Rob C

1 min ORB algo. Here is the backtest for the 1min NVDA Long that I created (R=$200) I have been mining the data to see the possibility of making ORB algos for the last couple of weeks. I looked at 1min ORB first using NVDA long direction. There seems to be about 2.5 years of data where ORB setup could be used. I did try and read a few algo books, but didn't find any useful. Some interviews in the Market Wizards books I found very useful for algo trading. The rest of my method I figured out on the way. I have been profitably trading algos on Futures for almost 2 years now. The only issue I have is my algos trigger a trade at most once a week. Not enough. So looking for more setups. So I first estimated my parameters and values based on what I have learned from the mons at BBT. I then backtested only the last 3 months using Ninjatrader and see if a profitable algo is even possible. This time it was, but these results are useless except for feasibility. I then walk through each parameter to see what has correlation. Interestingly enough almost all the parameters have value limits but not correlation. Except for volume, which the larger the better, and the distance from VWAP, none of the other parameters had correlation except for limits. Though not expected, this is great because it means the parameters are robust. Though Ninjatrader has an optimizer, it usually is not very useful since it curve fits too much. So I manually optimize then run the parameters for the last two years and got mediocre data. But that's normal. Then I use something I learn from one of the Market Wizards, where he uses 2 years ago for optimization and runs the algo on 1 year old data to see if it works. So I noticed, when I used the 1st algo version we were in the red about a year ago. So I used the red time period to optimize. 1min ORB profit when optimized on the recent 3 months then back tested for 2.5 years. I optimize for robustness not profit. I use to make spider web plots (in Excel) with each strand a different parameter and thus try and create a large stable sweet spot. Where the parameters could move around and it will have little affect on the stats. There is almost always a plateau like that, but sometimes it is under water. So if I let Ninjatrader optimize it gives an outragius profit factor of 5.7 with a highly curved fitted solution that if you move any parameter, even slightly, the profit drops off fast. My optimization has a modest PF of 1.7. But all the parameter correlation are gone (even Volume and VWAP). You can move parameter values around, even large amounts with little effect. All the parameter values become min or max limits only. Thus these are the edges of the optimization plateau. Here are the parameter limits: Volume > 300K 1min candle body size > $0.60 1 min candle body size < $2.7 Top 1min candle wick size < $1.10 How far above VWAP when initiating trade > $0.20 and < $2.30 Market opening price Gap for NVDA >$ 0 SPY 1min candle close > -$1.00 Essentially, the algo is saying don't take a NVDA Long when SPY is careening lower. The target and stop are loosely optimized, but are not meaningful since I have a separate trade management algo that takes care of that. For this back test I used a 3 to 1 traget to stop ratio. Then I ran it on the full 2+ years. the data you see is above in the opening graph. Below are the numbers. The max consecutive losers is a little high for my comfort, but its good enough I will start running in sim and create the short version of the algo. Then move on to TSLA, ES and NQ. Thanks for reading to the end. Rob C

October 2nd Trading Day Though I am green today it wasn't a very good trading day. First error was trading at all today. Though I had the minimum hours of sleep, I woke up exhausted and my Garmin watch such all my vitals look horrible (Poor sleep quality, lowest HRV this year, high resting pulse, etc...) But I traded any way. I was watching TSLA, NVDA and BABA. TSLA was setting up for a really good rising devil and I had my finger on the trigger waiting for the price to reach VWAP. I am not sure where I turned my attention (another stock or the 10sec chart on my NinjaTrader), but by the time I looked back at TSLA the VWAP was reached and price already fell. This is not considered an error. This happens sometimes. To go short now would only give a 1.5 Reward to Risk ratio. But I had FOMO and went short, which was error number 2. At least I went with half the number of normal shares since there was a long way to my stop now. The price dropped and reached my target. If I entered where I was suppose to this would have been a 2R profit and I would have gotten all out. Since I was only at 1.4R I only partialed and hoped for more of a drop even though there was no reason to hope for that. That was mistake number 3. The price started to rise and my 10sec chart looked like it was going to keep rising so I covered. At least, at that point, I was smart enough to shutdown my platform and call it a day. Yes, it was a positive 1R day. But not proud of myself today. 10 second candle chart: I hope everyone had a good trading day. Have a good night. Rob C

The 10sec candle chart was useful today. Though I am quite used to reading the tick chart, I was having issues utilizing it at the open. Too much quick thinking. My DAS charts are candles and when I glance at my tick charts on NinjaTrader my mind doesn't switch instantly. So, I have been trying different candle charts. Today the 10 second candle chart was helpful on NVDA. This was the trade on the 1min DAS chart: This looks like a 1min ORB that I took a little early and got out early. Now see the 10 second candle chart. So within the 1min candle you see an ABC configuration forming. Thus, I went long before the 1min candle was completed. But you may ask what advantage did I have if any? If you took a normal ORB you still would have had a 2R trade by 8 minutes after open of the market. The advantage to me is an issue I am having with reward to risk. I usually trade by algo and my reward to risk is programmed in. But now taking live trades I am having an issue with this and most of my winning trades are an 1R win. So far I have been doing surprisingly well with 13 green days and one red. But 1R trades will catch up with me. So, by using the 10 sec candle chart, I was able to make a tighter stop instead of the $185 stop I would have used from the 1min chart. Thus, creating a 2R profit trade. And again I know with this trade and some patience 2R would have been reached anyway. But that is difficult for me at the moment, so I am quite happy with the trade. I hope everyone traded well today, Rob C

Yes they are very flexible. The parameters are unlimited if you create them. They also have a large quantity of indicators to use. Here is a script I wrote for NVDA opening engulfing Long. Back test says it was very profitable for the last two years but interestingly stopped working in 2024. So, I am not using it. I only have 6 parameters and 2 are where to stop out and take profit. See data created from Ninjatrader:

Yes, I have been using Ninjatrader for back testing the last 2 years, but on Futures. Now that I just started back into Equities I will probably start writing the algorithms in about a month. The algos are more for back testing than for taking automated trades (which they can do as well). Also, Ninjatrader had the best charting I have seen. Gotta love the 1sec candle chart...

Is a Tick Chart useful for market opening trades? Hi everyone. I have been a little lacks with my posts as of late, but I only recently got back into equities. I have been trading Futures for the past 2 years. Actually, I never planned to trade Equities live. I got into trading solely to become an algo trader. But soon after starting I realized I should learn live trading first. I think I was a little slow on the learning curve, This was before BBT had all these great resources and trainers. But I did finally get to profitability. But I never liked live trading. So, after being profitable for a time I started writing algos. Quickly I realized algo trading is better with Futures so I became 100% Futures trading. Had fun with it but recently I found a new setup that is really good, but it’s easier to take live. After a couple of months of that I got hooked and was ready to try trading equities live again. So, I got my DAS account back and started watching BBT videos to catch up. Two weeks ago I started trading live. A few days demo to see if the hot keys worked then started live trading at one tenth normal risk. It’s been entertaining. But I have been green or BE for the past 7 trading days, so of course it would be fun. Once I get a few red days under my belt I may think differently. I noticed a few things are different with my trading since last time. Two years ago, my only setup was ORBs. Now I instinctively look for fallen angels or rising devils. Though I have taken a couple of ORBs. I used to wait for at least 90 seconds after the open before taking a trade, Now I have taken several trades before 1 minute. Previously I greatly favored longs. Now I am reasonably not swayed by long/short. Though I may have a day to day preference based on the overnight ES or NQ Futures. Since I am watching them anyway. Two years ago I had a desktop computer with 4 screens and now I have 3 laptops though one is attached to a screen. I use to look at least 6 if not more stocks at once at the open. Now I limit to 3. I use to turn off the BBT Chat right before the open. Now I leave it on. And lastly, probably the biggest difference is I have the stocks tick chart on a screen if I am interested in trading it that morning. Since it’s common to use tick charts for Futures, I got use to reading them. I haven’t seen the tick charts make a big difference. But they have been helpful. They are good at showing extrema that you are unable to see since it occurs inside the 1min candle. For example let me show you PDD trade I took Friday. It was essentially a break even trade. But would have been a full stop without the tick chart. So I tried a rising devil. I waited for the price to bounce back to the VWAP and the price stalled on the tick chart, so I went short. I had a small stop so the $91.20 goal was almost a 2R trade. So here is the play by play on the tick chart. If you were wondering if the chart has to be a tick chart or just one with very small intervals? Below is a 1sec candle chart of the same time frame. For the most part you can get the same price action information on the 1sec candle chart. What I like about the tick chart especially at the open where you have very little time to think, is the tick chart gives price and volume on the same chart. While the chart above is actually two charts, the price above and the volume below. Which takes me longer to process. Anyway, it’s just a preference. This tick chart and 1sec chart was from Ninjatrader. I can make stock trades from Ninjatrader but it is too slow for the open. So I use it for charting only at the open. So, it’s nice to be back. I hope everyone is doing well. Rob C

Futures (GC - Gold) algo trading journal Monday 5/02/22. I was taking a break from posting my trades, but I had to post this one. I always hope that my algo will trigger some winning trades during the night that I reach my goal by morning and I am done for the day before the open. That finally occurred. Gold Futures get lots of volume over night from Asia and trades can be triggered. I got two winners last night and the second one quite large. Both were pullback trades that worked well. Then the algo turned off, as programmed, when my goal was reached. A good start to my Monday morning. Have a good night. Rob C

Hi Peter, sorry for the delay. I am taking a few months off journaling on BBT. I will probably restart in August when I have time again. For DAS Futures try this link: https://dastrader.com/docs/how-do-i-trade-futures/ But I thought I read some BBT members not happy with the Futures data from DAS. I was told right from the beginning Ninjatrader is the best for Futures and I have not been disappointed. I like the platform more than DAS except for speed. DAS is faster. So if your are scalping stocks there will be nothing better than DAS. Outside of stock scalping there are other options. Yes I STRONGLY recommend Ninjatrader for Futures. Great plots, great functionality, great algo programming, great back-testing and awesome replay SIM trading. You can try it for sort of free. The Platform will be free but you will have to open an account ~$400. But I think there is a monthly broker fee. Maybe as high as $25/month. But you can try it out in SIM trading and see how you like it. To get all the bell and whistles it is a single payment of $1.1K. I hope that helps. Well since I am here anyway I might as well post my trade today. I came back from work and noticed my trading computer was frozen. I have been having this issue lately. Tried defrag and updating the drivers, but no luck. So I thought I missed a good trading day. But I checked and my algo triggered a trade before the computer froze. Have a good night. Rob C

Futures (GC - Gold) algo trading journal Monday 3/28/22 It doesn't get more textbook than this. It looked like the algo was not going to trigger a trade today. Then just before the market close the price dropped quickly and then retraced fast, but not too fast back to the 50% Keltner line where the algo triggered a short. Then the price dropped right to my target. Have a goodnight. Rob C

Futures (GC - Gold and MES) algo trading journal Friday 3/25/22 Another day with 3 trades triggered. The first trade was triggered on the gold futures in premarket. Definitely some weakness in the market and a good pullback which triggered the short. Then over an hour of meandering until the algo reached its limit and got out at BE. Then 5 minutes later the price dropped and reached the target without me. That's 3 GC trades in a row the algo got out at BE but would have been winners. I will definitely be looking at the algo parameters this weekend. Then the price made a new low and a pull back. This trade was text book with a nice pullback, the algo shorted and then the price ran to my target. The MES showed strength about 1 hour after the open with just enough momentum to satisfy the algo. With a strong pullback the algo went long. The price hovered for a bit then really dropped fast to my stop. That's 2 MES stop outs in a row that were triggered by the bare minimum momentum. I will need too look at those parameters this weekend as well. Wow! 11 trades this week. I am usually happy with 5. Winners: 5 Losers: 3 BE: 3 Have a good weekend. Rob C GC MES

Futures (GC - Gold and MES) algo trading journal Wednesday 3/24/22 Another good day with 3 trades triggered by the algo. It has been so many weeks that I felt lucky to get one trade a week, it seems amazing to get these many trades. Gold had a strong opening and a strong pullback which triggered the long. The price kept dropping but the stop held. The price bounced off of the lower Keltner band and then went straight to my target. The next trade was on the MES. When I reran this trade on backtest the trade was not even triggered. It barely met the minimum requirements to trigger a trade live, but it did. First, I got a really bad fill with a 6 tick slide. If I only had a 5 tick slide the trade would have been a BE. If I had a good fill it would have reached partial profit. As triggered though it hit my stop. Right at the end of the session I got lucky with another trade. This one very text book. Broke the resistance to a new high. Pulled back and the resistance became support. Price bounced off the support to my target. Have a good night, Rob C

Futures (GC - Gold and MES) algo trading journal Tuesday 3/22/22 Big day. Algos triggered 4 trades today. The GC opened with weakness and a text book pullback. The algo went short. The price did initially drop but then started to meander. The algo is written so it is not very tolerable to this behavior and covered at BE. About an hour later the price did reach my target. We had 3 long trades triggered on the MES. Lots of strength and classic pullbacks. The first two trades the price quickly reached my target after going long. The last one immediately went against me and just reached my stop by a tick before heading back up to reach my target. Have a good night. Rob C

Futures (GC - Gold) algo trading journal Monday 3/21/22 Though the volatility was low enough to trade on the MES the only trade triggered today was with the gold futures. Strong momentum right from the open with a deep pullback about 1 hour after the open. The algo went long and the price did reach my target. But I have the setting to get out at BE way too tight. I do know this but the GC contracts are expensive so I do want the algo to bail on the trade quickly. So the price just moved high enough to reach the price it is not expected to pull back. The price did, so the algo sold at BE. I got a great fill and actually made some money on the trade. Have a good night. Rob C

Futures (MES) algo trading journal Friday 3/18/22. Finally, the volatility was just low enough today for the algo to trigger some trades. We had some good momentum in the morning which peaked and we had a strong pull back. Once the price stabilized the algo went long. The price didn't do much and the algo sold at BE before the price dropped. Then for the rest of the day the momentum was up but weak until the last hour. Again on a deep pullback the algo went long. First, it took a partial then sold the rest at the target. Have a good weekend. Rob C

Futures (GC - Gold) algo trading journal Monday 3/07/22 As I said previously my algo has been sitting out the markets due to the high volatility. But luckily things calmed down last night on the Gold Futures for the algo to trigger a trade. After the NYSE closed things went south for gold and hit the bottom with a slow but significant pullback. The short was triggered. Though the price did drop it did not reach my target and retraced. Th algo covered at BE. Have a good night. Rob C

Futures (GC - Gold) algo trading journal Wednesday 3/02/22 Due to the high volatility of the MES my algo is sitting out the markets each day. So I spent quite a few hours to update the Gold Futures algo. I finished updating the shorts algo and turned it on yesterday. A trade was triggered today. I really like this trade from today and not just because it was a winner. The momentum down was prevalent and we had a strong pullback about 2 hours after the open. But the algo did not trigger the trade due to the momentum not quite strong enough (see the 200SMA -bright green line - slope is not large enough yet. This is good since it would have been s top out. The price dropped and and sat at the low for a few minutes then we had another pullback. Now the momentum was strong enough and the algo triggered the short. The price dropped very quickly to the target. Have a good night. Rob C

Futures (MES) algo trading journal Friday 2/25/22 A really good day today. I was thinking, due to the high volatility, the algo was going to sit out the whole week. But the volatility was just low enough to day to allow the algo to trigger some trades. There was 90 minutes of really good momentum and and deep pullbacks but the volatility limit was being breached. Finally after 90 minutes the volatility dropped within spec limit and a long was executed on the first deep pullback. The price got near my target but then fell back to sell at BE. The good news is I reprogrammed the algo last weekend to take partial profits. So actually a sell order went through when the price got near the target. So it was a profitable trade. The price fell back and starting to make another attempt at the at the high. The algo triggered another long. I got a terrible fill. Too bad just an average fill I would have had a winner. Same as before the price went high enough to trigger a partial profit sell then fell back to BE. The price made a new high with another pullback and the algo went long again. The price dropped and my stop barely held. The the price rose to my partial profit target and my full target. Have a good weekend. Rob C

Futures (MES) algo trading journal Friday 2/18/22 I had a loss today making my first red week this year. Powerful weakness in the morning and we had the type of pullback the algo looks for and it went short. But the pullback was too deep and I was stopped out. Then the price did drop afterwards and reached my target. So for the week: 1 loss and 2 BEs. This also makes me BE for the month of February so far. So I have a lot of data to process. The main issue is I have had 6 BEs in February and 8 in January with out taking a partial profit. More than half of my trades are BEs, That is a bit of money left on the table. The previous market conditions it was not profitable to take partials but I think that is different in the new market conditions. I need to analyze if it is time to start taking partials and program the algo accordingly. But that is what long weekends are for... Have a good weekend. Rob C

Futures (MES) algo trading journal Thursday 2/18/22 Big drop in the MES yesterday afternoon with a nice pullback. The algo shorted and we did get a price drop but retraced and the algo covered at BE. Then a few minutes later dropped to reach target. It seems to be common now (like Tuesday) if I did not pull my stop to BE I would have had a winner. It may be a new personality trait of the current market. If I get enough data I will update the algo accordingly. Have a good day. Rob C

Futures (MES) algo trading journal Wednesday 2/16/22 I finally got a trade this week. With volatility and sideways movement the algo sat out the last two days. By 30min after the open we got enough downwards momentum so the algo was waiting for a deep pullback. We got a perfect one and the algo shorted. The price dropped immediately but then retraced and the algo covered at BE. About 10 minutes later the price did drop and reach my target. Have a good night. Rob C

Futures (MES) algo trading journal Friday 2/11/22 We had a small window of moderate volatility in the midday for the algo to trade. After continued weakness and the usual pullback that the algo waits for a short was triggered. The price did drop and just missed the target and was covered at BE. Then a few minutes later the algo triggered another short. This actually should not happen because the price move to test the low already occurred. So I need to dig into the code and see why the algo let this happen. The price move high enough to stop me out before moving lower again. Have a good weekend. Rob C

Futures (MES) algo trading journal Thursday 2/10/22 Algo triggered no trades yesterday. Today we did get one trade to the short side. There was some strong momentum at the open, but that was just the price canceling out the overnight weakness. I wrote the algo to assume that is just an overall sideways movement so it sat out the open. Later in the day we had real weakness with enough momentum and pullback to trigger a short trade. Also, the volatility was barely low enough to squeak through the volatility filter. After the trade was entered we went 15 minutes with sideways price movement. Then finally a quick drop which fizzled and the algo pulled the plug and covered. Which is a good thing since then the price pulled well back and would have caused a stop out. Have a good night. Rob C

Futures (MES) algo trading journal Tuesday 2/08/22 Strong momentum for a couple of hours but sadly when the algo triggered its trade the strength fizzled. It looks more like a failed break out than a retest in hindsight. Thus I was stopped out quickly. Good luck today. Rob

Futures (MES) algo trading journal Monday 2/07/22 At midday the MES started a slow but consistent move higher. After 2 hours the move peaked and had a deep pullback. But the pullback was too strong and the algo waited for the price to stop dropping and stabilize then triggered a long trade. The price quickly moved higher to the target. I hope everyone had a good day. Rob C

Futures (MES) algo trading journal week summary 2/04/22. Due to volatility and some sideways movement the algo chose to sit out 3 out of 5 days. But luckily it still triggered 4 trades this week which I am quite happy with. Wins: 2 BE: 2 Have a good weekend. Rob C