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Pajot's Trading Journal
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Pajot's Trading Journal

  #21 (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

RE: Personally, velocity. (change in price over time)


Hotch View Post
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.


Thanks much for your opinion here! Surprisingly, so far, you are the only one to throw your 2 cents into the bowl. I had an attempt at calculating velocity using a Timer, I think, with configurable interval in seconds. Not sure what went wrong and why now the code is commented, but I should revisit. Very valid method and now I have plenty of other details about the context to make better decisions from it.

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  #22 (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

Another interim chart, so I can update some code

Working on the code to persist the inactive chart objects, so they can be in at the end of the day. Until the code is ready, I will lose the signals for arrows and disabled trendlines that were touched by price, so here is the chart before I refresh.

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  #23 (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 5th, EOD. What a disaster! There must be an inverse strategy somewhere.


It makes you think... 95% of the traders trying to make money and not being able to. Days when all you want is a bit of profit and you have loser after loser. So many days in Sim or real with losses. It feels like the only thing you should do is reverse what you're doing and everything will be fine and profitable. I will build the “reverse indicator” once I know I cannot be profitable J.

My strategy did everything wrong today, almost all losers, with a total of -$676.82. Disaster.

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I recorded the day and I know I will run it many times to figure out what the hell happened here. I am pretty sure I can't avoid having to decide on the type of day in the code for long. There is no way around it.

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I'll go mend my wounds now... So weird how dishartening it is, even when the loss is in Sim only.

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  #24 (permalink)
Trading Apprentice
Clearwater, Florida USA
 
Futures Experience: Advanced
Platform: NinjaTrader, TradeStation
Favorite Futures: ES, CL, GC, FX
 
Posts: 19 since Mar 2012
Thanks: 0 given, 3 received

trading during news

Trading during news can work out great if you got the right indicators

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  #25 (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

RE: trading during news


JuneBug View Post
Trading during news can work out great if you got the right indicators

If there are good indicators for this, I am sure I don't have them and would gladly listen to suggestions.

With what I can do and know, I may disagree about staying in the market when the price settles within a very narrow range, waiting for the high impact news to come out so it can be processed. In my opinion, it is a recipe for disaster and it means practically betting with exactly 50/50 chance. If you have stops nearby, maybe even less chance than 50% for profit.

Whatever the indicator, there is no time to react and the price is far from my entry once the information reaches me. Even if I run a very reliable indicator that processes the news, I am still at a disadvantage when compared with the market makers with the right speed getting, processing, and acting on the news.

I could probably think of entering on a fraction of the normal size and, if the market goes against me, double down at resistance levels, where profits are taken by the ones on the right side of the market.

JuneBug, thank you for the comment, but don't leave me hanging. I am very interested in a practical way to profit from news if you know of one.

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  #26 (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 5th, EOD in replay. Still a los, but I am soooo relieved

-$264.76, which is a lot better.

Well, I have figured why the default stops were hit so diligently today. During the problems with the config refresh, the list of trade types that should handover the stop/target tweaking to my code didn't load, so the stops/targets on the original ATMs stayed active until they were hit. Normally, the strategy is neurotic like me and gets out of bad trades really fast, which didn't happen.

Of course, I save $104 by disabling the stop entry with trend, as per a previous post, so the second trade taken in real-time didn't happen in replay. The rest are improvements of the trades before, without changing anything else but making sure the config loaded correctly.

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As per chart, like in the real time session, a bunch of very good entries were rejected (gray arrows) and I've figured out the reason. Some code in the exception engine, introduced last week, which helps most of the time, needs refining because there are situations where it has to be applied conditionally. No sense in giving more details here, but I am still ok with a loss like this. I will revisit that code and re-run some prior days in replay. Wish me luck!

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  #27 (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

Kept out of 2 good trades by news. 15/60 min trendlines

The news this time was "10:00 AM - USD - IBD/TIPP Economic Optimism" and I am not even sure it is of any importance for the market. Unfortunatelly, I could not import the impact for each piece of news into my database, so I stay out of anything US related, for now. The 2 gray arrows at the bottom are the two orders I missed.

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The very bottom signal was generated on a touch of a trendline sent from the 15 min chart. The days I do my homework and include targets, channels, lines from the 15min and 60min charts, I have better clarity and even generate good signals, so it has to go on the ToDo list for every morning.

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  #28 (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 6th, interim. I have to refresh. $51 up.

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  #29 (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 6th, EOD. $248.62 up.

An annoying day. When ES stays in a relatively tight range during RTH, with mostly sideways moves, a lot of overlap between bars, my indicator is not ready for it. Al Brooks loves to sit there and study every single bar, count H1, H2, L1, L2, ... Me, not so much, at least not in manual mode. My indicator did ok, but I would have probably found it hard to come up with reasons for entries.

AB would say to buy at bottom of bars and sell at the top when in TR or channel. I am not sure how to do that yet. Please let me know if you have a good idea how to trade a channel, for instance, with the trend. Fading comes more naturally to me.

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  #30 (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

What to do when ES is too slow?


When ES is quiet, maybe like today, and if the price action is not giving the signals you would like, what do you do to still make a living from your trading? What instruments are preferred or used in parallel? Would you trade CL, ETF, 6E, gold, silver, treasury, options? Wondering if people normally branch out and diversify, hedging bets or trading different instrument to make sure they get action every day.

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