ES Journal Archive (2006 - 2008)

Status
Not open for further replies.
OK, i put in a limit stop order so I can type for a bit. I have changed my approach to position sizing as of yesterday, I was awake till 3am figuring this out. I have thought long and hard about what Spike has been saying all this time, during my almost 5 years of "preparation" I have not found a reliable system to pull large daily gains (points wise) trading S&P500, not yet anyway, but since I've started trading on daily basis I am more confident in being in and out of a trade and fine tuning my primary system, which exploits the WRB formations (demand outstripping supply and vice versa) and it does work very well. But there is a flaw there, like in any system, it only offers 2-3 points. Since this is a high risk field, trading futures, I need to try and diversify a bit. So I decided to to split my trading capital in 2 and dedicate 1/2 to primary trades and another 1/2 to trades trying to catch the big moves in the S&P, in a way one hedges against the other, sometimes the would work and generate positive results on the same day.

Breakdown of what happened today so far. My first entry was @ 1315.00 and that was a trade which is still working with exit at entry. The second trade was based on the 15 min WRB @ 10am, entry @ 1319.50 and exit @ 1321.50 ie 2 points with 1/2 position size of TC using 2 point stop.

Why I have not exited @ 1321.00 with the first position? OC, when you suggested prior using yesterday's OHLC in addition to daily pivots, worked great today and it would have been my profit target yesterday and indeed it was on my 2nd trade. But by scalping we do not reap the rewards that positional traders or system traders like Spike, who is a jammy jammy man for not wanting to tell us how he does it :), get out of their trades on average working these larger price swings.

So basically this is it and who knows whether it would go to 1321 or not today, but if it does I might gain even more if it doesn't I'll still be in profit today.

Romik
 

Attachments

system says range/zigzag

my mechanical openrangefader would have been short from the top, but they were too fast...rule is fading a break of 1. hours range, exit at mid of range...thought about shorting the top nonetheless but i`m somewhat out of sync the last days...After some bullshit trades I went back to the "plan your trade and trade your plan" thing....analyzing marketstructure...

We had momentum up, but no real trend, the move down had no volume, so i expected just retracement, waiting for the 3. lower low (rules of 3 ....)has the best risk/reward, did check to include TICK in TS, buy was supported by -500 TICK at 3. low, target the 2. swing high, did it with YM (very late entry...could have been 10 points better, man...), 2 Ticks limit under resistance and got filled, flat cause low probability of further trend.

counting highs/lows is always a good idea, in strong trends retracements have mostly only 2 swings, otherwise is 3 a good number. Cause i trade only one lot discrete till I´m an execution robot (still in learning mode here...)and not doing bullshit anymore I`m up lousy 75 $ net..

BTW i find TICK-Index quite nice...
 

Attachments

Quote from mechtrader41:

system says range/zigzag

my mechanical openrangefader would have been short from the top, but they were too fast...rule is fading a break of 1. hours range, exit at mid of range...thought about shorting the top nonetheless but i`m somewhat out of sync the last days...After some bullshit trades I went back to the "plan your trade and trade your plan" thing....analyzing marketstructure...

We had momentum up, but no real trend, the move down had no volume, so i expected just retracement, waiting for the 3. lower low (rules of 3 ....)has the best risk/reward, did check to include TICK in TS, buy was supported by -500 TICK at 3. low, target the 2. swing high, did it with YM (very late entry...could have been 10 points better, man...), 2 Ticks limit under resistance and got filled, flat cause low probability of further trend.

counting highs/lows is always a good idea, in strong trends retracements have mostly only 2 swings, otherwise is 3 a good number. Cause i trade only one lot discrete till I´m an execution robot (still in learning mode here...)and not doing bullshit anymore I`m up lousy 75 $ net..

BTW i find TICK-Index quite nice...
More...

Michael,

Have you tried backtesting entry/exit based on TICK by the way? Perhaps analyzing daily tick EOD as well as intraday.

EDIT: I think EOD is of little relevance here, though would be interesting to see results intraday and in different months as well.
 
sorry, have no historical data, just checked to use the correct format in excel to collect from IB and have so far just the data from today....IB is not supporting hist data, guess it`s not easily available at all.

About scalping:
I was using a 5 tick chart for TICK with 2 MA`s(20,9), and it seemed possible to scalp 6-9 points YM or ~0.75 - 1 ES every time a crossover happened in the lower or upper region, and this happend often, but as we all know, days are different, I found this a few days ago already working, seems good in somewhat flat rangemarkets, in trend/momentum i expect other rules. Just eyeballing so far, did no real scalptrades.
 
Quote from porgie:

b1...........if u r thinking 2 hours ahead could you explain tha tplease as daytriaders don't know what the next be bar brings.........just curious not being ugly porgie
More...


porgie,

I dont think he claims to know where any bar is going to end up. He does have a postional short that he looks to add when prices get over extended. Now he has made some calls in the face of serious heat to the upside that have been unreal. I mean I was blown away by some of his entry points, maybe I'm just more conservative but I give this guy props for being real time and sticking to his plan.
 
Quote from mechtrader41:

sorry, have no historical data, just checked to use the correct format in excel to collect from IB and have so far just the data from today....IB is not supporting hist data, guess it`s not easily available at all.

About scalping:
I was using a 5 tick chart for TICK with 2 MA`s(20,9), and it seemed possible to scalp 6-9 points YM or ~0.75 - 1 ES every time a crossover happened in the lower or upper region, and this happend often, but as we all know, days are different, I found this a few days ago already working, seems good in somewhat flat rangemarkets, in trend/momentum i expect other rules. Just eyeballing so far, did no real scalptrades.
More...

The bigger the timeframe the bigger the potential move. Each entry has the same risk but not the same potential; so it is important to take bigger moves rather than jumping in and out all the time.
I will never use tick data because ticks are irrelevant; the direction of the market is important. The direction of the market is the result of thousands of ticks, the market represents thousands of players, and to make the market move you need lots of trades, lots of volume.
 
Spike,
I´m not a scalper, just theoretical eyeballing...don`t know if i will try it...the risk would not the same, if it works out we talk about 1 : 1 risk/reward with ~ 80-90% Win, but the commissions are a problem....

But agree in general, that`s more my way too....

Otherwise I see the TICK-index for finetuning entries or selecting for lower risk signals not for use on it`s own.

I just realized the TICK -Index and Tickchart mixup prob., may be some confusion here too...

Why not Tick or Volumecharts? Most would think of very short charts, but lot`s use 233 Tickcharts, the advance is less bars in low volume >> less false indicatorsignals and more bars in high volume >> faster response of signals/indicators, same with volumecharts, adapting to marketactivity.



A 233Tick from standard dataprovider is ~ 5 minute timechart but is more like a 2 minute in high activity and more like a 8-9 minute in flat market.
 
By applying some linearregressionchannels on 60 min, this does not look very short to me, the one and only argument is the extended time of staying in an upward channel like this, but in history the S&P rarely did much longer trends...

The danger or chance is an inverted head and shoulders, a break, best in form of a runaway gap would spark a large shortsqueeze rally up to 1340-45 seen similar already ~ 14. march
 

Attachments

Quote from porgie:

b1...........if u r thinking 2 hours ahead could you explain tha tplease as daytriaders don't know what the next be bar brings.........just curious not being ugly porgie
More...

Appreciate your question! It is true that I have no idea what the next bar will be. I only deal in probability with the technicals that I use. When I mention what may happen, it is from seeing the patterns develop in the past and knowing then what to expect for the future. The Histogram did occur on the 2:30 EST bar . I would say and Spike can perhaps confirm, that the 60 minute bar can carry well into the next day whereas the shorter term may not. With the double bearish divergence, it is indeed possible that we will see further downside beyond the 3 or 4 points this afternoon on Monday. The overnight Sunday could well feature a bounce followed by perhaps a triple divergence on Monday. In any event, when daytrading or swing trading, I think if you use money management effectively, most set ups can be traded. They will not always be right and MM techniques get you out before the loss kills your account. --Now position trading--that's another story--As you know, I use no stops on most ES position trades.
 
Quote from sosa1974:

porgie,

I dont think he claims to know where any bar is going to end up. He does have a postional short that he looks to add when prices get over extended. Now he has made some calls in the face of serious heat to the upside that have been unreal. I mean I was blown away by some of his entry points, maybe I'm just more conservative but I give this guy props for being real time and sticking to his plan.
More...

Thank you for the nice comments and glad to hear from you anytime. I wish you success and hope you continue to post here. As an aside, my calls are many times incorrect or appear to be for some time, but when I do catch the move , it's generally larger and with more size on. Now daytrading--I'm just getting used to that.
 
Status
Not open for further replies.
Back
Top