Best countertrend system for ultrashort term trading? - over 200% return real CTA

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On a different forum, I tried to discuss the topic of best countertrend system in 5MIN and perhaps even 1MIN timeframes (I haven't checked the 1MIN timeframe yet, but I plan to do so when I get better data, possibly tick data). I didn't get any responses at all. So I try here.

Here it goes:

I am trying to build a counter trend system, such as trying to trade the rebounds in big falls and spikes, without getting caught on a breakout and I need some ideas.

What is the best counter trend system you know of, that works on the very short time scale (trade closes within 10minutes or so with at least over 20pips or so)? One short term CTA (Commodity Trading Advisor) made the top #1 this year on the Barclay Hedge List, returning 204% in past 12 months. This is with managed money of less than $10million (I guess last reported actual was $2.7million)

hxxps://www.b@rcl@yhedge.com/managerscorner/perf_ranks/cta/Currency.html

The best returns are obtained by D2W C@pit@l

hxxp://d2wc@pit@l.com/index.php?page=investment-methodology

Does anyone here know of such good strategies and would like to share with us here?

I must tell you, I am working with some Bollinger Band reversal patterns on 5MIN, and my simplistic EA seems to be making money. I am looking for better techniques and strategies though.

Thanks for your contribution.

Smart


Added note:

Attached is the performance of my countertrend dip buyer (the EA only BUYS at extreme dips, specified by my proprietary combination of technical indicators and no martingale, no semimartingale, risk & money management depends on ATR multiples and Kelly).




Anyone wants to discuss Ultra Short Term & High-Probability Counter Trend Trading?
 

For small timeframe counter-trend trading I use iBullsPower and iBearsPower indicators. It's great for generating 5-10pip reversal opportunities but good luck getting decent MAE numbers without setting your stops so tight that you give all your profits back right quick.

When I think of counter-trend dip buying that means the overall trend is bullish and I am attempting to call the bottom/reversal price of the 10-15pip counter-trend (bearish) dips at which point I am going to go long and buy in with the expectation that the market is now going to resume the overall bullish trend.

You mention "only" buying at "extreme" dips...is this really a counter-trend dip play then or are you actually in the territory of playing the over-sold/over-bought corrections that follow most large moves (regardless the overall trend)...basically an RSI(small #) filtered by an ATR indicator play?

 
I use Bollinger Bands in a specific way, I use three Bollinger Bands enveloping each other and I enhance the bottom picking by MACD and WPR (I am also trying SAR and ATR but they are useless so far). I have a crude betting strength formula Betsize ~ b1 * BBANDS score + b2 * MACD score + b3 * WPR score + ..., then I further scale with sub-Kelly type betsize, and finally I use SAR and/or MACD to close positions.

I made many scans, such as picking the pure extremes, such as picking 3 or 4 STD (StDeviation) of BBANDS, but it does not work well, as it does not filter out fake breakouts. By the way, I basically hunt for fake breakouts or "fading" in my countertrend strategies.

I would like to understand if anyone here thinks, fast adaptive moving averages could help hunt these extreme reversal points.

I will look into iBulls and iBears mate. Thanks. Ahhh, so many things to do, so little time and I don't want to be beaten by machines here.
 

SC
> fast adaptive moving averages could help hunt these extreme reversal points

Not in my opinion..
They may help with trend start but are not great at trend-end, whether they are 'No Lag', HMA, DEMA, TEMA or whatever

Note that the extent of the overbought zone can vary a great deal, even within the same pair
And just cos its 'overbought', dont mean it cant go higher..
So...
I find it more useful to look for the end of the zone by looking at the potential reversal signal of the CCI, when over a certain level, (for the pair & timeframe) breaking back through the MA of the CCI

Alternatively, the RSI breaking back through the MA of the RSI

See these free indis https://www.mql5.com/go?link=http://www.selectfx.net/free_stuff_ind.htm particularly SFX_MA_On_RSI

Also iTrend hitting a certain level for pair & timeframe is also good at signaling potential reversal

As is well known on here, I'm not a fan of SAR for anything in Forex!
I think CCI beats WPR and MACD on Forex, regardles of how they perform on stocks

If you are using Bollis, look for when they break out from a tunnel formed by Envelopes to confirm a breakout of price

FWIW
-BB-

 

My program has been doing well since then. It had a drawdown (well, if it is only buying dips and EURUSD keeps dropping, that is what you get) but it recovered and kept going up nicely.

 

One short term CTA (Commodity Trading Advisor) made the top #1 this year on the Barclay Hedge List, returning 204% in past 12 months. This is with managed money of less than $10million (I guess last reported actual was $2.7million)

Links un-usable. Is this CTA trading Forex Only?

 

We have alot of ideas on this topic as our core system is a countertrend system although don't know how much we could share without giving the whole thing away. The problem with CT systems is in trending markets they get crushed. There isn't any indicator that can **easily** filter this out, so you are faced with the traditional problem that in choppy markets the system will have a near flawless success rate and in trending markets almost always lose. We have come to the conclusion that there must be some discretionary judgment on behalf of the trader when to run such a system, and offer our system as a "hybrid" - meaning that it is fully automated but requires trader execution, including timing and parameters.

Regarding the CTA, how do you know he is using a countertrend system?

 

eliteeservices: I guess you do not know how to decipher hxxp://d2wc@pit@l.com/index.php?page=investment-methodology

let me be more explicit for you (I hope this board allows this)

http://d2wcapital.com/index.php?page=investment-methodology

(Trending).AND.(Less Volatile) markets should be filtered out by a combination of (ADX).AND.(Regression Channels).AND.(Narrow Bollinger).AND.(Move Above/Below Bollinger).AND.(Reduced Volatility, i.e. less sigma^2)

Now, I come to think of it, ICWR (Impulsive Corrective Wave Retracement) type of methods could be used in a countertrend system. I have been reading about the Forex Derivative robot and its precursors. It is the only promising type of code I have seen so far. I want to know what people think about such ideas as ICWR and also people's opinions of the Forex Derivative robot. Does ICWR work?

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