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Trading Oil - "Velocity" system
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Trading Oil - "Velocity" system

  #81 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
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I wont post all my mistake of the day (it will be too long) but some of them (just in order to remember to not do that again... ). All of them have been of the same type. They are in some way interesting.

First one 9AM. Pit opening reversal on the permission with signal on the first bar (rule is signal on the first 3 so this one is ok) on the CVB but
the signal on the RB was 15 bars ago... This time I catch a nice local top and I have been stop for the first time since I trade (my stop was reach in 2.51s to fast for me to react). I was certainly upset to have miss the big run just before the opening so I have bent the rules.

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Second one: 9:01 (lol just 1 min after) even worst than the first no signals at all (CVB and RB not in the same trend and the first signal was this time more than 20 bars ago, CVB was green/neutral and RB red). This time I quickly realize that I have enter at the bottom (for a short) so I exit losing 1 ticks.

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All of them have been the same. I'm not to bad a reading the tape or at least at managing an exit when it stinks (8 loses average loss 3 ticks).

My system is good at 1 things, catching the beginning of a trend but after that signal could appear almost anywhere and usually at the end. That is the reason the most important rule is to have a signal at the very beginning and if you miss it to never take the others ones. The second most important rule is that CVB and RB are in phase (same trend, at the same time, same reversal, same signal : no more than 2 bar of delay between the 2). The more you wait the greater the risk is.

Conclusions and recommendations to myself:

1 - A trade is just a trade; win or loss don't let it affect you.

2 - Stick to the rules. That is the reason why you trade a system and not a hunch or a feeling.

3 - Don't think about "missed" opportunities. Don't overthink if the market is already up or down 100 ticks at the beginning of the day. Opportunities will be here and if they are not a day at zero is not the end of the world.

4 - If you are not behaving appropriately leave the screen for the day. Don't try to "save" the day there are a lot of chances that it will be worst.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #82 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
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Posts: 2,149 since Sep 2015
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I will start to maintain some stats about my trades and my signals. I usualy take screenshots and I will now also fill a spreadsheet with the following elements:
  • Actual trades
  • Comparison between the actual entry point vs the first signal to buy or sell
  • Did the trade was a "legit one"
  • Record of all potential "legit" trade based on 2 setups. One that I call Strong and the other one that I call Weak.

Strong setup is the one that I trade (or at least should trade): reversal of the "permission indicator" on both the CVB and RB with a maximum 30s delay between the 2 - Time signal on the first bar after the reversal on the RB and time signal on the 2 first bars after the reversal on the CVB.

Weak Setup: reversal of the "permission indicator" on the RB - Time signal on the first bar after the reversal on the RB - Permission on the CVB must be the same color than the one on the RB after the RB reversal.


I have in average 6s to take a decision if I buy or sell or if I let it go in the case of a Weak setup and around 12s for s strong setup since in that case I wait for the signal on the CVB which slower than only taking signal from the RB.

On last Friday my average reaction time was more than 1 min and up to 5 min, this explains all the loses. If I had been as fast as usual it would have been a winning day even if I didn't trade the "legit" setup.

Based on those observations I should do:
  • If the average decision time fall under 3s the market is too fast for me and I should let it go.
  • Avoid taking a trade at the pit opening (average time is here around 2s) but I can manage an exiting one here.
  • Avoid news release (never done that mistake so far)
  • Improve the visual presentation of my charts - remove as much as possible all none essential information
  • I have very few discretionary rules and I should work in order to make them none discretionary. A semi automated system is the way I should go.
  • I need to start looking for another platform since CQG has serious limitation when working with none time based bars

The spreadsheet below shows : the first group are the actual trade with actual entry point vs signal entry points, the second group a recap of all the legit trade from the weak and strong setup.

The theoretical entry and exit points have been taken with a 2 ticks slippage factored in the results. This analysis underline what I have already noticed during the last 6 month. This system could generate an average of 50 ticks per day per contract on CL. I think it could be scaled up to 5 contracts without any slippage problems.




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  #83 (permalink)
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Lots of good trade opportunities. Explosive move at the close of the pit 41 ticks in 60s. Did not catch this one but was nice to see.

+39 (vs a potential of 110) - last down move at 14:08 was tricky with an up spike at 14: 19 almost about to exit at this point.


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I've changed the visual setting of my system in order to make them more readable. I have one screen in a normal position and 1 screen in page mode for the DOM and the T&S. I have remove all not vital information from the charts and it is much more easy to play. Remove orders entry, P&L (I have realized that seeing this number all the day distract me), remove all indicators except the "permission".
Now all the info in coded in color on the charts. The white and grey bands on the chart represent 1 min of time.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
Attached Thumbnails
Trading Oil - "Velocity" system-setup.jpg   Trading Oil - "Velocity" system-setup2.jpg  

Last edited by Okina; February 29th, 2016 at 11:38 PM.
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  #84 (permalink)
Market Wizard
Sarasota FL
 
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Okina View Post
I've changed the visual setting of my system in order to make them more readable. I have one screen in a normal position and 1 screen in page mode for the DOM and the T&S. I have remove all not vital information from the charts and it is much more easy to play.

Much cleaner. I've found pretty much the same thing: too much info doesn't help, and beyond a certain point it hurts because there's too much to process quickly mentally, and/or it's distracting.

This should work much better.

Bob.

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  #85 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
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Posts: 2,149 since Sep 2015
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Difficult day.

Difficult days are not most of the time losing day they are day when you have a long waiting time between trades and where you have few but huge opportunities. Quite frankly I prefer more regular day with more opportunities and smaller results.

The more you wait the more the temptation is growing to take a "non legit" trade. Patience is the mother of all virtues in trading...

Nothing before the market opening, nothing during the early morning, big one at 11AM nothing after and a big one completely outside my trading hours. I have extended my trading hours to 8AM to 14:30PM ET. I had a number of days like that in the past and most of time my result have been 0 or near 0 just because I was not in front of the screen just at the start of the "big one".

2 trades : +71 ticks (1 win 1 lose). I don't like that. If I was not in front of my screen the day will have been at zero or neg. I don't like day like that. I fell just lucky to have been at the right time in front of my screen. I prefer day with 3 or 4 trades each of them with a small profit than just a big one and nothing before and after. This trade was not even a text book one I must say I had a lot of hesitation before I jump into it (lot of hesitation means 45s but everything is relative ...)

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  #86 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
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I received private messages asking for clarifications about my system.

I though I have been extensive and very clear in my previous explanation but it does not seem to be the case. So let me do another attempt base on the below charts:

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Notes: on have here 2 charts, the lower one is a range bar charts and the upper one a constant volume bar chart that is set in number of trade rather than volume (10 lots or 1 lots count both for 1).
The little arrows above or below the bars are drawn only if the time to draw the bar is at least 2.5 times short than the average time to draw a bar (average over the last 25 bars).

I see 3 interesting phenomenons in this chart:

1) market was previously up and it start to go below the average with 3 consecutive lower closes each of them below the average. At this point I have no reason to go short but if I was long I would have exit my long. This point is represented by the first red bar on the CVB chart (around 4:16 AM).
Suddenly we can see an arrow on both the CVB and the RB chart. It means that at this point the market went down 2 ticks 2.5 faster than during the previous 25 bars and at the same time the market have received 2.5 more orders in the same time. We start here to observe a positive feedback mechanism. Market went down and it is now accelerating in both price movement and order flow. This point is a possible short entry.

2) The market is now stable on the 33.83 level that is tested several times. The positive feedback mechanism observed at the beginning of the phase 1) in no more here. At this point no other probabilistic prediction could be made. It is a wait and see state.
At 4:41AM the same kind of momentum movement happened again on both the CVB and the RB. At this point it is clear that we are going to breach the support level of 33.83. But we have no way at the fist arrow to predict if the movement has some chance to go significantly lower or not.
After the first arrow down we can see that each bar is now drawn 2.5 time faster than the previous one. We have now a perfectly clear and highly predictable down move that exhibit a strong positive feedback momentum.

3) at 4:56 AM we have the same acceleration on the RB but no acceleration on the order flow (CVB). We can here predict that the level of 33.64 will be break but here we see no sign of positive feedback momentum. We can predict with a high probability that the market wont go significantly lower in the short time and that we may prepare to exit the short position.

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  #87 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
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Posts: 2,149 since Sep 2015
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Conclusions :

The charts above show a possible short trade that would have generated around +20 ticks of profit.

Why do I take 2.5 time, 2 ticks RB, 200 CVB and 25 bar average for the time? I do not pretend that those parameters are the goods and only goods ones. They are just seen as fit to my personal risk levels and to the kind of moves that I try to play.

How do I explain this phenomenon? I think that this kind of events are a good reflection of imitation-based herding behavior that create a positive feedback mechanisms that leads in turn in an acceleration of a down or up move. In more common words I would describe the phenomenon as the following:

You see the market going slightly down as it does hundreds of times each day. At this point nothing special catch your attention. You start to see an acceleration of the down movement that is initiated for an unknown reason at the beginning, and many other traders start to see it. The more the movement accelerate the more you have traders who start to see it and want to participate in this down move. The more traders enter in the move the more it accelerate. You have a positive feedback mechanism that is self sustaining. If we look at more classical indicators like MA, RSI etc most of them will gave sell signals this time and will lead more trader to enter in the down move. That is the reason why I want to see increase of speed on both the price movement and the order flow.

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  #88 (permalink)
 R.I.P. 1969-2016 
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I know that I could not trade today so not very surprisingly I weak up much early than usual and I was in front of my screen at 4:00AM lol

Took 2 trades before I left home. One of it is explained in the post just above.

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  #89 (permalink)
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Tomorrow I will be able to trade all the day.

I've start to notice new setups that I want to try on SIM.

I'm also using sounds to trade. I have setup the DOM in order to have a click at each trade. I use that but only as a kind of alarm, I want to see if I could use that as part of a setup.

I see this setup more and more:

I first start that looks promising. A pull back of 10 to 15 tick but not very impulsive and the real start just after. Usually if I see the market going against me just after my enter I cut the position immediately and I do not re-enter in the same move. I can see hundreds of moves for which I'm right to do that but I want to find if it is possible to find some specific elements in order to catch this usually big moves. I may have find one but I'm not sure I can really catch it in a live market. That is the reason I will test that on SIM tomorrow.

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  #90 (permalink)
 R.I.P. 1969-2016 
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So far not so bad.

I try to trade on SIM shorter moves with tight stop (no targets). I've been stop a lot a the beginning but it is better now.
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