MT open range strategy - settings for various scenarios

Originally from ticket #2103.

Hello,

Thanks for your reply on my earlier mail.

I just downloaded your open range indicator as well as the strategy. But I am unable to find any help guide on how to set up different parameters on the strategy and detailed explanations of these parameters. Also, I am looking to back test this strategy on historical tick data. But it seems like the open range strategy only fires on the next candle after the signal generating candle. I am looking to go short or long right after the cross of the open range intrabar. Can MT open range strategy handle intrabar orders on a tick by tick basis ? Can it also handle any type of offset, i.e go long or short 5 ticks after the breach of the opening range ?

Thanks.

Mitesh Patel

Hi

Currently the framework is designed to enter on bar close- in 2013 we are going to be working on a solution for tick by tick signals.
This creates many caveats and we have found doesnt neccessarily perform any better, tick zones can be used to detect when a threshold is entered and at that point filters can be assessd, however if it is a threshold cross with filters - you may find that you get less signals - so they you have to create a new model to allow a losse aligment of probables and possibles.

Or
The open range indicator which is used by the strategy you will see in it parameters that you can set the range according to a higher time frame/secondary bars.

So you could for instance on a 10r ange chart or 5 minute or 100 tick - plot a 30 minute open range - which when crossed will cause a trade signal.

So you can emulate tick by tick to varying degrees - or actually if you dont mind waiting fort a chart to load and have the data and dont require the primary bars to be a certain dataseries for trade management you can load a 1 tick chart - but i would suggest 100tick to start with.

To get the zone:

Or you can experiment with with Trade Zones - which is a "Signals" indicator parameter that allows comparision of price to a certain area aftee the setup or entry is fired.

Signals are either setup (green or red dot) and entry in one (red or green triangles) or can be split into 2 phases
Example
Setup = the cross
Entry Confirmation = must be a close above and be n ticks away from the setup area.

Please see the link for a view of how that might work
http://screencast.com/t/tZq7oRaBAR6

Forex 10th Pips used in the example 100 = 10ticks

i will make a note to allow the usage of a custom Zone - based on the upper and lower of the open ragne for inclusion in the next release

Any thoughts or question please come back and say.

MicroTrends Support
support@microtrends.co
http://www.microtrends.co/support/

Tip! You can visit the help desk forum to see previous answered frequently asked questions:
http://microtrends.zendesk.com/forums

Hello,

Thanks for getting back to me.

So if I understand you correctly, if I bought the Open Range Strategy from MT just the way it is currently, it won't do what I am looking for correct ? Just to clarify, what I am looking for is a simple auto trader system which first defines a high and a low range of the first n minutes (where n is user defined input). It then goes long if the price trades n ticks above the upper open range or goes short n ticks below the lower of the open range. Profit target and stop loss is n ticks (again user defined input).  Take only 1 trade per day (Regular Trading hour session).

Thanks.

Mitesh Patel

________________________________
Subject: [MicroTrends Help Desk] Re: MT open range strategy

Jsut to let you know:
We will be putting a task in to add n% or nTick zones above the open ragne high/low

MicroTrends Support
support@microtrends.co
http://www.microtrends.co/support/

Tip! You can visit the help desk forum to see previous answered frequently asked questions:
http://microtrends.zendesk.com/forums

Hellio,

Any idea When will this task will be completed?? Also how do i limit to just one trade per day??

Thanks.

Mitesh

Sent from my iPhone

It is scheduled for January 2013 - but there is no fixed date as yet.

However you can use the Trade Zone feature to set a band above/below the open range
by setting

signals group parameter
Trade Entry Zone Price Mode =3
http://screencast.com/t/hyF7FlRMKQq

You can limit trades by
session time start and end to limit when trading takes place
trades per direction =1

But you probably mean the following:
Limit to 1 per day at anytime or direction
you can do this by setting the

Strategy Performance Limits group parameters
Wins by Day = 1
Loss by Day =1

http://screencast.com/t/CzkNoEdk

There is a caveat - this is only actioned after the trade is closed - so it maybe be possible it will enter on a reversal - however it will then close...
This is a feature that needs to be addressed in an update too.

MicroTrends Support
support@microtrends.co
http://www.microtrends.co/support/

Tip! You can visit the help desk forum to see previous answered frequently asked questions:
http://microtrends.zendesk.com/forums

Hello,

Thank you very much for all your help. I think I am getting there (slowly but surely) !!! The more time I spend tinkering with all the parameters options, more I am getting familiar with your open range strategy. I must say, I am very impressed with the amount of options you have incorporated and the level of customization it can offer !!!!! I just wish there was a detailed help guide on each option and explanation of what are the choices so that users like me won't have to bother you with tons of question emails back and forth.

With that said, I have two following questions. I would appreciate it if you simply fill in the answer under each question to save you some time and not to confuse things  :

(1) The Trade Zone feature is still confusing to me. I did set the TradeEntryZoneprice to 3 as indicated in your screencast but I fail to understand where do you specify "5 ticks above or below" this zone ? What I am looking to do is on a 1 minute chart, set upper open zone and lower open zone and after the first 1 minute candle is closed, during any subsequent candle, as soon as the price crosses the upper zone by 5 ticks or goes below the lower zone by 5 ticks, fire a long or a short trade. I think you mentioned that currently your program is set to handle trades only at the close of a candle so for now, I will settle for trade to be fired on the open of the next candle but as long as the previous candle crossed the upper or lower open range by 5 ticks(and not necessarily close above or below 5 ticks), I would like a trade to be fired at the very open of the next candle.  How exactly do I set up the trade zone= upper and lower 1 minute open range and
how do I offset it by  5 ticks for the trade signal to be fired? 

Answer :

(2) I now understand how to limit trades to just 1 trade per day, win or loose, by setting wins by Day =1 and Loss by Day = 1. But what if I want to take the first trade of the day and if it meets it's profit target and is a winner, no more trades for the day. But if the first trade is a looser and hits it's stop loss, take 1 more trades after the looser in the opposite direction ? Is this possible ?

Answer :

(3)To make it even more challenging, is it possible to keep on taking trades in the opposite direction until either (a) Profitable or (b) end of the Regular trading session which ever comes first ?

Answer :

(4) Is it possible to use Martingale type of formula each time after a loosing trade (double up number of contracts after each loosing trade until profitable)?

Answer:

(5) If I want to take the first trade with 2 contracts and if I want to set profit target of 10 ticks for the first contract and set trailing stop of 10 ticks for the second contract, what settings will need to be used to accomplish this?

Answer:

I sincerely appreciate all your time in answering my questions. I can not wait for the release of the tick by tick version of the open range program. I am a sure customer and will be placing a buy order of the tick by tick open range program as soon as it is available.

Thanks.

Mitesh Patel

________________________________
From: MicroTrends Support <notifications-support@microtrends.zendesk.com>
Subject: [MicroTrends Help Desk] Re: MT open range strategy

Thank for your words -yes the aim is to get the framework finalised then focus 100% on documentation, forum ,videos etc
1st quarter of 2013 is the aim

(1) The Trade Zone feature is still confusing to me. I did set the TradeEntryZoneprice to 3 as indicated in your screencast but I fail to understand where do you specify "5 ticks above or below" this zone ? What I am looking to do is on a 1 minute chart, set upper open zone and lower open zone and after the first 1 minute candle is closed, during any subsequent candle, as soon as the price crosses the upper zone by 5 ticks or goes below the lower zone by 5 ticks, fire a long or a short trade. I think you mentioned that currently your program is set to handle trades only at the close of a candle so for now, I will settle for trade to be fired on the open of the next candle but as long as the previous candle crossed the upper or lower open range by 5 ticks(and not necessarily close above or below 5 ticks), I would like a trade to be fired at the very open of the next candle. How exactly do I set up the trade zone= upper and lower 1 minute open range and
how do I offset it by 5 ticks for the trade signal to be fired?

Answer :
http://screencast.com/t/wuedgDWr

TradeEntryZonePriceMode =3
N.B. Re-assesing it the dynamic setting for TradeEntryZonePriceMode will set it from the setup candle close - but going forwards we will set it to #3 to mean above the range upper or below the lower etc -so keep it like that for now.

TradeEntryZoneStart=5ticks this is where the trigger zone starts... 5 ticks above the point specified by TradeEntryZonePriceMode
so cross into the trigger zone for a trade...

TradeEntryZoneEnd
This trigger zone depth can be limited by TradeEntryZoneEnd
So TradeEntryZoneEnd=5 would give you a trigger zone starting at 5ticks above the setup candle close - limited to 5 ticks in depth - so a timebased volatile move can be filtered out. eg if it moved 30ticks in 1 minute you have missed your profit oppurtunity with a late entry.
So that is how its controlled with time based bars on barclose - if you are using a range bar you are limited by the candle range and not by some arbitary time etc.

(2) I now understand how to limit trades to just 1 trade per day, win or loose, by setting wins by Day =1 and Loss by Day = 1. But what if I want to take the first trade of the day and if it meets it's profit target and is a winner, no more trades for the day. But if the first trade is a looser and hits it's stop loss, take 1 more trades after the looser in the opposite direction ? Is this possible ?

Answer :
Losses By Day=2
Wins By Day =1

Signals
Trades Per Direction =1
Trades Per Deirection Reset=1

(3)To make it even more challenging, is it possible to keep on taking trades in the opposite direction until either (a) Profitable or (b) end of the Regular trading session which ever comes first ?

Answer :
http://screencast.com/t/XcM8dc3W9e

Losses By Day=0
Wins By Day =1

Signals
Trades Per Direction =1
Trades Per Direction Reset=1

Session mode=1 ( takes trades during the following time - then close positions at end, 2 = no new signals but keep open after session)
Session Start Hour=8
Session Start Minute=30
Session End Hour=15
Session End Minute=30

(4) Is it possible to use Martingale type of formula each time after a loosing trade (double up number of contracts after each loosing trade until profitable)?

Answer:
http://screencast.com/t/G4kkb47lqqvh

Position size mode
Fixed Fractional Anti Martingale
Constant Position size

Martingale can be added in a future release - perhaps not just to double but increase by a ratio of N...

(5) If I want to take the first trade with 2 contracts and if I want to set profit target of 10 ticks for the first contract and set trailing stop of 10 ticks for the second contract, what settings will need to be used to accomplish this?

Answer:
Constant Position size for futures - 2 brackets
http://screencast.com/t/xnlQZG1LN

2 trade units
stop set at 20
no breakeven specified
Target 1 10ticks
Trail from 10tick profit trigger by 10 ticks from current price every tick
http://screencast.com/t/t7Syj4B6zPB1

MicroTrends Support
support@microtrends.co
http://www.microtrends.co/support/

Tip! You can visit the help desk forum to see previous answered frequently asked questions:
http://microtrends.zendesk.com/forums