Spreadsheet: 157971d1337941459-data-analysis-problem-problem-example_solution
Sheet: Rules

The Basics
Use a 2minute time frame graph
Add an 8 EMA simply as a visual gauge of  impulses and corrections or confirm trend change within the 2 min time frame.
The assumption is that 2 contracts will be traded when each position is opened.
For entering trades, no reference is made to any other time frames.
To enter ANY trade requires the identification of a fractal of 3 candles or a block.  See attached trading plan extracts.
Set Up Introduction
For a long trade
The lower of a 3 candle fractal is the KEY  candle used to go long, where the high of that candle is used to enter a limit order to go long.
Where a box formation has been identified, the high line drawn is used as the entry price.
A short entry
The highest of the 3 candle fractal is the KEY  candle used to go short, where the LOW of that candle is used to enter a limit order short.
Where a box formation has been identified, the LOW line drawn is used as the entry price.
The Set Up
There must be an established trend in order to use the fractals as described above.
A change from down trend to UP trend occurs when the following sequence is identified:
Fractal lower high/ Fractal Low/Fractal Higher High.  (FLH/FL/FHH)  Note fractals must NOT be interchanged with a box for the purposes of determining trend change.
Once the above sequence has been observed an order can be placed immediately, provided the last candle of the fractal has made a higher high (HH) than the key candle.  If this is difficult to see, wait until the next candle is complete and has made a HH + HL.
Technically, an up trend is fully confirmed once a FHL follows the above sequence but entering early aims to anticipating the start of a trend.
A change from up trend to DOWN trend has the following sequence:
Fractal Higher High/ Fractal Low/ Fractal lower high. (FHH/FL/FLH).
Once the last candle of the fractal has made a Lower Low (LL) an order can be placed immediately.  If this is not easy to see wait until the next candle has completed and made a lower high and lower low (LH + LL).  Sometimes this does not happen because the middle candle is unusually long, in which case this group of 3 candles can't be counted as a fractal.
Technically, a down trend is fully confirmed once a FLL follows the above sequence.
Note that fractal highs and lows must be separated by at least one candle.
STOPS
For the ES the initial stop is 8 ticks
For the NQ the initial stop is 16 ticks
No targets are set.  Instead, the Parabolic SAR is used on both the 2 min chart and 5 min chart.  The last visible dot is used to record the price at which a trade would have been stopped out. For an up trend price is rounded down to the nearest whole pip and rounded up in a down trend.
Trend at the time of the trade
This is stated as either Up, [NAME] or Chop.  (U/D/C)  (Chop = consolidation or basing).
Trend for the purposes of this exercise is determined using the 15 minute chart and the Linear Regression Line under Tradestation Insert Analysis Technique using standard settings.
Left click on the line to measure the angle.
Angle > 5 degrees = UP
Angle < 5 degrees = Down
Angles in between = Chop.
Maximum Profit
This measures the maximum number of ticks from entry to the extreme swing high or low of the impulse or correction of that move on a 2 minute chart only.  The 5 minute chart has the potential to run profits much further but this time frame is ignored for the purposes of this exercise.
Open Time
This is recorded using the 1 minute time frame.
15 min Par SAR
This is recorded to observe how far each trade might run if not stopped out for 8 ticks.
Where the SAR does not register in the direction of the trade, it is marked as N/A and the position will be stopped out for 8 ticks loss.
Sometimes the 15 min SAR does register in the direction of the trade but will not prevent the position from being stopped out for an 8 tick loss if the15 min SAR stop is greater.
Direct Stop
This is recorded with reference to the 2 min chart only.
When price moves  8 ticks against the opening position a direct stop is recorded.  This is most likely to happen when the Par SAR fails to appear in the direction of the trend.
However, it is still possible to have circumstances where either the 5 or 15 min Par SAR is in place in the direction of the trend and is closer than 8 ticks to the price action.  Even in these circumstances a direct stop is recorded even though you may get stopped out for less than 8 ticks using a higher time frame stop.
Large Candles
After news events in particular, candles can become abnormally large.  If they are greater than 2.5 ES points (10 ticks) from high to low, they will be treated as follows: -
If the candle forms an obvious low, then the low figure recorded (X) will be 1 tick below the low of that candle(Low - 1) with the high 8 ticks higher than that recorded figure =  [NAME].
If the candle forms an obvious high, then the HIGH figure recorded (Y) will be 1 tick ABOVE the HIGH of that candle(High  + 1) with the LOW  8 ticks lower than that recorded figure =  Y – 8.
The results will record what happens if the levels are filled in the normal way.  Such trades are highlighted with a # against the price.
Please note that these candles will NOT be used for the purposes of determining a change of trend.