Mean Momentum Strategy, Order Types, and /CL Data Mining

Here’s our first look at the Mean Momentum strategy. There are two main goals with this approach.

  1. Evaluate the opportunity to be neutral when price moves away from either side of the Donchian Channel
  2. Have directional trades that use a mean reversion bias that is backed by a reason to exit if the trend resumes

In addition to this strategy, we went over order types and had a sneak preview of some of the latest information from Don Brady’s extensive automated analysis of price channel, strikes, and expiration dates. Notes from the order type discussion are below.

Chat Log:

00:01:50 Chris: no music
00:18:57 derek clemens: i said that in confidence!
00:18:58 derek clemens: haha
00:28:54 Preston: Activated by a price. Then a market order is sent out.
00:29:07 Preston: Oops!
00:29:52 Kirk: Activated by a condition, (price or other), causing a flatten of position
00:29:55 derek clemens: a stop is an order that gets you out at a preset amount of loss
00:29:57 jens: reduces losses
00:32:48 Kirk: buy stop = buy limit?
00:37:49 Preston: Works pretty well when use it manually in TS but hard to code.
00:38:03 Preston: In EasyLanguage
00:59:11 Chris: a decade
00:59:23 Kirk: Was this done on TS or CML or ONE or Other?
01:01:12 Preston: Thanks Andrew
01:01:52 Kirk: Thanks !

Outline for order types:

  • STOPS:
  • Stop losses:
    • Defined: Don’t lose much more than this
    • Can be
      • planned and not guaranteed
      • Manual (watch the market and close manually)
      • Systematic (conditional in brokerage platform or software)
      • Automated (if, then)
  • Stop orders:
    • Entries or Exits
    • Defined: THIS PRICE OR WORSE
    • Market or Limit, not yet defined
  • Limit orders:
    • Entries or Exits
    • Defined: THIS PRICE OR BETTER