Surf's Special Situation Journal

[marketsurfer]

Quote from R. Raskolnikov:

Since I have a moment, Surf, here is an example of a trade I took today that fits the criteria below. Using the 1 and 5 min frames for this trade, I got short 148.27 at 11:35 on the SPY, stop/reverse at 148.37 (stop based on high of bar that triggered short entry). As you can see based on what happened next, I stop/reversed at 148.37 and the trade turned out to be an inflection point trade. I rode it up to 148.66 (closed trade at a little after 12:45) when my system said exit. The first day of trading after I posted the below and the mkt provided a good example. Thought I'd share.

Another reason I'm considering automation is that I want to also create baskets to trade my signals in stocks and other futs that show correlation with the S&P. As a single trader, I can only implement my strat on one, maybe two vehicles (SPY for now only since volatility is so low) but I know this is limiting. Automation will open up new doors I suppose.

Nice going. But I am more interested in the trades you took today that didn't win. thanks, surf

 

[R. Raskolnikov]

So far only 3 trades. That one (was two trades) and another that was +.08. So 2/3 so far today

Quote from marketsurfer:

Nice going. But I am more interested in the trades you took today that didn't win. thanks, surf

 

[marketsurfer]

Quote from R. Raskolnikov:

So far only 3 trades. That one (was two trades) and another that was +.08. So 2/3 so far today

Ok, thanks. By the way, the H club looks like a cool place. Let me if it lives up to the hype.

surf

 

[tobbe]

Quote from marketsurfer:

You do realize what you are saying, right?

You can tell by looking only at a price chart whether or not the bars formed are one large player easing into a position or multiple smaller players? You must have mystical powers.

surf

Surf, you are jumping to conclusions. That is not what CF wrote and once again you avoided to answer a simple question.

I must say this journal is rather amusing to read, thanks for keeping it going .

 

[R. Raskolnikov]

I'll let you know if it's worth checking out

Quote from marketsurfer:

Ok, thanks. By the way, the H club looks like a cool place. Let me if it lives up to the hype.

surf

 

[marketsurfer]

Quote from tobbe:

Surf, you are jumping to conclusions. That is not what CF wrote and once again you avoided to answer a simple question.

I must say this journal is rather amusing to read, thanks for keeping it going .

That's how I interpreted CF's words. Care to clarify what he meant?

surf

 

[Lucrum]

Quote from NoDoji:

What happened definitely influences what is going to happen. And because of this, it can be quantified and tested to obtain odds. Favorable odds indicate an edge. The odds apply to a series of qualifying trades, not to any particular trade plucked out of the series of trades.

The odds are definitely knowable by studying past price action.

The outcome of the very next qualifying trade that sets up and triggers an entry is unknowable.

Two thumbs up

 

[tobbe]

Quote from marketsurfer:

That's how I interpreted CF's words. Care to clarify what he meant?

surf

Quote from cornixforex:

Now, answer this question please: how do you think, big (really big I mean, say thousands or tens of thousands of ES contracts) orders are usually just thrown into the market all at once or are executed slowly in stages?

 

[NoDoji]

Quote from marketsurfer:

If I am wrong, please show me the what you are testing and the formula to determine the odds.

I saw several price patterns that appeared to produce significant price swings. I decided to analyze the results of every appearance of these patterns and pinpoint contextual clues that improved the chance of a pattern moving at least X ticks in my favor before moving Y ticks against me. I calculated max favorable and adverse excursions, and once I had enough data collected through varying market conditions, I chose to run the highest probability patterns through contextual filters that eliminated low probability price environments. The end result was a specific set of rules for valid setups, entries, stops and targets.

Al Brooks calls the formula for determining when to take a trade the Trader's Equation:

"Chance of success times the reward is significantly greater than the chance of failure times the risk."

Win rates and R:R are meaningless in isolation; it's the combination that matters.

Quote from jo0477:

That being said, blurring the lines between art and science isn't tough to do in this business, as many who try to automate find out. I've personally seen several people struggle to code their system only to find out that it does in fact have many more subjective elements than they imagined.

Defining my rules in a way that could be automated was the most useful thing I've done. I was able to refine my trading to an incredible level of precision. I also had to toss out some pet theories I had about odds of certain setups; I'd based these ideas on selective memory. When put to the test the hard stats were quite surprising.

If you can't teach someone the rules of your system, it's probably a lot of art and very little science.

Also, I personally had to have very strict rules because I was unable to apply the "art" of trading properly. I consistently hesitated on excellent setups, traded mediocre setups, moved stops to break even when statistically I was ruining my edge by doing it, etc. I'm very relaxed with super strict trading rules and very profitable with them.

 

[R. Raskolnikov]

+1

Quote from NoDoji:

I'm very relaxed with super strict trading rules and very profitable with them.