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Order Flow Analytics (www.orderflowanalytics.com)

  #112 (permalink)

Austin, Texas
Trading Experience: Beginner
Platform: NinjaTrader
Favorite Futures: ES
Posts: 22 since Sep 2011
Thanks: 1 given, 13 received

Again, you're not reading my thread.

I said the AVERAGE LOSS is 1 tick (it's actually 0.30 if you read my previous post). That's not where i place my stop. My stop is typically 3 ticks away. The tracker is aggressive enough to take it out.

Now you'll probably argue it's not possible to have a 3 tick or 2 tick stop, lol. It all depends on where you place your entry is. At what point does it invalidate your trade, etc.

When I place an order, i expect two things:

1. market depth to hold
2. market action to the direction i want, almost right off the bat.

And yes, 5000 1 lot traders can decide to sell the bid and causing it to downtick. The tracker may as well take it out. That's just part of trading. It might reverse, but in your example, there is no guarantee that if you're looking at big lot traders, that they'll continue to come in. Right? Am I going to wait until it blows over and take a 2 point stop loss? No. That's what the tracker is designed to do.

And a lot of times i can see it in the tracker that it takes me out at break even or -1 tick and only to see the prices go up a tick or so (uptick) and then fall like a ton of bricks. If i stayed in there, my losses would be 5-7 ticks at least with the regular stops that people are using. I am not planning on being everyone else.

The trade results with that particular tracker setting was about just under 60%, 40% losers/breakevens, etc. The average loss is 0.30 (so just beyond one tick), the average gain is 3 ticks.

As far as trading with 2-3 tick HARD stops? That's all I do. I am not interested in looking at 50 trades a day, i am intersted in taking 3-4 trades in particular areas (think edges in particular). I am also looking at strategies that would require a 5 tick stop but with bigger gains but on the ES as of late, the market is in some 5 point range in the morning and just churns - not interested.

Perfect example - look at FRIDAY's ES, low range in the morning was what, 1362.50. I actually traded this one, on the next retracement at 1363.25 (low was 1363.00, twice again) Are you saying you can't get away with a 3 tick stop? (You can see this on a 3 minute, 5 minute chart, etc.) It was based on potential for previous volume being unwound there, plus the previous reversal low. This is where some Elliot wave guy will say it's a 90% retracement of the previous run, it's just a dang stop run

Price hits 1366.25. The volume cluster near the top was at 1365.25 (on the low edge of that cluster). Typical ES stop is what, 8-10 ticks? 1365.25 means in a stop run it'll likely to hit 1363.25 to 1362.75. Gee, where did the retracement went to?

So what stop level at 1363.25 would you choose? 2 point range make sense? Not to me. I might be able to tolerate 2 ticks out of the ranges say 1362.00, but nothing more. And the volume on the previous reversal can tell you when it no longer makes sense, and it won't be a 8 tick stop. Anything more than 8-10 tick from the 1366.25 cluster means a potential for a break down - since we're the near the edge and we're expecting market depth to hold. Why would I risk that? You can be the guy who get flushed, if you want.

Oh another perfect example - i didn't trade this one since i don't trade past 11 am usually central time - low at 1363.75. Why did it stop there? Look at the previous lows (1363.00) where i traded - market depth, big volume support, it paused there, jumped a flush (2 point up again) before continuing lower.

So a 2-3 tick stop depending on where you place the order is perfectly reasonable. If you are going with the momentum/market order, etc. then it's probably not feasible for you. Put simply: i am expecting market depth, if it's not even there, i am getting out of it, and fast.

And yes, sometimes, i don't get filled at the price I want, but that's trading.

DionysusToast View Post

I use order flow. I trade. I make a profit. I don't use OFA. I have seen what they have, I have spoken to George. I think it looks OK. As a vendor in a related field, it doesn't actually clash with what I have. I think they are cool guys.

On the other hand, I think your claims of having an average loss of 1 point is an insult to the readership of futures.io (formerly BMT). Just my opinion.

My example was simplistic. Still - the fact is, you can't trade with a stop equal to the spread. It has nothing to do with depth, it just requires you to be right to a degree that is impossible. Once you get that, then of course averaging a 1 tick stop is also a ludicrous proposition.

I can tell you at times when price will move up. I sure CANNOT tell you that it will move up before Joe retail puts in a market sell order. Hence you can't have a 1 point stop.

It's best to ignore this. I sometimes see silly comments on trading sites and I can't help to point out the silliness. Now you are saying sometimes it's 2 ticks. Well - you trade the ES like that day in day out, your hit rate will be in the low 30%s...

Treasuries - sure, the ES - it's not feasible with the way it moves. Not with all the magic bullets in the world.

This whole 1 point stop thing is ludicrous, OK? It's not worth telling people they can have a 1 point stop. It certainly does nothing for OFA to have people saying it's a magic bullet.

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