Offshore's Trading Journal

Thanks for starting a journal.

Looks like the computer skills really
worked well today with your expiration
day test.

Your earlier post said you bought the
SP this morning at 992.50. Good job :)
Anyway, it said you were doing a
1 day and 9 day trade.
Could you explain a little more about
those trades, I mean how you would
determine the contracts per trade
and when you would exit today's
trade (assuming you did) with your
gains.

Thanks,
jd
 
"Buy or Sell Monday morning in direction of (Fridays close - x Days close). Liquidate position x Days later."

Does this mean if Market rallies lets say 3 days into expiration, then your buying on Monday and holding for three days etc..?
also what constitutes a significant previous rise? ... any end of day positve gain or a minimum ?/

cheers
 
I like to test simple ideas in the market place.

It is my belief the best edges lie in correlations between two variables for two reasons: 1) easy to quantify and 2)easy to identify execute when present.

With that said, how does the market fare when attempting to replicate its previous day's performance?

For example, the NQ was up 32.5 points yesterday. Does it payoff to short the NQ the following day up 32.5 points and hold till close? Better yet, what fraction of 32.5 points brings the best performance?

A quick test would show that any fraction above 2/10 or 20% of 32.5 points would yield profitable results with accuracy rates near 60 to 70%. That's an edge.

So how do I incorporate this?

20% of 32.5 is 6.5 points. I'll begin to look to intraday fade the market on a net change today +6.5 points.

It looks like there is 78.6% resistance from the highs near 1295 as well as swing resistance near 1300. I'll look to fade the the NQ at these levels.

Good luck today.
 
Quote from OffShoreTrader:

1.27 Fib Extension may provide good support tonight on a very weak market.
More...

1.27 support was at 11038. Sep Euro's low is 11042.

We are still attempting to get long euro at this point, missing entry by two ticks. With the euro at these levels it will be down +90 ticks, and as stated from the previous posts, back to back days of down 80 ticks or more are RARE.

Good luck.
 
Quote from JackDaniel:

I mean how you would
determine the contracts per trade
and when you would exit today's
trade (assuming you did) with your
gains.

Thanks,
jd
More...


I classify trades two ways: 1) defined risk, undefined risk.

With undefined risk trades, I examine the distribution of returns, the maximum loss, and the standard deviation of the returns. If the distribution of risk to achieve the returns is small, I'll consider the undefined risk trades.

At that point I use constant leverage risk to those trades.

Simply, I may invest $100,000 in each of the undefined risk trades. If I see the maximum loss is 6%, I am willing to lose 6% on those invested funds.

Of course, those invested funds only represent a portion of managed money.



How would another trader use it?

Go into your intraday charts, buy support with defined risk stops when edges give you a long or short bias.

Good luck.
 
The NQ hasn't reverted back to its 60 min 20 ema in over 21 bars.

The EMA is rising 2 points per hour, and eventually she'll revert.

I initiated shorts against the 95 level... covered to book the smallish performance and left a 1/4 position to run.

Let's see if she'll revert.
 
OffShoreTrader,

It seems that your philosophy is similar to Marty Schwartz in PitBull.
Have you read Pit Bull? Do you use any form of the Magic T Theory?
I would be interested in learning more on your method and thought process.

Regards,
Tanp21
 
Quote from tanp21:

OffShoreTrader,

It seems that your philosophy is similar to Marty Schwartz in PitBull.
Have you read Pit Bull? Do you use any form of the Magic T Theory?
I would be interested in learning more on your method and thought process.

Regards,
Tanp21
More...

I've heard of Marty Schwartz but never read any of his stuff except Market Wizards.

Follow along with the journal and bits and pieces of my style will reveal itself.

Thanks.
 
I have added to our 30 year position (106-05) based on a trading range breakout on the 60 min charts.

This position has been taken on the belief the 30 year has made a short term bottom. I am trading around a core position and will look to take profits around the 108 level.

It is a defined risk setup (1-2-3 low breakout above the 20 and 50 ema). With a 20 tick stop, and a 2 point gain, this represents a 1:2 risk to reward ratio.
 

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