Prop Trader Journal

Quote from sfbayarea:

Congrats on your ACD trade. I've been doing this only for 1 month and knew nothing about it but stochastics before I began since I watched a youtube video on it and it looked good. Looked too simple right? However, I'm putting full energy into this while some have day jobs. I'm not working so this is it for me. I had a friend that could get me a job down in San Diego (awesome location which I would love to move back to - lot of great scenery down there if you know what I mean) but declined because I'm searching for the holy grail like everyone else here.

Looks like you caught that one perfectly. Wished I could graph them like you but it's too much work for me. I enjoy your charts. I'm posting my results too and have yet to turn positive on the real thing. However, the first two weeks shouldn't count since I didn't know what the hell I was doing. The third week, I was doing stupid stuff like chasing trades or holding on too long if the stock looks like it's reversing. Those are painful lessons where I lost 100-200 on a trade.

I'm still down today and -60 on two trades and the juice (commission). There were so many setups that I could've done and had been very profitable on that I just couldn't pull the trigger or wasn't in front of the computer when they happened. I've learned to exit trades quick if it's not happening. If you take a commission loss, that's still a neutral bet in my book. I lost a point twice today but those are nothing compared to the worst days. I used to lose -400 to -600 a day in the beginning. The big guys aren't getting much from me any on fake outs anymore. LOL

This game is tough because you have a very tight window to fit in and there are always tricks done to fake people out. My biggest problem is discipline just like you probably. I've learned to be disciplined to get out on sideways or reversal prone trades quick (which took me a while to get used to) but not on letting profits run. My only profitable trade today was tiny since I didn't let it run. I got spooked and justed wanted a 1 pt gain which after the juice is nothing. Had I left it, it would've gotten 4 pts in 3 minutes would've made up for those loses.

I can for the most part now see where the stock is moving on a short term basis and that's what's keeping me in this. It that wasn't the case, I'd just quit. However, being disciplined is my biggest problem. Virtual trades, no problem because no one cares, it's not real. Wished I had my 3 K back and could start all over from here.

From looking at your losing trades earlier, you did a lot of things I used to do like not getting out in time. Letting the trade keep going when you can see that it's starting to reverse.

I hope you turn it around and make it. Since I'm in the same boat too.

T

p.s. - I'm still use "hella" sometimes when I talk but "hella tight", man that's so 90's. LOL "Hella" believe it or not is used way up to Washington St. SoCal folks hate it though.
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With the ACD trade...not just one trade. Had about 10 of these in the past few days and about 75% win ratio with good R:R!
 
Quote from Shanb:

Hey there! How long have you been trading? This game can be a real mindfuck lol. I've been refining my ACD approach lately and can say things have are going better. Last week and couple weeks have been relatively consistent.

11/1/11

Net P&L: +201
Shares traded=3,000

Here's an example of what I am doing. I've been doing these types of trades, because I saw a very consistent result from logging my trades. Still ACD, but more of a systematic approach. I see a trade with certain conditions, take it and manage it!
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Just for kicks here is NEM with the noise level plotted for today. BTW I've been looking at VWAP as a filter and it seems to be very useful, as it should considering how many high volume players look at it.
 

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I think this is more interesting. The first 2 lines close together are the 95% confidence interval of the average of the noise level over the last year of trading. The next line up is 1 standard deviation. The one above that is 2 standard deviations. That means that those bands will contain 95% of all noise values observed over the 1 year period.

BTW that is an awful nice pullback to the 2std breakout point. It would make Al Brooks happy. Not to mention the iii entry that follows a couple bars later.
 

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I also ran a test comparing pivot range size to the days range. There was absolutely no predictive value. It has an R value of 0.006 which means it couldn't be any closer to random if you made up the data.
 
Sorry for all the posts but got one more. I forgot earlier to plot the down values too. You can see the difference in plotting off the open vs the open range. The A value is way down somewhere off the chart, while calculating this way gave us a bullish bias pretty early in the day as all price action below the down values was overwhelmingly bullish.

It kind of resolves that problem of not wanting to trade products with big opening ranges. I personally think the size of the opening range is not really predictive of the rest of the days action. It seems like way too many random factors influence the size of the first bar to really consider it meaningful.
 

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Quote from baggerlord:

I also ran a test comparing pivot range size to the days range. There was absolutely no predictive value. It has an R value of 0.006 which means it couldn't be any closer to random if you made up the data.
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Good to see you are doing some testing! What program are you using?
Its redundant to test it to the prior days range because the pivot range is dependent upon the range of the prior day and they are essentially one and the same! I don't know why Fisher mentions to compare it to the previous day lol

If you have the ability, test out the size of the pivot range relative to the 10 day ATR. If we could get a ratio that would be great. Also if the days range is smaller than the prior day's rage. This would just make it a NR day, but there may be some predictive value. Anything else you have looked at?
 
Quote from baggerlord:

Sorry for all the posts but got one more. I forgot earlier to plot the down values too. You can see the difference in plotting off the open vs the open range. The A value is way down somewhere off the chart, while calculating this way gave us a bullish bias pretty early in the day as all price action below the down values was overwhelmingly bullish.

It kind of resolves that problem of not wanting to trade products with big opening ranges. I personally think the size of the opening range is not really predictive of the rest of the days action. It seems like way too many random factors influence the size of the first bar to really consider it meaningful.
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I know what you mean! some crazy moves happen right off of the open, so using the OR does miss some of those. Also I don't mind the posts, keep going...would love to see what else you are looking at.
 
Quote from Shanb:

Good to see you are doing some testing! What program are you using?
Its redundant to test it to the prior days range because the pivot range is dependent upon the range of the prior day and they are essentially one and the same! I don't know why Fisher mentions to compare it to the previous day lol

If you have the ability, test out the size of the pivot range relative to the 10 day ATR. If we could get a ratio that would be great. Also if the days range is smaller than the prior day's rage. This would just make it a NR day, but there may be some predictive value. Anything else you have looked at?
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I'm using gnumeric. Its a free spreadsheet program with a lot more stat capabilities than excel.

I think you are wrong on the pivot thing.
Pivot range = the regular pivot point + and - the difference between the pp and the midpoint of the day.

Thats all I've done so far. I'm not even going to use any of this right now. I'm trading on a daily time frame and taking Al Brooks style entries after getting a monthly signal based on the levels calculated the way I plotted on that chart. (AUD is already confirming a 2std monthly breakdown btw). I mostly just realized I missed doing stuff like this and it sounded like fun today lol.

The ideas you mentioned can definintely be done, but I think I'm all computered out for now. The program isn't too hard to learn if you feel like checking it out.
 
Quote from baggerlord:

I'm using gnumeric. Its a free spreadsheet program with a lot more stat capabilities than excel.

I think you are wrong on the pivot thing.
Pivot range = the regular pivot point + and - the difference between the pp and the midpoint of the day.

Thats all I've done so far. I'm not even going to use any of this right now. I'm trading on a daily time frame and taking Al Brooks style entries after getting a monthly signal based on the levels calculated the way I plotted on that chart. (AUD is already confirming a 2std monthly breakdown btw). I mostly just realized I missed doing stuff like this and it sounded like fun today lol.

The ideas you mentioned can definintely be done, but I think I'm all computered out for now. The program isn't too hard to learn if you feel like checking it out.
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hmmm I looked back at the formula and you are correct. Don't know what the size of the pivot range represents in terms of a market behavior. Looking at the range of the day for range contraction makes sense, oh well they work great for framing a bias!
 
So haven't posted here in a bit and thought I would provide an update. Lately I have been running a strategy that I put together based off of ACD. Essentially forward testing in real time and tweaking and adjusting according to real world results. Had been backtesting this and it showed alot of promise and it was based on sound premises. Been trading with relatively small size and will be sizing up more next week as I am satisfied with my testing so far.

These are the results using this approach for the past couple weeks:


209.16
96.13
201.86
34.46
(170.95)
47.49
(41.9)
160.58
152.14
(93.45)
45

Some of the execution and conditions will be changed next week after noticing some things from trading this approach for past couple weeks!

Been reading up on some stat arb/pair trading stuff for the past month or so and looking to add that along somewhere in the future. Just have alot of work to do with that in order to have something that is consistent and can be executed properly!
 
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