Aphie's REAL Trading Journal
- Thread starter aphexcoil
- Start date
- Status
and for some of us it takes a few whacks around the ears = this can sometimes be noticed to have occured when observing eod P&LHi Aphie,
"It seems to be that if any of these 5k to 1000k people are actually legit, they must basically buy or sell ES and then walk away for hours and days and hope they are correct on the direction of the market."
That's more or less correct. Like most hedge funds, I make my trading decisions using a long term system that makes entry and exit decisions based on statistical measures. Average trade duration is approximately 6 months for a winning trade, perhaps 3 months for a losing trade.
"The really amazing thing about futures is that you can basically randomly select buy or sell, walk away for a few hours, and come back to see your account wiped out or doubled."
If you are even making this observation it seems that you are incredibly overleveraged. I trade 19 markets with my long term system and 4 stock indices with my short term system, and when I backtest my system over nearly 7 years the largest single day drawup or drawdown is about 20 percent. Such a move literally occurs once in 7 years -- an average daily move is more in the 2-4 percent range, while many days are 0-1% and others may range up to 6%. To put this in perspective, most people would consider that I run my systems pretty hot.
It seems to me you may wish to ask yourself a basic question -- "Why am I trading?" If the answer to that question is anything other than "to make money," I suggest you consider those other motivations and take a deep look at how they will affect your profitability. If you come up with other answers, such as "for the action", "because I enjoy gambling," or "because I think I'm having some sort of spiritual journey and I'll interact with strangers on the Internet about it as I go" then realize these motivations will bias your ability to focus on profitability. If you are truly only trying to make money you should systematically establish that you have a realistic prospect of doing so and identify how you will carry out your plan.
Obviously, it's YOUR money and YOU decide what you'll do with it. I wish you the best however you proceed.
Doctor Nevo
"It seems to be that if any of these 5k to 1000k people are actually legit, they must basically buy or sell ES and then walk away for hours and days and hope they are correct on the direction of the market."
That's more or less correct. Like most hedge funds, I make my trading decisions using a long term system that makes entry and exit decisions based on statistical measures. Average trade duration is approximately 6 months for a winning trade, perhaps 3 months for a losing trade.
"The really amazing thing about futures is that you can basically randomly select buy or sell, walk away for a few hours, and come back to see your account wiped out or doubled."
If you are even making this observation it seems that you are incredibly overleveraged. I trade 19 markets with my long term system and 4 stock indices with my short term system, and when I backtest my system over nearly 7 years the largest single day drawup or drawdown is about 20 percent. Such a move literally occurs once in 7 years -- an average daily move is more in the 2-4 percent range, while many days are 0-1% and others may range up to 6%. To put this in perspective, most people would consider that I run my systems pretty hot.
It seems to me you may wish to ask yourself a basic question -- "Why am I trading?" If the answer to that question is anything other than "to make money," I suggest you consider those other motivations and take a deep look at how they will affect your profitability. If you come up with other answers, such as "for the action", "because I enjoy gambling," or "because I think I'm having some sort of spiritual journey and I'll interact with strangers on the Internet about it as I go" then realize these motivations will bias your ability to focus on profitability. If you are truly only trying to make money you should systematically establish that you have a realistic prospect of doing so and identify how you will carry out your plan.
Obviously, it's YOUR money and YOU decide what you'll do with it. I wish you the best however you proceed.
Doctor Nevo
For example, I noticed on the one minute ES chart on Friday at 14:11 EST the ES was trading up near 884.00, threatening to breakout of a consolidation pattern it had been in with a top at the 884.00 area. Theoretically then, a trade to 884.25 would break this thing out. However, I see a large seller at 884.25....600+ contracts offered there, or maybe it was 884.50. In any case, I watch as it breaks out, takes the sellers offering, then trades to 885.00. So far so good.
Oldtrader how did you see that 600+ contract on the sale side.
I thought ES does not show # of size brought or sold.
I am Using realtick 3 and on the time and sale, it only show last price but not contract size.
What quote program are you using to get this?
Oldtrader how did you see that 600+ contract on the sale side.
I thought ES does not show # of size brought or sold.
I am Using realtick 3 and on the time and sale, it only show last price but not contract size.
What quote program are you using to get this?
I got the size from the "market depth" feature that comes with the IB trading platform. Sounds like you're unaware of this. Basically this shows size on both bid and ask, 5 deep. I consistently watch this throughout the day...not that it necessarily says anything, but it's something that I watch...you never know where a clue might come from. It's just additional information. I can't testify as to the accuracy of the information.
This market depth feature also shows the current trade and size. At times I have watched this in conjunction with watching time and sales. Both show last sale information along with size. Can't tell you how accurate this is, but my impression is that it's fairly accurate.
I will add that my quotation system shows size on the current bid/ask on ES, and size of the last trade. Quotation system also shows volume for the time interval that your bar on your bar chart is. If you have a 1 minute chart then it will show the volume for that 1 minute.
If Real Tick 3 is not providing this information then you might want to check around...others are. And again, the IB trading platform shows last trade and size, along with market depth, last trade info, and size. Not sure again how accurate this is....I wouldn't necessarily question it but others have stated here that IB doesn't provide all of the prices necessarily in their quote system. I don't know the truth of that....but if it's true then some of the stuff I'm talking about provided by IB may not be totally accurate. Nevertheless, it is useful information even if somewhat lacking in total accuracy....and WAY more information than we had at one time.
Hope this helps.
OldTrader
IMO, your focus on the depth of the market appears to be inconsistent with your overall reliance on "raw price action". After all, how reliable is the depth of the market when a large majority of the bids and offers on the mini are simply arbitrageurs trying to hit the bids and offers electronically against a position in the full contract in the pit...How often is the depth of the market simply the result of one of the many program trades that hits the market as some statistics suggest better than 50% of the day...
Vulture:
Thanks for the reply.
I believe that I stated in my post that I'm not sure that is "says anything".
I actually watch the market depth for a variety of reasons. One of those is that it's a handy little box that I can bring up on my screen in the corner that serves as a check on the timeliness and accuracy of my quotation system. I can see the price from 2 sources at the same time.
But I doubt I ever said I rely on "raw price action". I try to give myself lots of different information, the idea of which is that one of these various items might give me a clue with which to trade...an edge as some of you guys put it.
You know Vulture, I'm really glad you brought this subject up, because I think it goes to illustrate a point:
I like to watch the news for example. But as with most things in the market, I don't watch the news for the news itself. I watch the news to see how the market reacts, or sometimes more importantly, how it does NOT react. For instance, on the 11th I think it was when the Michigan sentiment came in much worse than expected. Now this is a news item that the market pays attention to, and that the market has sold off on numerous times on the way down. But this particular day, it sold off for maybe 1 minute, then straight up to new highs. It shrugged it off. A bullish response I'd say...and that bullishness continued last week, shrugging off nearly every negative economic indicator. Important information to know, that you wouldn't know if you only watched price action.
Now back to the market depth. You say this reflects arbs. I don't know if that's true exactly. For instance, all of my orders are limit orders, so they all show in market depth. I'm sure there must be others that use limit orders as well.....BUT, let's say you're right....it's mostly arbs. (By the way, speaking of arbs, I suspect that there is significant arbitrage between the NQ and the ES, not just between the big contract and the ES, something to keep in the back of your mind because it will influence moves from time to time as well.)
I think I mentioned that at one time I was on the floor. There were several locals that primarily arbitraged between two different floors. One large local had hired a clerk to stand behind the pit, with an open line to the other floor, and chanted the prices to him throughout the day as he bought and sold our pit. This guy was a large trader. Now let's say that us directional types are all bullish, so we buying everything in sight. Suddenly here's this guy a huge seller, he can soak up everything we want to buy. Think that's important knowledge? He's an arb, but if he has a place to lay off our action....that sure puts a damper on things doesn't it. I call that a resistance area.
Friday, as we bounced off the lows in the ES, it was really amazing to see solid sellers on the market depth. Size on the sell side dwarfed the buy side. Yet, we were moving effortlessly through that size. Does that mean anything? You say it's all arbs on both sides. And yet the heavy side of the quote is being taken out effortlessly. To me, that means something.
And so that brings me to WHY I watch things. I watch when I think they have the potential to give me a perspective, a clue as to how I should be viewing the market. Sometimes they say nothing...and that's OK with me because I watch lots of things for that exact reason. I would put the market depth thing in that type of slot. Most of the time I'm not exactly sure what it's saying. Sometimes I think it's because I'm not smart enough to have figured it out yet. But regardless, I keep watching because it serves as a check on my quotes, and it "might" tell me something at some point.
Coming back to the floor for a moment, you know, one of the advantages of being on the floor is you see what's being done around you...you hear it, you see who's doing it, you see how much. I'd say that's an advantage at times for those who understand it. As screen traders we lose that type of feel. But to me the market depth gives me perhaps a tiny bit of that back.
And now, I use it one other way that has definitely put some money in my pocket. I use it to help me with order placement. Let's say I want to buy something....but there's size over on the offered side of the quote. That means I can buy on the bid in all likelihood, because someone is going to come in and step ahead of the large offer. If I can successfully buy at the bid, then in my mind that puts an extra $12.50 per contract in my pocket. It's a very small edge, but again, I think that's definitely worthwhile, at least that's my perception of it.
Again, like most things, it's not a tool that has categorical rules. It's something that you look at in the context of everything else that you're looking at in the market. I don't look at anything in isolation.
And finally, I think the way I put this at one time is that I viewed myself as a detective, looking for clues as to possible direction. I never know where the clue is coming from, or what information will gel in my mind. I just know that if I watch and wait long enough, something will come up.
Hope that sheds some light.
OldTrader
Aphexcoil, I have alotta respect for you, although some of your early commments were a little childish (but you're now learning the hard way). I like you because like Gordon Gekko you put yourself out here, with your questions, problems, feelings, etc. And by disclosing your quest you're doing a big favor to many others beginning (and struggling) traders, because many of them go thru exact same phases/problems. I only hope that when you get there you will be courteous enough to sincerely help out those who are just starting out. Can you promise that? And personally I think you will get there, probably later than you imagine, but I think you will.
- Status