The Evolution of an E-mini Trader

This page is the one that kicks my butt. My big problem right now is I want everything to be off the 5 minute (except my triggers) ie setups and exits, but I want to use the 1 minute chart to figure out my ATR, and not the 5 because then my stops will be outside my comfort range. Whaaaaaa

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PROTECTIVE STOP LOSS AND PROFIT TAKING EXITS


PROTECTIVE STOPS: is the part of the system that tells me when to get out of a trade in order to protect my capital. It is the maximum loss I am willing to take, also called initial risk (R). It is based on a 5 or 20 day ATR, whichever is larger.

The reason for a stop loss is:

Capital preservation
Limit losses when I am wrong
Keep a scratch trade from turning into a loosing trade

Protective stops used are:

Channel stop placed 2 ATR above/below the entry price
Breakeven stop placed when 2 ATR of profit is realized


PROFIT TAKING EXIT: is the part of the system that tells me when the trade is over. The exit closer to the market is always used. If the target is reached, exits are tightened to prevent loss of any gains, and to capture any additional move.

The reason for profit taking exit is:

To keep from giving back too much profit at the end of the move
To prevent a large intraday volatility spike move against my position
Keep a winning trade from turning into a loosing trade or scratch trade

Profit taking exits used are:

Chandelier exit placed 2.5 ATR above/below the highest/lowest close since entry. This exit can only be moved in the direction of the desired move, or trend, never opposite of the move or trend.
Volatility exit is placed 1.5 ATR from last bar close, and is moved every bar in either direction.
 
Huios,

I'm always amazed that daytraders are so smitten with ATR (Average True Range), probably due to a lack of understanding. It was created in 1978 by Welles Wilder to properly adjust average daily ranges for gaps. Because it takes gaps into account it gives a truer picture of a stock's range on an overnight basis, something important to swing and position traders. But for daytraders it's a poor tool compared to an average daily range, particularly for stocks that gap alot. In fact it's downright misleading because it's invariably larger than the stock's true intraday range.
 
Magna
it's downright misleading because it's invariably larger than the stock's true intraday range.
More...

OK, I understand what you've said, and agree. I use it as a leftover from my commodity EOD trading. Is there a better way to gauge the intraday volatility on a one minute or five minute basis?

I figured once the first several minutes were over, the ATR would settle down to an accurate number, especially after gaps on the open.
 
Originally posted by Huios
Is there a better way to gauge the intraday volatility on a one minute or five minute basis?
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How about Median(High-Low, 10).
 
Hey Huios,

I too enjoy reading your posts!! Keep up the good work.

Tom Demark in his second book called " New Market timing tech" has a method for calculating the daily range.

While I use many of his methods in one form or another the daily range is not something that I use so I can not comment on how good it is.

But you may want to check it out to see if it helps you. If you do please let me know what you think of it.

Best of Luck!!:)
 
Interesting day. I really like my s/r lines, just got to learn how to use them. I have a real problem when my first trade is a loser, especially a big loser like today. Made me fearful, and greedy all at the same time.

Fear: Can't believe I knew the gap was gonna be filled. The probability of them filling is over 90% since beginning of June. Why didn't I jump in when the market was moving strong up past the 909 line???? Fear also ruled at the top, twice, and on the way down, several times.

Trade 2 was a good trade, the market just didn't follow thru, but what was I doing when it popped up right against the ma 5 minutes later, and dropped like a rock for the next 1.5 hours, for 15 points. Frustrated, you bet.

I know these trades. Why ain't I in them? (theoritical question)

Greed: Trade 5 - had a great entry. Watched it go in my direction for 3+ points, and rode it for a 1.75 loser. That trade had me at breakeven after my losses of the am. I wanted more though.

The afternoon, I just watched the market tick by. Took a trade (#7) just to take it. Jump back on the saddle thing.

Anywayyyyyy.

Frustrating, but learning day. Learned (re-enforced) that my concepts that I trade are valid concept. 4 out of the 5 were tradable today, just like yesterday. Gonna look at my s/r for the last few days and how the market acted around them.

First, maybe a nap.
 
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