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Pajot's Trading Journal

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  #11 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received



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  #12 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

PnL for March 2nd is $218.72.





Pretty happy with the indicator's performance. I think adding a couple of channels by hand was the only intervention I made. The indicator made the call not to enter on the first channel line because of how strong the bar before was against the signal (bar 54, the gray arrow at the top of the bar). The same reason was used to reject what seemed a more important channel/signal, at the top of bar 73. The entry on the channel line coincided with the ^TICK reaching +1000. That entry was perfect and I would have entered on it for a bounce if in manual mode. I think the probability was still pretty high that at least a scalp on a stop entry above bar 72 would happen, so the indicator rejected with a good reason.

I have to think about this one. Not sure I want the indicator to do anything different. The only things I can think of are:
- do not reject a level when a combination of signals come up within 2 ticks or so, in the same direction, depending what the exception is
- stay out of automated trades at the end of the day, when ES may try something crazy, like going to one of the day's extremes, the open of the day, and when the signals are less reliable with the higher volume, short/long squeezes, etc.

Another thing to mention is that 6 of the trades were stopped at +1 tick. The ATM moves the stop to +1 tick once the PnL for the trade reaches 5 ticks, so I had 6 trades where I had 5 ticks or more and ended up with 1. Still, better than turning into losers, even if the profit was small.

The larges loser trade today (-104) was "with gap", trying for a measured move. The problem I see here is that the updates to the stop and target, once the order is filled, are made by the indicator only once the bar closes. The ATM has a 2 points stop by default and then it hands over the stop/target tweaking to the indicator, but the move was too violent in this case and it reached the stop before the bar ended and before the indicator re-evaluated the state of the gap and the validity of the measured move target. I cannot be too upset, that's why the stop is there, but I should trigger gap evaluation on price moving 4 ticks or so, not only on bar close.

Cheers!

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  #13 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received


These below plus two long entries left open at the end of the day with -27.01 each:


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  #14 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

I am asking for your opinion here. Please contribute!

What are some good signs an entry in either direction would not have any chance of making at least one point? The "one point" is for ES, but please substitute with whatever is a minimal standard scalp for the instrument with which you are familiar.

I know it sounds like the answer to this question would bring untold riches for those who know the answer, but here is what I mean: There are certain times while watching a chart or DOM when you know the market moves with certainty in one direction and there is no chance you would think of entering against it at the exact current level. At best, you would either enter with the move or wait for more clarity. Probably, we all have ways of recognizing those moves, but what is our pattern recognition based on?

Let me be even clearer. I am not asking about how to identify a trend, but what are the signs that buying/selling at market at this very tick is (as close to) 100% a bad idea.

If it was only about a certain level a distance away from the current price, then this question would be about stop placement. Still a valid sign and I welcome any answer that says "if the trend is up and the price came below the low of the previous strong bull bar or below the previous swing low, then it's time to look for shorts, or get out of longs, and do not, under any circumstances, touch the buy button". I am looking for signs before getting to the bottom of a strong bar, because that would mean losing a good number of ticks.

An example is about ES on Thursday morning, March 1st, 2012, when the 10am news reached the markets, or at least the algorithms trained to do sentiment analysis and running on collocated servers.



Up to bar 6, everything looked good for the bulls, at least in my terms. The day started with a gap up, 5/6 bull bars, more measured move targets above, the TICK mainly above zero and in territories telling algos are buying, price above the 20 bar 5min EMA (dark blue), above 20 15min EMA (dark red), above 20 60min EMA (orange). I think the CD (cumulative delta – MDCDTotal in panel 4) could have caused some worries, since it double topped with some recent level instead of moving only up with the price, but I am not trusting IB tick data anyway, so I would have not made any decision based on CD only.

BTW, what does the CD look like on better data feeds for Thursday morning, please?

Then, 10am came and here is what happened in price and TICK on a 10sec chart:



I think TICK is relevant, at least for index based futures, so I keep an eye on it. According to what I see on my charts, whatever I do based on the signals right after 10:00:00, it is too late, if I am already long or want to enter somewhere close to the top of the big bar down, on a limit order.

Maybe this is too extreme as an example and staying out right before and after news is the best way to handle it.

What about the rest of the cases? Do we look at the rate of change for the price?

How is a move that starts by looking like a pullback indistinguishable from a trend reversal, but based on very early signals, not after a classic 2-bar reversal set-up, not after the price comes below/above the prior swing? Considering there are answers and signs, how can we implement a protection measure like this without entering the HFT territory or having to watch 10sec charts, which would normally give lots of bad signals?

I am very interested in your input and the answers would help everyone. Please find some time to contribute.

Thank you!

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  #15 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

My indicator started the day with a booboo.



It entered on a stop below bar 1, because it was a pretty strong one in the direction of the trend. ES went up and got stopped at -4 ticks. Then, it entered me again at the top of bar 2, again because it was a strong bar within the first few bars and my strategy expects at least a scalp in that case. Then, at 1 tick from the measured move target, I got the signal, but it was rejected, the gray arrow up at the bottom of bar 4.

"Order GapMMTarget buy @1363.25 not sent. News coming up. A strong bar before against the order."



That would have been a good entry, but that was the rule I just implemented last week, to keep me out. I noticed the email with the news alert a bit after:

10:00 AM - USD - ISM Non-Manufacturing PMI
10:00 AM - USD - Factory Orders m/m

The long entry above bar 2 was stopped at -8 ticks.

Therefore, I got into two clear traps, very close to each other, opposite ways. Not a good start.

Considering I was working on something else and was not paying any attention to what was happening, I cannot be too upset. The GIGO rule applies. That's what I told my indicator to do in these situations.

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  #16 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

Will it bounce there?

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  #17 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

- persist/cache the inactive chart objects to the database and re-paint them on chart refresh. This will apply to touched lines (manual and automatic) and the arrows for orders sent/not sent, so I can keep working and updating the indicator and still have a chart to share on futures.io (formerly BMT) at the end of the day with all the signals and what happened.

- incorporate CD into the strategy. I kept it out because of bad IB data, but it is still useful as general direction. I don't have a good idea about how different the inventory levels are on a good data feed compared to IB. If you can share the CD chart for ES and it happens you are on a 5min chart, please do. Even CD on a Renko chart would be useful. When I trade manually, I look at it, but the automated stuff could have used that today.

- improve the stop/target tweaking to avoid being stopped where ES will most likely bounce, so take a look at the existing list of calculated levels and their priorities, as well as move stops below/above low/high swings.

- reconsider the exclusions of the overnight gap from the “gap still open” exception.

- fix the damn plotting problem for EMA 15min and EMA 60 min on the 5 min chart.

- maybe disable the stop entries above/below strong bull/bear bars within the first 30 minutes after open. I think it is very likely that they would give at least a scalp, but have to also consider the size of the signal bar. Trying to be the early bird may not work with long term probabilities. Normally, I have code that tells me whether the stop entries worked during the day or not. The stop entries within the first 30 minutes can pretty much go against all the rules in the exception engine.

- actually, the entry below bar 1 was a stop entry with trend and the problem is that I start the day by allowing stop entries and re-assess only with the next bars. I should start assuming they don’t work.

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  #18 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received


Pajot View Post
Will it bounce there?

It seems the third push down attracted buyers.

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  #19 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

I had to refresh in order to disable some signals, so I took a pic before. Normally, the configuration can be refreshed without F5, but I had a syntax error in the XML config file, so I had an error and still required an F5 after fixing the file.

The entry above bar 3 was one of the stop entries allowed in the first 30 mins and I took the signal out from the list of types allowed against the trend. Since not allowing against trend and having a different signal for strong bars with trend practically disables the signal, I turned it off completely in the config file J.




A disaster of a day so far and have to re-think a bunch of items. It is hard once rules are in place, because you don't want to keep updating a generic strategy to handle a certain day better and have to implement only rules that still increase your probability for profit, even if they don't work on certain days.

A lot of good signals were rejected by the exception engine today. Some because of the news at 10am, some because of strong bars against, some because of open gaps...

This one was a mouthful:

"Bar 34: Order AutomaticFollowDirectionLine buy @1360.5833 not sent. A gap is still open today in the opposite direction of the order. Not sending against the direction of the trend. The bounce already happened for the source line."

, but it was a good call. If more than one exception is there, I get better calls. It was also a possible entry short at the moving average, so a buy was even trickier.

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  #20 (permalink)
Ingatestone
 
Experience: Intermediate
Platform: NinjaTrader
Trading: ES
 
Posts: 133 since Feb 2012
Thanks: 21 given, 54 received



Pajot View Post
I am asking for your opinion here. Please contribute!

What are some good signs an entry in either direction would not have any chance of making at least one point? The "one point" is for ES, but please substitute with whatever is a minimal standard scalp for the instrument with which you are familiar.

Personally, velocity. (change in price over time). I keep returning to it, but I've never really gotten too far with it algorithm wise.

So if Price has been doing nothing, and then suddenly gone up a point in the 5 seconds, I don't want to be selling. However, if it's gone down 3 points in a minute and then we've gone up that point in 5 seconds, maybe I do want to sell.


It really depends what opportunities your algorithm is looking for though. If I'm trading a trend, I want low volatility really, so sudden moves up may mean I don't want to buy, however if I'm trading breakouts, maybe I do.

Sorry I can't be of more help, I don't think they'll be definitive answer, just look at your good setups, look at the bad, try to find the differences, and if it makes sense to change the strategy accordingly, do it.

Dovie'andi se tovya sagain.
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April 30, 2012


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