kserra's emini trades

Reviewing my trades since I have begun this journal has revealed that by using volume as a proprietary filter, i can avoid many of the losses incurred so far. However this greatly reduces the number of trades that the system takes. Therefore I am looking into using volume and pivot points to take trades off of... however these development will take a while before I have anything solid. I believe that the current false breakout system is strong, however it still needs some work as there have been failings as of late. I have the next week off from school so I will likely spend much of my time working on these systems.
 
You are thinking inside the same box thousands of others have been in, including myself...THINK OUTSIDE THE BOX...DO IT DIFFERENT OR YOU WILL BE AVERAGE...AVERAGE AIN'T THE GOLDMINE...
 
3-10-04

no trades

3-11-04

Short 1121.5, cover @ 1123.75 - 2.25 pts

3-12-04

Long 1110.00 sell @ 1113.5 +3.5 pts

gross points 17.25 pts

Something else I am looking to add at this point is some sort of trailing stop so that I can capture so very large moves (for example on friday I took 3.5 points on a move that ended up being worth 8+ plus point). However since I will only be trading one contract when I do go live with the system it seems pointless to add those points in now.
 
With the recent increase in daily range on the ES I have noticed the need to vary the constants that I have been using to buy and sell based on retracements from false breakouts. I have not yet figured out the optimal way of doing this however I intend to continue to work on this. i have not yet resolved this issue and therefore have not been posting trades as of late.

I have been finding volume to be incredibly useful in analyzing my trades. The trades where volume confirms the stronger breakouts from the first hours range are often not worth taking.
 
One of the nice things that i enjoy about trading the method I am currently trading is that it allows me to enter put in a stop and monitor the trade throughout a longer period of time. While sometimes this tests my patience levels I know that if I can come up with a precise set of rules to help me monitor the trades that I can trade this successfully. However there are several problems with using ONLY this method.

The first problem is that obviously from my posts it does not trade very often. The way I see it there are several ways to overcome this:

- Completely overleverage yourself while trading this methodology (some people would call this putting all of your eggs in one basket) , probably not the best idea

- Create other methodologies that complement this method

Therefore at this point I believe it is best to take option two. The best way I can see of doing this is to create several different methodologies that rely on the first 60 minutes range. Unfortunately creating these complementary methods is not something that is going to come over night. In fact it will likely take quite a bit of time. The best way I can see doing this now is to study daily ranges in conjunction with market swings and anything else that comes up along the way that maybe useful. In the end I would like to have a series of methods that end up trading about 1-2 times a day MAX (my broker will hate me for this last statement).
 
Option three: use the same method on different markets (might need some small tweaks, but then again, maybe not).

Also, it is not a problem that it doesn't trade very often. You can still increase your size over time without becoming over-leveraged.
 
kserra,

I've been following your journal on and off since it started (but admittedly not so closely). I've enjoyed it and its been helpful for me.

I'm trying to understand where you're at, at the present time. It appears that you are trying to come up with a number of different systems that are as mechanical as possible (so that discipline can be easily maintained). As I understand it, at this time you are using 3 systems which you had summarized here: http://www.elitetrader.com/vb/showthread.php?s=&threadid=24137&perpage=6&pagenumber=43

The system is a range break of the first fifteen minutes. I originally stole the idea from Kevin Ho's 15 min range break out scalp. Basically when the range of the first fifteen minutes is broken by 2 ticks in either direction enter with a buy/sell stop, the trade is held for one minute. If the trade is not profitable within one minute, get out of the trade. A 1 pt stop loss is used, and the trade is taken off when a 1 pt profit presents itself.


Entries: Draw two lines after the first hour (give or take a few minutes) of trading has formed
on a break of one of these two lines look to enter in the reverse direction of the break
The market must extend itself at least .75 of a point from the breakout line, two ticks below
the original break point.
Exit: stop should be set to 1 tick above the recent of the high of the failed breakout, the exit point is 2 times the value
of the stop


... taken off a pattern I have noticed that occurs during the lunch hour. During this time a range will usually form, there is usually some sort of attempt to break that range. About half the time this range is broken it ends in a false breakout. Using similar rules as described in the above trading methodology I took at short.
More...
It appears that you have given up on MA crossover trades with which you had started this journal. And you are presently refining the above systems to try to take into consideration volume.

Has the above been a good summary of where you're at, at the present time?

Have you backtested the first system above? It would appear to be an easy thing to do. (If you have some appropriate software and programming ability).

Can I suggest that when you detail your trades that you clearly state which system you're using. (It's just a suggestion). Maybe you can label your systems to help in this regard.

By the way, you mentioned that you are a student. Can I ask what you're studying?

I'm looking forward to following your journal more in the future.

Richard
 
Quote from peterfigliozzi:

Option three: use the same method on different markets (might need some small tweaks, but then again, maybe not).

Also, it is not a problem that it doesn't trade very often. You can still increase your size over time without becoming over-leveraged.
More...

I like this idea but would have to find uncorrelated markets to trade the system on..... any suggestions ? Since Im already doing index futures I suppose I should stay with futures in general, like I said before this is going to take a while before I can take this all live.
 
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