larger series of trades in approximately six months from now.

Sincerely,

Rama.

[Biggo]

Hi Rama

Thanks for sharing you metrics with us, shows what can be acheived.
Did you have the settings in Market Analyser set with all restrictions ON & take every trade that presented itself of did you customise your settings at all ?

Cheers

Phil

[rrs]

Hi Rama

Thanks for sharing you metrics with us, shows what can be acheived.
Did you have the settings in Market Analyser set with all restrictions ON & take every trade that presented itself of did you customise your settings at all ?

Cheers

Phil

Hi Phil,

I just accepted the default settings in the Market Analyser with all restrictions ON and took every trade.

Sincerely,

Rama.

[Biggo]

Thanks Rama :)

Cheers

Phil

[dctommy]

I thought I would share with all of you the results of using MTP to trade an account with a starting equity of $20,000 (real money!). This account is part of a much larger portfolio and my aim was to see what kind of performance metrics the latest version of MTP would generate under strictly defined conditions enforced over a specific period of time. Here is a description of the conditions:

Equity Size: $ 20,000

Start Date: 06/25/2007

End Date: 07/20/2007

Contracts Traded: Mini Dow, Emini Russell 2000, Emini NASDAQ 100

Time Frames Traded: 3 min and 5min Time Frames

MTP Version: Latest Real-time version of MTP

Platform: Ninja Trader with Market Analyzer for monitoring potential trades in different time frames

Data feed: From TradeStation 8.3

Broker: All trades were executed via Interactive Brokers.

Types of Trades Taken: TS1, TS2, TS3, TS4, Auto DP trades

Risk Management: strictly according to the MTP generated real-time recommendations

Amount Risked per trade: 2% of the total equity

Position Sizing: strictly according to the MTP generated real-time recommendations

Trade Management: according to the June 1st Guidelines (please see Steve’s “Introduction to MTPredictor” document)

Trade Analysis: By Market System Analyzer (MSA - version 2)

Limitation: Between 06/25/2007 and 07/20/2007, due a variety of reasons, I was able to trade on nine trading days only.

Details of the analysis may be found in the pdf file attached to this message.

Even with a limited number of trades executed over a very short period of time, the robustness of MTP as a trading tool and the validity of its trading approach (based on positive expectancy and rigorous risk control and position sizing) are, in my view, well illustrated by its performance metrics. I will be extending this project and continue to collect trading stats for future analysis.

Rama.

Disclaimer: I have no financial association or any other kind of partnership with MTP Ltd. I am a satisfied user of MTP software.


Rama:

Thanks for the great summary, but I have a question:

I notice that MTP tends to average about 2-4 setups per 3 & 5 min timeframe per day per future...so how could you have taken only 21 trades in 9 days if you took them all without discretion and typically would have averaged about 50 setups during this time period?

I am not trying to be difficult, just trying to understand. :)


Thanks,

dctommy

[rrs]

Rama:

Thanks for the great summary, but I have a question:

I notice that MTP tends to average about 2-4 setups per 3 & 5 min timeframe per day per future...so how could you have taken only 21 trades in 9 days if you took them all without discretion and typically would have averaged about 50 setups during this time period?

I am not trying to be difficult, just trying to understand. :)


Thanks,

dctommy

Hi dctommy,

During this time period:

1) I tried to focus my attention on one time frame per futures contract -- example: for ER2 I only traded 3 min charts and for YM and NQ 5 min charts

2) In order to optimally use the limited amount of the equity allocated for trading during this time period and to test the robustness of the system, I randomised the selection of the futures contract that could be traded on a given day.

The total number of trades I took during this time period was essentially the result of these predefined conditions. When I thought about the questions of efficiency and robustness of a system in trading closely correlated index futures markets, I realised that I had to make some important decisions about several issues and enforce them strictly before I started the whole process. Otherwise, the measurements from this whole excercise would not, at least to me, have any meaning or value. Controlling the conditions of trading and randomization of key variables, to the extent possible, were important factors that I concentrated my attention on before I executed my very first traded during this time period. As I said in my original message, this is part of a long term project that I have undertaken.

If you search the forum you may find some very thoughtful comments from Steve, Matt Bowen and Tony on the subject of trading closely correlated markets -- particularly important, in my humble view, is Matt's comments on opportunity cost. This important factor, of course, has to be balanced against the risks of trading closely correlated markets.

Sincerely,

Rama.

[MathCapital]

Rama,
You have presented a long list of specifications of the trading over nine days and have further qualified this list by the fact that you randomized the tradeables each day. So, does this mean that first of all you kept no positions overnight and each day you picked a random contract to trade that day from among the three candidates and perhaps, being random, the same contract might be traded several days in a row? So, the twenty one trades occured on nine individual futures or a bit better than 2 trades per day on a contract?

When you were in a TS trade and an opposite signal occured as a DP signal, did you offset the TS trade and then reverse? Could you discuss what method of offset you took on each trade; such as ATR stop or Typical Wave Price Target or End of Trading sesssion? I know this may be too much trouble for all these trades, but I think it would be informative.

Phil

[Steve Griffiths]

Rama,
You have presented a long list of specifications of the trading over nine days and have further qualified this list by the fact that you randomized the tradables each day. So, does this mean that first of all you kept no positions overnight and each day you picked a random contract to trade that day from among the three candidates and perhaps, being random, the same contract might be traded several days in a row? So, the twenty one trades occured on nine individual futures or a bit better than 2 trades per day on a contract?

When you were in a TS trade and an opposite signal occured as a DP signal, did you offset the TS trade and then reverse? Could you discuss what method of offset you took on each trade; such as ATR stop or Typical Wave Price Target or End of Trading sesssion? I know this may be too much trouble for all these trades, but I think it would be informative.

Phil

Easy...............

Please do not "grill" the people who are kind enough to give their result on this Forum.

We have many many good traders who no longer post here because of the hassle caused by too many questions by other members.........

So please could all members just take what these good traders among you give without "grilling" them too much, because if you do then you will deter them from posting, and all of us will be the losers....

As I say, this had happened to a number of very good traders in the past who no longer post because it causes too much hassle, so we all no longer have the benefit from their insight.....

Steve

[rrs]

Easy...............

Please do not "grill" the people who are kind enough to give their result on this Forum.

We have many many good traders who no longer post here because of the hassle caused by too many questions by other members.........

So please could all members just take what these good traders among you give without "grilling" them too much, because if you do then you will deter them from posting, and all of us will be the losers....

As I say, this had happened to a number of very good traders in the past who no longer post because it causes too much hassle, so we all no longer have the benefit from their insight.....

Steve

Hi Steve,

I don't mind the questions, as long as it relates to the subject of MTP and its performance metrics. I certainly agree with your statement and observation that some of the good traders no longer post here, and the hassle factor might have led them to do so.

I hope my posts on the topic of MTP performance metrics and other topics related to MTP support and advance the cause of turning MTP users into successful professsional traders. I know you and your team work very hard in helping your users achieve this goal. This is certainly not an easy task because the principles that the users need to incorporate into their minds and daily trading to achieve this goal are very counter-intuitive. I will, as much as possible, continue to offer what little help I can in supporting your central mission and goal -- helping MTP users become successful professional traders.

With kind regards,

Rama.

[rrs]

Rama,
You have presented a long list of specifications of the trading over nine days and have further qualified this list by the fact that you randomized the tradeables each day. So, does this mean that first of all you kept no positions overnight and each day you picked a random contract to trade that day from among the three candidates and perhaps, being random, the same contract might be traded several days in a row? So, the twenty one trades occured on nine individual futures or a bit better than 2 trades per day on a contract?

When you were in a TS trade and an opposite signal occured as a DP signal, did you offset the TS trade and then reverse? Could you discuss what method of offset you took on each trade; such as ATR stop or Typical Wave Price Target or End of Trading sesssion? I know this may be too much trouble for all these trades, but I think it would be informative.

Phil

Hi Phil,

I will answer your questions in a short while with some charts.

Sincerely,

Rama.

[rrs]

Rama,
You have presented a long list of specifications of the trading over nine days and have further qualified this list by the fact that you randomized the tradeables each day. So, does this mean that first of all you kept no positions overnight and each day you picked a random contract to trade that day from among the three candidates and perhaps, being random, the same contract might be traded several days in a row? So, the twenty one trades occured on nine individual futures or a bit better than 2 trades per day on a contract?

When you were in a TS trade and an opposite signal occured as a DP signal, did you offset the TS trade and then reverse? Could you discuss what method of offset you took on each trade; such as ATR stop or Typical Wave Price Target or End of Trading sesssion? I know this may be too much trouble for all these trades, but I think it would be informative.

Phil

Hi Phil,

Here are my answers to your questions:

Question:.. So, does this mean that first of all you kept no positions overnight

Answer: Yes, I did not keep any open position overnight.

Question: ..each day you picked a random contract to trade that day from among the three candidates and perhaps, being random, the same contract might be traded several days in a row?

Answer: Since the trading was done over period of nine days, a relatively short time span, I certainly did not notice that I was trading the same contract over several days in a row.

Question: ..So, the twenty one trades occured on nine individual futures or a bit better than 2 trades per day on a contract?

Answer: As you say, the average number of trades per day was approximately 2 (-just over it on few days-) on the contract of the day.

Question: ..When you were in a TS trade and an opposite signal occured as a DP signal, did you offset the TS trade and then reverse? Could you discuss what method of offset you took on each trade; such as ATR stop or Typical Wave Price Target or End of Trading sesssion?

Answer: This is a very important question because the answer involves putting together several important concepts I have learned on my own in addition to the ones Steve teaches in the seminars and help videos.

In order to answer this question very clearly with a chart from yesterday's real-time trading I will post a separate message in this section.

Sincerely,

Rama.

[rrs]

Rama,
When you were in a TS trade and an opposite signal occured as a DP signal, did you offset the TS trade and then reverse? Could you discuss what method of offset you took on each trade; such as ATR stop or Typical Wave Price Target or End of Trading sesssion? I know this may be too much trouble for all these trades, but I think it would be informative.

Phil

Hi Phil,

As I stated in my original message on MTP performance Metrics, I simply followed, during the nine days, the guidelines on trade management Steve describes in his Introduction to MTP and Automatic Trade Setups document. The document describes in detail the guidelines on trade management Steve recommends, including when to use the ATR Stop and WPTs.

Since posting my report I have been testing and refining my trade management ideas for intraday trading. The situation you describe in your question happened yesterday (08/03/2007) in the 5 min chart of ER2 (emini Russell 2000 futures contract). I am attching that chart to this message.

When an opposite signal occurs, here is what I do now:

1) What kind of an opposing signal is it? -- a TS setup or a DP trade? Each kind of trade has different implications for further management of the opposing signal

2) I assess the current trend in the Higher Time Frame (HTF) by looking at the color of the STF (in the attached 5 min ER2 chart it was RED, meaning the trend in the HTF was down. Steve has made it easy for us to assess the HTF trend by coloring the STF in the lower time frame chart-- RED for DOWN, BLUE for UP and BLACK for FLAT -- yet another time saving feature in MTP that does away with the need for opening additional charts to assess the HTF trend).

(I go through this step even if the opposing signal is a DP trade setup for which you normally have to look at the height of the bar to make sure visually that divergence does exist. The reason for going through this step will become apparent to you when you read the next paragraph)

3) If the opposite signal that has just appeared is counter to the current trend in the HTF I do not reverse my position. Reason: The HTF trend invariably dominates the trend in the lower time frame. I tend not to trade against the HTF trend because I have, over the years, learned the hard way that this kind of counter trend trades often end violently and unpredictably and demand a very rapid response and very close monitoring of the price action, particularly in shorter time frame charts. This does not mean you cannot trade them. On the contrary, many nimble traders trade them very successfully. The dictum, "Trade with the Trend", appeals to my cautious and conservative trading philosophy. (This practice of mine is based on what I learned by trading a divergence system in the foreign exchange markets and stock markets. Please also note that I am not saying all counter-trend trades are unsuitable for trading. The divergent trades that go against the HTF trend are the one I am wary of.)

If I decide to stay in the trade that I entered originally -- in this case, the TS3 Sell trade -- I usually keep the stop at the original Stop Trigger level recommended by MTP when the trade setup was confirmed. (In the 5 min ER2 chart that would be 781.30) This protective money management stop stays at this level until the current price bar closes below the minimum WPT. Immediately after this happens, I move the stop to where the ATR stop is currently sitting. I am not saying this is the best way to manage your stop. On the contrary, you may want to follow the more aggressive style of managing the trade to protect the profits. The best description of such an aggressive approach is given by an another MTP user David Day in one of his recent posts.

You may wonder -- What is the rationale or logic behind this method of managing stops? Let me explain. Take the TS3 Sell setup seen on the attached ER2 5 min chart as an example.

a) the opposing DP signal was a counter-trend setup -- please see the explanantion above

b) potential overhead resistance situated just above the current price action

c) overwhelmingly negative market sentiment on that day (subprime crisis -- I certainly understand the fact that the market sentiment can turn on dime) that favored the down trend

d) as Rob E points out in one of his message on that day, the market / price action never really took out the high of the day -- an additional indication of market weakness

e) finally, am I willing to write -off $250 in exchage for the possibility of catching a potentially powerful down trend? My answer to this question was a clear Yes.

What happened later on that day is well illustrated by the two charts that are attached to this message. When required by certain situations I am willing to be flexible in my stop management, as long as it does not violate the risk and position sizing parameters generated bt MTP.

As you can see from this discussion, I take the trade setups generated by MTP and combine them with relevant information to make my trading decisions -- a process that requires me to excercise my faculty of judgement. I happen to believe in the philosophy that best trading results are obtained when a trader / investor combines the objective pattern detection, trade setups, risk management and position sizing generated by MTP with his / her judgement. My position on trading / investing is some where in the middle -- between the two extreme approaches seen in the trading world -- the black box, system driven mechanical approach and totally discretionary and subjective approach.

I have also attached a 3min chart of ER2 from the same day (08/03/2007), mainly to show how the very same trade setup evolved (with some differences).

Sincerely,

Rama.

PS I apologize for the length of this message. Even though the questions are simple, answers to these simple questions often end up long -- despite my best efforts to keep their length under control.

[tar001]

that move was also confirmed on the 5 minute chart:D



Hi Phil,

As I stated in my original message on MTP performance Metrics, I simply followed, during the nine days, the guidelines on trade management Steve describes in his Introduction to MTP and Automatic Trade Setups document. The document describes in detail the guidelines on trade management Steve recommends, including when to use the ATR Stop and WPTs.

Since posting my report I have been testing and refining my trade management ideas for intraday trading. The situation you describe in your question happened yesterday (08/03/2007) in the 5 min chart of ER2 (emini Russell 2000 futures contract). I am attching that chart to this message.

When an opposite signal occurs, here is what I do now:

1) What kind of an opposing signal is it? -- a TS setup or a DP trade? Each kind of trade has different implications for further management of the opposing signal

2) I assess the current trend in the Higher Time Frame (HTF) by looking at the color of the STF (in the attached 5 min ER2 chart it was RED, meaning the trend in the HTF was down. Steve has made it easy for us to assess the HTF trend by coloring the STF in the lower time frame chart-- RED for DOWN, BLUE for UP and BLACK for FLAT -- yet another time saving feature in MTP that does away with the need for opening additional charts to assess the HTF trend).

(I go through this step even if the opposing signal is a DP trade setup for which you normally have to look at the height of the bar to make sure visually that divergence does exist. The reason for going through this step will become apparent to you when you read the next paragraph)

3) If the opposite signal that has just appeared is counter to the current trend in the HTF I do not reverse my position. Reason: The HTF trend invariably dominates the trend in the lower time frame. I tend not to trade against the HTF trend because I have, over the years, learned the hard way that this kind of counter trend trades often end violently and unpredictably and demand a very rapid response and very close monitoring of the price action, particularly in shorter time frame charts. This does not mean you cannot trade them. On the contrary, many nimble traders trade them very successfully. The dictum, "Trade with the Trend", appeals to my cautious and conservative trading philosophy. (This practice of mine is based on what I learned by trading a divergence system in the foreign exchange markets and stock markets. Please also note that I am not saying all counter-trend trades are unsuitable for trading. The divergent trades that go against the HTF trend are the one I am wary of.)

If I decide to stay in the trade that I entered originally -- in this case, the TS3 Sell trade -- I usually keep the stop at the original Stop Trigger level recommended by MTP when the trade setup was confirmed. (In the 5 min ER2 chart that would be 781.30) This protective money management stop stays at this level until the current price bar closes below the minimum WPT. Immediately after this happens, I move the stop to where the ATR stop is currently sitting. I am not saying this is the best way to manage your stop. On the contrary, you may want to follow the more aggressive style of managing the trade to protect the profits. The best description of such an aggressive approach is given by an another MTP user David Day in one of his recent posts.

You may wonder -- What is the rationale or logic behind this method of managing stops? Let me explain. Take the TS3 Sell setup seen on the attached ER2 5 min chart as an example.

a) the opposing DP signal was a counter-trend setup -- please see the explanantion above

b) potential overhead resistance situated just above the current price action

c) overwhelmingly negative market sentiment on that day (subprime crisis -- I certainly understand the fact that the market sentiment can turn on dime) that favored the down trend

d) as Rob E points out in one of his message on that day, the market / price action never really took out the high of the day -- an additional indication of market weakness

e) finally, am I willing to write -off $250 in exchage for the possibility of catching a potentially powerful down trend? My answer to this question was a clear Yes.

What happened later on that day is well illustrated by the two charts that are attached to this message. When required by certain situations I am willing to be flexible in my stop management, as long as it does not violate the risk and position sizing parameters generated bt MTP.

As you can see from this discussion, I take the trade setups generated by MTP and combine them with relevant information to make my trading decisions -- a process that requires me to excercise my faculty of judgement. I happen to believe in the philosophy that best trading results are obtained when a trader / investor combines the objective pattern detection, trade setups, risk management and position sizing generated by MTP with his / her judgement. My position on trading / investing is some where in the middle -- between the two extreme approaches seen in the trading world -- the black box, system driven mechanical approach and totally discretionary and subjective approach.

I have also attached a 3min chart of ER2 from the same day (08/03/2007), mainly to show how the very same trade setup evolved (with some differences).

Sincerely,

Rama.

PS I apologize for the length of this message. Even though the questions are simple, answers to these simple questions often end up long -- despite my best efforts to keep their length under control.

[rrs]

that move was also confirmed on the 5 minute chart:D

Hi tar001,

I am glad you caught that move. At the rate you are catching these big moves, you should be able to retire soon!

With best wishes for continued success in your trading,

Sincerely,

Rama.

[tar001]

hey there
I was actually not in that move! I was in the YM and was not really paying attention to the ER. In fact as I look at it not you would have been stopped out of the 5 minute using the ATR. Retire soon? haha dont I wish
:D


Hi tar001,

I am glad you caught that move. At the rate you are catching these big moves, you should be able to retire soon!

With best wishes for continued success in your trading,

Sincerely,

Rama.

[MathCapital]

Hi Phil,

As I stated in my original message on MTP performance Metrics, I simply followed, during the nine days, the guidelines on trade management Steve describes in his Introduction to MTP and Automatic Trade Setups document. The document describes in detail the guidelines on trade management Steve recommends, including when to use the ATR Stop and WPTs.

Since posting my report I have been testing and refining my trade management ideas for intraday trading. The situation you describe in your question happened yesterday (08/03/2007) in the 5 min chart of ER2 (emini Russell 2000 futures contract). I am attching that chart to this message.

When an opposite signal occurs, here is what I do now:

1) What kind of an opposing signal is it? -- a TS setup or a DP trade? Each kind of trade has different implications for further management of the opposing signal

2) I assess the current trend in the Higher Time Frame (HTF) by looking at the color of the STF (in the attached 5 min ER2 chart it was RED, meaning the trend in the HTF was down. Steve has made it easy for us to assess the HTF trend by coloring the STF in the lower time frame chart-- RED for DOWN, BLUE for UP and BLACK for FLAT -- yet another time saving feature in MTP that does away with the need for opening additional charts to assess the HTF trend).

(I go through this step even if the opposing signal is a DP trade setup for which you normally have to look at the height of the bar to make sure visually that divergence does exist. The reason for going through this step will become apparent to you when you read the next paragraph)

3) If the opposite signal that has just appeared is counter to the current trend in the HTF I do not reverse my position. Reason: The HTF trend invariably dominates the trend in the lower time frame. I tend not to trade against the HTF trend because I have, over the years, learned the hard way that this kind of counter trend trades often end violently and unpredictably and demand a very rapid response and very close monitoring of the price action, particularly in shorter time frame charts. This does not mean you cannot trade them. On the contrary, many nimble traders trade them very successfully. The dictum, "Trade with the Trend", appeals to my cautious and conservative trading philosophy. (This practice of mine is based on what I learned by trading a divergence system in the foreign exchange markets and stock markets. Please also note that I am not saying all counter-trend trades are unsuitable for trading. The divergent trades that go against the HTF trend are the one I am wary of.)

If I decide to stay in the trade that I entered originally -- in this case, the TS3 Sell trade -- I usually keep the stop at the original Stop Trigger level recommended by MTP when the trade setup was confirmed. (In the 5 min ER2 chart that would be 781.30) This protective money management stop stays at this level until the current price bar closes below the minimum WPT. Immediately after this happens, I move the stop to where the ATR stop is currently sitting. I am not saying this is the best way to manage your stop. On the contrary, you may want to follow the more aggressive style of managing the trade to protect the profits. The best description of such an aggressive approach is given by an another MTP user David Day in one of his recent posts.

You may wonder -- What is the rationale or logic behind this method of managing stops? Let me explain. Take the TS3 Sell setup seen on the attached ER2 5 min chart as an example.

a) the opposing DP signal was a counter-trend setup -- please see the explanantion above

b) potential overhead resistance situated just above the current price action

c) overwhelmingly negative market sentiment on that day (subprime crisis -- I certainly understand the fact that the market sentiment can turn on dime) that favored the down trend

d) as Rob E points out in one of his message on that day, the market / price action never really took out the high of the day -- an additional indication of market weakness

e) finally, am I willing to write -off $250 in exchage for the possibility of catching a potentially powerful down trend? My answer to this question was a clear Yes.

What happened later on that day is well illustrated by the two charts that are attached to this message. When required by certain situations I am willing to be flexible in my stop management, as long as it does not violate the risk and position sizing parameters generated bt MTP.

As you can see from this discussion, I take the trade setups generated by MTP and combine them with relevant information to make my trading decisions -- a process that requires me to excercise my faculty of judgement. I happen to believe in the philosophy that best trading results are obtained when a trader / investor combines the objective pattern detection, trade setups, risk management and position sizing generated by MTP with his / her judgement. My position on trading / investing is some where in the middle -- between the two extreme approaches seen in the trading world -- the black box, system driven mechanical approach and totally discretionary and subjective approach.

I have also attached a 3min chart of ER2 from the same day (08/03/2007), mainly to show how the very same trade setup evolved (with some differences).

Sincerely,

Rama.

PS I apologize for the length of this message. Even though the questions are simple, answers to these simple questions often end up long -- despite my best efforts to keep their length under control.



Rama,
I want to thank you for your response to my questions. It is sometimes difficult to dissect the process one goes through, step-by-step in going from analysis to action; often familiarity makes the process organic and intuitive. But I believe that usually it can be broken down to teh components. You presented a clear path of thought and shed light on this issue. I am new with the program and am still paper trading but I'm doing it with a vengeance; I'm treating each trade as real. When my wife turns on the vacuum cleaner, which sets the dogs and new puppies into a barking chaos, I scream "can't you see I'm trading?!!"

I have found this issue of opposing signals to be the most perplexing on a daily basis. Especially when simultaneously viewing multiple time frames of multiple E-Mini indexes. I recently read a post advising agains this and just choosing a couple indexes and a time frame that you are comfortable with. At the moment I am monitoring the 3 and 5 minute time frames of 4 E-mini contracts. Sometimes, most or all the indexes are the "same way" and one gives an opposing signal. This becomes either a leading indicator that they all will flip or an anomaly.

Sometimes 3 out of 4 give a sell signal and 1 is left with its original buy indication and then all 3 are wrong and their stops are blown through. I hate to introduce subjectivity by way of an overall viewpoint on the direction of the day or evaluation of the fundamentals or the news. I am human, though and I develop an opinion as to whether or not I should take the profit at the Min WPT or shy of it or just fear and offset early. Then, most of the time in hindsight, see the market folow through to much larger gains. Letting profits run takes practicing alot of patience and reducing emotionality.

There have been a number of extra-large-range days recently, some presenting good opportunity with moves that MTP was capable of classifying; others, where the software classified nothing and large trends escaped. Friday was a uniquely good day; 25 handles in ES doesn't happen all the time, in a steady grinding way. This is the type of day, I would expect to capture a good amount of such a sustained trend. Today, Tuesday, on the other hand was severe with wild volatility that I would hope to walk away from afterwards without being a quadruple amputee.

Again, I really appreciate the insight and the effort to describe the thought process in a manner that can lead to actionable results. I am a member of many forums, but this one is the best, to me. Besides my desire to learn all the dark alleys of MTP and hopefully contribute and give something back over the long run, I appreciate the combination of seriousness, sense of humour and commraderie of the members. Agan, Thanks to all.

Phil

[tar001]

it is darn near impossible to NOT lose a body part on FOMC day!! seriously you should never trade near the announcement, you can trade the AM but that is normally choppy up until the meeting as nobody wants to commit big either way......:)



Rama,
I want to thank you for your response to my questions. It is sometimes difficult to dissect the process one goes through, step-by-step in going from analysis to action; often familiarity makes the process organic and intuitive. But I believe that usually it can be broken down to teh components. You presented a clear path of thought and shed light on this issue. I am new with the program and am still paper trading but I'm doing it with a vengeance; I'm treating each trade as real. When my wife turns on the vacuum cleaner, which sets the dogs and new puppies into a barking chaos, I scream "can't you see I'm trading?!!"

I have found this issue of opposing signals to be the most perplexing on a daily basis. Especially when simultaneously viewing multiple time frames of multiple E-Mini indexes. I recently read a post advising agains this and just choosing a couple indexes and a time frame that you are comfortable with. At the moment I am monitoring the 3 and 5 minute time frames of 4 E-mini contracts. Sometimes, most or all the indexes are the "same way" and one gives an opposing signal. This becomes either a leading indicator that they all will flip or an anomaly.

Sometimes 3 out of 4 give a sell signal and 1 is left with its original buy indication and then all 3 are wrong and their stops are blown through. I hate to introduce subjectivity by way of an overall viewpoint on the direction of the day or evaluation of the fundamentals or the news. I am human, though and I develop an opinion as to whether or not I should take the profit at the Min WPT or shy of it or just fear and offset early. Then, most of the time in hindsight, see the market folow through to much larger gains. Letting profits run takes practicing alot of patience and reducing emotionality.

There have been a number of extra-large-range days recently, some presenting good opportunity with moves that MTP was capable of classifying; others, where the software classified nothing and large trends escaped. Friday was a uniquely good day; 25 handles in ES doesn't happen all the time, in a steady grinding way. This is the type of day, I would expect to capture a good amount of such a sustained trend. Today, Tuesday, on the other hand was severe with wild volatility that I would hope to walk away from afterwards without being a quadruple amputee.

Again, I really appreciate the insight and the effort to describe the thought process in a manner that can lead to actionable results. I am a member of many forums, but this one is the best, to me. Besides my desire to learn all the dark alleys of MTP and hopefully contribute and give something back over the long run, I appreciate the combination of seriousness, sense of humour and commraderie of the members. Agan, Thanks to all.

Phil

[Rob E]

it is darn near impossible to NOT lose a body part on FOMC day!! seriously you should never trade near the announcement, you can trade the AM but that is normally choppy up until the meeting as nobody wants to commit big either way......:)


I'll 2nd that tar001... see my post made here regarding the same issue: http://www.mtptrader.com/showpost.php?p=9767&postcount=1363

That's why for me, I just pretty much took the day off today and then come back and hit again with both barrels a blazin tomorrow! On Fed days I'll just trade in the a.m. (1st 2 hours or so) and then call it a day. After that, usually the market just moves sideways anyways until the announcement, so it's not even worth putting your $$$ at risk on days like these.

[elBLACC]

Thanks mate.

Good job

[dctommy]

Hi Phil,

As I stated in my original message on MTP performance Metrics, I simply followed, during the nine days, the guidelines on trade management Steve describes in his Introduction to MTP and Automatic Trade Setups document. The document describes in detail the guidelines on trade management Steve recommends, including when to use the ATR Stop and WPTs.

Since posting my report I have been testing and refining my trade management ideas for intraday trading. The situation you describe in your question happened yesterday (08/03/2007) in the 5 min chart of ER2 (emini Russell 2000 futures contract). I am attching that chart to this message.

When an opposite signal occurs, here is what I do now:

1) What kind of an opposing signal is it? -- a TS setup or a DP trade? Each kind of trade has different implications for further management of the opposing signal

2) I assess the current trend in the Higher Time Frame (HTF) by looking at the color of the STF (in the attached 5 min ER2 chart it was RED, meaning the trend in the HTF was down. Steve has made it easy for us to assess the HTF trend by coloring the STF in the lower time frame chart-- RED for DOWN, BLUE for UP and BLACK for FLAT -- yet another time saving feature in MTP that does away with the need for opening additional charts to assess the HTF trend).

(I go through this step even if the opposing signal is a DP trade setup for which you normally have to look at the height of the bar to make sure visually that divergence does exist. The reason for going through this step will become apparent to you when you read the next paragraph)

3) If the opposite signal that has just appeared is counter to the current trend in the HTF I do not reverse my position. Reason: The HTF trend invariably dominates the trend in the lower time frame. I tend not to trade against the HTF trend because I have, over the years, learned the hard way that this kind of counter trend trades often end violently and unpredictably and demand a very rapid response and very close monitoring of the price action, particularly in shorter time frame charts. This does not mean you cannot trade them. On the contrary, many nimble traders trade them very successfully. The dictum, "Trade with the Trend", appeals to my cautious and conservative trading philosophy. (This practice of mine is based on what I learned by trading a divergence system in the foreign exchange markets and stock markets. Please also note that I am not saying all counter-trend trades are unsuitable for trading. The divergent trades that go against the HTF trend are the one I am wary of.)

If I decide to stay in the trade that I entered originally -- in this case, the TS3 Sell trade -- I usually keep the stop at the original Stop Trigger level recommended by MTP when the trade setup was confirmed. (In the 5 min ER2 chart that would be 781.30) This protective money management stop stays at this level until the current price bar closes below the minimum WPT. Immediately after this happens, I move the stop to where the ATR stop is currently sitting. I am not saying this is the best way to manage your stop. On the contrary, you may want to follow the more aggressive style of managing the trade to protect the profits. The best description of such an aggressive approach is given by an another MTP user David Day in one of his recent posts.

You may wonder -- What is the rationale or logic behind this method of managing stops? Let me explain. Take the TS3 Sell setup seen on the attached ER2 5 min chart as an example.

a) the opposing DP signal was a counter-trend setup -- please see the explanantion above

b) potential overhead resistance situated just above the current price action

c) overwhelmingly negative market sentiment on that day (subprime crisis -- I certainly understand the fact that the market sentiment can turn on dime) that favored the down trend

d) as Rob E points out in one of his message on that day, the market / price action never really took out the high of the day -- an additional indication of market weakness

e) finally, am I willing to write -off $250 in exchage for the possibility of catching a potentially powerful down trend? My answer to this question was a clear Yes.

What happened later on that day is well illustrated by the two charts that are attached to this message. When required by certain situations I am willing to be flexible in my stop management, as long as it does not violate the risk and position sizing parameters generated bt MTP.

As you can see from this discussion, I take the trade setups generated by MTP and combine them with relevant information to make my trading decisions -- a process that requires me to excercise my faculty of judgement. I happen to believe in the philosophy that best trading results are obtained when a trader / investor combines the objective pattern detection, trade setups, risk management and position sizing generated by MTP with his / her judgement. My position on trading / investing is some where in the middle -- between the two extreme approaches seen in the trading world -- the black box, system driven mechanical approach and totally discretionary and subjective approach.

I have also attached a 3min chart of ER2 from the same day (08/03/2007), mainly to show how the very same trade setup evolved (with some differences).

Sincerely,

Rama.

PS I apologize for the length of this message. Even though the questions are simple, answers to these simple questions often end up long -- despite my best efforts to keep their length under control.



Rama:

How is the HTF shown on your charts? Isn't the STF on the chart the same time frame that you are trading? If so, how is this a higher time frame? :confused:

Does the STF at the bottom of the templates represent a higher time frame?

If so, what time frame is it?

What am I missing here? :eek:


dctommy

[Steve Griffiths]

Hi DCtommy.

Thanks for your question.

If you read the "Introduction to MTPredictor" PDF at: http://www.mtpredictor.com/support/index.html you will see that the "larger degree" trend is already shown by "just" the color of the STF on the current time frame.

It really is that easy

Steve

[AlanD]

All,

I'm wondering if having an expected return of 10R/month is a realistic month to month expectation when trading the Eminis on 3-15 min. timeframes?

I'm currently in the US Navy and will be retiring in about 21 months. While I have owned MTP EOD/RT for several years now, due to my deployment cycle, I have not had the opportunity to trade month to month consistently enough to build my own consistent performance metrics.

Currently I'm stationed in Baghdad, IQ and won't have the opportunity to even part-time trade until I return home in 9 months. In the meantime, I use your forum postings and the webinars to keep close to the MTP style of trading.

I would like to be able to trade fulltime and can make a go of it with a 10R average monthly return (based on the equity in my account) after I retire but need to figure out if this is realistic. If anyone is willing to provide some feedback I would appreciate it. You can private mail me if you prefer.

Thanks,
Alan D.
Multi-National Forces Iraq

[jswin]

Alan, I work full time but I have been forward testing (ie recording MTP's results at the end of each trading day) on the ER2 (Russell 2000 mini). My results allow 0.2 index points per trade for slippage and commission. I left all filters on except the STF, which I only use for divergence rather than as a trend filter, and I took all automatic (no manual) trades. Manual trades would have increased profitability.

I've been testing for seven weeks.

Note, I have used range-based rather than time-based bars. Ninja Trader will let you chart them. Experiment with the range.

Trades: 80
Wins: Approx 30%
Result: +27R

500 trades would be a better sample size, but 80 should give you an idea.

Joel

[mattijschris]

How did you do forward testing at the end of the day?
Did you let the software run automatically during the day?

[Eileen]

Joel, A few questions:

1. Did you take trades only with the trend or did you take both with and against the trend?

2. Have you tested to know if the addition of manual trades would improve profitability? If so how did that test go?

thanks, Eileen

[jswin]

Matt - Ninja Trader charts retain signal information so it is easy to see which signals failed and which succeeded. The drawback with forward testing is it takes a long time.

Eileen - I wanted to keep my results as objective as possible so I did not include manual trades. Nearly every day without fail there were cracking manual DPs but the eye tends to be attracted towards the winners. I did not go over every peak and trough to find the losers.
However, I would say that taking manual DPs off previous large swings, or new highs and lows should definitely increase profitability.
I love range bars because the number of contracts is kept constant, and the RR is generally better than time based bars. I think you probably get a slightly reduced % of winners as a trade-off. The charts are very smooth too.

I turned the STF filter off for auto setups. You want to get those big trades at the end of prior trends.

[Eileen]

thanks Joel. Eileen

[AlanD]

Alan, I work full time but I have been forward testing (ie recording MTP's results at the end of each trading day) on the ER2 (Russell 2000 mini). My results allow 0.2 index points per trade for slippage and commission. I left all filters on except the STF, which I only use for divergence rather than as a trend filter, and I took all automatic (no manual) trades. Manual trades would have increased profitability.

I've been testing for seven weeks.

Note, I have used range-based rather than time-based bars. Ninja Trader will let you chart them. Experiment with the range.

Trades: 80
Wins: Approx 30%
Result: +27R

500 trades would be a better sample size, but 80 should give you an idea.

Joel

Joel,

Thank you for being sincere with your MTP performance. I don't know what time zone your in but did your take your trades during your off time? I only ask as I will be trading from Hawaii when I go back home which will give me the first 3 hours of the daily trading session before having to head out for work. This will give me an opportunity to trade the volatile first hour or so. This obviously can work for me or against me. Closing out trades in the before heading out to work will have to be what I need to do until for awhile until I'm ready to trade fulltime. Despite your wins being 30%, your 27R result speaks for itself which is impressive. Is your performance based on daily or intraday charts? I also trade FOREX which from Hawaii really gets going about 0730pm to 1000pm which works well time zone wise. Of course, to also trade the eminis would mean not getting alot of sleep if I were to trade both markets.

Regarding your automatic trades, I follow those as well as manual trades and agree that the manual DPs help to increase the bottomline.

Thanks Joel,

Alan

[Eileen]

Well I guess I am trying to decide if I want to add day trading to EOD tradings.

I have been doing a simulated test since Feb 5th, 2008.

I have had 13 trades EOD that were in the same direction as the trend.

I have had 6 out of 13 winners of various sizes and 7 out of 13 losers so far. I have had an expectancy of .8 and am up 17R.

But 13 trades is such a small cohort. The trades are rare. I am hoping with the new version 6 that there may be more trades and I can get a better feel for how this is going to go. Eileen

[AlanD]

Eileen,

What is your sample size of symbols you were trading? Seems like you might be working with a small group of stocks/instruments. I agree that EOD doesn't produce many trades but if your trading stocks, you should be able to get more trades out of a sample of say 5000 or so. I did get taking trades in the direction of the trend. This may have something to do with it. Regardless, your 17R gain is still pretty good with 13 trades of which 6 were winners and 7 losers. Have you tried filtering your trades with stochastics or some other means?

Alan

[Eileen]

Hi Alan, I am not doing stocks, only futures/commoditiesthat are available through openecry

it will take me about two years to get 100 trades it seems. I am hoping to learn more about using the DP eventually and maybe adding trades that way. I am hoping the new version helps me with this.

Maybe I should do stocks? They just seem so expensive?

I have not been using any other filters. Do you use any of the additional criteria in the advanced scanner? Or other filters?

Thanks Eileen

[AlanD]

Eileen,

I'm not a big fan of using MTP to trade stocks. The leverage requirements and the way stocks react tend to push me away from trading stocks with MTP. I'm sure others may disagree but I think MTP is best suited for trading futures/commodities and Forex (to an extent).

I'm currently located in Baghdad and doing no realtime trading due to my bandwidth constraints (and time availability) here. So I have to rely on those posting to the forum to see how MTP is working in current markets. I do like intraday trading more because of the ability to build up the Rs. IMO, price movements and MTP setups intraday tend to be based more on natural market forces and are less suceptible to EOD news. Also, I find EOD trading somewhat boring. [You EOD traders, please don't shoot me for that comment.] To each his own. It's ok if you have to work a regular job during market hours just the best [most frequent] moves in terms of R and accuracy occur intraday. Again, just my opinion. As for DP, I agree that learning how to trade them both automatically and manually is important. DPs have a very mathematical relationship to the previous swings and pivot points. I've notice this for years but didn't know how to derive the math to figure that out. Thats where the genius of the MTP crew comes in.

Anyway, regarding indicators.... Nothing real magical there. As with what Steve teaches, I look at STP divergence, also Stochastics divergence for coorelation factor. I think you'll improve the w/l ratio using stochs divergence with the typical 20 oversold and 80 overbought levels. You can further filter your trades by taking those in a trend by using two EMAs like ema(5) and ema (20). Those are open to refinement. I sometimes have turned off most of the built in filters and have used stochs and STF only to filter. As with everything else, this will work very well in the right market conditions and not so much in other (like trending) market conditions. Of course the intraday timeframe your watching matters too. I've seen posting from traders stating they prefer to use range bars because they produce higher 'R' wins but on the flip side, the number of wins could decrease. I suppose it all boils down to what you feel most comfortable with. I think Steve or Matt have said something in the past about some MTP traders having a 60-70% w/l. Perhaps they have found the right combination of filters with MTP setups. But is that consistent or just periodic numbers? Who knows. But as they have preached to us all along, it's not about the w/l ratio but the affect money management has on the bottom line. Sorry for transgressing from you original comment. Guess I tend to ramble on after awhile.

Alan

[Eileen]

Alan, thanks for the post. EOD is a bit boring. YOur post got me thinking and I am going to add forex to get more trades, rather than adding stocks. And thanks for the other information in the post. Eileen

[martinrcox]

Hi Alan, I am not doing stocks, only futures/commoditiesthat are available through openecry

it will take me about two years to get 100 trades it seems. I am hoping to learn more about using the DP eventually and maybe adding trades that way. I am hoping the new version helps me with this.

Maybe I should do stocks? They just seem so expensive?

I have not been using any other filters. Do you use any of the additional criteria in the advanced scanner? Or other filters?

Thanks Eileen


Hi Eileen,

Like you I tend to trade mainly EOD however I trade more on forex than on indices or metals which are the other 2 markets that I trade (I do not trade other commodities like yourself). Re DP's. You do get quite a few on the forex market (according to my analysis there have been about 20 DP's and 14 DP Continuations between Oct 07 and Apr 08. However some of those would have been for pairs that shared a consituent because some pairs will follow a similar pattern) and I find them pretty reliable if you follow these rules:

Where there is a narrow clearly defined channel I will only ever take DP Continuation trades. For some reason these do not get a lot of press on the forum but can be very profitable and they are with the trend. See the example for EUR / GBP in picture

The other pitcure shows a more conventional application of the DP for AUD / NZD

I hope that this helps

[Eileen]

Hi Martin,

Yes that is very interesting.

1. What broker do you use? I like openecry but they do not have forex. Any suggestions for trustworthy forex brokerage and do you do your futures with the same broker?

2. Any chance you can make the charts a little larger. I would really like to get a better look at them. I think the narrow channel continuation DP is a really interesting idea. I am assuming you find these manually. But you are right they are with the trend. Do you have any data on how well these continuation trades have performed for you?

Thanks so very much.

Eileen

[martinrcox]

Hi Martin,

Yes that is very interesting.

1. What broker do you use? I like openecry but they do not have forex. Any suggestions for trustworthy forex brokerage and do you do your futures with the same broker?

2. Any chance you can make the charts a little larger. I would really like to get a better look at them. I think the narrow channel continuation DP is a really interesting idea. I am assuming you find these manually. But you are right they are with the trend. Do you have any data on how well these continuation trades have performed for you?

Thanks so very much.

Eileen

Hi Eileen,

It is probably easier if you send me a private message with your e-mail address and I will send you the jpegs + other info

Regards




Martin

[njoy]

Hi Eileen,

Like you I tend to trade mainly EOD however I trade more on forex than on indices or metals which are the other 2 markets that I trade (I do not trade other commodities like yourself). Re DP's. You do get quite a few on the forex market (according to my analysis there have been about 20 DP's and 14 DP Continuations between Oct 07 and Apr 08. However some of those would have been for pairs that shared a consituent because some pairs will follow a similar pattern) and I find them pretty reliable if you follow these rules:

Where there is a narrow clearly defined channel I will only ever take DP Continuation trades. For some reason these do not get a lot of press on the forum but can be very profitable and they are with the trend. See the example for EUR / GBP in picture

The other pitcure shows a more conventional application of the DP for AUD / NZD

I hope that this helps

Hi Martin

After following the forum for sometime and with the launch of MTP V6, I am now looking to trade futures EOD and (after your post) forex as well.

With the DPs now fully available in V6, forex and your trend channel continuation DPs certainly look interesting.

I see you are in England too. I am trying to decide from a risk management and position sizing point of view, (spreads, slippage, fills etc) which is the best way to trade, via futures directly or CFDs or spreadbetting.

At the moment it looks as though trading futures/forex directly would be best and I would appreciate your thoughts and any information you may care to share.

Thanks also to everyone for their post on these subjects, they have been a great help.

David

[martinrcox]

Hi Martin

After following the forum for sometime and with the launch of MTP V6, I am now looking to trade futures EOD and (after your post) forex as well.

With the DPs now fully available in V6, forex and your trend channel continuation DPs certainly look interesting.

I see you are in England too. I am trying to decide from a risk management and position sizing point of view, (spreads, slippage, fills etc) which is the best way to trade, via futures directly or CFDs or spreadbetting.

At the moment it looks as though trading futures/forex directly would be best and I would appreciate your thoughts and any information you may care to share.

Thanks also to everyone for their post on these subjects, they have been a great help.

David

Hi David,

I trade using a spread betting account which I find works well for me. If you want anymore info send me a private message

Regards


Martin