trend_meanreversion
09 Oct 2020, 01:17 ( Updated at: 21 Dec 2023, 09:22 )

First poor trade that didn't hit TP  in last 2 months !! It came so close , just missed by 1 point but trade is a trade : lost 0.7%

Sell Signal generated at 08/10/2020 10:09:30 UTC for UK100 at Bid/Ask Price: 5973.1 / 5974.1 [ TP: 5967.13 , SL: 6037.61 , Exit: EoD ]

trend_meanreversion
08 Oct 2020, 11:40 ( Updated at: 21 Dec 2023, 09:22 )

First trade of the day and locked in TP ! [ https://twitter.com/TMeanreversion ]

Buy Signal generated at 08/10/2020 08:20:36 UTC for DE30 at Bid/Ask Price: 12960.3 / 12961.3 [ TP: 12974.26 , SL: 12804.07 , Exit: EoD ] 

trend_meanreversion
07 Oct 2020, 10:28 ( Updated at: 21 Dec 2023, 09:22 )

Very active session, another trade and locked in TP !

Buy Signal generated at 07/10/2020 07:03:50 UTC for AUS200 at Bid/Ask Price: 6036.32 / 6037.12 [ TP: 6043.16 , SL: 5967.57 , Exit: EoD ]

trend_meanreversion
07 Oct 2020, 06:36 ( Updated at: 21 Dec 2023, 09:22 )

Another trade and locked in TP ! [ https://twitter.com/TMeanreversion ]

Sell Signal generated at 07/10/2020 01:57:06 UTC for HK50 at Bid/Ask Price: 24089.8 / 24097.1 [ TP: 24065.71 , SL: 24353.01 , Exit: EoD ]

trend_meanreversion
06 Oct 2020, 11:47 ( Updated at: 21 Dec 2023, 09:22 )

I am back guys..and Twitter Bot has taken first trade for Oct month ! ( locked in TP ) [ https://twitter.com/TMeanreversion ]

Sell Signal generated at 06/10/2020 07:43:24 UTC for UK100 at Bid/Ask Price: 5909.6 / 5910.7 [ TP: 5903.69 , SL: 5977.59 , Exit: EoD ]

trend_meanreversion
27 Sep 2020, 05:19

RE:

hao.han said:

Thank you for the reply TRMR, greatly appreciated!

The aim of all this is to construct "information-Driven Bars" as discussed by Prado in his book Advances in Financial Machine Learning, where tracking tick moves is very important.

By any chance, have you looked into this in your research give you mention you have done extensive research into tick based analysis? Any tips/help if so? (not looking for the holy grail recipe or anything!)

Hi Hao,

Glad that you are looking at tick charts for your research as I feel it is the most under rated analysis for retail traders. I do like Prado's work and do think that imbalance bars/analysis is quite useful. I have tried to look at it before and it did give me alpha in very short term but unfortunately, fast execution became a problem so gave up the idea.

But I do utilize other tick analysis and keep experimenting with it( things as simple as uptick / downtick ratio can be helpful ! ). In fact my recent twitter experiment uses tick analysis as one of the components [ https://ctrader.com/forum/ctrader-support/24402 ]

Happy Trading !

-TRMR

trend_meanreversion
27 Sep 2020, 04:06

Hi mate, 

I use tick charts extensively in my research and trading so possibly might be able to answer your questions (which I think you already know answers to).

1) Yes tick charts are based only on "Bid" price change, so only bid price change is considered as tick change. This is intended feature I suppose as possibly incorporating both bid and ask change to be considered as a tick might be computationally expensive and doesn't align with how ctrader/other platforms treat their charts ( even in simple timebased TimeFrames such as 5min, 30mins etc ). OHLC data on charts that you see corresponds to bid price so I am afraid it is just how tick is defined -> any change in bid price is defined as a valid tick.

2) Personally, I would have preferred change in "mid-price" as a valid tick definition but I suppose I can live with current definition as well. You can create own DataSeries within a cBot which only stores "N-tick" information whenever bid price changes or ask price changes and thus can work with your own definition of "Ticks".

Hope it helps.  Happy Trading :)

-TRMR

trend_meanreversion
26 Sep 2020, 04:49 ( Updated at: 21 Dec 2023, 09:22 )

I am taking next week off as I am on holidays  , so none of my trading algorithms will be running including this TwitterBot !

I am calling this month end now and will publish end-of-month performance report and will resume from 6th Oct .

Sep month has gone by with 23 trades and thus we got a good sample of 43 trades in 2 months. All of them hit TP in this month and returns are really good except Model_2 which I will be removing from results going forward. Default Model_1 has given 2.3% returns and rest of the alternate models/risk management schemes has been profitable as well with good risk-reward. Please see performance report below :

If you remove Model_2 from last 2 months, then performance looks much better :

See you guys after 1 week !

trend_meanreversion
25 Sep 2020, 17:37 ( Updated at: 21 Dec 2023, 09:22 )

Another one for the day..locked in TP !

Sell Signal generated at 25/09/2020 14:28:27 UTC for DE30 at Bid/Ask Price: 12446.5 / 12447.5 [ TP: 12434.05 , SL: 12629.21 , Exit: EoD ]

trend_meanreversion
25 Sep 2020, 10:55 ( Updated at: 21 Dec 2023, 09:22 )

Tough session today with Aussie200 ..finally hit TP ! [ https://twitter.com/TMeanreversion ]

Sell Signal generated at 25/09/2020 00:14:33 UTC for AUS200 at Bid/Ask Price: 5927.77 / 5927.97 [ TP: 5921.84 , SL: 5992.54 , Exit: EoD ]

trend_meanreversion
23 Sep 2020, 00:33 ( Updated at: 21 Dec 2023, 09:22 )

One more trade from last night. Hit TP !

Sell Signal generated at 22/09/2020 18:03:25 UTC for DE30 at Bid/Ask Price: 12658.6 / 12660.6 [ TP: 12645.94 , SL: 12841.01 , Exit: EoD ]

trend_meanreversion
22 Sep 2020, 00:19 ( Updated at: 21 Dec 2023, 09:22 )

2 trades yesterday in such a tough session . Both hit TP ! [ https://twitter.com/TMeanreversion ]

Sell Signal generated at 21/09/2020 14:22:22 UTC for DE30 at Bid/Ask Price: 12537.9 / 12538.9 [ TP: 12525.36 , SL: 12728.27 , Exit: EoD ]
Sell Signal generated at 21/09/2020 17:32:03 UTC for US30 at Bid/Ask Price: 26956.5 / 26959 [ TP: 26929.54 , SL: 27406.06 , Exit: EoD ]

trend_meanreversion
18 Sep 2020, 18:38 ( Updated at: 21 Dec 2023, 09:22 )

First trade of Friday and hit TP !

Sell Signal generated at 18/09/2020 15:34:07 UTC for UK100 at Bid/Ask Price: 6009.4 / 6011.6 [ TP: 6003.39 , SL: 6086.59 , Exit: EoD ]

trend_meanreversion
18 Sep 2020, 00:45 ( Updated at: 21 Dec 2023, 09:22 )

Wow..4th one for today and locked in TP ( finally ! )

Buy Signal generated at 17/09/2020 16:08:40 UTC for US30 at Bid/Ask Price: 27864.5 / 27868 [ TP: 27895.87 , SL: 27433.44 , Exit: EoD ]

trend_meanreversion
17 Sep 2020, 17:10 ( Updated at: 21 Dec 2023, 09:22 )

Very active day today..3rd trade via cBot and booked in TP quite quickly! [ https://twitter.com/TMeanreversion ]

Buy Signal generated at 17/09/2020 13:51:14 UTC for DE30 at Bid/Ask Price: 13176.1 / 13177.1 [ TP: 13190.28 , SL: 12998.78 , Exit: EoD ]

trend_meanreversion
17 Sep 2020, 09:09 ( Updated at: 21 Dec 2023, 09:22 )

Second trade done as well with TP !

Sell Signal generated at 17/09/2020 03:13:26 UTC for AUS200 at Bid/Ask Price: 5894.14 / 5895.94 [ TP: 5888.25 , SL: 5969.49 , Exit: EoD ]

trend_meanreversion
17 Sep 2020, 05:02 ( Updated at: 21 Dec 2023, 09:22 )

First trade of the day and hit TP !

Sell Signal generated at 17/09/2020 01:55:08 UTC for HK50 at Bid/Ask Price: 24454.3 / 24461.5 [ TP: 24429.85 , SL: 24733.46 , Exit: EoD ]

trend_meanreversion
16 Sep 2020, 00:07 ( Updated at: 21 Dec 2023, 09:22 )

Bot took one trade yesterday's night and saw it in morning ( Hit TP ! )

Sell Signal generated at 15/09/2020 15:01:37 UTC for UK100 at Bid/Ask Price: 6118.6 / 6119.8 [ TP: 6112.48 , SL: 6210.51 , Exit: EoD ]

trend_meanreversion
11 Sep 2020, 17:08 ( Updated at: 21 Dec 2023, 09:22 )

Second trade of the day ( Hit TP! ) [ https://twitter.com/TMeanreversion ]

Buy Signal generated at 11/09/2020 13:34:22 UTC for DE30 at Bid/Ask Price: 13150.8 / 13151.8 [ TP: 13164.95 , SL: 12917.5 , Exit: EoD ]

trend_meanreversion
11 Sep 2020, 10:52 ( Updated at: 21 Dec 2023, 09:22 )

First trade of the day ( locked in TP! ) [ https://twitter.com/TMeanreversion ]

Sell Signal generated at 11/09/2020 07:24:42 UTC for HK50 at Bid/Ask Price: 24521.9 / 24529.3 [ TP: 24497.38 , SL: 24862.26 , Exit: EoD ]