kserra's emini trades

K

kserra

hello everyone

I am going to start a journal here concerning my day trades on the ES. I will post the entry and exit rules for my system shortly along with chart examples. All constructive criticism is more than welcome. I hope that this will be a great learning experience for me. Currently I am paper trading the minis using the Jtrader simulator, but plan on moving up after I can show at least three weeks of solid profit in the minis.
 
Crossover Reversal system

Indicators: 5 and 10 period volume weighted moving averages
Pivot levels for the day

Timeframe: 3 minute chart

Entry: 5 and 10 volume weighted moving averages must crossover each other, Trade is then taken 1 tick above the previous bars high

Stop: Stop is placed at the low of the previous bars high

Reward to risk: 1:1, however all gains are pressed for as much as possible by use of a trailing stop. The trailing stop is set to breakeven after the initial profit target has been obtained.

Reliability of signal: The signal appears to have a profitability of about 60%-70%,

Other: The system performs poorly on trend days, but tends to not take too many trades on these days. The system performs nicely in a wide range bound environment. I tend to stay away from the open mainly the first thirty minutes of the day, however I like to look for a good reversal around 10 o clock. Another good time for trading is around 130 when everyone comes back from lunch ( i do not trade from noon to 1:30) there is often a reversal here. Finally at the last hour of the day there tends to be some good signals as well.

Notes on system:

During periods where the moving averages remain very close together no crossover signals are taken. The fact that the averages are so close together signifies chop, thus no trend can be ascertained from this information. Also S/R numbers are used via pivots and any other numbers that prove to be significant during the day, these number help determine how to press the profit targets and when to take what you have. Here is an example of some of the trades, the system has taken this is taken from 8-12-2003, the following trades are pretty good especially the last one. I feel like this graph represents a good cross-section of the type of trades the system experiences, there is your standard trade and there is also an outsized gain. THe only thing not represented here is a stopped out trade, but you can easily see where the stops have been placed.

Note: I am west coast based therefore all the times displayed on my charts are three hours off. Please add three hours to see the true time.
 

Attachments

Missed most of the morning trades, I have been sick as of late and rest is more important right now then paper trading.

All times are pacific standard

I only took one trade today and it set up realy nicely I was able to see the whole thing really clearly which is always nice

Trade #1 : Short @ 1059.25, Cover @ 1058, profit 1.25 pts, Stop at 1060.25

12:24: Anticipating a reversal, ES has been facing serious resistance with no momentum around the 1060 area, there is little support beneath this area so reward should be good, waiting for signal.

12:28: Signal taken go short @ 1059.25, stop @ 1060.25

12:43: Stop moved to breakeven after initial profit target reached.

12:46: Cover @ 1058, I really have no idea why I did this, I knew that there was no support in this area and the charts were confirming this. Right after I did this price collapsed all the way down to 1056.5, a lot of this is hindsight, however I let fear creep into my trading which is never good, likely because I was afraid of losing a profit. I will work on this, currently combing over trading in the zone looking for ways to work on this problem before it manifests itself more seriously.

Profit/Loss for day: 1.25 pts

Overall Profit/Loss: 1.25 pts
 

Attachments

I will start saving the pics as gifs to avoid the loss in color which has resulted in the charts being hard to see.
 
U have a great system, but it will fail u on whipsaw days, if u don't watch the severity of angle..just for grins, please use ur parameters for a look at a 10 minute chart. even a 5....u will see a smoothing of the consolidation area for a more comfortable ride...the 3 minute charts caused u to panic out of the trade. when u set ur perfect stops as u r doing, and then move to breakeven, ride the run. Breakeven is good..set a point target of 3, 4 and most of the time u will hit it, if the trade moves at all, because u r entering the move early with your system...very early and very smart....u have found the safe stops....your system is great...
 
when ur 2 ma trendlines get close together, that's when the heat is on, if the angle is there...45 degrees or greater....early in the run...extra caution when run is maturing.,strong run will show clear envelope for many points, sometimes...stress free trading..u have a great system, it just needs tweaking, and one more indicator...for trend..24??20???.usually, the 2 point stops will not work...but u have found the safe stop points. sometimes it can be 2 or less, but it's hard to get by with close stops... ur system will make u money...LOOK @ LEFT SIDE OF TRADE....WHEN IT IS CLEAR, IT IS GOOD..UP OR DOWN...U R VERY CLOSE TO EXCELLENT.....ADVERSITY WILL HIT, DON'T GIVE UP.
 
Porgie while I certainly appreciate your input, the reason for not taking the trades when the MAs get close together is to maintain the probability of winning trades.

By taking the method you have suggested it would change a lot of things about this methodology. Instead of looking for reversal at resistance points taking the trades when the lines get close together would cause the system to act as breakout trading system, which although woudl have a higher risk to reward it would likely also have a much lower win probability.

THis is something that I am personally not comfortable with and therefore I have chosen to take these trades out of the system by putting the prerequisite in.

I will continue to explore the time frames you have suggested, but currently I am comfortable with the 3 minute charts, however the 5 minute looks reasonably appealing, the ten minute is too long term for my tastes. I have noticed that you personally seem to prefer the longer time frames and tend to recommend the same for others.

As far as profit targets go, I am considering trailing a stop that gets increasingly smaller as the profit gets bigger, this will keep me in the trade longer and may also to help to reduce my fear of losing profits.
 
Quote from porgie:

u have a great system, it just needs tweaking, and one more indicator...for trend..24??20???.usually, the 2 point stops will not work...but u have found the safe stop points. sometimes it can be 2 or less, but it's hard to get by with close stops... ur system will make u money...LOOK @ LEFT SIDE OF TRADE....WHEN IT IS CLEAR, IT IS GOOD..UP OR DOWN...U R VERY CLOSE TO EXCELLENT.....ADVERSITY WILL HIT, DON'T GIVE UP.
More...

I am confused by the last commment, look at the left side of the trade, there is no crossover there, and I would not play the move because of this. I have not experienced many problems with my stops as far as my stop getting hit and then the move continuing without me, therefore I see no reason to move the stops.
 
Welcome to the world of crossovers, This is part of my trading arsenal also, I do something similar but over a larger timeframe stirred up with some other tricks with some ema's thrown in for good measure, the problem I have with this method in this small time frame is choosing a reliable exit... exit at 1:1 stop ratio, let run til re-cross ? - you must have considered these, which stop method stuck and has yielded solid results for you?


Regards, Kap.
 
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