2009-06-21

ZS-TMR : Thirty Minute Rule (Opening Range Play) Analysis : Now it is time for grains!!

My Development as a Commodities Trader: Thirty Minute Rule (Opening Range Play) AnalysisThere may be more meal in Grains TMR - especially in this volatile environment!


Few weeks back I did some preliminary analysis work on past 1 month data on Allan's TMR (Thirty Minute Rule - Opening Range Play) which was mainly based on trading E-Mini S&P500 during the opening range. Since then we are taking TMR trades on ES every day and it seems to generate good results and a profitable outcome. The discussions and results are summarised in the link above.

Taking on from that, I started investigating TMR on grains once I saw another smart fellow trader Quin talking about it. The results were astounding (**** past performance is no guarantee of future results ****) on past data analysis. Soybean has been very volatile lately and my analysis indicated that it would be quite profitable to apply TMR rules to Soybeans and other grains markets.

Traditionally Grains and Commodities, Bonds and Currency markets suit better for breakout plays (breakouts are not always fake-out - reserved for a future post sometime) and therefore it would seem logical that TMR might play better on Grains.

A word of caution here that Soybean has been very volatile lately and therefore the results could be bit exaggerated. However as commented on the original TMR post I have modified strategy which gives best possible Profit objective for 5 pt stop based upon past data. So I believe as volatility reduced, the profit objective will start reducing as well. Also I noted that it
could be best on Soybean markets to leave a runner on with trailing stops OR a fib/ATR based target in line of breakout. So by applying some of the "refinement techniques" the results from ZS-TMR can be enhanced further. I leave those to the individual trader's skills.

Results:
--------
a) Best results were achieved for 12pt Profit Objective 5 Pt Stop resulting in 45.7 pts per month with 43% success rate.
b) For a low pain quick trades, 3/5 generated good returns of 29.5 pts per month (with 81% success rate).

As always, TMR trading is bit boring and requires a lot of discipline. The reported results do not include slippage and commission which will eat into the profits and increase the loss. For
successful TMR strategy the platform should be fast to avoid slippage and commission should be lowest possible.

ZS TMR

Max P&L

Date

Open

30 Min High

30 Min Low

30 Min Range

TMR

5 PT

BEST EXIT

20-May

1182

1189.5

1176

13.5

S

16.00

1,160.00

21-May

1157

1172.75

1155.25

17.5

L

1.00

1,173.75

22-May

1184

1184

1170.75

13.25

S

6.75

1,164.00

26-May

1164

1167.25

1156.25

11

L

20.25

1,187.50

27-May

1195

1199.5

1189.5

10

L

1.25

1,200.75

28-May

1186

1195.5

1184.25

11.25

L

2.00

1,197.50

29-May

1192

1193

1185.75

7.25

S

10.50

1,175.25

01-Jun

1203.5

1219.75

1202.5

17.25

L

7.25

1,227.00

02-Jun

1215

1215

1209

6

S

8.50

1,200.50

04-Jun

1195

1199.75

1193

6.75

L

32.25

1,232.00

05-Jun

1213

1229.25

1211.5

17.75

L

4.50

1,233.75

08-Jun

1221.5

1235

1217

18

L

4.50

1,239.50

09-Jun

1241.5

1245.5

1232.5

13

L

3.50

1,249.00

10-Jun

1243.5

1254

1238.75

15.25

L

1.50

1,255.50

11-Jun

1260

1266.5

1256.75

9.75

L

24.75

1,291.25

12-Jun

1262

1262

1246.5

15.5

L

3.25

1,265.25

15-Jun

1221.5

1228

1213.5

14.5

S

16.50

1,197.00

16-Jun

1217

1219

1206.5

12.5

S

19.00

1,187.50

17-Jun

1197

1201.25

1188

13.25

L

13.75

1,215.00

18-Jun

1207

1213.25

1202

11.25

L

12.75

1,226.00

19-Jun

1219.75

1222

1201.75

20.25

S

26.25

1,175.50


WIN % 5 PT

PO

P&L 20 D 5 PT

24%

17

4.8

33%

16

40.0

33%

15

33.3

33%

14

26.7

38%

13

37.1

43%

12

45.7

43%

11

37.1

48%

10

42.9

48%

9

33.3

52%

8

36.2

57%

7

37.1

62%

6

36.2

62%

5

23.8

71%

4

28.6

81%

3

29.5

86%

2

20.0



4 comments:

  1. deeinthejungle22 Jun 2009, 18:03:00

    v impressive. its working today too.

    ReplyDelete
  2. Thx for posting vs (and quin for giving me the link).

    It worked today again .... i have a runnor on right now ..

    Br
    Allan

    ReplyDelete
  3. deeinthejungle10 Jul 2009, 00:24:00

    one question: what is the policy on when we pull out to avoid the crazy whiplash of the end? last 30 mins?

    ReplyDelete
  4. I usually do not leave open TMR orders towards market end. I start pulling them out in last 15-30 mins.

    ReplyDelete

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-VS