Emini divergence journal
- Thread starter no_pm_please
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).The only setup I found for yesterday was a short near the open of the 845 bar. The SP open was 990.70 so a fill around 990.50 is what I would've expected. The Keltner range was 7.02 so a stop of 2.50 would've been used. The trade was exited on the 1000 bar when the lower Keltner band was touched at 983.77. A fill of 984.00 would've been expected.
Profit(loss) +6.50
Risk 2.50
Risk/reward 2.60 (much better than normal)
Here's the setup:
1. ADX crosses above 30 at 245 bar on Tuesday. No trades are taken after 230 so any divergence would have to be confirmed with a new high in the trend the next morning.
2. SP opened Wed. higher and a clear divergence was in place.
3. First down bar was the 840 bar. Enter the next bar near the open (SP opened at 990.70). Keltner width was 7.02, so stop would be 2.50.
4. Exit when lower Keltner touched at 1000. Lower Keltner was 983.77, so a fill around 984.00 would be expected.
Profit(loss) +6.50
Risk 2.50
Risk/reward 2.60 (much better than normal)
Here's the setup:
1. ADX crosses above 30 at 245 bar on Tuesday. No trades are taken after 230 so any divergence would have to be confirmed with a new high in the trend the next morning.
2. SP opened Wed. higher and a clear divergence was in place.
3. First down bar was the 840 bar. Enter the next bar near the open (SP opened at 990.70). Keltner width was 7.02, so stop would be 2.50.
4. Exit when lower Keltner touched at 1000. Lower Keltner was 983.77, so a fill around 984.00 would be expected.
Catching up on the thread...
I used the Chaikin Oscillator because that's what Linda Raschke used to track price divergences. I wanted to see what she saw while I was learning how to trade. I'm sure momentum, MACD, OBV, Rate of Change, and CCI would all give some similar results. Her idea was to look for momentum changes in price to anticipate a trend change. I tried it with volume and thought it gave me a better look at what the institutions were doing (SP trading in the pit). I've looked at other indicators, but I like this one because I'm comfortable with it.
One priceless bit of info. I learned from Linda was to only add a indicator if it gives some new information about the market you're trading.
Magna
Administrator
We were discussing this trade yesterday. A few questions: with a Keltner range of 7 that yields a 2.25 stop by my calculations, not a 2.50. Added to the 990.50 opening of the next bar that comes out to 992.75 (or with the 2.50 stop it comes out to 993.00). In either case, that doesn't exceed the hod which was 993.00. I thought you didn't want to take a trade unless you could place your stop outside the prior trend run.
That was a close trade. I had the ADX at 28.07 on the 1055 bar. If it had been above 30 then the divergence was in place and the 1100 bar would've confirmed it (by taking out the low of the 1055 bar). The first up bar would've been the 1105 bar. The keltner range was 6.47 so the stop would've been 2.25. The 1110 bar opened at 983.50 so a long trade would've happened. If the open was above 984.05 (low of low bar was 981.80 + 2.25), then no trade would happened unless the price dropped below 984.05.
My data for yesterday is from Globalserver so I don't know what the feed was that they used. I don't show the ADX crossing 30 until 1130 which was too late to get in on this trade.
7/3 = 2.3333 so use 2.50 for the stop. Anything above a 1/4 pt. increment and you go to the next .25 level (no rounding down). I have the SP hod as 992.80 so the lowest entry point would be 992.80 - 2.50 = 990.30. I show the open of the trigger bar at 990.70 so it's within the entry. I could see how you could miss this if you used the emini data and had a 993 hod and a 2.25 stop (round down), though.
Magna
Administrator
Thanks for the explanation. Two questions come to mind -- this means that you are willing to place your stop at exactly the hod, no need to exceed it (even using your SP figures)? And since your actual entry is in the ES, doesn't the 993.00 ES hod mean anything to your stop placement or do you ignore it and strictly go by the 992.80 SP hod even tho the stop is in the ES and not the SP?
PM:
In your post below you stated that the trade would not be good if the open was above the low of the bar at 981.80 +2.25.
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PM wrote:
That was a close trade. I had the ADX at 28.07 on the 1055 bar. If it had been above 30 then the divergence was in place and the 1100 bar would've confirmed it (by taking out the low of the 1055 bar). The first up bar would've been the 1105 bar. The keltner range was 6.47 so the stop would've been 2.25. The 1110 bar opened at 983.50 so a long trade would've happened. If the open was above 984.05 (low of low bar was 981.80 + 2.25), then no trade would happened unless the price dropped below 984.05.
My data for yesterday is from Globalserver so I don't know what the feed was that they used. I don't show the ADX crossing 30 until 1130 which was too late to get in on this trade.
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My questions are:
1. Is the trade always void if the entry is more than the stop, in the case 2.25, plus the low of the low bar?
2. Do we use the amount of the stop for each particular setup, added to the low of the low bar, or is the 2.25 a fixed number to use in determining if the trade is void?
Thanks for your help.
In your post below you stated that the trade would not be good if the open was above the low of the bar at 981.80 +2.25.
++++++++++++++++++++++++++++++++++++++++++++++
PM wrote:
That was a close trade. I had the ADX at 28.07 on the 1055 bar. If it had been above 30 then the divergence was in place and the 1100 bar would've confirmed it (by taking out the low of the 1055 bar). The first up bar would've been the 1105 bar. The keltner range was 6.47 so the stop would've been 2.25. The 1110 bar opened at 983.50 so a long trade would've happened. If the open was above 984.05 (low of low bar was 981.80 + 2.25), then no trade would happened unless the price dropped below 984.05.
My data for yesterday is from Globalserver so I don't know what the feed was that they used. I don't show the ADX crossing 30 until 1130 which was too late to get in on this trade.
++++++++++++++++++++++++++++++++++++++++++++++
My questions are:
1. Is the trade always void if the entry is more than the stop, in the case 2.25, plus the low of the low bar?
2. Do we use the amount of the stop for each particular setup, added to the low of the low bar, or is the 2.25 a fixed number to use in determining if the trade is void?
Thanks for your help.
I think I covered the entry/stop loss placement (I don't look at hod on emini because I expect it to be spikier than the SP). I use only SP numbers for figuring out the trade (I know I'll get hit with some slippage between the SP and emini for entries and exits). You can see from most trades the high before the entry is a solid point for stop loss placement. In the past I've tried placing stops 1 tick above the high and it worked out ok. I prefer to use the 1/3 of keltner rule to avoid marginal trade entries and help do the money management calculations. If I used 1 tick above hod for the stop, I couldn't figure out how many contracts to put on before the trade initiated since the stop loss amount would change based on the entry price.
If you couldn't get in initially because the entry would've been outside the stop loss range (high of high bar in the trend - stop loss), then the only thing to do is wait for a retest. If no retest comes into the range, then I wave at the screen and say "see you next trade". If the divergence goes away during the retest and before the entry then the trade is dropped (not likely to happen).
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