Emini divergence journal

[no_pm_please]

1. ADX crosses above 30 at last bar of yesterday - 3:15 bar
2. Today's open above the last bar confirmed the late day price move. Divergence was easy to see. Last bar making a new high was the 9:00 bar.
3. Entry at the beginning of the 9:10 bar. Sell at 978.50. SP open was at 978.70. Keltner width was 7.84 so stop used was 2.75.
Stop was set at 981.25
4. Trade exited when Keltner Channel touched 972.25 at 10:20am.

Entry short 978.50
Exit short 972.25

Profit(loss) +6.25
Risk 2.75

Risk/reward this trade about 2.25

Cumm. trades since 8/1

# wins 6
# loss 1

Profit of winners +35.50
Loss of losers -3.0

 

[no_pm_please]

Quote from MTG:

Great Journal, thanks for sharing.
Confused a bit about the win/loss ratios

You said:
"The risk/reward overall for me has been better than 3:1. The win rate has been about 70% and the win versus loss rate on trades has been about 1.4 to 1. When the two are combined, it comes up to better than 3:1 total profit to total losses."

I am a bit math challenged so I might just be confused, but at a 70% win rate you, would have to get at least 2.5:1 on winners to net 1.4:1 overall.

To net 3:1 overall, you would have to get 4.7:1 on the winners at 70%.

(I can see that you might not use all of your initial stop amount because some of the trades are closed at end of the day. These trades could be a loss but not using up all the initial stop)

Am I missing something?
Thanks

MT

I don't how you do the math. I was looking at my records for the year. My net before August was $110,687.50. The total dollars on winning trades (net of commission) was $143,434.75. The total dollars lost (net of commission) was $32,747.25. This method plus my advanced one win about 70% of the time. The win dollars to lose dollars was 4.38 (if I did it right). I keep track of the risk:reward of each trade. This year it has averaged 1.4:1 1.4 dollars won to 1 dollar lost. How do you figure the overall risk:reward for all the trades. I thought it would be total dollars won / total dollars lost. Anyway, in a couple of months there should be enough trades for all the math wizards to figure this out.

 

[MarkB]

I can't wait to hear about the advanced method!

 

[Trend Fader]

This looks like a nice system.

70% hit rate seems about right because markets only trend 30% of the time. This system profits off fading trends and choppy markets.

When the market has a solid trend day.. which is pretty rare... this system will always lose.

The reason why this system works I believe is mainly twofold.

Firstly it makes sense.. because you are fading a intraday trend.. and in reality intraday trends lasting the entire day are pretty rare.. so there is an edge to it.

Secondly, the entry and exit are very well defined. There is sound money management and very acceptable risk to reward per a trade. Your money management is being defined by the volatility of the market which is smart.


-- Good luck
Mike

 

[no_pm_please]

Quote from jabbar11:

Looks like divergence in Chaikin at 9:40 Eastern Time and ADX > 30. Did the program go short at 97700 with a buy stop at 98050. Looks like it covered at 97200. About a 5 point gain.

jabbar11

No, at that time the high was higher than the previous bar. The trigger for this method is to wait for one bar after a high is made. Then if it doesn't set a new high, go short at the open of the next bar. See the chart on this trade. I added this trigger to make sure the momentum of the trend had at least paused before entering.

 

[no_pm_please]

Quote from Achiever:

You mentioned that you've experienced a drawdown of about 40 points during April.

I was wondering if you were able to draw any conclusions from this challenging period. What did you learn about this environment? How did it affect you psychologically? What kept your discipline?

I already knew when this method will lose. When the market has a trend day or strong followthrough of trends it will lose money. At that time I only took about 1/2 the trades because I slept in most days and only caught afternoon trades. I could see winners on other trades and I didn't see anything really different in the market. I attributed my losses to not taking all trades and bad luck (I don't know which trade will be a loser or a winner in advance). It didn't affect me psych. becasue I started the account with 25k and I was up big. I have a fulltime job, and other than withdrawls for taxes and a little for a few nice things, I've kept my money in the account. I guess my discipline is kept because it's my method. I know what a good trade looks like and I know what a bad trade looks like. If you look at some of the charts you'll see the winners look very similar. I know someday it'll stop working. When it does, I know I'll be able to adapt to whatever the market is doing.

 

[jabbar11]

Do you use tick volume or actual volume for the S&P ? Actual intraday contract volume is not available in Tradestation 7.1

 

[no_pm_please]

Quote from ptt:



thanks for the great journal,

Interactive Brokers has bracket trading, where if one order is triggered, the other is cancelled. I'm sure other platforms have this as well. It allows you to set a stop and a target and walk away. It looks like that would completment this method.

You said you lost 40 points in April, was that because of the system or loss of trading discipline?

I don't know how the bracket stuff works. I have a account at IB and another one at another broker. The exit for profit can't be set in advance because it's based on the keltner bands which change with every bar. The stop loss can be set and I do set it right after entry.

I haven't checked all trades in April. I'm guessing if I did, my losses would be smaller (or maybe even a profit). No doubt having a job is hurting my results. Last night we had some beers with the session. Normally I would sleep in and look for a afternoon trade. Having this journal made me get up today. So far it's been a help for my discipline.

 

[no_pm_please]

Quote from MarkB:

I can't wait to hear about the advanced method!

Sorry, I'm not going to be posting that method. Hopefully after a couple months of results this will get some people interested in looking at divergence trading as a viable way to make money. I know "trade the trend, etc.". Some of us aren't good at that. I think this will demonstrate that sometimes catching knives isn't so risky.

 

[daveb351]

no pm...

Take a look at Ninjatrader.com, a good order interface for IB. Set stops, targets, brackets, etc.