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ES Journal Archive (2006 - 2008)
- Thread starter Buy1Sell2
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Quote from romik:
Do you use MAs and what values?
No, MA's are useless for 2 reasons; first of all everybody uses them so they become useless; and second they always come too late.
Optimal MA's need also constant optimization. The parameters for the optimal MA change constantly which makes them useless.
The first thing to do is to define the waves within the day.
Second thing is to create a system to ride these waves.
In a normal day you have between 1 and 3 waves. So the optimal system should give 1 to 3 signals.
From this point of view scalping is, to me at least, trading without having any clue what the market will do that day. Scalping is trying to take small parts of each wave, because you have no idea about the direction and/or the size of the wave.
Quote from romik:
...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...
... meeting the great problem when/where to exit, all, or partial, or MOC ?
There are some ressources claiming there is no way with one set of contracts, means all in/all out, below an excerpt from daytradingbulletin claiming a minimum 2, better 3-5 set of contracts is the way to go....
To add my own opinion first: There`s again no easy answer....In testing breakoutsystems i could not found any edge by scaling out or in, under rare conditions adding to winners was the only advance. Different is trading pullbacks in trends, all daily systems I developed working only good cause they scale out from a set of 3. L. Raschke keeps a coreposition in trends and scalps in trenddirection. Scaling out makes only sense if your entrysignal gives you a very high% going at least some ticks the right way immidiately, what I guess is the case with your`s tradingstyle here...By not having this high %, you have no advance cause you get stopped out too often with full position, leading to a negative effect of scaling out. Personally i have great problems with profittaking in discrete trading with a 1 set, cause i have to decide if this is more a trendday or not, and sometimes I end with breakeven, cause too greedy, not seeing the signs... In contratrend Strats I would say all in, all out, only sense making would be scaling in(adding to losers), but in backtesting this ended of course with some rare, but cruel drawdowns.
Here`s the statement from Daytrader`s bulletin:
When to exit a trade is always a difficult question. Longtime professionals incessantly question the ideal exit points for their trades. Part of the answer to the vexing question of exiting is found in how many contracts you trade at entry. If you trade single-lot contracts, you must exit after a certain dollar amount is gained. You cannot allow a retracement (that may turn out to be a market reversal) to rob you of your tenuous gains. When you trade three or more contracts, you can take the dollar gain on the first contract, lower your protective stop to break-even for the second and third contracts, and lock in a winning trade with the potential that the market may run with the remaining contracts. This is an optimal situation. Remember, if you trade one contract lots, you must exit after a certain dollar gain. If you do not, you will be guilty of being greedy, and you will become a market statistic. The Daytraderâs Bulletin assumes you trade a two or three contract set, although you may trade one or more contracts in a set. It is advantageous if you trade a three contract set, four contract set or a five contract set. Above this, you should trade multiples of five contracts in a set. If you use these contract set sizes, you will gain better fills both entering and exiting your trades because these are the lot sizes that are normally traded on the floor.If you trade a one contract set, you must slowly and patiently increase your account size so that you can eventually trade a two contract set.In multiple contract sets your net profit, percent profitable, win/loss ratio, and average winning trade amount all increase substantially compared to single contract sets.
Any more suggestions about exits?
Michael
Quote from spike500:
...The first thing to do is to define the waves within the day.
Second thing is to create a system to ride these waves....
Hey Spike, that`s not too different from my sight, my best manual trades coming from a good analyzis of marketcycles/waves, the sometimes used indicators are mostly only the pure triggersignal for setups defined by cycles/counts..
mr spike,
i respectfully disagree with the ma statement. but yes, everyone who is talking about it, is using the same ma and yes those ma's are always late....... ma's lead to the answer for me...
As far as knowing what the day is bringing is not possible.....just higher probability for traders such as yourself.................even bar to bar is not possible to know, only to speculate, of course all is speculation
i respectfully disagree with the ma statement. but yes, everyone who is talking about it, is using the same ma and yes those ma's are always late....... ma's lead to the answer for me...
As far as knowing what the day is bringing is not possible.....just higher probability for traders such as yourself.................even bar to bar is not possible to know, only to speculate, of course all is speculation
i guess really what i am thinking about ur post is yes, scalping is when you don't have a clue about next unless you reach a level in my case a s ystem that tells me what is very very likely to be next.......put money in the bank quickly, get to breakeven at same time and leave something fo rthe ride of the run..........next signal is identical to entry but is exit signal............ ..that is the "edge" for me...also, scalping keeps you from following the lemmings into the sea........i don't use volume or support resistance, although they are okay......just not high % that i require......... .....YM intraday only........thanks again spike
MA`s in shortterm trading have the same problems like any other indicators here, they don`t adapt to shorter or longer cyclelength, they are too fast in slow market and too slow in fast market, this is of course the same on daily or weekly but not so pronounced.
there are some variations out, some already old stuff, like kaufmann`s adapted MA, or volume controlled MA`s or Jurik MA, and others to try to overcome this problem and there are other idea`s out to define the actual Length of the dominant cycle(MESA), I guess there is no real solution yet...
of course this meets MACD etc. too, you can use a MACD based on Jurik MA`s and not on standard.
I did some other stuff, I only want to see a change in indicators when price did move some levels of standartdeviation, so there is nearly no response to the noise, and I need clear signals, red or green, nothing between to guess about...
here a 15 Min YM, from my indicators I`m only looking for longs, all green, so a pullback down would be a buy for me, no shorts, trend is at Zero, so expect some strong move soon(either direction...)
there are some variations out, some already old stuff, like kaufmann`s adapted MA, or volume controlled MA`s or Jurik MA, and others to try to overcome this problem and there are other idea`s out to define the actual Length of the dominant cycle(MESA), I guess there is no real solution yet...
of course this meets MACD etc. too, you can use a MACD based on Jurik MA`s and not on standard.
I did some other stuff, I only want to see a change in indicators when price did move some levels of standartdeviation, so there is nearly no response to the noise, and I need clear signals, red or green, nothing between to guess about...
here a 15 Min YM, from my indicators I`m only looking for longs, all green, so a pullback down would be a buy for me, no shorts, trend is at Zero, so expect some strong move soon(either direction...)
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mechtrader41,
The quote from the Daytrader's bulletin in my opinion is a no-no "When you trade three or more contracts, you can take the dollar gain on the first contract" ... lock in profits, etc.
This has been disputed by several great traders because on your successful trades you potentially are taking partial profits but when you are stopped out you are taking full losses. The book that comes to mind showing this flawed logic is Van Tharp's Trade you way to Financial Freedom.
Having said that, I am quite sure some traders are successfull using this method, just like some traders are successful doing counter-trend trades while most who try it end up losing their shirt. For me personally, I am all in or all out but whatever makes you money is right for you.
The quote from the Daytrader's bulletin in my opinion is a no-no "When you trade three or more contracts, you can take the dollar gain on the first contract" ... lock in profits, etc.
This has been disputed by several great traders because on your successful trades you potentially are taking partial profits but when you are stopped out you are taking full losses. The book that comes to mind showing this flawed logic is Van Tharp's Trade you way to Financial Freedom.
Having said that, I am quite sure some traders are successfull using this method, just like some traders are successful doing counter-trend trades while most who try it end up losing their shirt. For me personally, I am all in or all out but whatever makes you money is right for you.
Van Halen,
Yes, that`s what I said too, you have to be sure that your system/entry gives you a high% of going some amount in profit at once, if not having such a high%, the effect is negative cause stopped out too often with full size, depends on your entryskills....or system, exits depending always on the entry/system.
Thats what i stated before. There`s also no easy answer.....
By trading trends you have to stay in the trend as long as possible, that`s to some degree easy intraday if you can clearly see a trendday, but not on longer timeframe, so what`s your alternatives to scaling out?
The all in, all out, ends here with getting stopped out very often at breakeven, cause trailing is rarely working, you may get some very large moves(or only the small ones....), but get not the medium one`s, and the resulting equity is a very volatile with very low % win (or higher %, but 1 : 1 R/R....). So far my results on daily...and ~ 60 min....
But to discuss this you need to define your style of trading.
greetings, Michael
Yes, that`s what I said too, you have to be sure that your system/entry gives you a high% of going some amount in profit at once, if not having such a high%, the effect is negative cause stopped out too often with full size, depends on your entryskills....or system, exits depending always on the entry/system.
Thats what i stated before. There`s also no easy answer.....
By trading trends you have to stay in the trend as long as possible, that`s to some degree easy intraday if you can clearly see a trendday, but not on longer timeframe, so what`s your alternatives to scaling out?
The all in, all out, ends here with getting stopped out very often at breakeven, cause trailing is rarely working, you may get some very large moves(or only the small ones....), but get not the medium one`s, and the resulting equity is a very volatile with very low % win (or higher %, but 1 : 1 R/R....). So far my results on daily...and ~ 60 min....
But to discuss this you need to define your style of trading.
greetings, Michael
I personally do not use trailing stops ever. Over the years I have found they cost me money. Maybe I wasn't using them as well as others but that is what works for me.
I am sure my style is similar to other traders. I gauge market internals to determine which way, long or short I am willing to risk my capital. When I am not comfortable either way I sit on the sidelines. I then look for entry points at recent support or resistance areas enabling me to put my stops fairly tight. My targets are generally, but not always, right above / below the next level of support / resistance.
I am sure my style is similar to other traders. I gauge market internals to determine which way, long or short I am willing to risk my capital. When I am not comfortable either way I sit on the sidelines. I then look for entry points at recent support or resistance areas enabling me to put my stops fairly tight. My targets are generally, but not always, right above / below the next level of support / resistance.
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