Bond Trader 2006

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I've traded opening range breaks and volatility attenuation on treasuries for many years, less so now due to other commitments.

Generally when you get a symmetrical whipsaw that returns to the open for the second time, I'm done for the day, happy to pocket a little something on either side.

I'm not sure there's any systematic way to capture the move back up from the lows. On a purely subjective basis, however, the selling under 112'10 was pretty half assed - when it could have easily blown a handle lower, it chose to draw a line for 15 minutes.

Quote from johnpinochet:

I'm looking at the recent new highs of 113 09, just shaking my head at the amount of money left on the table by not reversing at 112 20.

Would really love to hear from anyone who nailed today. In particular I'm looking for anyone who nailed the time period between 0930 and 0940.

Finally, I'm happy with what I did, i.e. 2 winners and 1 small loss. I'd just like to get a handle on the move back up. I'm going to call it a mistake to not reverse.
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Quote from AAAintheBeltway:

johnpinochet,

Just came across this journal. Really good stuff, both your analysis and the advice on managing trades. Keep it up and good luck.
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Thanks! Glad to hear it.
 
Quote from illiquid:

I don't normally trade the bonds day to day, but coming in this morning my first idea was that I wanted to buy into any dip after the NFP.

I've really no clue as to why it should go up -- all I know is that if someone wanted to buy, that would be a good a time as any *shrug*.

Still might not be too late you know . . .
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Good insight. Any further comment on why you wanted to buy into a dip in the first place?
 
Quote from erlewine:

I've traded opening range breaks and volatility attenuation on treasuries for many years, less so now due to other commitments.

Generally when you get a symmetrical whipsaw that returns to the open for the second time, I'm done for the day, happy to pocket a little something on either side.

I'm not sure there's any systematic way to capture the move back up from the lows. On a purely subjective basis, however, the selling under 112'10 was pretty half assed - when it could have easily blown a handle lower, it chose to draw a line for 15 minutes.
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Yes, I see exactly what you mean re: the selling under 112 10. I'm looking at it now on my Market Profile clone and I see what you mean. Thanks for your thoughts.

By the way, the Chinese truck comment was just a joke or were you alluding to foreign buying?
 
I've been meaning to post charts so when this is archived people can easily see what I've been discussing. Since today is so interesting, here is the chart.

I call a day like today a V day. Just haven't seen one this dramatic. If you forget about all price activity prior to 0810 CST you would not have hesitated to go long.
 
Quote from johnpinochet:

Good insight. Any further comment on why you wanted to buy into a dip in the first place?
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Nothing particularly clever -- dumb luck even. But when technicals and fundamentals line up for a while in a market as large as treasuries, I try to find an excuse to take the other side. Fwiw, I trade with a 4-tick stop on ZN, so that's about how much conviction I have in these trades.
 
I cant recall ever seeing ZB re-trace that much of a move on Non-Farm Labor day before... but as someone above said, it sure does fit with how the week has been for ZB. I will be interested in MCurto's comments from the pit for this day. (my guess is its pimco and goldman fwhiw)
 
It has been a very Interesting 2 weeks hasn't it.

If you caught a bit of puzzlement on my part concerning yesterday's activity you are correct. I nailed the pre-market and the first hour of trading. I made my profit twice and waited for my short at 112 17 followed by an attempted second short target at 112 21. Right when it was about to trigger I cancelled the short at 112 21 and got out of the 112 17 short. Talk about prescient!

Well, the real reason was that market activity was just too weird. To be honest, as the market toyed with that solid formerly lower end of the range, 112 10, I thought about shorting there even. Anywhere from 112 10 - 112 15 would have been an excellent short on a normal down move day. Shorting at 112 21 would have been even better on a normal down move day. That is the market activity I've come to expect and that works for me.

Why is this such a big deal for me?

Let's say that I went ahead with the two above shorts, i.e. kept the one at 112 17, and added the one at 112 21.

What concerns me are the following things:

At what point would I have gotten out? Keep in mind that my mindset was shorting at the key levels.

When would I have reversed?

Speaking of reversing, why didn't I reverse when I stopped out on the 112 17 short and cancelled the 112 21 short?

What also concerns me is my absolute disbelief in what happened next, i.e. spike back up to new highs.

Well, I'm going to be a man and admit that had I continued to trade and not followed my rule that I mentioned in an earlier post, (if you're right in the beginning and things change dramatically, get out), I believe I would have lost all of the profit I had made up to that point and had a break even day as a worst case scenario.

In a best case scenario, removing the short bias and seeing the other side of the coin, i.e. prices dramatically breaking through all pivots, and all of my price projection numbers without even stopping to test the previous number, I can also say that there is a good chance that I would have reversed and captured the move back up to 113 10 more than once. The reversal would have given me my lost profit back and then some.

I'm writing this to hopefully help anyone trading or thinking about trading this market. My admant refusal to reverse my subconcious bias and reverse my short trading mentality to a long trading mentality can not be done when trading on a intra day 5 minute bar basis.

So far in this journal I have pointed out too major mistakes. At least that I can think of at this time.

1) The mistake to take a position prior to a 0900 report.

2) My refusal to reverse yesterday.

Learn!
 
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