Intraday Trend Following

fractalize

fractalize

There is much dispute over the viability of intraday trend following in the US stock indexes. This journal is an attempt (successful or not) to capture large intraday momentum swings in the Nasdaq-100 Index using E-mini NQ as my trading vehicle. Recent simulations indicate a positive expectancy. I've allocated $3000 to an account and went live with 1 contract yesterday, which resulted in a positive trade. I'll size at 1 contract per 10k of account balance going forward. I may recapitalize if I blow out.

The strategy will trade once a day, and everyday. Trades can last anywhere from a few minutes to a few hours. The focus for entry is market bias around the initial open. Exits will be managed more objectively. I'd appreciate any feedback, and hope this experiment provides a learning experience for myself, and this trading community. Each day I will post a screenshot of my trades from a chart window, with an account balance and P/L window underneath it.

Here is a screenshot of my first trade from yesterday:

1-31.png
 
fractalize said:
to capture large intraday momentum swings
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I recommend you expand your strategy and backtest how it works on other markets. May be you will see that trading multiple insruments will be better since you don't scalp for ticks it is possible.

If your strategy work better with fast, flash swings you can explore Crude and Gold. If it favors prolonged trends, take a look at Euro Bund.
 
Friday was a fantastic day for shorting US indices. I ran 20 consecutive (some overlapping) shorts on the Dow and on a day like Friday its quick easy money.

For me, the milestone for a down day was when price closed below my yardstick EMA in the am, UK time. but what will be your indicator at the US open that price will be an uptrending or downtrending day? But more importantly to my mind, how will price around the open indicate to you its a day for NOT trading?
 
tomorton said:
But more importantly to my mind, how will price around the open indicate to you its a day for NOT trading?
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agree 100%, opening price is one of the most important filter for daytraders where not to initiate the position and wait what bigger players decide. Chop narrow range and/or instant reversals and/or high volatility chop are typical around opening price and all these contions are negative for intraday trend follower. May be its heaven for scalpers, don't know, but for trend traders its hell.
 
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