Adaptive OR Trade Plan, and Today’s Trades

I went back over the last 5 days of Adaptive OR trades, and did a lot of research. I looked at parameters like profit at first favorable swing point (first peak), first pullback swing point after the first peak, max profit without reversing back across the opposite side of the OR, and so forth. I looked at all trades all day, and I counted 34 over the 5 day period so far. I will keep adding to my database as time progresses.

Using a target of 1 or 2 points increases the win rate to near 70%, but kills you because your losers are bigger than your winners. Targets of 3-5 points were best for maximizing profit. Taking trades after the first two per day decreased profits significantly (choppy day if levels are revisited over and over). I assumed that if the first pullback went back across the opposite OR, it was a full stop loss, and if we never hit the target (an input) that you would eventually be stopped out at the first pullback level + 1 tick slippage.

After this analysis on all of the Adaptive OR setups over the last 5 days, I came up with this trading plan:

Use AdaptiveOR_Pro(0930,5,3) on a 133 tick chart.

Take (up to) first two OR breakouts of the day.

Entry is 1 tick outside OR levels.

Target is 4 points (limit order).

Initial stop is 1 tick outside opposite OR level.

After first pullback swing point prints, raise stop to 1 tick behind that level.

Sit on hands.

Trading this plan over the last 5 days would have made +20 ES points on about 7 trades. So today I traded this plan exactly. Here’s the results:


The first trade short entry (yellow line) got slipped a tick against me because my stop entry order waited until price crossed it rather than touched it (??). Then we had the pullback, so I lowered the stop and got out for -0.5 points. No biggie. Then I took the opposite long entry right after (other yellow line), and it immediately ran back to my stop for a full -2.5 point loss, total -3 points. So I stopped trading, because my research said that a choppy day was ahead. Perfectly executed plan, apart from the first entry weirdness (I used a market order for the second entry).

And guess what? If I took the third trade, I would have made my +4 points if I got a good fill on my target limit (green line), or +1 point worst case if my first pullback stop was hit (red line), or the full 4 points if neither got filled, because it eventually went through my limit target (I’m still not sure how the Think or Swim stops fire. It seems that it doesn’t work on price quotes, only on the bid or ask crossing your stop level?)

The lessons: Even if you do everything “right”, sometimes you still lose. And sometimes doing the “right” thing makes you miss out on a win. And I have an incredible timing ability, apparently. The days I traded this week were chop days, until I stopped trading and then boom went the dynamite. What can you do?

Apart from continuing to gather the data on the setup, I’m going to see if I can come up with some kind of follow-through filter that will help me bail early to minimize losses on the immediate losers (like the second trade this morning), but sit tight for the 3-5 point profit on the others.

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5 Responses to “Adaptive OR Trade Plan, and Today’s Trades”

  1. Prospectus Says:

    First thought: The second trade was right at the overnight high. That could be resistance, but it could also be a total vacuum if we broke through. Not sure what to make of that…

    Second thought: Maybe I want to see an immediate move of around 1 point, or else I scratch the trade quickly with a tight initial stop like back inside the OR by a tick or two. Then, IF I get the point (or whatever) in my favor, I can *gasp* widen the stop back to the opposite OR level and let it work towards the eventual target…

  2. manaau Says:

    Maybe filter with NYSE AD and enter at low NYSE tick on trendline of TICK lows for long, highs for short? Entry at tick high on longs means you need a higher tick, which could be overly high and cause a rebound / threaten a stop. A new high or low tick for the day is another potential filter, often signals a large rebound if not a reversal (says the novice). Sounds like the ask had to get to your price so does make sense for it to tick past, but maybe call TOS and ask them about it, they need to get a lot of flack about slow fills and get a server at the exchange

  3. Prospectus Says:

    Those are good thoughts. I’ve tried to look at the tick and AD, but I personally get too wrapped up in subjectivity. This is why I wanted something systemmatic purely based on price. I’ve got a lot of ideas in my head, and they are starting to gel together. I’ll have more in the near future on that.

    As far as fills, I have had zero problems with ToS and market orders. They go right through (except in crazy markets where NOBODY anywhere gets filled, of course). Limit profit orders usually have to tick through, which is also understandable since you are waiting in line. So that’s why I scratch my head over the active trader stop orders. They become market orders, and they should get to the exchange faster than when I hit “buy market” on mu platform. It seems to not trigger on a price print, but if the bid drops below the stop level in case of a sell stop.

  4. Larry Says:

    Where can I send you a jpg of the Adaptive OR thing that I use? It includes targets for the day, once they are hit it time to pack it up.
    Very useful..

  5. Prospectus Says:

    Readtheprospectus @ gmail


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