YASPEM - Yet Another S&P E-Mini Journal

Hell's Fire! I thought I'd posted the entry, but I guess I didn't... here it is, anyway:

1315

Okay, I'm in:

1312 -129800
ST 129500 -300
BE 129900 / 129825 +025
T1 130100 / 129900 +100 Follow 200
T2 130300 / 130100 +300 Follow 100
T3 130800 / 130750 +950 Follow 050


1316 BE 129900 Stop 129825 +025

So far, so good...





1320 Dammit, stopped out for a quarter...

Trade summary:

1312 -129800
1320 +129825

Result +025

1 contract: Gross $12.50
Commissions 4.52
Daily System Cost 0.00
----------------------------------
Net this trade: $7.98
Net for day: $88.46

Everything's turned down. I'm tempted to short it right here, right now...

But I'm going to make it prove it:

1328 Entry: +129650 / -129900
 
1328 Entry: +129650 / -129900

Okay, I'm in... but I'm not comfortable... volume's down, range is down...

Second-guessing myself, I'm thinking "1299??? Why? It bounced at 1299 already, so why not make it go past the AI (R1)?"

Well, we'll just see, won't we?

1359: -129900
S 129600
BE 130000 129925 +025
T1 130200 130000 +100 Follow 200
T2 130400 130200 +300 Follow 100
T3 130900 130850 +950 Follow 050
 
1437 While that was in the process of happening I had a conversation with a client and got to talking about stochastics. In the process of that, I was looking at stochastics on the ES charts, and looking at what he reminded me of, which was a system where you enter after a congested period where you see the long and short stochastics switching back and forth and then take off up or down... you enter when both lines leave the upper or lower band headed in the other direction; you exit and reverse when the fast line comes back to the "other" band. I don't remember why I ditched this one, but for today, with stochastic set at 10,1,3, it looks to me (see chart attached) like it would have done pretty well: +500 on the first two trades, although the third one doesn't look so hot right now. We'll see - it's just a "what if"...


... meanwhile, the real trade went south on me, but it came back most of the way - I dumped it by hand:

Trade Summary:

1359 -129900
1458 +129875

Result -025

1 contract: Gross 12.50-
Commissions 4.52-
Daily System Cost 0.00
----------------------------------
Net this trade: 17.02-
Net for day: 71.44


3 trades, 1 contract each, net 200 basis points

200 basis points on 3 trades... I'm kinda disappointed, but, hey, it's exactly what I'm trying to do - 2 points a day... when I start trading ten instead of one, it'll be

2 points x 10 contracts: Gross 1,000.00
Commissions 135.60
Daily System Cost 15.00
---------------------------------
Net for day: 849.40

I think I can live with that.


Now, I've got a note I was writing earlier, when I was talking with a client who also does some trading, and we were discussing various ideas. He is into daily positions based on the longer trend and stochastics, which got me to thinking about position trading again... It's great stuff when you're with the trend, but I'm a little bit contrary, and I keep getting in trouble trying to anticipate reversals... which is why I've gone to what I'm doing now, which is trying to be conservative and just make a little bit...

But... what would a daily position have done? Well, first of all, the obvious daily call was short, so we enter short at opening. Right now,

0830 129975+
Stop 130275
Target 129475 Follow 1 Stop 129575 +400

Would have hit 129350 at 1109, stopped out at 129450 at 1116 for +525...

Hmmmmm... that sounds better... maybe I should trade 5 that way and 5 this way... I can't trade 1/2 a contract, but let's see - this account right is up to around eight grand, so a risk of 3 points times 2 contracts is $300, which is 3.75%, so yeah, I could probably do it... I'll consider it...



1707

Dammit! I went off and forgot to post this one! I'm writing these in notepad and pasting them into the forum, so I've got a copy both ways... but ya gotta remembr to paste 'em...

sheesh.
 
08-25-2006 0822

BoBs for today's trading:

AO 130050
AI 129850
PP 129650
BI 129450
BO 129250


Overnight was fairly quiet, running from 129600 at pit close to 129900 by 2230, looping down to 129750

and back to 129900 at 0200, looping again to 129650 and back to 129800 and back. The only real action

was a drop from 129700 to 129575 at 0800 on about 2K contracts.

After talking with Mike yesterday, I'm going to follow a paper Daily Position and see what it does. Today's call is DOWN, so we go short at opening with a stop outside the AO

0830 DAILY: +129600 Stop 130100 BE +100 AT 129300 FOLLOW 200 TARGET 129100 FOLLOW 100

Now for "regular" trading, I wait until after the 0900 chaos and then enter playing Bounce or Break at the BoB lines.

0922 +130000
S 130300
BE 129900 129975 +025
T1 129700 129900 +100 Follow 2
T2 129500 129700 +300 Follow 1
T3 129000 129050 +950 Follow 1/2

0925 129900 at BE Stop is now 129975

0927 -129975 Stopped out
-------------
N E T +025

Entry -130200 / + 129800

0941 +129800
BE 129700 129775 +025
T1 129500 129700 +100 Follow 2
T2 129300 129500 +300 Follow 1
T3 128800 128850 +950 Follow 1/2

1000 129700 at BE; Stop is now 129775

1001 -129775 Stopped out
-------------
N E T +025 / +050 for day

Dammit!

Entry +129600 / -129900

I'm not happy with this... the Breakeven stop has taken me out twice now... if the original trade was still in place... ummmm, let's see it's now 1025 and trading at 129775, so the original was at 13000, it'd be sitting at +225... instead, I'm at +050 for the day on two trades, looking for entry again.

Of course, I DID say "conservative", and a 1-tick profit is certainly better than a 12-tick loss, so maybe it's not so bad after all...

I've got the entryt set in N-T, so it'll happen by itself, and I'm going to go look at some "what-ifs", although Saint Darrell probably wouldn't bless me. Heck, if I was already trading the ten contracts, I'd be sitting on a net for the day of $144.60, which is a little bit better than a poke in the eye with a sharp stick. Instead, with 1 contract, I'm basically even - I think I"m about a buck ahead... much more like the eye-poke...

1034 +129600
Stop 129900
BE 129500 129575 +025
T1 129300 129500 +100 Follow 2
T2 129100 129300 +300 Follow 1
T3 128600 128650 +950 Follow 1/2

1039 Dammit, now I'm really torqued... here it is, trading at 129600, and if the original trade were still going, it'd be at +400... and there's no good reason why I should have bailed, because it's never even remotely gone south from the very start.

No doubt about it, I've gotta figure a better trailing mechanism (electronism). The problem is that automating the trading like this makes it well-nigh impossible to adjust the stops on the fly...

1054 I just realized I've been typing this into notepad and copying it into the forum's "Post Reply" page and not submitting it...
 
1157

I'm fixin' to head off to lunch, let the chips fall where they may...

Current trade

1034 +129600
Stop 129900
BE 129500 129575 +025
T1 129300 129500 +100 Follow 2
T2 129100 129300 +300 Follow 1
T3 128600 128650 +950 Follow 1/2

This is longer than I really care to let it ride, but I'm still thinkin' it's going to head on down.

It's hanging in around 129600 to 129800, and I'm not happy about being in during the lunchtime flatulence... ain't no tellin' what those nutty Noo Yawkers are gonna do when they get back from Friday lunch here in a few minutes. I'm gonna edit the stop and make it reverse if it's taken, just in case...

Here's my lunch date - spent the last few minutes eyeballing volume and range... it's a pretty tough read - I'm tempted to drop the stop to 129800, but I think I'll leave it alone...

Back in an hour, mas o menos.

Luck to all - all who are prepared, right?
 
1304

Back from lunch...my trade is still bad, so far. It's at 129800 right now, -200.

But... range and volume are down, and it looks like price may be about to start down, too.
 
1311 What About Bob?

The basic premise of the BoB Lines is that the middle (PP) is the "real" price as of the start of trading, and that the price will tend to bounce back and forth between any two lines, not necessarily adjacent ones. If the price exceeds the outside limits, it signals a breakaway situation that is liable to equal or exceed the distance from PP to that Outside line.

This chart makes it look pretty good... now, if I can get in the trades going the right way, and stay on target...
 

Attachments

1513

Shit fire. Leroy! I'm soaked - that'll teach me to sit here and watch... I'm finally out, with a loss on the trade and a loss for the day... but it coulda been a hell of a lot worse.

Trade Summary:

1034 +129600
1511 -129725
---------------
N E T -075

Day

3 trades:
+025
+025
-125
-------------
Total -075


Week:

Day Trades Net Pts
Mon 2 -4.00
Tue 3 1.75
Wed 4 6.25
Thu 3 2.00
Fri 3 -0.75
---------------------
Week 15 5.25

Contracts 1
System 75.00
Commissions 67.80
Net on Trades 262.50

Profit (Loss) 119.70

Not too bueno, 1.05 points per day... Still, if and when I go to 10 contracts, it'll be well worth while:

Contracts 10
System 75.00
Commissions 678.00
Net on Trades 2625.00

Profit (Loss) 1872.00
 
1700

Been down for awhile - we're having a little weather and a power blip confused one of the gadgets... finally power-cycled the DSL modem AND the SonicWall AND the Router AND the Wireless all at the same time and got the 'net back.

Anyway, I had some stuff I was working on when the lights went out, and here 'tis (although I gotta admit I was right in the middle of stuff and my train of thought seems to have derailed... I'll just get this stuff posted and try to get back to it, although it IS Frijtag and it IS time for the brain trust to gather and deconstruct City and County Bidness, so it might be a while...


More about BoBs

The ideas behind the BoBs are:

1. the price in any market will tend toward some middle value - buying will drive the price up and selling will drive it down

2. there is a highest and a lowest price beyond which there is a great resistance to go, and so the price will tend to oscillate between these two

3. the high and low prices are roughly equidistant from the middle price

4. there are prices roughly midway between the middle value and the two extremes, and at these levels the reluctance to rise (or fall) further will become evident and so the price will tend to stick along these values


As a trader, you don't care whether you buy first or sell first... you only care about the current price and where you expect it to be in some specific amount of time.

I'm struggling with that last part. Today's chart indicates that the BoBs work fairly well, but I need to get a better handle on

... oops.. that's where I was when the lights went out...


hmmm... what was I gonna say???

ahhh, yes: I need to get a better handle on the directions.

In essence, you expect expect a price to either Bounce or Break when it approaches one of the five lines. so what you need is confirmation abut what it does, which means you have to let it go a bit longer after it touches a line and see if it's a B or B, see?

There are loads of other indicators out there, and it seems pretty clear that different ones work better at different times I think I've used 'em all at one point or another.

I want to come back to this, if only for myself, and rehash what the BoBs should have told me today...

Enjoy
 
2051

While looking through my material on the "regression to the mean" approach (in English, "the price comes back to the middle") I found a funjny quote I'd squirrelled away:

"The market can stay irrational longer than you can stay solvent." - attributed to John Maynard Keynes
 
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