Important - set-up confirmed by trend

[Tony Beckwith]

As an example, the superb ES 3min. short on Friday, 15th April (Real-time software 'Trade of the Day') was against the backdrop of a DOWNTREND - the 20-bar exponential moving average (EMA) on the 60 min. ES was FALLING at the time (all day, in fact).

Filtering by trend like this tends to raise the win/loss ratio over time and enables you to try to run the trade longer, biasing the risk/reward ratio higher...

Thanks

Tony.

[stevej]

Filtering by trend like this tends to raise the win/loss ratio over time and enables you to try to run the trade longer, biasing the risk/reward ratio higher....

I find the same filtering EOD but, curiously perhaps, the R/R falls as the hit rate rises. Any idea why? Does this happen with RT?

SJ

[Tony Beckwith]

SJ

Thanks for this, you raise a very interesting point here.

My trend-filtering work on RT index trades since Feb 1 (as covered in the daily "RT Roundup") suggests that filtering set-ups with the 20-bar EMA on the 60min. chart at the time of the set-up raises the win/loss ratio by nearly 10 % points over the period. For example, if the baseline is 40% w/l, filtering will boost it to near 50%.

When I've done some more work, I'll confirm the impact on the average R/R figures, given what you say about using trend on EOD set-ups.

Thanks again

Tony.

[Angel]

Hi all crew,

By using trend on EOD set-ups, you suggested that filtering set-ups with the 20-bar EMA on higher time frames raises the win/loss ratio nearly 10% points over the period. But as Stevej said, the win/loss ratio rises but at the same time the R/R falls.

Following your studies, what is exactly the impact on the average R/R figures on RT set-ups given what you said the 04-21-2005 ?

Thanks for your attention,

Angel

[Tony Beckwith]

Hi Angel

I'm checking from now and will post here.

Just to be clear, this is the 20-period exponential moving average on the 60min. chart above 3 and 5 min set-ups (not EOD).

Thanks for the question.

Tony.