Good luck. I'd bet against your effort. Sorry. In my experience, success in trading just doesn't come this way. All the time you spend every single day trying to make 12.5$ one tick (one lot), you could make probably buying a few shares of SPY in Oct and selling them in Jan. What is your advantage here? Scalping the ES for one tick a day, you know you will get the trend wrong, the few ticks you have made then won't cover your losses enough . . . I'll check back, I do hope your plan works for you, though I can't imagine it.
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Trading as a Rationalist
- Thread starter Magic
- Start date
Good luck. I'd bet against your effort. Sorry. In my experience, success in trading just doesn't come this way. All the time you spend every single day trying to make 12.5$ one tick (one lot), you could make probably buying a few shares of SPY in Oct and selling them in Jan. What is your advantage here? Scalping the ES for one tick a day, you know you will get the trend wrong, the few ticks you have made then won't cover your losses enough . . . I'll check back, I do hope your plan works for you, though I can't imagine it.
Response to Feedback:
After some of the feedback I've received, I thought I would write a short note to clarify my intentions here. I still having long-term holdings in index funds. I swing trade stocks in a conservative manner over long time-frames occasionally if I see a very low-risk entry into the extreme of a trend. I am not abandoning everything to become an ES scalper trying to make a living off netting one tick per day.
I would like to continue to develop trading skills. In order to do this, I funded an account for experimenting with day-trading. I lost about 2/3 of the account, but have been able to take a step back and switch to sim trading. This is my primary project with sim-trading at the moment. I am attempting to break progress down into small parts in order to have one manageable goal to work on at a time.
At this time, it is crossing the profitability threshold of one tick per day, every week. Logically, if the market were purely random in every possible way, a random set of entries and exits would eventually reach a PnL of zero minus commission costs over a large enough sample size. Since I think most can agree that the market is not purely random, but does at the very least have a basic semblance of order at times, one can conclude that it must be possible to create a framework in which to trade and outperform a completely random market with the use of reason.
That is what I am attempting to do. Skepticism is by no means discouraged, but positive feedback or intelligent criticism would be much more useful to the purpose of this thread. Whether or not I succeed, at this point, the pursuit of this particular goal interests me, and costs me nothing. I really don't feel I have anything to lose by working to achieve this goal.
--
April 28th, 2014 - Monday
Trades:
Trade #1
Entry: 8:37:25 [1863.25]
Exit: 8:39:59 [1861.75]
PnL: +1.5
Trade #2
Entry: 9:01:06 [1865]
Exit: 9:02:04 [1866.25]
PnL: -1.25
Review
1. I entered slightly late into the failure of the opening up-surge. By the second bar, volume was decreasing, and I thought it more likely that a continuation downward with increased participation would soon follow. Because of my uncertainty with the entry after price had already fallen a couple points, I did not let the trade run for very long. If I had been able to hold through the slight hesitation, this would have been quite a good trade.
Rating: 1.5/2 (Slightly late entry, managed accordingly)
2. After the very large reversal upwards, which I did not enter since I did not expect it to be so strong after such a large drop at the open, I decided to try to get an entry on the next movement down as the second surge of volume was looking to be less than the third. I waited until price had fallen a full point off the extreme, but exited after one last jump pushed price slightly higher than the last extreme. I don't think it would have been a good call to hold through anyway because of the instance last Tuesday when price continued far past my entry while I was waiting. I will have to see how a few more of these instances play out before attempting more modifications.
Rating 1/2 (Good directional sense, exit could have been better)
Synopsis
Much more pleased with my performance today. I hope to remain conservative in environments where it is hard for me to gauge what is going on, and hopefully get more comfortable and start to pick up a larger profit trade every once in a while. With closer entries to the extreme points, I am more comfortable holding while price idles, but there is a greater risk of banking on a reversal when there is continuation.
I will need to continue to improve the balance of limiting losses and letting profits run. We will see how this week turns out with a greater focus towards giving more room than last week, which began with trades having too much room, and then an over-correction into stifling good directional positions into losses or B/E.
After some of the feedback I've received, I thought I would write a short note to clarify my intentions here. I still having long-term holdings in index funds. I swing trade stocks in a conservative manner over long time-frames occasionally if I see a very low-risk entry into the extreme of a trend. I am not abandoning everything to become an ES scalper trying to make a living off netting one tick per day.
I would like to continue to develop trading skills. In order to do this, I funded an account for experimenting with day-trading. I lost about 2/3 of the account, but have been able to take a step back and switch to sim trading. This is my primary project with sim-trading at the moment. I am attempting to break progress down into small parts in order to have one manageable goal to work on at a time.
At this time, it is crossing the profitability threshold of one tick per day, every week. Logically, if the market were purely random in every possible way, a random set of entries and exits would eventually reach a PnL of zero minus commission costs over a large enough sample size. Since I think most can agree that the market is not purely random, but does at the very least have a basic semblance of order at times, one can conclude that it must be possible to create a framework in which to trade and outperform a completely random market with the use of reason.
That is what I am attempting to do. Skepticism is by no means discouraged, but positive feedback or intelligent criticism would be much more useful to the purpose of this thread. Whether or not I succeed, at this point, the pursuit of this particular goal interests me, and costs me nothing. I really don't feel I have anything to lose by working to achieve this goal.
--
April 28th, 2014 - Monday
Trades:
Trade #1
Entry: 8:37:25 [1863.25]
Exit: 8:39:59 [1861.75]
PnL: +1.5
Trade #2
Entry: 9:01:06 [1865]
Exit: 9:02:04 [1866.25]
PnL: -1.25
Review
1. I entered slightly late into the failure of the opening up-surge. By the second bar, volume was decreasing, and I thought it more likely that a continuation downward with increased participation would soon follow. Because of my uncertainty with the entry after price had already fallen a couple points, I did not let the trade run for very long. If I had been able to hold through the slight hesitation, this would have been quite a good trade.
Rating: 1.5/2 (Slightly late entry, managed accordingly)
2. After the very large reversal upwards, which I did not enter since I did not expect it to be so strong after such a large drop at the open, I decided to try to get an entry on the next movement down as the second surge of volume was looking to be less than the third. I waited until price had fallen a full point off the extreme, but exited after one last jump pushed price slightly higher than the last extreme. I don't think it would have been a good call to hold through anyway because of the instance last Tuesday when price continued far past my entry while I was waiting. I will have to see how a few more of these instances play out before attempting more modifications.
Rating 1/2 (Good directional sense, exit could have been better)
Synopsis
Much more pleased with my performance today. I hope to remain conservative in environments where it is hard for me to gauge what is going on, and hopefully get more comfortable and start to pick up a larger profit trade every once in a while. With closer entries to the extreme points, I am more comfortable holding while price idles, but there is a greater risk of banking on a reversal when there is continuation.
I will need to continue to improve the balance of limiting losses and letting profits run. We will see how this week turns out with a greater focus towards giving more room than last week, which began with trades having too much room, and then an over-correction into stifling good directional positions into losses or B/E.
Pre-Mature Project 1 Conclusion
I've still been continuing to mull over all of the responses I've received so far, as I've been going about the operation of this journal and responding to them as they come. In light of all the opinions of others who've chosen to weigh in, and my own personal consideration of this effort, I have decided to adjourn this journal earlier than the initially projected two-week mark. I still fully believe the goal of netting a single tick per day, and per trade, being fully possible and a manageable task to achieve in a non-random market, but I think that there must be a better way of applying my time and effort towards working to achieve it of which I can conceive.
I have found it much more difficult to apply the logical models of trends I've observed in the market on such a small time-frame, where a single minute of unexpected averse movement can change the direction of the entire trend. Also, in order to trade smaller time-frames, I believe I would initially need to find a way to categorize conditions further and become even more specific in order to reduce the size of data to analyze to a level where uniform adjustments can even begun to be contemplated and implemented.
So, I intend to go back to the drawing board, and begin to re-analyze all of the experiences and information I've received thus far along with the time and resources I currently have available to me in my present life situation in order to search for a more rational and effective course of study. After all, I do not want to be one of the individuals running the same routine in a journal by rote for months without significant visible progress, and building a rut for myself.
I could begin to use this space for discussion and analysis of the much more infrequent positions I take in the more orderly environment of larger time-frames, re-group and try to identify another, more effective and specialized study of futures trading, or just lay it to rest. I haven't determined what the next step best for me to take is, but as always, I am open to any feedback that any forum members here are willing to give.
I've still been continuing to mull over all of the responses I've received so far, as I've been going about the operation of this journal and responding to them as they come. In light of all the opinions of others who've chosen to weigh in, and my own personal consideration of this effort, I have decided to adjourn this journal earlier than the initially projected two-week mark. I still fully believe the goal of netting a single tick per day, and per trade, being fully possible and a manageable task to achieve in a non-random market, but I think that there must be a better way of applying my time and effort towards working to achieve it of which I can conceive.
I have found it much more difficult to apply the logical models of trends I've observed in the market on such a small time-frame, where a single minute of unexpected averse movement can change the direction of the entire trend. Also, in order to trade smaller time-frames, I believe I would initially need to find a way to categorize conditions further and become even more specific in order to reduce the size of data to analyze to a level where uniform adjustments can even begun to be contemplated and implemented.
So, I intend to go back to the drawing board, and begin to re-analyze all of the experiences and information I've received thus far along with the time and resources I currently have available to me in my present life situation in order to search for a more rational and effective course of study. After all, I do not want to be one of the individuals running the same routine in a journal by rote for months without significant visible progress, and building a rut for myself.
I could begin to use this space for discussion and analysis of the much more infrequent positions I take in the more orderly environment of larger time-frames, re-group and try to identify another, more effective and specialized study of futures trading, or just lay it to rest. I haven't determined what the next step best for me to take is, but as always, I am open to any feedback that any forum members here are willing to give.
I have found it much more difficult to apply the logical models of trends I've observed in the market on such a small time-frame, where a single minute of unexpected averse movement can change the direction of the entire trend.
Your use of price and volume as the only inputs for your stated trading decisions was rational and logical. To your credit, you realized, before the two week mark, that your model needs some further work. Have you considered, after additional work on your model, increasing the duration of your trades, letting the typical ebb and flow of price play out as the slower trend continues in the original direction?
In your journal's opening posts you made some interesting preliminary observations of the relationship between price and volume. (No doubt some "well meaning" poster will warn you to avoid the ET resources I am about to recommend. As a rationalist, decide for yourself.) The most succinct statement of the price volume relationship I've read can be found here. Additionally, Jack Hershey has waxed poetic, for more than a decade, on the relationship of volume to price. My personal favorite is his "hike story", circa 2008.
Best wishes for the development of your model.
-river