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2018 ES Volatility & Breaking Through to Profitability
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2018 ES Volatility & Breaking Through to Profitability

  #1 (permalink)
Elite Member
New York, NY, USA
Futures Experience: Intermediate
Platform: NinjaTrader 8
Broker/Data: InteractiveBrokers, TOS, Kinetick
Favorite Futures: ES
Posts: 5 since Mar 2017
Thanks: 2 given, 10 received

2018 ES Volatility & Breaking Through to Profitability

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:


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:

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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.


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  #3 (permalink)
Trading Apprentice
Hershey, PA
Futures Experience: Master
Platform: NinaTrader
Broker/Data: Ninja with cqg
Favorite Futures: ES
greg500's Avatar
Posts: 7 since Sep 2013
Thanks: 2 given, 11 received

Very good.

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!


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  #4 (permalink)
Elite Member
New York, NY, USA
Futures Experience: Intermediate
Platform: NinjaTrader 8
Broker/Data: InteractiveBrokers, TOS, Kinetick
Favorite Futures: ES
Posts: 5 since Mar 2017
Thanks: 2 given, 10 received


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)
Trading Apprentice
Hershey, PA
Futures Experience: Master
Platform: NinaTrader
Broker/Data: Ninja with cqg
Favorite Futures: ES
greg500's Avatar
Posts: 7 since Sep 2013
Thanks: 2 given, 11 received

A Game in your Mind

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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