A tale of 2 stories. Can be best summarised in 2 pictures.

Long bias from prep.

Trade 1 - Long SPY - Entry RTH open - Exit EOD (with 1/2 out 100% ATR)





Trade 2 - Long MES - Discretionary trading to pick the 'best spot' and 'time the market'.

June 3 Friday Prep

NFP day

Stats are mildly bearish. NFP data is particularly bearish for the current market condition.

Currently trading Gap down.

Strategy - SPY 100 short @ RTH open and cover it @ close. If we test Y-L, I will take 50% off @ 80% ATR. No stops.

I will continue to trade MES too. Expecting a bounce into 50s and may initiate short. No long today.

Profit target dilemma on Big gap days.

My short plan seems to be working so far.

I planned to exit 1/2 of my position @ 80 to 100% ATR. However, we had a big gap open and ETH ATR reached 100% and RTH is not even 50% yet.

I don't have the data yet regarding days like this. (Will see whether there is a way to find this out this weekend).

Hence, I decided to take half my profit at 4100 MES equivalent level for SPY. Leaving the rest for EOD. Reversal seems less likely (but you never know). However, it doesn't matter as my rule is stay with atleast 1/2 till the end.

June 3 2022 Summary

My Bearish bias bias was executed well as per my plan. 100 SPY short @ open. 1/2 cover @ 100% ATR (some doubts as to whether to use RTH/ETH but I decided to stick to ETH, particularly on low vol days, Fridays and days with poor tick support). Rest of my position out EOD.

Trading is becoming lot less stressful with this strategy. Let's wait & see how i feel during future drawdowns.

May 31 to June 3 week.

Got lucky with the stats. Can't complain!

June 6 2022 Monday Prep

Stats are bullish. (Pretty strong actually except the mildly bearish post FOMC days)

Usually I will hesitate to go long on a day like this. Monday AM with gap up open above Friday high in a Bear market. Or worse, will consider shorting.

Nothing is wrong with that approach except the thinking that price is too high and above value without consideration of past crowd behaviour of market participants.

Strategy. Long 100 SPY on open and 1/2 scale out 80% ATR and 1/2 EOD.
No stops. If target not hit, then full exit EOD.


P.S. My discretionary trading of MES has been very lethargic partly because I like this passive SPY strategy a lot and quite curious to find out how this works out. It also allows me to feel the ebbs and flows of the market with very little emotion but lots of valuable lessons about Price action.

Profit targets Exercise.

It depends on 3 factors.

1. 5 day ATR
2. Relative volume
3. Gap size

Rule 1 - ETH range will be included in ATR targets.
Rule 2 - Scale out 1/2 @ 80% ATR
Rule 3 - If RV is high (ideally with tick above 0, indicating potential trend day), I may not scale out and leave the full position for EOD. ?Today.

e.g. Currently 5 day ATR is 90 pts. Gap size is 40 pts. Hence I expect another 50 pts range today.

In terms of actual ES values, Friday close 4110. Open today 4150.

If my long trade thesis works, then range will be 4110 to 4200 today. So my 1/2 scale out will be @ 4185. However, if I suspect trend day, then price could shoot up-to 4220 and I may hold on to my full position.

If my thesis fails, I am also analysing the theorotical exit points, or Line on the sand levels, to reduce my size to 1/2. Currently it's EOD close.

Finally, in the future, I will likely enter with 1/2 size rather than the current strategy of 100% entry @ RTH and will try to refine my execution further.

This week is Rollover. Do you consider this in your strategy/stats? I personally am very careful during rollover week and use the approach of better safe than sorry.

Harleking 

This week is Rollover. Do you consider this in your strategy/stats? I personally am very careful during rollover week and use the approach of better safe than sorry.

Yes, I am cautious with my discretionary MES trading. I rely a lot on volume for my trading decisions and it becomes messy this week.

However, my systematic trading of all in/out with SPY relies on price stats only and hence not affected by rollover.

June 6 2022 Monday Review

Bullish stats did NOT work out today.

Executed my simple plan well. All in @ RTH open and all out @ close. No hesitation and very little emotions. More curiosity actually.

These are the days that teach me the valuable lesson of scaling in/out. My target of 4180+ (above Y-H) proved to be too ambitious and MES fizzled out below 4170. I had plenty of warning that sellers were absorbing and we made lower highs few times. No regrets though as historically we had strong UP days in this market environment.

I am going to add another layer of exercise to my analysis. 'What will I do differently in a similar situation in the future?'

1. I will still go long @ Open due to strong stats.
2. Scale out below Y-H
3. Close EOD. (Would NOT have reversed to short. Once I consistently hit home runs, then I will reverse and fade vwap)

Result would have been a small loss / breakeven day.