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Pajot's Trading Journal
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Pajot's Trading Journal

  #121 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
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Thanks: 13 given, 38 received


aquarian1 View Post
Hi Pajot,

I don't trade NR days like today. The way look at it to simply enter and exit cost you 0.25pts *2 = $50
Some people look at the opening range to get information on the day as it unfolds.

A thought I had about your system a few days ago - so it doesn't apply to today specifically - but a day when you were in and out at the same price many times in quick succession:

Could you try a delay? That is instead of the order being executed right away it waits one minute and enters a limit order at the low of the bar the prior minute for going long or the high of the bar the prior minute for going short. Then force your exit to be no sooner than 3 minutes. (I know this sounds counter-intuitive, LOL)

I hope it helps

Hey again, aquarian1!

By the way, I like the username. Thank you for thinking about my system and giving your opinion. 2 ticks + commission would actually be $29.02, but I completely get your point and it's a good one. I tend to forget about that and expect the swings to give me my 1-2 points. One thing I could do is acknowledging the kind of day and, if I still want to be in, to go for 3 ticks instead of 4.

What may have seemed like many entries at the same level in quick succession was not actually that. When I get again at the same price or very close, then there is a bug in my strategy. I found the problem today and will fix it tonight, so I should not see that again. On the chart, when you see the little triangles, only the red and blue are actually entries validated by the indicator and even those may be invalidated by the strategy if the distance from an existing open entry is at less than the number of ticks I set in my configuration (usually 8 ticks). I also have a parameter that may allow or not another entry on the same bar, no matter if the first one is open or not.

I can definitely work with the expiration of an open trade. For most of them, the bounce should happen and, if not, then it is not going to happen. There are situation when the market takes its time figuring out my level is a good on (LOL) and the bounce turns into a slow motion reversal, with a lot of fighting, but I don't like to stay in too much. I will work on the expiration. I have timer code I use for when an order placed is not executed within the next bar and I decide to cancel it and look for another entry.

Thanks much!

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  #122 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
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Posts: 148 since May 2010
Thanks: 13 given, 38 received

March 27th, ES EOD: -$265.20

With today's price action, I would probably not trade with real money at all, but that's partly why I am writing the code: to get me in when I am too scared to do it myself. Well, the indicator should not get me in either, unless I figure out how to deal with days like this. I hinted at some possibilities in a previous post, so I'll investigate when I get the time. So, if the code avoids ES, I still need to trade something and will probably start adjusting my indicators to CL or something.

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  #123 (permalink)
Site Administrator
Manta, Ecuador
 
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Pajot View Post
I really donít know how to trade a day with a range of 4 points.

Please don't use Word or some other editor to write your post, then copy into the forum, because it makes it extremely hard to quote your reply (all the crazy formatting).

As for trading a narrow range day, my only advice is "slowly". On this type of day you should probably have only one entry, and then you can let it sit until end of day then exit if you have a no overnight policy, or you might want out after realizing we are in a tight consolidation range.

I also would advise focusing on trading a particular direction, and not flip-flopping back and forth between long and short throughout the day. A lot of traders get chewed up doing this, but it will largely depend on your trading style and what size chart you are trading.

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  #124 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
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Pajot View Post

2 ticks + commission would actually be $29.02, ...

-- oops yes you're right!


Pajot View Post
What may have seemed like many entries at the same level in quick succession was not actually that. When I get again at the same price or very close, then there is a bug in my strategy. I found the problem today and will fix it tonight, so I should not see that again.



--- I realized you fixed it, but here's the thing.

Let us say someone shares an idea.

Instead of engaging the side of the mind that marshalls rebuttals, instead look at it and say:

" Well I've fixed the too-frequent order thing. But I've never tried delaying an order and entering with a limit order at a better price or not entering the trade at all. Why don't I give it a try? - Easy enough to add a subroutine that runs off and executes the delay without messing up any of my strategy code.

Let's see what happens - it might be fun to test it."

----
Now here's the key point - I'm not selling the idea,nor arguing for it.

I'm speaking more philosophically. If one is open to messages one may receive then the Creator can send us gifts 'though the words of fools.' the 'signs of birds' etc. Some won't work out. Some (or one) might. Regardless, we grow through the process of being open to the spontanetity of the Universe. It is important, I believe, that we be open-minded, to become flexible minded.

-- just an idea to consider!




Keep your mind in the future, in the now.
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  #125 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
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Favorite Futures: ES, CL
 
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Thanks: 13 given, 38 received


Big Mike View Post
Please don't use Word or some other editor to write your post, then copy into the forum, because it makes it extremely hard to quote your reply (all the crazy formatting).

As for trading a narrow range day, my only advice is "slowly". On this type of day you should probably have only one entry, and then you can let it sit until end of day then exit if you have a no overnight policy, or you might want out after realizing we are in a tight consolidation range.

I also would advise focusing on trading a particular direction, and not flip-flopping back and forth between long and short throughout the day. A lot of traders get chewed up doing this, but it will largely depend on your trading style and what size chart you are trading.

Mike

About Word: sure, no problem. I wasn't aware of the issue.

Thank you for the advice on trading slow and narrow days! The problem with yesterday, at least for me, was that I could not make up my mind on a direction. I could have probably used higher time frame charts and other signs to identify the "always in" direction, but it oscillated a lot between long and shorts for me. I think one way to handle this is to still go both long and short, but less often and only on signals around the extremes. Of course, only until the bulls or the bears do something to nudge the sentiment in their favor.

I think the code for channels would work here, once I complete it. The way I see it, on a day like this, the price is trying to figure out the proper channels to stay within. Some of them are obvious and, before they are confirmed, there are always a number of options and I can just decide to enter on tests of the channel lines. For sure, I would avoid stop entries both directions, long entries at the top of the range, and short entries at the bottom.

Simple ideas, but my day would have gone a lot better if any of them would have been applied.

Thank you, Mike!

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  #126 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received


aquarian1 View Post
-- oops yes you're right!



--- I realized you fixed it, but here's the thing.

Let us say someone shares an idea.

Instead of engaging the side of the mind that marshalls rebuttals, instead look at it and say:

" Well I've fixed the too-frequent order thing. But I've never tried delaying an order and entering with a limit order at a better price or not entering the trade at all. Why don't I give it a try? - Easy enough to add a subroutine that runs off and executes the delay without messing up any of my strategy code.

Let's see what happens - it might be fun to test it."

----
Now here's the key point - I'm not selling the idea,nor arguing for it.

I'm speaking more philosophically. If one is open to messages one may receive then the Creator can send us gifts 'though the words of fools.' the 'signs of birds' etc. Some won't work out. Some (or one) might. Regardless, we grow through the process of being open to the spontanetity of the Universe. It is important, I believe, that we be open-minded, to become flexible minded.

-- just an idea to consider!



I am not into all the Creator stuff, but I hear you. I like the idea of having an open mind and try things. You should see my code and how many things are configurable, how many signals disabled, code commented, etc.

I was actually agreeing with you and only letting you know that the multiple entries at the same level should not happen. Also, I am sure the chart is hard to read for whoever looks at it and does not know what each symbol means and I don't have a legend how I should.

I like the delay idea and it is on my list to try as soon as possible. The bug I mentioned yesterday is not fully fixed, as it will require some additional data structures, but I have eliminated a bunch of cases already. I am honestly and openly asking for ideas, I am no "know it all", and I am very willing to listen and learn. I love doing this and it is a lot more fun when we're bouncing ideas around.

Thanks again!

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  #127 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
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Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

March 28th, ES: a bit up for the day

Somehow, today looks a lot better, at least from a trending perspective, direction clarity, the size of the bounces at key levels. I am minimally up, $51.32 after 9 trades, but it is still profit generated by my code, so I cannot be too upset.

I need to manage the alleged trading ranges better and draw less when the range is not confirmed by the price action. The chart is too busy with stuff that does not mean much...

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  #128 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

March 28th, EOD ES: $35.24

Minimally up, but up nonetheless. The trades will be posted soon, as I am experiencing technical difficulties uploading from iPad.

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Last edited by Pajot; March 29th, 2012 at 01:22 AM.
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  #129 (permalink)
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Thanks: 13 given, 38 received

The trades that go with the chart posted yesterday

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  #130 (permalink)
Elite Member
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Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

March 29th, ES: better


Many of the signals worked today and I like that. I helped the indicator with a manual line from a higher timeframe (the entry at 1386.25 on the red line at the bottom) and the indicator did pretty well today. I was up some $220 and something weird happened. The OCO stop and target orders for a closed transaction were left on the chart, so they started trade(s) and kept on cascading, since there was always a balance of extra stop and target orders. I will have to either run replay or figure out how to clean the current list before I post it.

The legit indicator driven entries are still visible on the chart, where the red and blue triangles show, not the gray ones:

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