ninjatrader webinar - marketexitsuite

8/17/2019 NinjaTrader Webinar - MarketExitSuite

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About Us (1) Mission

We strive to provide quality, value-added products and services tothe capital markets trading community, in an eicient and costeective manner, !hile protecting and saeguarding the interestso all stakeholders in !hat !e do"

What !e do

#mega$igma %radecrat uses &in'a%rader, and &in'a$cript, todevelop innovative sot!are, and eecution solutions, orproessional traders"

We develop indicators and automated strategies or any price orvolume based market event, such as indicator actions likecrossovers, volume spikes, or candlestick ormations" We, at thistime, do not provide any solutions to ne!s-driven events, not evenan unconditional quick eit beore the event"


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About Us () *o! our sot!are can be used

#ur sot!are can can be used or trading stocks, currency pairsand utures on ma'or !orld echanges"

We design sot!are or traders o all abilities, and !ith diering

trading needs and goals+ seasoned traders and investors traders!ith lo! capital and ne! traders and investors"


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About Us () Who are !e.

We are a small group o traders, bloggers and programmers, !ithvarious analytical and other mathematically based skills" #ver theyears, other traders, as !ell as ourselves have developed dierent

trading approaches and methodologies to trade our o!n accounts" Many o these methods required mathematical calculations based

on price/volume events" %he sheer speed o the markets, and thenature o these calculations, caused us to !rite computerprograms to handle the heavy !ork"

%his, !e ended up translating the ideas o various traders andourselves into indicators and even strategies" We are makingthese indicators available to our customers"


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0ntroduction 0 shall be presenting some methods or eiting trades, using the

markets immediate past behavior as a guide as to !here to set eittargets or the trade" %his inormation is all derived rom measures oaverages and a users desired !in/loss ratio"

0 shall present dierent indicators, each providing the same basicinormation, and each presenting etra inormation, depending on !hat

inormation is being processed by the method used"

%he common inormation provided by these indicators are+

– 2otential price target

– 2otential price movement (usually in ticks)

%hese indicators !ere programmed based on our ideas andobservations, so !e consider them to be our proprietary intellectualproperty" We are not a!are o any vendor !ho, at this time, providessimilar indicators"


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3irst things irst 4 legalmatters (1)

0 do not carry any securities registration, so 0 cannot, nor am 0allo!ed, to give any trading advice"

5uring the presentation, 0 shall reer to real instruments or illustrativepurposes"

Any such reerence is not a recommendation to trade the instrument"

%his presentation is educational in nature, not trading advice o anykind !hatsoever"


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3irst things irst 4 legalmatters ()

U"$" 6overnment 7equired 5isclaimer - 8ommodity 3utures%rading 8ommission

3utures and #ptions trading has large potential re!ards, butalso large potential risk" 9ou must be a!are o the risks and

be !illing to accept them in order to invest in the utures andoptions markets" 5ont trade !ith money you cant aord tolose" %his, and all other inormation on our !ebsite, is neithera solicitation nor an oer to :uy/$ell utures or options" &orepresentation is being made that any account !ill or is likely

to achieve proits or losses similar to those discussed on this!eb site" %he past perormance o any trading system ormethodology is not necessarily indicative o uture results"


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3irst things irst 4 legalmatters ()

CFTC RULE 4.41 - *92#%*;%08A< #7 $0MU


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What !ould you do.0 beore your net trade, you could speciy a !in/loss ratio and ask themarket this question, and get an ans!er, !hat !ould you do. BMarket,look back at the last 1 times this happened and tell me !here 0 shouldhave placed my target eit so that 0 !ould have had a !in/loss ratio oCDE.B (%hat may be any percentage+ CDE is 'ust an eample)"

(a) &ever make another losing trade"(b) >eep it secret"

(c) 0mmediately order a ne! Mercedes or 3errari"

(d) >no! !hen not to trade"

(e) %ake trades !ith more conidence"

() &ever, ever, again move my stop back!ard"

Multiple ans!ers permitted"


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#b'ective

Ater 0 eplain the indicators, one should be able to+ 5ecide !hat timerame best meets ones desired ob'ectives, or i to

stand aside instead o trading"

>no! immediately !hether to make a trade or not, based on theaverages o past price movement, or on a desired !in/loss ratio ascalculated rom past price movement"

>no! in !hich direction a trade !ould be more likely to be successul"

%his should provide an ability to quickly create a viable trading method totake advantage o the market action, or to stay out o unavorable

markets"


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0nterrogating the market(1)

What i !e could say this to the market+ FMarket, looking at the last, let us say, 1 times that a bar broke

above (or belo!) the previous bar, can you tell me ho! many ticksabove the breakout (or belo! the breakdo!n) that i 0 had placed aneit order, the target !ould have been hit CDE o the time.G


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0nterrogating the market()

0n eect, you are asking the market to backtest, right at this particularcandle, and tell you !here you should have placed your target, or a CDE!in/loss ratio" And you are asking, and getting a response on eachcandle" ;cept it is a running backtest, in realtimeJ

*o! about these questions.

FMarket, can you tell me i !e shall break above the previous candle,or belo! the previous candle.G

B0 !e already broke the high o the last candle, ho! likely is it that onthis candle, !e shall reverse and also break the lo! o the previouscandle.B

We are going to ask the market these questions, and !e are going to getresponses that !e can use" %hat is !hat the Osi_BreakoutExtents indicator is going to ask the market or us"


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0nterrogating the market()


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$ummary(1)

indicators !ill be discussed"

● As the use o the inormation is pretty much the same, there!ill be considerable overlap in ho! the inormation is used"

● %he indicators each !ork best on dierent time rames+

$!ing %rading, 5ay %rading, $calping, and possibly 2osition%rading"

● *o!ever, or position trading, !e have a preerence orusing the #siL0chimoku indicator and the associated#siL0chimoku$canner"


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$ummary()

%he indicators are+

#siL$!ing%argets"

–

Mostly or $!ing %rading, 5ay %rading" #siL:reakout;tents

– Mostly used or scalping" 8an be used or 5ay %rading

#siL%ime$lice7ange

– Used almost eclusively or 5ay %rading"


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What the terms mean (1)We shall be using statistical terms, so let us kno! !hat the terms mean"

%hese are not hard core statistical concepts" Actually they are very basic,and easily understood, even by the math-averse"

%o start, let us discuss !hat !e mean by the !ord FaverageG"

3or most people, the FaverageG is calculated in a very speciic manner,

and is the only measure ever o the average" %hey are completelyuna!are that FaverageG is a rather imprecise !ord in statistical terms,unless more clearly speciied"

An FaverageG properly deined is a Fmeasure o central tendencyG or Fthemost likely valueG, and so can really be calculated in dierent !ays"

%hese measures are called the FmeanG, the FmodeG and the FmedianG"We shall not go into a long discussion on ho! to calculate thesedierent measures" $uice it to say that !e use them all in one indicatorand both the mean and median in all the indicators"


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What the terms mean () $ample space and distribution

%he sample space is 'ust the collection o prices that !e shallanalyKe" %here !ill be as many members o the sample space asthe number that is speciied by the user, as the lookback period orlength, in the indicator 2roperty6rid" 0t is simply the number obars, contained in a sliding !indo!, that !e shall look at to makean analysis"

%hese prices, almost invariably, !ill not all be the same" %hey aredistributed, or a distribution, so to speak"


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What the terms mean ()Mean

%his is !hat most people think o !hen you say+ FaverageG" #neadds up all the members o the collection and divides the sum bythe number o members"

Median

%his is another measure o the FaverageG" 0t is the value in thesample space, that lies in the middle o the distribution" IDE o thevalues o the sample space are greater than the median, and IDEare less than the median"

Mode

%his is the value in the distribution/sample space that occurs mostoten"


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Why take proits.

$ome thoughts on the matter" Why not let proits run.

– 3or proits to run, the market must run, no. *o! oten does themarket run/trend. 1IE.

– $o that means that possibly IE o the time, you have a smallproit !ait or your proits to run the market retreats and takesall your proit, or most o it, i you have moved the stop pastbreakeven" Maybe even hands you a loss by retreating all the!ay to your stop" $ound amiliar.

– 5oubt that.


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%ake !hat the market gives.(1)

0 !e kno! that most o the time, the market !ill be stuttering back andorth, does it not make more sense to trade !hat the market does mosto the time.

5oes this mean that !e should never try to let proits run.

–

# course not" What it does mean is that !e should positionourselves to catch a trend i !e happen to be in one, butassume that !e are unlikely to be in one, so take !hat themarket has told us that it is likely to give !ith a probability that!e are !illing to accept"

– %hat usually means i one !ants to let proits run, then one has

to trade multiple contracts, !ith the last bit as a runner"


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%ake !hat the market gives.()

What i you can only trade single contracts, because o the siKe oyour account.

– 5ecide !hat is most important to you" %o hit singles and doubles

until your account is large enough to trade multiple contracts, orsmoke the hopium that every trade you enter is a trend and holdon, !hile praying not to be stopped out"


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What can !e get.

%hat leaves considerations or us !ho !ant to take !hat the market !illgive+

What is the market !illing to give.

–

2robably an average o !hat it has given in the immediate past" 8an !e use kno!ledge o that inormation itsel to determine in !hich

direction !e are more likely to have a proitable trade.

What is a suitable time rame to trade that satisies our criteria orpotential returns.

#ur purpose is very simple+ !e !ant to take te mone! an" run #e$orete market can take it #ack.


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#siL:reakout;tents

%here is much commonality in the approach o the indicators, so !eshall use this one to illustrate most o the ideas behind ho! theindicators unction"

7emember, ho!ever, this unctions best as a scalping indicator, andsuers rom the quintessential problem o scalping+ small targets, and

oten a bigger $top


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What it looks like(1)


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What it looks like()


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What it looks like()


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What does it all mean.(1)

%hese sho! the statistics or the entire chart" #ver various lookback

periods, these percentages have tended to remain pretty much thesame"

● :reakout 4 a bar breaks the high o the previous bar by at least 1tick"

● :reakdo!n 4 a bar breaks the lo! o the previous bar by at least 1

tick"● :oth ;tents 4 a bar breaks both the high and the lo! o the

previous bar each by at least 1 tick" An enguling bar"

● &o ;tents 4 a bar stays completely !ithin the range o theprevious bar" An inside bar"


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What does it all mean.()

8learly this tells us !hat !e all kno! but do not !ant to accept"&obody can kno! !here the market !ill go"

All !e can do is position ourselves to take advantage i and !hen certainthings happen"

● We see that the statistics say pretty consistently that %F !e break

an etreme (high or lo! is, or all practical purposes, equallyprobable) the chance that !e shall break the other etreme isa#out CE" %hese igures are consistent !hether !e scroll the chartor are realtime"

● %hat is our cue" We shall calculate the statistical epectation,

based on the act that there is only a NCE probability o retreatingto the other etreme, and a probability that !e shall travel a kno!nnumber o ticks, a speciied percentage o the time"

● %hat also allo!s us to calculate the re!ard/risk ratio, based onthese probabilities o tick travel"


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What does it all mean.()

*o! many ticks can !e potentially get.%his is the cru o the matter"

%his says that over the lookback length (the immediate past 1 times bydeault)" %his length is user-selectable+

● 0 !e break the high, &'( o the time, !e have traveled 1H ticks(the median value)

● 0 !e speciy that !e !ant to kno! !hat tick travel has been atleast )'( o the time, that is 1D ticks" %his percentage is a user-selectable parameter" 0t sho!s pretty clearly and ob'ectively that i!e !ant a higher percentage o !inning trades, !e usually !ouldhave to have smaller targets"


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What does it all mean.(H)

● %he maimum breakout over the high has been IO ticks"

●

%he mean breakout has been 1C ticks, !hich being greater thanthe 1H ticks o the median, tells us that or the breakouts that aregreater than 1H ticks, the dierence over 1H ticks has oten beenbigger than the dierence over 1H ticks have been or thebreakouts that have been less than 1H ticks"

● 3or some, that might 'ustiy trying or more than the 1D ticks

reported or a CDE !in/loss rate" Ater all i the big breaks are !iderthan the small breaks, !e may be epanding"


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What does it all mean.(I)

● %he pro'ected price is simply the *igh o the previous candle plusthe epected travel, depending on !hich measure !e are using"

● We read the breakdo!n statistics in the same manner oreamining the short short o things"

●

%he statistics are essentially ans!ering this question or us+*+arket, looking at te last -1 times tat a #ar #roke a#oe te/reious #ar, were soul" % ae /lace" a target so tat itwoul" ae #een it )'( o$ te time0


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What does it all mean.(O)$o no!, looking again at breakouts, !hat do !e kno!.

● 0 !e breakout over the previous candle, !e have a CDE chancethat !e shall travel or 1D ticks beyond that high o the previouscandle" (CDE is the deault" 9ou can change it)"

● We also kno! that !e have a NCE chance that !e shall break thelo! o the previous candle"

● $o !e can calculate our epected risk+ the range o the previouscandle multiplied by the probability that !e shall retreat and breakthe lo!" %his assumes that our $top


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7e!ard/7isk ratio(1)

5id you see the !arning.

0t is there to remind us that the epectations are valid i$, an" onl! i$ , !ebreak an etreme"

As long as an etreme has not yet been broken, our earlier eaminationo the overall statistics make it pretty clear that !e have an equal chanceto break the high or lo! (NIE), pretty much indicating that in these timerames, price is a random !alk"

7emember, !e are simply recording !here price might go, i !e breakthe range o the previous candle" 0 you have enough reason to enterbeore the break, it 'ust serves to push up the potential re!ard, andreduce the potential risk" %he statistics !ould seem to also indicate thatsuch a trade is more likely a crapshoot"


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7e!ard/7isk ratio()

A%7(I) 7isk is the ra!, unad'usted or probability, number o ticks that

represent the unad'usted risk i the market !ere to retreat one !hole A%7(I) rom the entry above the previous candle"

:ar 7isk is the ra!, unad'usted or probability, number o ticks thatrepresent the unad'usted risk i the market !ere to retreat one tick belo!the previous candle ater the entry above the previous candle"

:oth measures are provided, because they are some!hat traditionallyused to try to gauge potential risk" Use them as you !ish"


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#ther inormation

%rade ;ntry● %hese are 'ust printouts o the price one tick beyond the previous

candle" 0t sho!s the qualiying price or a breakout"


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#siL%ime$lice7ange(1)

We take the same probabilistic approach in this indicator"

%he dierence is in !hat !e are measuring"

*ere !e are measuring the probable price travel in premarked timeslots during the trading day"

%his is only useul on a 5ay %rading basis"

5r" $teenbarger, on his blog, some time back, pointed out that asinstitutional traders oten have to big ill orders, their coming into themarket !ill oten drive piece in one direction, but only or a short time,

until they have illed the entire order" :ecause so much is done by committee, institutional traders oten

place their orders in speciic time slots or speciic periods"


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#siL%ime$lice7ange()

%his means that dierent timeslots in a day !ill each have a more orless Fnormal/usualG range"

%ime slots less than 1I minutes do not make sense" 0nstitutionaltraders are unlikely to be active in such smaller time slots, !ith anykind o consistency"

0 !e can measure this range, then !e can place potential pricetargets to be reached by the end o each time slot, based on !herethe price is at the beginning o the time slot"


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#siL%ime$lice7ange()

%arget price P candle open price Q time-slice range"

We take it a step urther, and also calculate the accumulated range ineach day since the start o trading" %his tells us i the ranges aregenerally contracting on the day, and allo!s us to ad'ust targetsaccordingly" :y the same token !e can tell i !e have a rangeepansion day, or even i the type o day may be changing romepansion to contraction or vice-versa"

%his is our simplest indicator to read"


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#siL%ime$lice7ange(H)


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#siL%ime$lice7ange(I)

# i %i $li 7 (I)


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#siL%ime$lice7ange(I) 8urrent 7ange 4 sel eplanatory"

%$7ange 4 the average travel or the time slot"

2ro'ected*igh 4 the


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#siL%ime$lice7ange(O)

%arget


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#siL$!ing%argets(1)

# i $ i % t ()


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#siL$!ing%argets()

6iven our prior vie!s o the indicators, !hat this says should be sel-eplanatory"

%he only ne! thing is the mode, and that is 'ust another measure othe average movement"

$pecial considerations

$!ings can only be determined in hindsight" We cannot kno! that !ehave reached an etreme until !e have retreated" $!ing indicatorscan use a horiKontal qualiier, as the #siL$!ing%argets does, or theycan use a vertical qualiier, as RigRag does" 7egardless, until theretracement, the s!ing cannot be qualiied"

%his makes the reversal amount that one is !illing to use animportant decision"

# i $ i % t ()


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#siL$!ing%argets() 2recisely because o this, it is best to use some kind o trend bar

!hen one uses a s!ing indicator" %his ensures consistency+ on aied-time chart, multiple short bars may indicate a s!ing, !hereasthere is really only consolidation, or overly long bars may make as!ing over beore it is identiied"

%he picture is using #siL7enko bars, !hich are a take on 7enko, butusing overlapping bars to sho! the trend, and also sho!ing the real!icks o the candles so that !e can see the actual travel thattraditional 7enko bars do not sho!"

%here are many other implementations o overlapping 7enko bars"2robably the most conigurable is Uni7enko"

:y the same token, 7ange :ars are also a viable option, but not quiteas smooth as the overlapping 7enko bars"

5o not use traditional 7enko bars" %hey make nice charts, and that isabout all that can be said in their avor"

What is the best time rame.(1)


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What is the best time rame.(1)

%here is not any such thing"

%he best time rame is the time rame that sho!s you !hat you !antto see in order to trade" 0 you cannot ind one, do not trade" 0t is reallythat simple"

0n other !ords, irst decide ho! many ticks must be available beore

you !ill risk your money" %hen ad'ust your time rame to suit"

3or eample, assume that you are using the #siL:reakout;tents,and !ill only trade i ticks are available at a potential (as paststatistics say), CDE !in/loss ratio"

3irst set the desired !in/loss ratio using the 2roperty6rid"

&o! ad'ust your time rame until the CDE amount o ticks sho!s ormore"

What is the best time rame.()


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What is the best time rame.() Ad'ust until you reach the smallest time rame that sho!s you !hat

you !ant" %ypical times+ minutes, 1D minutes" 1 minutes, 1I minutes, 1

minutes, D minutes"

1D, 1I, and D minutes are so commonly used that it al!ays makessense to 'oin the cro!d i you !ill"

, 1 and 1 minutes are used by many 3ibonacci traders, so again itis a matter o 'oining a big enough mass to handle !hat they areseeing"

%hese are not cast in stone" 0 have been kno!n to use any time rame

that meets my criteria, and to ad'ust it during the day i necessary" Allthat 0 require is that the statistics based on the net time rame that 0!ill use, provide the inormation that allo!s me to conidently take atrade !ith a kno!n risk proile"



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7emember, !e are trying to take the money and run, not sit in a longtrend"

%rend trading is a dierent kettle o ish, and, in a previouspresentation, 0 eplained ho! !e do that, using #siL0chimoku" 9oucan ind a link to the trend trading presentation rom our

5evelopments and &e!s page"

– http+//omegasigmaindicators"com/devne!s"html


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8onclusion (1)

0 presented indicators, each or use in some!hat dierent timerames"

%o recap, the indicators are+

#siL$!ing%argets"

– Mostly or $!ing %rading, 5ay %rading"

#siL:reakout;tents

– Mostly used or scalping" 8an be used or 5ay %rading

#siL%ime$lice7ange

– Used almost eclusively or 5ay %rading"

8onclusion ()

http://omegasigmaindicators.com/devnews.html


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8onclusion () #ne can combine the methods that arise rom these indicators" When

trading multiple contracts, one might take some o at the targetpro'ected by the #siL:reakout;tents, then take another tranche o at

the targets rom the #siL%ime$lice7ange, and manually trail a stop

behind the remainder, 'ust in case !e have been caught up in a trend"

#r one might use #siL:reakout;tents and #siL$!ing%argets, i they

are big enough"

#ne could even use all three or that matter"

#verall, remember that #siL:reakout;tents allo!s you to take a

quick proit that is at !hat the market is prepared to give, so that you

can remain in the rest o the trade !ith comort, ater taking a irstquick proit"

9ou end up getting !hat the market !ill give you" Why take only

ticks, i the market is telling you that ticks are probably available.

8onclusion ()


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8onclusion ()

What 0 have described today are not a trading system" 7emember that !e have not discussed position siKing, or entries" :oth

o those can only be determined by the individual trader"

0t is not even a trading method"

0t can best be described as a set o tools to be used to create a tradingmethod, or even a trading system"

Whatever one creates, though, provided it is in tune !ith ones inner

being, should provide a good level o conidence !hen one

approaches the markets"

8onclusion (H)


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8onclusion (H)

Will !e still making losses. Absolutely, some trades will be losers"%his is not a *oly 6rail"

Will !e still sometimes 'ump on the trade only to see the market

reverse on a dime. $ometimes, but probably much less oten that !e

have been sub'ect to in the past, because !e shall oten be long gone

!ith the money, beore the market comes back to take us out or a

loss"


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@uestions.

%he $pecial #ers (1)


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%he $pecial #ers (1)

1) :uy any one o the #siL$!ing%argets, #siL:reakout;tents, or#siL%ime$lice7ange indicators or more than 1&( o "

&ormal price+ 2133, Webinar price+ 213.

) :uy any t!o o the #siL$!ing%argets, #siL:reakout;tents, or

#siL%ime$lice7ange indicators or more than -'( o "

&ormal price+ 2536, Webinar price+ 2516"

) :uy all three o the #siL$!ing%argets, #siL:reakout;tents, or#siL%ime$lice7ange or more than 5'( o "

&ormal price+ 2&3), Webinar price+ 241).

H) 6et a 1-calendar trial o the any o the #siL$!ing%argets,#siL:reakout;tents, or #siL%ime$lice7ange indicators"

%he $pecial #ers ()


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%he $pecial #ers ()

%he irst oers, !hich require payment, are valid until midnight,7ul! 1&, -'1&.

8$ter mi"nigt, 7ul! 1&, -'1&, te in"icators will onl! #eaaila#le $or te $ull, state", normal /rices.

%he ree %rial oers are available or access until midnight, 7ul! -3,-'1&.

Access !ill be disabled at midnight, 7ul! -3, -'1&"

%he ree %rials !ill cease to unction 1 calendar days ater they areirst put onto a chart"

*o! to get the special oers


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*o! to get the special oers"

%hey are all available rom our !ebsite, at the ollo!ing urls+ http+//omegasigmaindicators"com/promotionsLnt!ebD1IDCD/inde

"html

http+//omegasigmaindicators"com/promotionsLnt!ebD1IDCD/nt!s"php

– 3or ulillment issues, send an email toulillmentSomegasigmaindicators"com

– 3or support issues+http+//omegasigmaindicators"com/support/inde"html


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