SPX Trading Strategy for ThinkorSwim

[Hypoluxa]

went short on /ES 3,824.25 at 1pm central ( i have it to show just the market hours so it mimics spx)
and my exit when MACD color switch... for my stop and target... will update here when done.

I didn't like that 4 candle choppiness before it crossed the zero line...so I stayed out. I will probably end up regretting it.

 

[babouin77]

im with you on that, but im following it so far... we will see.

 

[rfb]

im with you on that, but im following it so far... we will see.

I didn't like that 4 candle choppiness before it crossed the zero line...so I stayed out. I will probably end up regretting it.

Same here gents, but entered at the signal with a few contracts. Worked out very well and took a 3.80 gain. Looks like I left too early, but we are scalping, right?
Thanks all!

 

[babouin77]

@Hypoluxa I took a shot at putting your strategy into a study. All parameters are customizable. It will plot buy and sell signals and alert when signals show up. I was thinking that the BB dots being above and below the zero line can be turned into a percent up or down. Let me know if you can think of any enhancements.

# SPX Strategy
# Strategy designed by Hypoluxa
# barbaros - 2021/02/25

declare upper;

input price = close;
input SMAFastLength = 3;
input SMASlowLength = 9;
input BBlength = 30;
input BBNum_Dev = 0.8;
input BBCrossInBars = 3;
input BBCrossDistance = 1;
input MACDfastLength = 8;
input MACDslowLength = 16;
input MACDLength = 36;
input ERGODICLongLength = 2;
input ERGODICShortLength = 10;
input ERGODICSignalLength = 36;
input ERGODICAverageType = {"SIMPLE", default "EXPONENTIAL", "WEIGHTED", "WILDERS", "HULL"};

# Check for 10min chart
Assert(GetAggregationPeriod() == AggregationPeriod.TEN_MIN, "Incorrect Chart Time, use 10m");

# MACD
def MACD_Data = MACD(fastLength = MACDfastLength, slowLength = MACDslowLength, MACDLength = MACDLength);
def MACD_Direction = if MACD_Data > MACD_Data[1] then 1 else -1;

# Ergodic
def Ergodic_Data = ErgodicOsc("long length" = ERGODICLongLength, "short length" = ERGODICShortLength, "signal length" = ERGODICSignalLength, "average type" = ERGODICAverageType).ErgodicOsc;

# SMAs
def SMA_Fast = SimpleMovingAvg(price, SMAFastLength);
def SMA_Slow = SimpleMovingAvg(price, SMASlowLength);

# Signals
def buySignal = SMA_Fast > SMA_Slow and Ergodic_Data > 0 and MACD_Direction == 1 and MACD_Data >= BBCrossDistance and MACD_Data crosses above 0 within BBCrossInBars bars;
def sellSignal = SMA_Fast < SMA_Slow and Ergodic_Data < 0 and MACD_Direction == -1 and MACD_Data <= -BBCrossDistance and MACD_Data crosses below 0 within BBCrossInBars bars;

# Plots
plot buy = buySignal and !buySignal[1];
buy.setPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
buy.setDefaultColor(Color.GREEN);
buy.setLineWeight(3);

plot sell = sellSignal and !sellSignal[1];
sell.setPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
sell.setDefaultColor(Color.RED);
sell.setLineWeight(3);

# Alerts
Alert(buy, "Buy", Alert.BAR, Sound.Ring);
Alert(sell, "Sell", Alert.BAR, Sound.Ring);

can you explain this
MACD_Data crosses below 0 within BBCrossInBars bars;

so you mean if the MACD_data cross below 0 the last 3 bars? does it require the last 3 bars to be below zero to be a valid signal?

 

[Hypoluxa]

Same here gents, but entered at the signal with a few contracts. Worked out very well and took a 3.80 gain. Looks like I left too early, but we are scalping, right?
Thanks all!

NICE! Yea, I've watched a March 1st 3760P go from $11.90 down to $9.50 back up to almost $14. So it was def quick and needed a low buy limit on that one.

 

[bhaskar_madugula]

I entered at 12:50 pm CST, did I enter too early?

 

[babouin77]

I entered at 12:50 pm CST, did I enter too early?

I usually wait for a close of the candle for confirmation.

 

[Hypoluxa]

I entered at 12:50 pm CST, did I enter too early?

doesn't appear so. did you lose on it?

 

[bhaskar_madugula]

I usually wait for a close of the candle for confirmation.

1 PM CST was perfect time...so need to wait 10 more mins after the signal.

doesn't appear so. did you lose on it?

I did not close it yet, it is negative now...

 

[babouin77]

went short on /ES 3,824.25 at 1pm central ( i have it to show just the market hours so it mimics spx)
and my exit when MACD color switch... for my stop and target... will update here when done.

I entered 2 contracts on ES at 3824.25 first contract is scalp of 16 ticks... so i exited at 3820.25 and the runner I exited it at

1 PM CST was perfect time...so need to wait 10 more mins after the signal.

I did not close it yet, it is negative now...

the signal arrow will confirm at the end of the 10 min... during that 10 min bar it shows and go away

 

[bhaskar_madugula]

I entered 2 contracts on ES at 3824.25 first contract is scalp of 16 ticks... so i exited at 3820.25 and the runner I exited it at

the signal arrow will confirm at the end of the 10 min... during that 10 min bar it shows and go away

How did u choose the strikes? Is it based on delta or ATM strike?

 

[babouin77]

went short on /ES 3,824.25 at 1pm central ( i have it to show just the market hours so it mimics spx)
and my exit when MACD color switch... for my stop and target... will update here when done.

I entered 2 contracts on ES at 3824.25 first contract is scalp of 16 ticks... so i exited at 3820.25 and the runner I exited it when the MACD dot change to green at 1:40 central at a price 3828
Total: +4-3.75 = 0.25 points on the ES.

 

[babouin77]

How did u choose the strikes? Is it based on delta or ATM strike?

i used ES and close of the candle price
not options

 

[barbaros]

Beware of the false signals...Looking at historical data.

 

[Hypoluxa]

i used ES and close of the candle price
not options

I wish that I could find a much shorter timeframe that worked for SPX....do you or anyone for that matter, have time to tweak one for us?

 

[barbaros]

can you explain this
MACD_Data crosses below 0 within BBCrossInBars bars;

so you mean if the MACD_data cross below 0 the last 3 bars? does it require the last 3 bars to be below zero to be a valid signal?

This is true. You need to quantify the cross in x many bars. If it lingers and then moves the distance, I didn't want to have those as valid signals.

 

[Hypoluxa]

Beware of the false signals...Looking at historical data.

And I'm looking at something to help eliminate some of those. As we know, VIX is a great companion with SPX....might need to use a side by side chart for each of them. I'll let you guys know what I find out.

 

[barbaros]

got you. thanks... appreciate your help and response. Anyone knows how to code a profit target in TOS in a strategy? for example exit when price moves 1 point for example...

As I was mentioning earlier, I will add statistics to the original indicator that includes this.

 

[barbaros]

And I'm looking at something to help eliminate some of those. As we know, VIX is a great companion with SPX....might need to use a side by side chart for each of them. I'll let you guys know what I find out.

excellent

 

[babouin77]

excellent

dont show after hours time...