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2018 ES Volatility & Breaking Through to Profitability


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2018 ES Volatility & Breaking Through to Profitability

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  #1 (permalink)
 jrobertburgoyne 
New York, NY, USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Broker: InteractiveBrokers, Kinetick
Trading: ES, CL
 
Posts: 15 since Mar 2017
Thanks: 6 given, 32 received

I've been trading the ES off and on for many years, but I've always had a full time job + family, so my ability to focus and invest time purely on ES study and ES trading was never enough.

To try to give myself a kickstart, last year I enrolled in two months of Jim Dalton's Mastery Series after reading his books. Jim's information about Market Profile, Balance vs. Excess, homework preparation, etc. is all excellent, but I wasn't able to make much progress with my trading in 2017. But I could see the concepts playing out, particularly Balance vs. Excess.

I found this board, and eventually I found Verniman on Twitter and started reading the articles on his website:

https://verniman.blogspot.com/

Many of the articles on his website contained key pieces of information that I had been missing. For example he makes a point that in pursuing your path to profitability, focus on taking quick profits of reasonable amounts. For me that's been 4-9 ES ticks, and I'm happy to report that this totally works for me in 2018. Verniman writes:
We can work for many years with no visible signs of progress and then, all of the sudden, things take off. Our business becomes profitable. All of this requires faith and perseverance.
Indeed, that seems to be correct. Thank you Verniman.

Another key Verniman concept is establishing a price he calls the Line In the Sand (LIS). Don't short above the LIS and don't go long below the LIS. That simple idea eliminated almost all of my largest losing trades. I saw another poster on this board who wrote that he trades long-only to maintain consistent profitability.

If any of the above is useful for you, I suggest you subscribe to Verniman on Twitter and consider paying his $30 monthly fee to get his daily Outlook. I have no connection to Verniman other than being a subscriber.

===
If the above were all just intellectual ideas without follow through, I wouldn't have bothered to write this post. But starting from last Monday, I've been bold, trading aggressively every day. Here's what I've done in my IB account, where I trade 2 ES contracts max, using NT8:


HTML Code:
Start date	3/26/2018		
End date	4/3/2018		

Performance		All trades	Long trades	Short trades
Total net profit	$2,943.30 	$978.60 	$1,964.70 
Gross profit		$4,609.50 	$2,644.80 	$1,964.70 
Gross loss		($1,666.20)	($1,666.20)	$0.00 
Commission		$356.70 	$221.40 	$135.30 
Profit factor		2.77		1.59		99.00
Max. drawdown		($558.00)	($637.30)	$0.00 
Sharpe ratio		3.04		2.78		3.07
Sortino ratio		1.00		1717.55		1.00
Ulcer index		0.00		0.00		0.00
			
		
Total # of trades	74		48		26
Percent profitable	90.54%		85.42%		100.00%
# of winning trades	67		41		26
# of losing trades	7		7		0
# of even trades	0		0		0
			
Avg. trade		$39.77 		$20.39 		$75.57 
Avg. winning trade	$68.80 		$64.51 		$75.57 
Avg. losing trade	($238.03)	($238.03)	$0.00 
Avg. win / Avg. loss	0.29		0.27		75.57
			
Max. consec. winners	20		14		26
Max. consec. losers	2		3		0
Largest winning trade	$391.80 	$233.40 	$391.80 
Largest losing trade	($354.10)	($354.10)	$0.00 
			
Avg. # of trades / day	11.91		7.72		4.18
Avg. time in market	3.05 min	3.46 min	2.28 min
Profit per month	$9,974.52 	$3,316.37 	$6,658.15 
Max. time to recover	0.75 days	0.93 days	0.00 days
Longest flat period	3.82 days	4.81 days	4.86 days
			
Avg. MAE, Avg. MFE, Avg. ETD:	Values are wrong due to an NT8 Database Corruption Issue. 
I'm kind of bummed about that but I'll get it fixed eventually. 
			
Here's the daily breakdown:



I have another TOS account where I trade less often, mostly because I can't use NT8 to trade the ES at TOS. But I enjoy listening to and reading ShadowTrader, so I always enter some trades in TOS to pay for their services. I have learned a lot from ShadowTrader, but as I indicated, my real breakthroughs came from the Dalton study to set my foundation, and then the Verniman blog + his daily Outlook.

I'm in Manhattan and intend to continue to do this indefinitely, and to formally code some of the ideas into an NT8 strategy. I welcome anyone's comments or criticisms. I'm sure that when the volatility turns to chop I'll have to trade less aggressively, and the 90% percent profitable trades will be a memory. But it is possible, and I'm more excited about trading than I have been for years.

It's been a long road for me, and I'm sure the ES volatility will die back down, but for now it's become more a question of me maintaining the stamina and the concentration to continue to trade, rather than not having solid ideas of how and when to trade. In particular, I seem to enter few completely wrong trades, which I had previously identified as one of my biggest obstacles to profitability.

--
Robert

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  #3 (permalink)
greg500
Hershey, PA
 
 
Posts: 7 since Sep 2013
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I see that your average trade is about 3 minutes.

With this insane volatility, Exposing your account to a larger period of time would be detrimental.

This is my 20th year day trading.... I don't post much, but I learned from floor traders back in 1998... Limited time exposure is crucial.

Remain focused and don't let any one trade run too far against you!

Greg

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  #4 (permalink)
 jrobertburgoyne 
New York, NY, USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Broker: InteractiveBrokers, Kinetick
Trading: ES, CL
 
Posts: 15 since Mar 2017
Thanks: 6 given, 32 received

Greg,

Thank you for your comments.

For years I sabotaged my trading results with the "let your winners run" mantra. I tried all kinds of variations of close stops, wide stops, trailing stops, etc. It never worked and I never achieved consistent profitability. "Take the money and run" coupled with Line In the Sand discipline, seems to work for me, for now.

It's inspiring to see that you've been day trading for 20 years. In the back of my mind I've always believed that there are people like yourself out there. Congratulations on your longevity as a day trader.

Good advice reaches farther than most of us will ever know, and I hope that my post plus your follow up helps other traders.

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  #5 (permalink)
greg500
Hershey, PA
 
 
Posts: 7 since Sep 2013
Thanks: 2 given, 19 received

Hi Robert,

Yes, I'm real. Getting ready to smack this ES again today))) Yes, I lose money or b/e on some days, average is 3 out of 18 trading days.

I have a lot of tips, tricks and info... Most importantly, don't change what you are doing. I have a program called sticky notes. It's annoying to have a box on a screen but it holds well to serve me.

It reads.

“In-sync with the market, winning trades, follow the rotations and keep trading.”


“Out-of-sync, losing trades, market moving in every direction, feel confused, Stop Trading Now”

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  #6 (permalink)
miktrading
Los Angeles, California
 
 
Posts: 24 since Mar 2017
Thanks: 4 given, 7 received

How have things been coming along over the past few months?

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  #7 (permalink)
 jrobertburgoyne 
New York, NY, USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Broker: InteractiveBrokers, Kinetick
Trading: ES, CL
 
Posts: 15 since Mar 2017
Thanks: 6 given, 32 received


miktrading View Post
How have things been coming along over the past few months?

Still not consistently profitable, but getting closer to that goal, and thanks for checking in.

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  #8 (permalink)
Adrish
Markham+ Canada
 
 
Posts: 1 since Nov 2017
Thanks: 1 given, 1 received

Hi Robert

I am following Verniman too and I was wondering if you figured out what is the curve ( maybe a moving average ?) that turns red or green in his setup on his blog --on his first 3 mins bar chart that starts at 9:30 am when cash opens?

Cheers

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  #9 (permalink)
 blb014 
Dallas, Texas
 
Experience: Intermediate
Platform: TOS
Trading: AAPL, /ES, IWM, SPY Options
 
Posts: 330 since Oct 2012
Thanks: 554 given, 186 received


jrobertburgoyne View Post
Greg,

Thank you for your comments.

For years I sabotaged my trading results with the "let your winners run" mantra. I tried all kinds of variations of close stops, wide stops, trailing stops, etc. It never worked and I never achieved consistent profitability. "Take the money and run" coupled with Line In the Sand discipline, seems to work for me, for now.

It's inspiring to see that you've been day trading for 20 years. In the back of my mind I've always believed that there are people like yourself out there. Congratulations on your longevity as a day trader.

Good advice reaches farther than most of us will ever know, and I hope that my post plus your follow up helps other traders.

Not that this applied to everyone and it goes against conventional wisdom, but trading without stops and averaging down (adding to losers) has kept me profitable the last few months trading /ES

Volatility is good for the market and trading.

Preservation of capital is the most important concept for those who want to stay in the trading game for the long haul. - Van Tharp
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  #10 (permalink)
 cory 
the coin hunter
virginia
 
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Adrish View Post
Hi Robert

I am following Verniman too and I was wondering if you figured out what is the curve ( maybe a moving average ?) that turns red or green in his setup on his blog --on his first 3 mins bar chart that starts at 9:30 am when cash opens?

Cheers

close, it's volume-weighted average price (VWAP) as mentioned in the blog.

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  #11 (permalink)
 jrobertburgoyne 
New York, NY, USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Broker: InteractiveBrokers, Kinetick
Trading: ES, CL
 
Posts: 15 since Mar 2017
Thanks: 6 given, 32 received

A few updates:

a. I made a decision to 100% focus on NinjaTrader 8 with IB.

b. Next I decided that I needed more discipline to buy lows and sell highs. For me, Regression Channels seem to work pretty well for that. In NT8, the Regression Channels dynamically redraw during the day. I colored the upper and lower channels differently to remind me whether I should be going long or short. I am reasonably satisfied that regression channels are a useful tool for identifying balance and excess. During the day there are almost always times when the market becomes unbalanced and price travels far beyond your regression channels. Here's an example from EOD today.



c. I tinkered around with ES Targets and Stops to get different results with Profit Factor, % profitable, etc. Being an engineer and a perfectionist, I often though in terms of very high % profitable. But I never made much progress with that, where progress is defined as getting to somewhere comfortable that's also consistently profitable. So now I've moved to lower % profitable targets with a larger profit factor, and the drama is much less than before.

d. I reverted to paper-trading until I feel comfortable with item c. above. I'm going to give myself until early July and then go back to trading with real cash.

e. I learned that I was exposing myself to too much daily drama. It's not possible to think clearly while having so much drama.

I hope to hear from others who are on the same path.

Thanks for reading.

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 cshrum 
nashville, tn
 
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Platform: Ninja 8
Trading: es
 
Posts: 94 since Nov 2012
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How is the regression channel going? any tips or examples?

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