Hi

I WANT to design two separate intraday mechanical strategies and implement them using Tradestation 8.1 with the AIM of profiting from the two main market types – trending and ranging-sideways markets.

I do not intend to hold positions overnight.

I plan to run these 2 distinct strategies simultaneously on the same instrument, on seperate charts,spreading the risk between 2 strategies, accepting that they will both lose money at times, but will make a profit overall – HOPEFULLY.

To avoid curve-fitting, stable indicator-strategy parameters are also important.

I want both strategies to be as simple & successful as possible, with as little drawdown and few negative trades as possible. So -

1. A strategy designed to profit from a ranging market, which tries to restrict trade entries during a trending market.

2. A strategy designed to profit from a trending market which tries to restrict trade entries during ranging/sideways markets.

So far, for the strategy designed to profit from ranging markets, I am considering basing trade entries around a cross above an RSI 14 value of 30 and a cross below an RSI14 value of 70. In essence, the RSI Long Entry (LE) & Short Entry (SE) strategies. I accept that this strategy/s will lose money during trending markets, as prices continue to fall. Therefore I wish to try and identify trending periods, and keep this strategy on the sidelines during trending periods. I am considering combining this entry strategy with the ADX or ADXR indicator. The ADX measures the strength of a prevailing trend as well as whether movement exists in the market. A low ADX value (generally less than 20) can indicate a non-trending market with low volatility whereas a cross above 20 may indicate the start of a trend (either up or down). If the ADX is over 40 and begins to fall, it can indicate the slowdown of a current trend. This indicator can also be used to identify non-trending markets, or a deterioration of an ongoing trend. Therefore if I limited RSI entries to times when ADX14 was 25 or below for example, my chances of achieving a higher % of profitable trades MIGHT be increased.

So far, for the strategy designed to profit from trending markets, I am considering basing trade entries around the MovAvgCross LE and SE strategies. I accept that this strategy will lose money during sideways - ranging market periods, so wish to try and identify sideways periods, and restrict trade entries during sideways-ranging market periods.
I could combine the ADX/ADXR indicators again with the MovAvgCross.
I could also add conditions so that the strategy will not enter another trade following a negative trade/s, until a price breakout has occurred. Therefore I could combine the MovAvgCross LE & SE with a strategy like “Price Channel” LE & SE, which waits for a breakout from the HI-LO of x number of bars.

I have not yet fully considered the combination of exit strategies that I want to use in both strategies. But for both strategies, possibilities include a stop loss Long Exit (LX) & Short Exit (SX), percent trailing LX & SX, profit target LX & SX, Profitable closes LX & SX, breakeven stop LX & SX.

For the MovAvgCross strategy, specific exit criteria could be the MovAvgCross LX & SX, that will exit a trade once the price, or x number of closes have crossed back above or below the MA. line.