Modified T—LINE Trading System，我总结的，内容见内。 (谈股论金)  1517次阅读

作者: 伍点墨 , 发表于: 2017-03-30 (2801天前) @ 伍点墨

Modified T—LINE Trading System
1. Market Selection
1.1. This system is designed to work in markets which BREAKOUT from bases or uptrend consolidations. The strategy can be used as swing or position trade, long position only.
1.2. This system covers four types market:
a) Sideways quiet and volatile.
b) Uptrend quiet and volatile.
1.3. US Market—only trade components of S&P 500 and DJA indexes.
a) Maintain a watch list of SPDR or iShares sector or industrial group ETFs.
b) For each sector or group, maintain a watch list of TOP 10 to 20 stocks.
c) Trade stocks or ETF with average daily volume more than 2.0 million shares.
d) The stock prices should be not less than $20 and not more than $75 with exceptions.
1.4. Canadian Markets—only trade components of TSX/S&P Index.
a) Maintain a watch list of iShares or BMO ETFs which follow TSX/S&P Index.
b) Maintain a watch list of stocks which are in S&P/TSX 60 Index.
c) Trade stocks with average daily volume more than 0.4 million shares.
1.5. The stocks & ETFs should move in orderly patterns—make visual checks. The stock or ETF should be confluent with the overall market (S&P 500 Index) and/or sectors (Indexes or ETFs).
2. Market Direction
2.1. To determine the direction of market, open a SIX-MONTH daily chart with 20-50-200SMA.
2.2. Look at the chart and decide within a minute or so: up, down, or sideways.
2.3. If the chart looks difficult and senses trouble, don’t take a trade.
2.4. If the trend is up or sideway, take a LONG trade.
2.5. If the trend is down, don’t take a trade.
3. Setup
3.1. T-LINE is defined as 8-day exponential moving average (8EMA) as an indicator of trend. The observed phenomenon is that T-LINE (8EMA) tends to act as a resistance when price below it and a support when price above it. Therefore T-LINE can be used as a signal of trending.
3.2. The setup for the trade is to identify the breakout T-LINE from bases or uptrend consolidations on a SIX-MONTH daily chart.
3.3. Use 8-day EMA (T-LINE), 20-day SMA, 50-day SMA and 200-day SMA to gauge the trend.
a) Ideal case—8EMA and 20SMA trading above 50SMA and above 200SMA which means both midterm and long term are trending up.
b) Exception case 1—8EMA and 20SMA trading below 50SMA but above 200SMA which means long term trend is up and 200SMA provides support.
c) Exception case 2—8EMA and 20SMA trading above 50SMA but below 200SMA which means midterm (50SMA) is trending up but 200SMA may act as resistance.
d) Bottom Fishing Setup—8EMA and 20SMA trading below 50SMA and 200SMA. However, the stock/ETF must have clear and well tested support level, plus 8EMA and 20SMA are above the support level. In this case consider 50SMA as a potential resistance level when set the target.
3.4. Evaluate the FIVE-YEAR weekly chart for agreement. What is the long term trend? Where are the long term resistance and support? Where are the midterm resistance and support?
3.5. Evaluate the overbought and oversold conditions using 12-3-3 slow stochastic oscillator.
3.6. The trigger is a bottom reversal candle pattern and price moving above T-LINE, which can happen in the same day or latter days.
3.7. Identify the midterm resistance level as the target and carefully evaluate the short term pivot high which is a weak resistance.
3.8. The objective is to make a potential profit of 3R to 5R. If the distance from the entry point to the resistance level is not at least TRIPLE the initial risk (1R), don't place the order.
4. Entry
4.1. Use candle stick reversal patterns to confirm support and resistance. It is essential to use change polarity as breakout signal. The trigger is that previous day closed above T-LINE.
4.2. The buy price is 10 cents above T-LINE. Alternatively use the intraday support level as buy price to lower the cost.
4.3. Use Buy-Stop order to enter. Don’t try to catch the lowest low.
5. Protective Stop
5.1. The protective stop is 1-ATR below the entry or at the low of the entry day, whichever is lower.
5.2. Always set up a protective stop as Sell-Limit order and put in at the time of entry.
5.3. However don’t hesitate to get out if the trend is going down. Protective Stop is the worst case scenario.
5.4. This stop is nonnegotiable exits. If a stock or ETF trades at the stop price, the position has to be exited each time, every time, without fail.
6. Time Stop
6.1. If the stock moves sideway more than 3 days, then consider exit the trade.
7. Re-Entry
7.1. If the protective stop is triggered then reassess the stock.
7.2. Re-entry is treated as a new trade and follows setup rules.
7.3. In an uptrend (8EMA>20SMA>50SMA) use J-hook pattern to re-entry.
7.4. In an uptrend (8EMA>20SMA) use T-LINE Crunch (8EMA crosses 50SMA or 200SMA) to re-entry.
8. Exit—don’t ignore intuition
8.1. Trailing Stop—if the stock breaks out, then a trailing stop shall be applied.
a) The trailing stop is 25 cents beneath T-LINE to mitigate the shock of intraday volatility. However, if the stock does close below the T-LINE, then get out of the position.
b) If the stock in a parabolic move, then monitor the intraday movement and set very tight trailing stop right underneath the previous day low or intraday support level.
c) If the stock is consolidating, the trailing stop is just underneath the new support level.
8.2. Profit Taking—if the price approaches the target or resistance level, then watch for the candle stick top reversal signal.
a) If the stock is near the target resistance level, then set a trailing stop at the LOD, which assume bearish engulfing or dark cloud cover patterns are in process.
b) If the stock and overall market are volatile, then sell at least half of positions near the target price and set a tight trailing stop at the LOD for the left positions.
c) If the stock lifts off the T-LINE more than 3 days (parabolic move), then monitor it and use intraday stop—very tight stop. The further the price move away from T-LINE, the greater the possibility is that the price moves back to T-LINE. This is a profit-taking opportunity.
9. Position Sizing
9.1. Use Market’s Money Strategy to control my position size.
9.2. Use scale-in technique for re-entry and scale-out technique for exit.
a) If the stock breaks out and moves at least 1-ATR above the initial entry, buy another positon of same shares.
b) Move up the protective stop to the higher of 1-ATR below the re-entry or 10-25 cents beneath 8EMA.
c) Repeat step a) and b) if the stock moves quietly and smoothly up.
9.3. Use scale-out technique for exit to reduce the open risk.
9.4. Assume SQN 2—risk percentage 0.7% (25% drawdown @1% ruin level—1.4%).
9.5. Portfolio Heat—10% of total equity.
a) If 1 trade per day initiated and average holding period is 10 days, then the total risk is 7% based on 0.7% position sizing.
10. Portfolio Selection
10.1. Long or Short—Long only for now. Modify this after trading platform selection.
10.2. Correlation Assumption—Assume it is highly correlated between this system and the others.
10.3. Asset Distribution—50% trading in US markets-stocks or ETFs; 50% trading in Canadian markets.
10.4. Sector Selection—trade one stock in each sector across US and Canadian.
10.5. Checklist for Trading System 1.
11. Objectives
11.1. What kind of market to trade? This system covers four types market:
a) Sideways quiet and volatile.
b) Uptrend quiet and volatile.
11.2. What kind of R-multiple distribution to have?
a) Assume 40% reliability—40 trades will be profitable and 60 trades will be stopped out.
b) Minimum reward to risk ratio 3:1
c) Expectancy 40%x3R-60%x1R=0.6R
d) Assume SQN=2.0
11.3. How many trades do I expect to make?
a) 1 trade per trading day; 5 trades per week
b) 240 trades per 48 weeks—4 week vacation
11.4. How much equity will I be trading?
a) $50,000USD + $50,000CAD
b) Double that amount after 6 month of efficient trading.
11.5. What is the worst drawdown I will tolerate at the end of my trading period and at what probability?
a) 25% drawdown at 1% probability, which requires SQN=2.0.
b) 50% drawdown at 0.1% probability.
11.6. What type of gain do I expect at the end of my trading period and what probability?
a) 240 (trade) times 0.6R =144R
b) 1 mistake cost 2R and efficiency 95% would cost 2R x 240 x 5%=24R
c) Net return 144R-24R=120R
d) Risk R=0.70%—120R=84% (conservative position sizing)
e) Risk R=1.0%—120R=120% (recommended position sizing by many experts)
f) Risk R=1.4%—120R=168% (25% @ 1% ruin level position sizing for SQN=2.0)
g) Utilize scale-in technique to boost net return—let profit run.
11.7. What time frame do I want to trade?
a) Swing trading 5 to 15 days.
b) Considering position trading. Do not day trading.
11.8. Is reliability or capturing huge move more important to me?
a) Reliability is more important to me.
b) Use scale-in technique to capture the huge move.