MTDS Open Range Guidance

Tom:

I looked at your new MTDS video, installed, etc.  Also looked at your 

Open Range video and have questions about it:
- Back-tested with the pairs from your workspace, and other pairs,
using your "GBP..." template.  Tried various date ranges, and sizes
of range bars. Losing trades always outnumbered winners, and could
rarely get into positive cash with these backtests. Suggestions?  Is
there something else I should be optimizing?  Or is this just a non-
starter strategy?

As I mentioned before, I can learn from your videos, forum and blogs,
but it's kind of scattered. To gain a foundation, I'd like to
understand your parameters. Since there is no manual, or even a
glossary of terms, and all one has to go on are the code and grey boxes
that tersely (and inadequately) explain these parameters. I will begin
with questions from the top, down to "Trade Filter Rules" using MTDS
Open Range Trader as example.  Later, I will ask about the rest of the
parameters in this strategy.

- Trade Setup Mode: What's a price test?
- Lookback - means base decision on what happened n bars ago? Why
wouldn't n always be 0?
- Trades per Direction: Means n contracts in a direction (long or short)
before stopping, or reversal?  Is this to protect principle?
- Trade Signals per Session: What's a session?  Why limit the number of
signals?  When limit is reached, trading stops for the session?
- MFE: Please define
- USAR: Please define
- Time Based Exit: After n bars?  So why would one exit after 2 bars,
for example?  Wouldn't you want to exit when the signal tells you to,
or when you hit a limit or stop?

Is there a paragraph describing (in non-programmatic English) exactly
what this strategy is trying to accomplish. Looks like it is using
crossovers to signal entries and exits, using USAR, ATR and MFE
signals?  Why do you like these signals in particular?  There are
hundreds of more sophisticated signals.  Could one use your code to
substitute other signals?

Thanks,

Steve

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Open Range - it is a fantastic way to trade...for me.. for you maybe not. 

For more advanced techniques on that see this article
http://blog.microtrends.co/2015/06/components-for-discretionary-rules-over-a-mechanical-session-open-breakout-system/

Win ratios are nothing to do with system validity - you need to understand win ratio and risk reward - you need to identify your trade psychology and match a system to that. ie low win ratio - positive risk reward, high win ratio - inverse risk reward - but both must have a positive expectancy. So you need to learn what you are able to trade - and how to configure/identify a system to lean towards what you want/like/ can trade with... "Trader Psychology and Style"

I can see from your questions and answers you really need to understand a background of trading please read the following or you will lose 99% and spend lots of wasted cash learning:

Book Reading Lists
New Market Wizards
Way of the Turtle -
Mechanical trading systems - Earik Beann
Mechanical Trading Systems - Pairing Trader Psychology with Technical Analysis - RICHARD L. WEISSMAN

Now you need to understand this also
http://www.vantharp.com/tharp-concepts/expectancy.asp
http://www.learningmarkets.com/determining-expectancy-in-your-trading/

- Trade Setup Mode: What's a price test?
Configure the Trade Setup Mode and see in on chart study the signals

Imagine on chart price above a line then coming down so the low of the bar is to the line and hitting or going through the line then going back up and closing...
now imagine it also below a line and rising up then falling away - "rejecting"

- Lookback - means base decision on what happened n bars ago? Why
wouldn't n always be 0? ...Try it.. with filters have a larger number to allow a loser set of of condition system... not so tight or perfect... the setup can happen then the filters can agree over the course of 1 or more bars... later

- Trades per Direction: Means n contracts in a direction (long or short)
before stopping, or reversal? Is this to protect principle?
try it - you might like it... it mean you can only take n trades in each direction before a reverse or reset is required - it might produce better results or preserve equity

- Trade Signals per Session: What's a session? Why limit the number of
signals? When limit is reached, trading stops for the session?
it might produce better results or preserve equity - you can define the session using the session parameters
You need to google "Trading Session Definition"

- MFE: Please define Google this Maximum Favorable Excursion

- USAR: Please define - USAR Filter - MTDSUSAR is an indicator used as a filter, and trail stop and exit mode

- Time Based Exit: After n bars? So why would one exit after 2 bars,
for example?

> it might produce better results or preserve equity try it

Wouldn't you want to exit when the signal tells you to,
or when you hit a limit or stop?
> it might produce better results or preserve equity try it
>you might prefer it

"Is there a paragraph describing (in non-programmatic English) exactly
what this strategy is trying to accomplish."

Open range systems produces a signal for long or short:
long when price crosses above or price tests and rejects the upper trigger line
Short when price crosses below or price tests and rejects the lower trigger line

" Looks like it is using crossovers to signal entries and exits, using USAR, ATR and MFE
signals? Why do you like these signals in particular?

The Open range systems produces a signal for long or short - MTDS has off the shelf features you can combine with it to customize and set up your preferred trading approach with it. They work for me.

"There are hundreds of more sophisticated signals. " Could one use your code to substitute other signals?""
you can code and add in extra rules and features the strategy is open source and MTDS lets you extend what is provided

You can google open range systems and compare them.. Fisher for example

You most definitely need to do read that list and learn about money management and Expectancy as well as psychology of systems - win ratios for example

Please check the prior ticket

many thanks

tom

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