You get a whip 'n I get a saw

Hello Experts / Traders,

Well, you might ask me to stop trading for questioning our dear "whipsaw"! :smiley:

Anyways, still asking to learn your poison that you have found best over the years. Because life is so good when things trend, otherwise not. Where do I draw a line between subjectivity and objectivity of trading?

It is understandable that Whipsaws cannot be eliminated 100%, but your suggestions might help it reduce.

Let me share few things that I have learned from reading books and surfing internet.

  1. Bollinger-Keltner Squeeze from Carter's "Mastering the Trade" book
    image
    (Please Note: Different parameters period, width and MA Type will yield different results. Don't know whether extensive optimization will make any difference )
_SECTION_BEGIN( "Boll-In-Kelt" );
	 P = ParamField( "Price field", 3 );
	 Periods = Param( "Periods", 20, 2, 300, 1 );
	 Width = Param( "Width", 2, 0, 10, 0.05 );
	 
	 CenterLine = MA( P, Periods );
	 Plot( Centerline, "Centerline", colorGrey50, styleDashed | styleNoTitle );
	 
	 // Keltner Channels
	 KTop = CenterLine + Width * ATR( Periods );
	 KBot = CenterLine - Width * ATR( Periods );
	 Plot( KTop, "KBTop", colorOrange, styleThick | styleNoTitle );
	 Plot( KBot, "KBBot", colorOrange, styleThick | styleNoTitle );
	 
	 // Bollinger Bands
	 BTop = BBandTop( P, Periods, Width );
	 BBot = BBandBot( P, Periods, Width );
	 Plot( BTop, "BTop", colorAqua, styleLine | styleNoTitle );
	 Plot( BBot, "KBBot", colorAqua, styleLine | styleNoTitle );
	 
	 // Price
	 Plot( C, "Close", colorDefault, styleBar | styleThick | styleNoTitle );
	 
	 // Bollinger Bands in Kelter channel
	 BollKeltDiff = BTop - KTop;
	 color = IIf( BollKeltDiff > 0, ColorRGB( 2, 18, 30 ), colorGold );
	 Plot( 2, "", color, styleOwnScale | styleArea | styleNoLabel, Null, Null, 0, 0, 5 );
	 
	 _N( Title = "{{DATE}}\nO " + O + " H " + H + " L " + L + " C " + C +
	 EncodeColor( colorGrey50 ) + "\nMA( C, " + Periods + " ) " + NumToStr( CenterLine, 1.2 ) +
	 EncodeColor( colorOrange ) + "\nKTop " + NumToStr( KTop, 1.2 ) + " KBot " + NumToStr( KBot, 1.2 ) +
	 EncodeColor( colorAqua ) + "\nBTop " + NumToStr( BTop, 1.2 ) + " BBot " + NumToStr( BBot, 1.2 ) );
_SECTION_END();
  1. Vertical Horizontal Filter (description link)
    image
_SECTION_BEGIN( "Vertical Horizontal Filter" );
	 per = Param( "Period", 28, 1, 233, 1 );
	 tf = Param( "Set Timeframe (in Minutes)", 30, 5, 1440, 1 );	 
	 
	 TimeFrameSet( in1Minute * tf );
		 arr = Avg;
		 VhfComp = ( HHV( arr, per ) - LLV( arr, per ) ) / Sum( abs( arr - Ref( arr, -1 ) ), per );
	 TimeFrameRestore();
	 
	 VHF = TimeFrameExpand( VhfComp, in1Minute * tf, expandLast ) * 100;
	 Plot( VHF, "VHF", colorAqua, styleStaircase );
	 
	 _N( Title = "30-Min VHF for 15-Min Price chart\n" + EncodeColor( colorAqua ) + "VHF " + NumToStr( VHF, 1.2 ) );
_SECTION_END();
  1. Ehler's Guassian Filter (Description link)
    Currently studying - Efficient way to calculate Gauss Filter

  2. Learning hard to live with Whipsaw. But man it hurts!
    Ed Seykota's Whipsaw song

What helps you identify and avoid "whipsaw" or "periods of congestion"?

2 Likes

Some thoughts...

  • There is direct causation between how your account equity does and all the positions in your account. Meaning if your positions aren't moving (fast, slow, momentum, velocity) then neither will your account equity.

  • Under cash, margin, risk constrains you can't trade everywhere.

  • Since you cannot be everywhere all the time and need to feed your system what it can trade at anytime, then I suggest you find the instruments that match an ideal, even though it may be backward looking to some extent.

  • Don't size positions using open profits from other current positions, at least if using futures mark to market, then value them to current stops, and use only hypothetical locked in profits etc. This get even more important the longer-term your trades are and respective far away stops.

  • Watch and limit your open portfolio heat.

These will make whips less painful, if not adjust your heat and risk settings.

Just my 2 cents.

-S

4 Likes

2-22-2019%2011-38-00%20%D8%B5

@M2-new which AB version you are using? I am on latest 6.30 !