Hello world!

I'm starting this journal to give myself some public accountability, and also to unwind after each session. I've kept a trade journal privately before but I think this is a different ballgame.

Background
I've traded /ES as a side gig starting in 2013. Blew up many accounts, switched to equity options and back, rode some $5k accounts up to six figures, etc. Over the years I've switched strategies countless times, but in the past year or so I've narrowed down my approach. My goal is to get very good at this one approach, and master risk management.

Present
My current strategy is primarily based on traditional auction theory / volume profile. For confirmation/context, I look at fractal rotations, cumulative delta, order flow (still in the beginner stage on this one), and (yeah, I know) DeMark counts on 15-minute and 5-minute timeframes. I trade almost exclusively all-in, scale-out.

Journal Format
It is a Sunday night as I begin this journal, so tomorrow I'll be posting my first recap. While the format is subject to change, I intend on keeping it minimal, avoiding real-time updates, daily report card templates and the like. Instead, I'll recap my read of the market, my trade management, and any meta comments on my improvement, or lack thereof.

Monday 3/11/19

What a day to start. No trades for me here. Just a long, slow melt-up in the ES. Barely a pullback/dip to be seen.

Tuesday 3/12/19

Was looking for a scalp long to the magic 2800 magnet right off the open, but got chopped up in the indecision. Then tried shorting what I perceived as weakness (the lack of push to 2800) and got stopped out there as well. Decided to stop for the day.

Looking back, the first trade wasn't a bad one per se, but the second was a misread of the market. I actually don't even trade the first hour often, preferring to watch the IB develop, and indeed that 2800 area was taken out at just about 10:30am.

Granted, even there the short spot wasn't great, but a few ~5 point rotations down would've been okay.

in term of magnet hits NQ seems having the same number of hits as ES but getting fill on NQ is better due to shorter queue.

Thanks for sharing, Cory - agreed.

Wednesday 3/13/19

Shop Talk
The day opened trending up, mostly one-way action. I let the IB develop and took a short in the high 2822s at 11:41am. Scaled out after 3 points, then scratched the rest as it came back to my entry.

Due to the trend up and seemingly relentless buying, I was tempted to buy a dip down at VPOC with a target at new highs, but I thought that'd be chasing/overtrading, so I didn't.

During the new highs in the afternoon at around 2:02pm, I considered a fade but couldn't identify a good stop. Say I shorted 25-26 -- would my short be "wrong" at 28 or even 29? Not really, so I passed on this one.

A dip buy opportunity seemed to come up at Mid (2816.00), but this was amid Trump news so I avoided getting in. Following the news dump, we quickly touched IBH (2814.25) around 2:50pm and bounced up 6 points, which confirmed that the bulls were in control today.

A few more scalp longs seemed to present themselves afterward, with multiple touches of VWAP (s) and Mid, but nothing super juicy to me. I'm done for the day.

Thoughts
I think my market read was fine today. I was not overly trigger happy or itching for trades.

I only took the late morning fade which was a sound setup (leaning up against pWkHi, etc.) and passed on the afternoon scalp longs, which is perfectly fine because they aren't something I'm actively trying to practice.

Thursday 3/14/19

Shop Talk
The open was a bit choppy for the first half hour until a sizable 9 point rotation downward set the stage. It bounced and chopped around the opening range again, before climbing to new highs at around 11:50am.

This high was 1 tick short of the ONVPOC, and it cleared pClose. This was a decent fade spot, but I did not take it because I was busy with other work.

Had I taken the short at 2820.00 right around pClose at about 12pm, it would have meant a mere 3 ticks of heat for a ~6 point rotation downward to the first natural target of the holy trinity of VPOC, VWAP (s), and Mid (2814.50 or so). My stop would have been tight, maybe a few ticks above ONVPOC at 2821.50 (so ~6 ticks), because if it cleared that, I'd expect it to run up 4-5 handles further towards pHigh (2826.50).

I would likely have scaled out or exited just ahead of the actual 2814.50 area (for fill/risk reasons), so perhaps 2815.00. If I decided to merely scale out, I could hold further for the more aggressive target of the ONLow down at 2811.25, which did get tagged over 90 minutes later.

One more note: around the time of the desired short, the day's profile was very balanced, so an outside-in approach was favored.

Thoughts
I'm glad I positively identified a solid opportunity, even though I was too busy at the moment to take the trade.

Friday 3/15/19

Shop Talk



Tech seemed to lead the way up during this morning's open, with a swing high being put in at around 9:56am. However, we expanded equally (and then some) downward, establishing some temporary support at 2817.25.

After the IB was in, buyers were able to keep things afloat in this 17-18 area, before the ramps really started. VWAP (s) and Mid were basically sideways in the 21s, and price chopped +/- 2 points, making the "true" direction quite murky and unclear. This is the time to just wait and watch!

However, eventually buyers showed their hand. 11:00am marked the start of a strong 7 point rotation up over the next 30 minutes to 26.50. I began looking for longs.

A brief dip into the low 24s provided a buyable dip, given that it was close to IBH. But I was too skittish and didn't think I could handle risking anything beyond Mid (even the nearby VWAP was a whopping ~3 points down), so I passed on this long.

Indeed, we quickly rallied over 7 points off this dip into the 31s.

Yet another pullback of 3 points yielded another dip, but again, I wasn't sure where my stop would comfortably be. Looking back, it was pretty clear that this was shaping up as a trend up day, and honestly a standard 6-tick stop would have been worth it, if targeting more 5+ point rotations north. Perhaps I'm playing too defensively; no worries.

Thoughts
Similar to yesterday: I'm gaining confidence in my market reads. Buying dips was the right move. Avoiding the pre-11am (referring to today specifically) chop showed strong discipline from myself.

I'll have to try building my confidence in seeing larger targets get hit. For example, buying 24.00 at the dip I described could be given a 6-tick stop at 22.50. What would be my target? Let's say 3 times that. An 18-tick target would be 4.5 points up.

Well, the big up rotations thus far were 6, 5.75, and 7.25. So is it unreasonable that, if this turns out to be a trend up day, that we'll soon see a modest 4.5 point rotation up? Of course not! Worth pursuing in the future on these trend days.

Monday 3/18/19

I'm trying out this "annotated summary" format to make my Shop Talk write-ups a little easier to read in a hurry. The letters are just visual hints for the narration.

Shop Talk



A
This morning was another relatively one-way road up. 8 point rotation up in the first 20 minutes, then establishing an early high at 2840.75.

B
Sellers took it down with a 5 and 4 point rotation down into VWAP (s) and Mid. These were pretty valid dips for scalp longs, but I didn't take them because I had a busy morning with other work.

C
Off of these dips, new highs were attempted, but only by one tick. This failure led to a very steep downward rotation of about 13 (!) points.

D
During this dump, I had half a mind to try catching this knife if it reached pVPOC (2827.50). However, given the strength of downward move, I cancelled the idea mentally, especially as delta had entered negative territory for the first time today. ...Of course, in hindsight, this pVPOC got tagged to the tick, before bouncing 5 points cleanly. Alas, no regrets.

The whole time during the dump, I was really looking more for re-short opportunities: perhaps Mid (34s) or even the ONVPOC (32). We didn't ever climb up to the 34s. But we did see 32s very briefly (this also coincided roughly with the VAL, but I don't have much experience playing with the VA so it's just a stray observation).

I chose not to take the short for two reasons. (1) Time-of-day, as we entered the lunch hour chop; and (2) in the interest of controlling risk, I'd rather short at Mid (those 34s I just mentioned) instead of this aggressive 32 area.

As I write this, it's in the latter half of the lunch hour, and I think I'll sit out the rest of the day. Zero trades so far. I'm okay with that, as I have to step out at about 2pm anyway and I obviously don't want to jeopardize any trades I might have on at the time.

The lunch chop seems to be resolving upward towards the Mid area (34s), but as I said, I'll be sitting out the rest of the session. I may edit this post later to comment further.

Thoughts

Again, more confidence in my market reads. The spots I'm picking (in my head, at least) are being validated. In hindsight, I think the failure for buyers to quickly breach new highs at that one-tick new high was a prescient hint of the subsequent dump. This is something that has to be observed in real-time (i.e. monitoring order flow closely), rather than using predetermined levels; I want to improve on this.

For example, I could have noted this new-high-failure after ~10 minutes, and shorted 39.50 with a stop 2 points up at 41.50 (two ticks above the high), and an aggressive target way down at the open (about 9 points lower for 4.5R). The thesis would be that buyers were "stuck" and the morning ramp was to be completely rejected. For risk reasons I could "arbitrarily" scale some out if I saw 4 points down at 35.50 (2R), and/or scale out at ONVPOC of 32 (almost 4R).

Tuesday 3/19/19

Shop Talk



A
The morning auction was relatively choppy after we gapped up overnight. The IB came in a modest 6.5 points wide, and we saw the first breach downward at about 10:57am.

I took a short scalp in this 2846 area, looking for a quick dump through the IBL to fill the entire gap (looking for 2841.50 or so). However, buyers bought it right back up in a matter of minutes so I took my small stop loss.

B
The selling failure at the IBL implies that sellers are done for the time being, so I expected a steady grind north to the IBH and perhaps continuation further. However, by the time I noticed this, it was too late (price was already crossing up past the holy trinity) to take a good long position.

I stepped away for a little bit and missed the trade news shenanigans. Not a whole lot to comment on after it, so that's it from me today.

Thoughts

The "failed breakdown on a balanced day" is beginning to be solidified in my playbook. It's a great R:R setup and I was unfairly biased to the short side today, which clouded my ability to see this setup when it presented itself. I do plan on exploring more scripting/automation to help call these setups to my attention promptly.

For example, you can see the higher low (on that -2.50 point leg down after the first breach of IBL) on the chart. If I had seen this as a dip buy at 45.25 or even 45.50, I could place my stop close by at the existing low (44.50). So that's a 4-6 tick stop, with targets way up in the 52s. That'd be 4R, 5R, even 6R territory!