Small Change

... to quote hii.

Shorted one QLGC Feb contract around 9:40 at $33.10 on MA crossdown, and chickened out on a wiggle up around 10:00 for -$6.

Re-entered a few minutes later at $32.80 (wide, wide spread), watched it go down to $32.67, then it started up - thought it was only a wiggle but it wasn't, managed to get out at $33.09 :D for -$31.

Also shorted 1 Feb QCOM contract at $33.10 around the same time I reentered QCOM (it gapped up on dividend and buyback news) as it looked like it was going to fill the gap, and the MA crossdown was almost happening. It found support and bounced back - covered at $33.29 for -$21. This trade cracked me up - my two trades were THE ONLY ones the whole morning. I practically traded against myself.

Then went long QLGC right after I covered as MAs were crossing up, at $33.10, and sold at 33.20 for +$8.

Then around 11:20 when QLGC failed at $33.20, went short at $33.05. It went down to $32.87 but didn't take exit, waiting for it to break lower to $32.65 (LOD). It didn't, and went up instead so I covered at $33.09 for $-6.

P&L=-$55.

Not bad compared to losing 1-200/day trading NQ.
The problem is that I tried to trade these VERY ILLIQUID SSFs as if they were stocks, using short time frame signals (3 min chart) and ended up paying the spread twice (that is $14-18/trade).
I will use a longer time frame (5 or even 10 min) and try to enter on the correction so that I don't get "spreaded".
Placing the order between bid/ask gets you filled only if the market moves.
Who are those guys constantly pegging the market with 20 contracts on the bid/ask, NQLX MMs?
 
Yeah, the exchanges are providing the liquidity of 20-40 contracts. They do want to create a market for these things. It's like when a new business opens and they have these give-away promotions. I do think we're like the first customers, and we should be pleased to eat their free goodies that they have sitting on the table while business has not picked up yet.

You did more SSF trades today than I did all last week! You see how quickly QLGC can go up or down 30¢. You really need to experiment with placing limit orders midway between the bid and ask. You will get filled most of the time, the prices wiggle around so much. You just need the patience to have that order there for maybe 1-4 minutes before it gets filled.

I haven't traded this week at all. I had my fun getting acquainted with SSF last week, now what I need is to develop the strategy to take advantage of these quick moves that do regularly occur on QLGC at least. That strategy would be about determining what's a good move to take a profit on: for instance, 30¢ would be a good little profit to take at any time. When I have these things worked out (I don't yet) the thing will be to simply send in preset orders; like say I BUY at $33.20, and send a SELL for $33.50 at the same time.
Also trailing stops will be an essential part of this strategy. This way, suppose my trailing stop is 8¢. I've bought at 33.20, and it's moving up some. I have my SELL 33.50 order in. But suppose it only makes it to 33.48? If it makes it to 33.48, then falls back to 33.40, the trailing stop triggers, and I've locked in 20¢ profit.

The other thing is, since the SSF are so thinly traded, the trailing stops would have to be based not on the price of the SSF, but on the price of the stock. The great news is, that with IB you can set Conditional orders to be triggered by any equity, so you can do it exactly this way.

I've still got a lot to work out with this, before I try putting anything into practice. But these are the thoughts that I'm trying to organize in my mind. And I do think I'm on the right track.
 
It's all about the trailing stops. You don't place sell orders at all. The trailing stop is your sell order.

So, if I buy at 33.20, I don't place a sell order at 33.50. I don't try to guess where the peak will be. It may go to 33.80, it may go to 34.00, it may go to 33.97, it may go to 33.61. The point is, trying to guess the precise peak price to place your sell order at is exactly like trying to predict the exact number that the ball will land on in a roulette wheel.

Setting a trailing stop of $.01 is like placing your bet on two adjacent numbers of the roulette. A trailing stop of $.02 is like placing your bet on three adjacent roulette numbers. $.03 is like a bet on 4 adjacent numbers.

When your trailing stop is your sell order, you don't have to watch the stock and nervously try to guess when the best moment to sell is.

The question is, how tight of a trailing stop is too tight, so that it closes you out with a temporary dip. And how much of a trailing stop is too wide, so that you risk selling at the bottom of one of those temporary dips. Finding that balance is the key.

Piece one to the puzzle :)
 
Quote from hii a_ooiioo_a:

The other thing is, since the SSF are so thinly traded, the trailing stops would have to be based not on the price of the SSF, but on the price of the stock. The great news is, that with IB you can set Conditional orders to be triggered by any equity, so you can do it exactly this way.
More...


It's a delicate thing, triggering your stops off the stock price, because the difference between stock price and SSF BID/ASK is variable with the direction of the stock.
Let's take your average SSF, say QLGC, with a 6-8c spread , and let's say you're going long.
If stock is moving up, bid is closer to, or even higher than stock price, and when it's moving down, bid is much farther, maybe even twice the spread, from the stock price.
So if you trail it at 0.10 below stock price, by the time stock price has retraced by 0.10 and triggered your stop, the SSF bid is maybe 0.20 down from the peak (which was probably equal to, or higher than stock price) and you would give too much away.
One way around it is to tighten the stop but then you'd be wiggled out too easily.

An easier way is to trigger your trailing stops off the SSF by the double bid/ask method (since there aren't enough trades to use the last method). Let's say you want to lock in 0.20 profit. If you went LONG, once the SSF BID is at entry+0.20 you can cash in on the 0.20.
So you activate your trailing stop, but since a trailing SELL is triggered by a double ASK, you have to set it at entry+0.20+spread (or the ASK when BID was at entry+0.20).
That way you're sure to take profits if the stock goes south, and you can always reenter if it's just a wiggle.

It would be nice if you could plot the SSF bid/ask on a stock price chart - it would give you a good idea of the dynamics of the moves.

I didn't trade today, just watched a few SSFs: QLGC, MSFT, AMGN.

Cheers,
vorzo
 
I really need to research the trailing stops, bracket orders, conditional orders, etc. I was thinking when I wrote that about trailing stops that they were only triggered by last traded price. If they can be triggered by bid and ask then I can probably use SSF to trigger trailing stops.

Still, what I'm thinking now is that basic strategy would be to attach trailing stops to use as sell (or buy to cover) orders. I believe you can do it so that you could have a trailing stop one 1 contract that would actually buy 2 more contracts the opposite way, so that when you're stopped out you are automatically entered into an equal position going the other way.

Fine-tuning the amount of trailing stop will be the art. It will most certainly be different for different stocks, and for different days, and different times of the day.
 
Traded AMGN today, shorted 1 contract around 11:25, and put a stop limit around 0.22 higher (trigger at double ask, limit 0.07 lower).
I think I got gypped by the MMs - they whipped the ask higher (without stock price moving up) and triggered my stop before I could cancel it. P&L=-$15
Does anyone know whether the SSF stop limit orders sit on the IB servers (in which case I'm wrong about the MMs), or they are sent directly to the exchange, like the Eminis?
Anyway, I will use mental stops from now on.
 
Today's trades:

QLGC3G
SHORT 1 at 33.97
COVER 1 at 33.95 (bkeven stop triggered, was up 0.15 then retraced)
P&L=+$1 :D

LONG 1 at 34.35
SOLD 1 at 34.19 stopped out
P&L=-$18

Then news on Collins Rockwell's buyback popped on Briefing:
COL
LONG 100 at $20.36
SOLD 100 at $20.55
P&L=+$17

Daily $0.

Missed the closing rally as QCharts quotes just froze around 15:30 - did it happen to anyone else?

Will try SSFs for another week although it doesn't look like it's going anywhere. Meanwhile I'm simulating NQ using Futures Trader - on paper, up about $350 so far this week. Will give it another week before I start scoring those big bucks :D

A good Valentine's weekend to all!
 
What a gruesome chop in the morning!

Shorted QLGC Feb contract after QLGC failed at $35.90

Short 1 at $35.75
Cover 1 at $35.90 (stopped out)
-$17
If only I had a wider stop ... QLGC failed again at $36.00 and dropped to $35.45, where I expected it to drop in the first place. Oh well ...

Then IMCL headline appeared on Briefing, so decided to fade it for a quick scalp (had 2 daytrades left)

Short 100 at $12.44
Cover 100 at $12.27 as mkt was rallying off support
+$15

P&L=-$2

From my experience with SSFs so far, it seems that you have to either get it before the stock reverses (to avoid paying the spread), or to stay in long enough to catch a big move so that you no longer care about the spread. Since the 1st alternative means catching the proverbial falling knife, I will attempt the 2nd one. I was trading off the 5 min chart, maybe awaiting confirmation on the 15 min chart will help.
 
My account dropped below $2k today. :mad:
Here's why:

Had one day trade left - shorted IMCL around 9:45, but it caught a strong bid and took out resistance at whole number - got out.
-$10

Then saw on Briefing that BBY was approaching its monthly high - bot one March contract on the pullback at 10:05. It went up for 5 min then it dropped with mkt - I think it formed a typical 2B. The spread being 0.15 on this thing, and MMs and me being the only ones trading it, it cost me $53 to get out !

So by now I'm only $20 above the dreaded $2k mark, when I decide to make up for the losses by doing a couple of quick scalps with tight stops in NQ, since I've simulated it the whole morning, with success.

I make half a point, then 1 point, so I'm up to $2,040. Instead of stopping here I do one more trade, and I lose 2 points which puts me $5 below $2k!

Couldn't trade anymore for the day, since I had no daytrades left. I now have two choices - I can wire in more money, or I can try to bring my account above $2k. I'll think about it over the weekend, although the 2nd alternative is less likely to happen, since I'd only be able to do 3 daytrades/week, and swing trades.

Today was a classic example of "Do not try this at home", breaking rules, trading with a negative mindset and under pressure.
Bleah.
Gotta rewrite my trading plan, I neglected it with all the new liberties of trading futures, and now it's payback time.
 
Vorzo...I know your situation well. :)

There are two things that I'd love to give you that I have picked up being in a similar situation. First, today was options expiration day...stocks especially and index futures too, tend to act really squirrely, defying every law of speculative physics I know as expiry players hit the market. Breakouts don't happen, crossovers whipsaw aimlessly, stoch is useless. So, when you have such a tight account, today is a bad day to trade a system that usually works on most days. You can win big but you can be blown out instantly too, with what seems like random moves. Those huge speculative moves in the morning based on the oil barge news were atypical for options expiration....the afternoon was not. Which is why I would guess that you did well on the NQs in the morning and not in the afternoon. I'm not a guru yet and normally I'd stay out of handing out this type of advice, but I am/have been there. :)

Second thing is about your executions. You said that you do well on simulators but your real trades don't work out the same way. Ignoring today, take a look at how exact your entrances and exits are in real trades vs simulated ones. You mentioned that your emotions get pretty involved in real trades. Well, I've been working on that too, and I noticed that my emotions in real trades tend to skew my entrances to points pretty far removed from ideal...I'm always entering early or late. And worse, I tend to cut my winners short too! So, combine a less than ideal entrance and cutting out early, and one doesn't tend to net much...and definitely not enough to cover the trades that actually do fail and hit your stops. I've been marking up my charts with ideal entrances in grey arrows, and actual entrances in red and green arrows...it is very revealing...
 
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