Short term pattern trading

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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blueberrycake
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Short term pattern trading

Post by blueberrycake » Tue May 06, 2003 11:53 am

I know that this is mostly a trend following forum, but I was wondering if anyone here is involved in short term pattern based trading (ie Crabel's ORB breakout) and would be interested in having a discussion regarding developing such patterns and statistical testing to ascertain their validity.

-bbc

Kiwi
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Post by Kiwi » Tue May 06, 2003 5:40 pm

NR7s etc are something I've looked at in the past although I'm not using it now.

Forum Mgmnt
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Post by Forum Mgmnt » Tue May 06, 2003 6:40 pm

bbc,

I don't think of this forum as a "Trend Following Forum". I think of it as a mechanical systems trading forum.

If there are repeatable phenomena in the markets we can make money from, that fits here. Trend following, counter-trend, patterns, quantitative fundamentals, they all work. The idea is to exploit repeating behavioral patterns that show up in repeating price movements of some sort or another.

We use pattern type trading systems at g.c.. This is merely one strategy in the mix.

- Forum Mgmnt

John D.
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Post by John D. » Tue May 06, 2003 11:25 pm

NR7, NR4, inside days, what happens if Today is an oustide day following an inside day?

An Inside day following an Outside Day?

What happens if Today closes in the top 75% of todays Range and Tommorrow opens below yesterday's close?

Should you add a volatility expansion to the open or yesterday's close?

The combinations are endless.

Kiss the wife and tell her, you'll see her in a few years. :lol:

blueberrycake
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Post by blueberrycake » Tue May 06, 2003 11:40 pm

John D. wrote: The combinations are endless.
Yup. Which is why there is always substantial opportunity to find an edge that is not over-exploited. Also, unlike trend following, patterns erode much quicker if they are actively exploited.

Over on the EliteTrader message board (www.elitetrader.com) a member by the name of Acrary has posted some very interesting ideas on how to verify whether a particular system has an "edge" or if it is just exploiting the "character of the market", such as the tendency to trend and have non-normal distributions. The concept is immensely useful for validating market patterns.

-bbc

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