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Pajot's Trading Journal

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

Starting the journal for the March challenge. I will try to get the list of trades from today and post them soon, then get back with more about myself, my trading strategy, and so on, tomorrow. Surprisingly, my strategy did well today, so I am starting the month on a positive note.

Wow: my first post on futures.io (formerly BMT)! So glad to be here, among traders...

Cheers,

Pajot

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


I do sim and real. For sim, my goal is to interfere as little as possible with the strategy running in NT 6.5. It is work in progress and I need to see how it performs without my intervention. Here are the automated trades for March 1st. I will run the replay and will probably get slightly different result, but I will have a chart to post in my next post, covering the whole day. Database and NT issues fragmented the day, as I had to restart several times and the content of the chart refreshed. I have days when I also enter in one or two live trades, like 4 points on Feb 29th, but I am very cautious and focus on my code more than trying to enter real money trades for now.

The PnL for the day was $324.94, so I guess it was the kind of day my indicator/strategy is more prepared for. As you can see from the list below, I allow my strategy to enter short and long at the same time, because I am collecting stats about each type of entry. I will have to figure out better formatting for tables copied into these posts...

Trade-# Instrument Market Quantity Entry Exit EntryTime ExitTime Profit CumProfit Commission
1 ES 03-12 Short 1 1368.75 1370.75 3/1/2012 9:45 3/1/2012 9:50 -0.15% -0.15% 4.02
2 ES 03-12 Short 1 1372 1369.25 3/1/2012 9:51 3/1/2012 10:00 0.19% 0.04% 4.02
3 ES 03-12 Long 1 1369.25 1368.75 3/1/2012 10:00 3/1/2012 10:07 -0.04% 0.00% 4.02
4 ES 03-12 Long 1 1368.5 1370.25 3/1/2012 10:00 3/1/2012 10:13 0.12% 0.12% 4.02
5 ES 03-12 Long 1 1370.5 1370.75 3/1/2012 10:20 3/1/2012 10:24 0.01% 0.13% 4.02
6 ES 03-12 Long 1 1371.25 1371.25 3/1/2012 10:24 3/1/2012 10:28 -0.01% 0.13% 4.02
7 ES 03-12 Long 1 1371 1369.75 3/1/2012 10:30 3/1/2012 10:35 -0.10% 0.03% 4.02
8 ES 03-12 Long 1 1371 1369 3/1/2012 10:30 3/1/2012 10:38 -0.15% -0.12% 4.02
9 ES 03-12 Short 1 1370.75 1371 3/1/2012 11:03 3/1/2012 11:07 -0.02% -0.14% 4.02
10 ES 03-12 Short 1 1371 1369.75 3/1/2012 11:03 3/1/2012 11:08 0.09% -0.06% 4.02
11 ES 03-12 Long 1 1369.75 1369.75 3/1/2012 11:08 3/1/2012 11:09 -0.01% -0.07% 4.02
12 ES 03-12 Short 1 1369.5 1368.75 3/1/2012 11:10 3/1/2012 11:14 0.05% -0.02% 4.02
13 ES 03-12 Short 1 1370 1370.5 3/1/2012 11:29 3/1/2012 11:29 -0.04% -0.06% 4.02
14 ES 03-12 Short 1 1370.75 1370.5 3/1/2012 11:30 3/1/2012 11:32 0.01% -0.05% 4.02
15 ES 03-12 Long 1 1371.75 1373.75 3/1/2012 11:50 3/1/2012 12:21 0.14% 0.09% 4.02
16 ES 03-12 Long 1 1371.75 1373.75 3/1/2012 11:50 3/1/2012 12:21 0.14% 0.23% 4.02
17 ES 03-12 Long 1 1372.25 1372.5 3/1/2012 12:23 3/1/2012 12:59 0.01% 0.25% 4.02
18 ES 03-12 Short 1 1374.5 1373.5 3/1/2012 13:22 3/1/2012 14:23 0.07% 0.31% 4.02
19 ES 03-12 Short 1 1373.25 1372.75 3/1/2012 14:34 3/1/2012 14:45 0.03% 0.34% 4.02
20 ES 03-12 Long 1 1372.5 1372 3/1/2012 15:05 3/1/2012 15:05 -0.04% 0.30% 4.02
21 ES 03-12 Long 1 1369.5 1369.75 3/1/2012 15:19 3/1/2012 15:26 0.01% 0.31% 4.02
22 ES 03-12 Short 1 1370.5 1370.75 3/1/2012 15:27 3/1/2012 15:30 -0.02% 0.29% 4.02
23 ES 03-12 Short 1 1369.75 1368.75 3/1/2012 15:32 3/1/2012 15:33 0.07% 0.36% 4.02
24 ES 03-12 Short 1 1369.75 1369.75 3/1/2012 15:34 3/1/2012 15:34 -0.01% 0.35% 4.02
25 ES 03-12 Long 1 1368.75 1368.25 3/1/2012 15:37 3/1/2012 15:39 -0.04% 0.31% 4.02
26 ES 03-12 Short 1 1372.25 1372.75 3/1/2012 15:50 3/1/2012 15:50 -0.04% 0.27% 4.02
27 ES 03-12 Long 1 1372 1372.5 3/1/2012 15:55 3/1/2012 15:59 0.03% 0.30% 4.02
28 ES 03-12 Long 1 1372 1374.5 3/1/2012 15:55 3/1/2012 16:14 0.18% 0.47% 4.02

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

Here is the replay chart for the for March 1st. The PnL was considerably lower in this instance, because I did not touch it at all. I remember I manually tweaked some stops and targets yesterday. One of tweaks kept me in short during the big bar down (7), while running the replay got me out before the bar and I was long in the middle of it, stopped towards the bottom. I also had some channels there, which invalidated some of the signals with lower priority. On top of that, the chart looks a bit skewed, I think, because I missed good minutes of price action, so the signals come up at the wrong times.

Anyway, here is the chart, so you have an idea about what I am trying to accomplish. I think I may be close to consistent if I would manually trade every day, but I have certain flaws I am trying to overcome with the automated trading. One of the problems is that I am very cautious (read “scared”) and am usually waiting for setups that seem to be over 80%, at least in my mind. I am positive for last year, positive this year, but I am trading very small and I need to take it to the next level.

Therefore, I have decided to automate most of the things I do, the patterns I see, any little sign from the price action that can provide an iota of higher probability for the situation on the chart. Every line of code I write is meant to increase the overall probability in my favor. My default state is to wait, measure, try to understand why the market is doing what it’s doing, while my indicator + strategy are more on the “let’s do this!” side.

I can see how my indicator can take over one day, once I have the confidence most of the situations are handled, and the probability is at least at 55 – 60% to be profitable. Until then, I am seeing the indicator as a helping tool, which does stuff on the chart I don’t have to do manually, so I am happy with the progress anyway.

While I like Al Brooks’ way of describing the price action a lot, I am forming my own theory of the market. I am trying to incorporate ideas from what I see him doing, as an additional way to elevate my probability. I am not sure an indicator doing exactly what AB (Al Brooks) says would be profitable, since I think a lot has to do with money and trade management. In some months, I am in AB’s trading room online and I hear him telling us how he entered at certain levels that do not match the “theory”, so I am sure there is a lot I am missing from how he is consistently profitable. No access to his DOM either, but he is such a repository of patterns, idiosyncrasies, and a well rounded theory of the ES instrument.

A bit about what you see on the chart. Of course, I started, like many others, by looking at all sort of fancy indicators and trying hundreds of them. My chart was changing a few times a day until I decided these indicators look into the past and, while they give certain view of what may happen, the probability is not enough.

The next step was to leave the 5min chart “naked”, with only the 20 bar EMA on it, AB style. From there, I added the 5 bar EMA, as I have noticed certain behavior around crossings. Not sure how valid they are, but I like to have it there.
Next, I started to look at the 15min and 60min charts and I have code that brings trendlines from there to the 5min chart. Also, I am displaying the 20 bar EMA for the 15min and 60min on the 5min chart, as you can see. There is a plotting problem there, so the line has interruptions at times, but everything backfills from DB and I always know where they are on my 5min chart.

I also wrote some additional simple indicators, mostly because I needed a visual representation of numbers used in the main indicator + strategy. The MDTICK indicator shows me the real-time evolution of the ^TICK on the same 5min chart, with +1000 and -1000 levels.

The MDTimesAndSales indicator is a graphical depiction on the times and sales events that you can see in the corresponding NT window. I was browsing youtube one day and saw something like that, sold by I don’t know what company. It seemed like a good idea, so I wrote it before lunch. I added backfill for it at a later time, as the bars would disappear with every refresh of the chart. Same for TICK, they all load the history as long as it was recorded live or from the replay data.

From MDTimesAndSales, which shows at ask, at bid, above ask, below bid, the next step was to compound the quantities over time, so now I have MDCDTotal for it. Since I am using IB as my data feed, I know to take the levels with a grain of salt.

I also have the MDAlwaysIn indicator, with my own calculation about where the trend is and how strong. Work in progress, but I know what I put in there and it helps to see the levels. Over zero is bullish, below zero is bearish. The more above/below, the stronger the trend.

This is it for now. I will keep updating the journal with what the indicator does every day. I may add manual stuff. By the way, I have code to add trendlines and enter on them, as well as channels, gaps, trading ranges. I think I have 31 reasons to enter, but maybe only 15 of them turned on in the configuration. I keep on changing the code and trying different things, so the chart at the end of the day rarely contains all the signals and drawings done by the indicator. I will probably serialize everything and reload on refresh at a later time, but that’s not a priority right now.

Cheers!


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

As I was adding the pic to the previous post, I realized nobody would understand the chart beside me, so here are some details

The arrows: the red arrows shown mean that a short trade at that level was placed. It doesn't mean it executed or was filled, only that a signal was sent. Blue arrows are the same for the long trades. In case of limit and stop entries, the arrows stay there even if the orders are not filled. Normally, I remove unfilled orders after one bar. The gray arrows show that the indicator generated a signal for the direction of the arrow, but was overridden by the "exception engine", which looks at the context and says "no" to certain trades.

Trendlines are generated automatically or I can draw them myself. The automated ones also serve as signals on touching, but they have to go through the "exception engine" before execution, like all other orders. The lines have different colors, showing how they are of different types. I will add more logic here, to judge the vailidity of a trendline after touch, depending on the next bars.

Blue and red rectangles for gaps. The trading range code is disabled, but they would look very similar.

Blue and red dots for swings high and low.

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

I wonder what you guys use to record videos of the chart in action, videos that can be uploaded to yotube. Please let me know what tool is preferred. Thanks!

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

Since the table didn't wrap nicely into the message, here is a picture of the spreadsheet.


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

The signs: MDAlwaysIn alternating + and - every few bars, all gaps covered, ^TICK on both sides of zero, convincing trend bars each way, but no follow through beyond the range, CD going up and down, so no inventory held for either direction. I missed the first four bars today, so no proper quantities were recorded. Still, the evolution starting with bar 5 still helps. May try to break to the downside next, as we stay under the 20 5min EMA and the 20 15min EMA points lower. The odds are against it.


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

My style of trading gives me some frustration, because most of the days I am like one of the Observers in Fringe. I just stand there, taking notes, measuring, trying hard not to interact with the observed market. I make plenty of good calls and sometimes I wish I had entered at certain level. One of my problems as a human trader is that I am less inclined to work on which way the market will probably go from here, where we are now, but more on where the market will bounce if it goes up and where it would bounce if it goes down. As a beginner, I used to take mostly counter trend trades. Right now, I can say I filter a lot of the counter trend trades and take the best and for defined risk and profit, acknowledging I am against the trend.

I am pretty proud I can sit for so many hours and not feel the compulsion to trade without a good reason, but I need to start taking risks in order to make money.



Speaking of frustration, here is where I placed my only live trade yesterday. I run my indicator on ES, but I also look at CL, took some trades there last week, and decided I can accommodate the risk better by trading QM. The only order I placed live in QM was a short at 110.60. I placed the order when the market was at around 108, after 2:30pm, so it really looked like a less likely shot. Well, as you may know, crude oil price came up and reached (in QM) the 110.575 level, one tick from me. Considering what happened after, the huge bounce back down, I am a bit frustrated I cannot accommodate any drawdown and I am looking for the very exact level in order to take a trade. The missed tick may be caused by how small the ticks look on the QM chart and the errors you may get measuring pixels. Oh, well…

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


I think the market moves too violently during news of certain expected impact. While there is 50% chance that I can make money, I also had the "pleasure" to be stopped out right before a big move my way, so I know better than to trade during news.

Until now, I had code that sends the list of news for the day, over email, when the indicator first loads. Then, as we approach news, I get an alert starting 30 minutes (configurable) before, once per 5 minutes bar.

Yesterday, I go nothing for the 10am news, so I stayed in the market, unaware. I discovered I missed March when I imported into the database the news for the year, problem fixed now.

I also added another exception today, which would keep me out 15 minutes (configurable) before news, so all signals to sell or buy within 15 minutes to the news will be rejected by the "exception engine". Of course, I will later add code to be kept out of the market a certain number of minutes after the news. I love how I get the email and now I know my strategy knows when to stay out, too.

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  #11 (permalink)
 Pajot 
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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 Pajot 
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)
 Pajot 
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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 Pajot 
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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 Pajot 
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)
 Pajot 
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)
 Pajot 
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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 Pajot 
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Will it bounce there?

It seems the third push down attracted buyers.

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 Pajot 
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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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 Hotch 
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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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 Pajot 
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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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 Pajot 
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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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 Pajot 
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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.



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.



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

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 Pajot 
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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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 Pajot 
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-$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.



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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 Pajot 
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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.



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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 Pajot 
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 Pajot 
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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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 Pajot 
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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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  #31 (permalink)
 Big Mike 
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Pajot View Post
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.

ES moved over 20 points from Monday's close to Tuesday's close. That is plenty for me to not get bored.

I trade mostly Euro and ES.

Mike

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  #32 (permalink)
 nakachalet 
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Pajot View Post
Starting the journal for the March challenge. I will try to get the list of trades from today and post them soon, then get back with more about myself, my trading strategy, and so on, tomorrow. Surprisingly, my strategy did well today, so I am starting the month on a positive note.

Wow: my first post on futures.io (formerly BMT)! So glad to be here, among traders...

Cheers,

Pajot

may i piggyback on the first post, pls.

was also trying to go back to find initial post by mike regarding what should and should not do while creating a trading journal here. did not want to unintentionally ruffle mike's feathers too much.

practically approaching 3 scores and ten, typing surely in never one of my favorites, as is evidential in no capitalizing in my text. my apology as well.

so i'll let the attachments entertain you rather than providing long captivating verbiage, K?

may i draw your kind attention to the facts that practically 95% of everything in the pix are derived from big mike trading library; there are only some deviations which are imperative for individual differences in trading plans, stratifications, strategies and implementations et al.

time is really a constrain in my situation. six builders have not shown up for work several days now. anyway, enjoy.

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 nakachalet 
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nakachalet View Post
may i piggyback on the first post, pls.

was also trying to go back to find initial post by mike regarding what should and should not do while creating a trading journal here. did not want to unintentionally ruffle mike's feathers too much.

practically approaching 3 scores and ten, typing surely in never one of my favorites, as is evidential in no capitalizing in my text. my apology as well.

so i'll let the attachments entertain you rather than providing long captivating verbiage, K?

may i draw your kind attention to the facts that practically 95% of everything in the pix are derived from big mike trading library; there are only some deviations which are imperative for individual differences in trading plans, stratifications, strategies and implementations et al.

time is really a constrain in my situation. six builders have not shown up for work several days now. anyway, enjoy.



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 nakachalet 
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nakachalet View Post
may i piggyback on the first post, pls.

was also trying to go back to find initial post by mike regarding what should and should not do while creating a trading journal here. did not want to unintentionally ruffle mike's feathers too much.

practically approaching 3 scores and ten, typing surely in never one of my favorites, as is evidential in no capitalizing in my text. my apology as well.

so i'll let the attachments entertain you rather than providing long captivating verbiage, K?

may i draw your kind attention to the facts that practically 95% of everything in the pix are derived from big mike trading library; there are only some deviations which are imperative for individual differences in trading plans, stratifications, strategies and implementations et al.

time is really a constrain in my situation. six builders have not shown up for work several days now. anyway, enjoy.


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  #35 (permalink)
 nakachalet 
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there are some very short videos but not sure how to upload them, or are we allowed to do that to enliven even more lively demonstration of an anatomy of how a live trade progresses positively or negatively to its conclusion.

i presume, my skills and experiences to upload from jing isn't quite sufficient at the moment, sorry everyone. will learn more about on how to upload video from jing later. thx much everyone for your patience. cheers and profitable trading, y'al.

HEY HEY HEY.... what do y'al know.... LOL :

the short video is uploaded at long last, after many agonizing minutes. got to go horsing around with my great great great grand children now.... LOL

Attached Files
Register to download File Type: swf 2012-03-06t_going_short_on_CL.swf (1.16 MB, 14 views)
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 Pajot 
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Big Mike View Post
ES moved over 20 points from Monday's close to Tuesday's close. That is plenty for me to not get bored.

I trade mostly Euro and ES.

Mike

That's why I made sure to say "maybe like today" . The range wasn't too bad. I am also starting the engines only at 9:30, so 10 points left for RTH. Probably 6E and ES move enough in one day and require much of someone attention not to need more symbols. Curious if you trade the correlation between them or treat the patterns individually.

Thanks Mike!

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 Big Mike 
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Curious if you trade the correlation between them or treat hhe patterns individually.

No correlation, I trade each separately.

Mike

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 Pajot 
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nakachalet View Post
may i piggyback on the first post, pls.


nakachalet View Post

was also trying to go back to find initial post by mike regarding what should and should not do while creating a trading journal here. did not want to unintentionally ruffle mike's feathers too much.

practically approaching 3 scores and ten, typing surely in never one of my favorites, as is evidential in no capitalizing in my text. my apology as well.

so i'll let the attachments entertain you rather than providing long captivating verbiage, K?

may i draw your kind attention to the facts that practically 95% of everything in the pix are derived from big mike trading library; there are only some deviations which are imperative for individual differences in trading plans, stratifications, strategies and implementations et al.

time is really a constrain in my situation. six builders have not shown up for work several days now. anyway, enjoy.




Hey, nakachalet! Oh, how I want to enjoy what you sent... I am trying. Of course, thank you for posting, I guess.

At first, I thought you replied to the wrong thread. I understand very little from the meaning of the post. If it is about seeing some winning trades, I've seen a bunch and some better. These are impressive, but I am not sure what to learn from them. I cannot see the logic of your entries on the posted charts. Are all your trades winners? Can I see some losers and maybe with some explanation how the signal was there and then it didn't work out because of dot dot dot? No explanation of the system either. I tend to stay unimpressed by others' success, as a lot can be attributed to luck and can vanish quickly. I am happy for all who make it and I wish we could all be profitable, because there are a lot of pie slices out there. I don't feel any urge to get into the market so I can be successful like you, for instance. Just doing my thing…

About the indicators. I admit many of them can be useful, but I rarely use anything I didn't write myself. I get dizzy from all these charts posted online with so many graphical items, colors, and things that relate very little to the future success of a trade. My indicator puts a lot of crap on the chart and it organically got this way, an evolution from previous stages. I am still calling mine “the clown” because of the many colors.

I am looking and still have to find a good indicator to change my mind. I know they give good and bad signals. From my experience, 20% of the work is in using the indicator and the rest is spent on processing exceptions, which is not an easy thing to do. That's why I mostly focus on context and exceptions in my code, less on the input from 3rd party indicators. I doubt you will reply to this post with a comprehensive description of how to use the indicators to replicate your results.

I have decided the profits can come and go, so I'd rather write my code and have incremental value added to whatever I do, something I can start from once the PnL brings me back to Earth.

If the meaning of your post is that I should show more profit and better trades in my journal, then not applicable. My goal is neither to show how good my system is nor to entertain. My goal is to become a better trader, to take my automated system as far as I can, to have accountability given by an honest journal. Also, having to put things in writing forces me to have everything clear in my head first and that's helpful.

Not in a hurry to make profit either. So many bars in a day, so many markets and symbols...

I could trade manually some more and may have better results than the automated thing, but I've been there and am trying to put together as much smart code as possible to complement and maybe replace my flawed decision making. I am not fine with the idea that I have to blow my account to become a better trader. I lost, made it all back and some, then I decided to work on the code. I don't have money to lose, so I need to know why I am in any position and manage it as well as I can with my abilities. If I don't know what is going on, I should not be there, so you will see me trading in Sim a lot. My theory of the market is not there yet, but I am working on it.

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 Pajot 
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Got the email: 10:30 AM - USD - Crude Oil Inventories.

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 Pajot 
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..., I like 1350 and 1351.75 as possible bouncing levels.

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 Pajot 
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I joined the fray today only after the third bar, but started with two good trades. Almost $150 up.



The blue arrow for the first entry is right below the red dot at the bottom of bar 4 and took 2 points there. Then 1 point from a short from the red arrow down.

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 Pajot 
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..., I like 1350 and 1351.75 as possible bouncing levels.

For going down, I like 1334.25 and 1321.75, later, much later.

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 Pajot 
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..., I like 1350 and 1351.75 as possible bouncing levels.



The 1351.75 was good enough for a scalp and ES is still consolidating in that area... With the reason for 1351.75 of higher importance than 1350 and with sight of the prior bars, I would have not taken a 1350 short anyway. Even 1351.75 is against a strong trend. Most of the time, the levels I calculate work better as targets for profit taking than entries in the opposite direction. So hard to get rid of the habit of trying to figure out where the market will go once a direction is clear instead of figuring out which way is going from here.

Any piece of advice for that?

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 Pajot 
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nakachalet View Post
there are some very short videos but not sure how to upload them, or are we allowed to do that to enliven even more lively demonstration of an anatomy of how a live trade progresses positively or negatively to its conclusion.

i presume, my skills and experiences to upload from jing isn't quite sufficient at the moment, sorry everyone. will learn more about on how to upload video from jing later. thx much everyone for your patience. cheers and profitable trading, y'al.

HEY HEY HEY.... what do y'al know.... LOL :

the short video is uploaded at long last, after many agonizing minutes. got to go horsing around with my great great great grand children now.... LOL

nakachalet, you may be able to provide some actual value to this thread, if you share the tools and procedure to capture a video of a trading day into a reasonably sized file. I was asking this in one of my previous posts. Much appreciated!

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 Pajot 
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The gray arrows, one at the top of bar 42, on a touch of a channel line. The other one is the EMA fade on bar 43. Oh, well...

The channel line is semi-automatic and I have to find the time to generate all the channels automatically, like everything else on the chart.


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 Pajot 
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With AAPL at some 4% weight on the index now, it makes you wonder if the sideways move in barbwire currently on the chart is caused by the ongoing Apple iPad event to figure out where to go from here.

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 Pajot 
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Not a good day. The work on the code today does not do anything about the profit and probabilities, but only persists the arrows and the touched and disabled lines, so I can still see what happened after chart refresh. I do it by looping through chart objects now and will change to individual save actions for each item I want, because the loop takes too long for busy charts. The manual lines were already there, redrawn and turned active on refresh, so I don't need to apply them again. Of course, the rest is automatic.

After these days, the next chunk of work to put in is on trading ranges. I have the code for manually defined ranges, but I need the algorithm to detect them.

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 nakachalet 
siam, west coast andaman sea
 
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Pajot View Post

....I understand very little from the meaning of the post.

i just wish that caption on each pix can be included and posted to accompany each pix, so each pix would make sense as to what was the intent of each pix. as is, i agree with you, pajot, without the accompanying caption, each pix makes little sense with the exception for those trading the same instruments and/or for those stingy traders placing tight stops to demonstrate their cowardliness toward unplanned and unforeseen risks.

i'll try to go back sometimes over the weekend to my archive to locate those pix with their captions and repost just the captions for those pix, K? so those pix would make more sense, my apology <wish that whoever writes the program codes would in the near future include captions that come with each corresponding pix, pls. thx in advance, coders.>
------------

.... Can I see some losers and maybe with some explanation how the signal was there and then it didn't work out because of dot dot dot? No explanation of the system either.

pajot, you are in luck, just have had a loser on 6e a couple of minutes ago and it was on video too. could have limit loss to just a 3 or 4 tics but then the label would coverup other significant info, so stop was placed at 7 tics; sold 2 6e at 1.3137, and subsequent stop was placed at 1.3244. that short video is attached.

you know, traders who eat, sleep and play with their chosen indic; could pretty much foretell by looking at their indicators acting in concert, whether or not, if they should bail out before their stops would get hit. it is like foreseeing what is going to happen in the next few seconds before the event actually takes place. enjoy the short video at my expense.... lol
------------
About the indicators. I admit many of them can be useful, but I rarely use anything I didn't write myself. I get dizzy from all these charts posted online with so many graphical items, colors, and things that relate very little to the future success of a trade. My indicator puts a lot of crap on the chart and it organically got this way, an evolution from previous stages. I am still calling mine “the clown” because of the many colors.

pajot, you are a blessed programer who can write your own codes but numerous others like myself have no idea whatever about programming. wish i could be as talented as you are, so i can work on my own codes too; but i just have no talent in programming--got to repeat a class in FORTRAN (?) in '65.... never could forget that.... LOL
----------------
....I am looking and still have to find a good indicator to change my mind. I know they give good and bad signals. From my experience, 20% of the work is in using the indicator and the rest is spent on processing exceptions, which is not an easy thing to do. That's why I mostly focus on context and exceptions in my code, less on the input from 3rd party indicators.

pajot, i can categorically assure you that those practically 'holy grail' indicators are practically all here buried chest deep in indicators section. and it only costs 50 usd to avail oneself to everything, practically....

know what, pajot? there is nothing personal in what i am going to say, ok? but it is an idiotic nakachalet axiom that.... what a trader wants to do or wants to learn on his/her personal level, is really entirely irrelevant to trading successes....

if a trader wants to become more successful, more profitable, more consistent; the shortest avenue to that utopia is NOT what that trader wants to do or wants to learn.... but to do what other successful, profitable and consistent traders practise, day in and day out.... until they become habitual in one's own trading....
------------

I doubt you will reply to this post with a comprehensive description of how to use the indicators to replicate your results.


pajot, you will
be surprised that there are many greater, much greater traders on board here, each specializes in his/her own instruments and markets. and to become proficient at even only 50% of what they are doing.... would take two or three years of on line live screen time. many traders whom i admire immensely also have already practically spelled out everything concerning what a successful trader must develop personally.... spend some extra time on what they counsel, if you have time, K?
-----------------

If the meaning of your post is that I should show more profit and better trades in my journal, then not applicable. My goal is neither to show how good my system is nor to entertain. My goal is to become a better trader, to take my automated system as far as I can, to have accountability given by an honest journal. Also, having to put things in writing forces me to have everything clear in my head first and that's helpful.

pajot dear, i am really not that bold in telling you or others what to do. by no means, pajot, believe me. nevertheless, just humbly wish that you would not try your very best to REINVENT the wheel or whatever indic are already available on board.

tweak them to your likings and your trading styles and your own personalities. most of all, if you not already read big mike's initial, very beginning posts--when the forum was taking shape; and if you have time, try to study big mike's beginning posts in earnest, they are full of guidelines and wisdom which would save you plenty of time toward becoming consistently profitable, is my humble only one man opinion, alright: which could very well be just as worthless as most commercialized touted instant money making indic, so abundantly and readily available for a song.

again, as big mike stated that this thread is a personal journal, a journey of a trader, any trader, toward becoming what he/she wishes to mature into; and i respect and appreciate and more importantly also enjoy reading about other traders' personal trading experiences, regardless whether the experiences are profitable or otherwise. thx big mike for the thread, really.

happy and profitable trading everyone. apologized for my babbling. now, enjoy my losing 6e trade.

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  #49 (permalink)
 Pajot 
Toronto, ON
 
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nakachalet View Post
....[COLOR=#303030][FONT=Verdana]I understand very little from the meaning of the post.

nakachalet, you are alright. This reply changed my first impression of you, which was not great. I thought you troll other people's posts and bomb them wih your awesome charts and profits to show how great you are. There is substance behind that and I couldn't be happier you wrote back. I will reply to some of your points later, but very good info here. Thank you!

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 Pajot 
Toronto, ON
 
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Maybe it's just me, but my jaw dropped reading the conclusion of an article on futures:

"On a side note, I’m not a fan of using stop orders as a means of risk management or trade entry simply because they defy the logic of buying low and selling high. A stop order is the opposite of a limit order in that it is triggered if the market moves against the trader. That is the equivalent of window shopping for a week and only deciding to make a purchase once the price of the items you are interested in has risen. This doesn’t make financial sense, and the same logic could be applied to the markets."

LIMITS TO LIMIT ORDERS

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 Pajot 
Toronto, ON
 
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The touched lines and the signal arrows stay with the chart now. Lines are missing from the first half of the day, as the code came in around that time.

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 Pajot 
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The one major thing missing from this journal is an analysis of the day, with what I can learn from the trades taken and from the ones not taken. I did not have time to study too much what went well or wrong. Journaling takes time from coding and this must be the one thing I don't like about doing it. Also, I was expecting more interesting discussions with hardcore traders.

For yesterday, with what I can see on the chart and not having all the alerts here, it would be something like this:
-Good entries: long at the bottom of 4 and short at the top of 5. They worked.
-I had three counter trend entries on bar 19 and 20, which were losses at the full extent of the stop order. I should probably always look at the TICK in the last few bars and, if there was no sign the bears can take the TICK below -300 or so, then no entry counter trend.
-anually, I would have entered at 1351.75 and my strategy generated a signal there for a different reason, but was overridden by something within the context, probably the target based on the gap not being reached yet. It was a pretty small bounce, but there would have been no drawdown, which is how I like to trade.
-Some good signals on bar 43, bottom of 51, 52, 67, all rejected for reasons I don’t have now, since I cleaned up the database. I will make sure to keep the detailed history for this kind of journal entry, so I can learn more from it.

ToDo:
-Create a new entry type based on the calculation that gave me the 1351.75 short.
-Code to look back at the last few TICK bars and new exception type.
-Qualify the news that keep me out of trades, even when the type should not impact the index. Not sure where from yet. For now, only look at the USD based news.
-Work on the trading range code.
-Now that the code to cache certain passive chart objects, optimize the code to save only the ones I need exactly when they get generated instead of regularly looping through the chart objects and filter by attributes.
-Active lines, sensitive to touch, get generated automatically on the 5min chart. Also, I can send active lines from the 15min and 60min charts to the 5min chart. I need code that automatically generates good lines on 15min and 60min, so I don’t have to send them myself.

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 Pajot 
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The day started well yesterday, too. Even with the manual long entry at 1357.25 missed by one tick, I am still up. The strategy generated another good long entry at 1357.5, the low of today, but rejected again because of the natural gas news coming up. I really need the code to look at the possible impact of the news and not keep me out for any unrelated news.

I guess they realized how natural gas is ubiquitous and cheap, because the price is at around 10 years low now. J

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 Pajot 
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nakachalet View Post
...and/or for those stingy traders placing tight stops to demonstrate their cowardliness toward unplanned and unforeseen risks.



Not sure I get the idea about how tight stops demonstrate that or what is wrong about it. I thought even your trading plan also relies on getting out of trades as fast as you know the trade is no good. I can see a good number of reasons where tight stops make sense. I have many trades where a tight stop is required because of the reason of the entry. I also have code that looks at the PnL and gets me out if over a certain value and when the conditions of the entry don't look good.


nakachalet View Post
i'll try to go back sometimes over the weekend to my archive to locate those pix with their captions and repost just the captions for those pix, K? so those pix would make more sense, my apology <wish that whoever writes the program codes would in the near future include captions that come with each corresponding pix, pls. thx in advance, coders.>

Thank you very much! Looking forward to studying your captions.

It is funny you mention how programmers should work on captions. I thought about the same listening to Al Brooks' summary at the end of the day and, because my indicator collects a lot of alerts and events, I now have my own web page that shows me the "story" of the day, bar by bar. It's a lot of work and I don't think it is worth doing it only for the sake of making others understand how your chart went, but a nice thing to have, for sure.


nakachalet View Post
pajot, you are in luck, just have had a loser on 6e a couple of minutes ago and it was on video too. could have limit loss to just a 3 or 4 tics but then the label would coverup other significant info, so stop was placed at 7 tics; sold 2 6e at 1.3137, and subsequent stop was placed at 1.3244. that short video is attached.

you know, traders who eat, sleep and play with their chosen indic; could pretty much foretell by looking at their indicators acting in concert, whether or not, if they should bail out before their stops would get hit. it is like foreseeing what is going to happen in the next few seconds before the event actually takes place. enjoy the short video at my expense.... lol

Thank you for the video! What do you capture videos with, please? I also like traders who post the mp4 file, since I can see it on my iPad.

Regarding the "foreseeing", my own theory says that whatever our eyes and minds can notice by looking at a chart with price action and indicators, an algorithm can do it better if written properly and based on a correct description of the "feelings" traders get when looking at a chart. I know our brain’s activity is hard to mimic outside our heads, but the major reason for why I think a computer can do this better is that the domain is very limited. When doing technical analysis and price action, there are not many things on a chart, and it is mostly about math. Even with angles, velocity, patterns, if we can take the time and understand why we get a certain feeling and under what exact circumstances, it can all be programmed.


nakachalet View Post
pajot, you are a blessed programer who can write your own codes but numerous others like myself have no idea whatever about programming. wish i could be as talented as you are, so i can work on my own codes too; but i just have no talent in programming--got to repeat a class in FORTRAN (?) in '65.... never could forget that.... LOL

Glad you can tell. I wasn’t sure it was coming across. LOL. Thank you!


nakachalet View Post
pajot, i can categorically assure you that those practically 'holy grail' indicators are practically all here buried chest deep in indicators section. and it only costs 50 usd to avail oneself to everything, practically....

If you don’t want to post them in the open, PM me directly, please. J


nakachalet View Post
know what, pajot? there is nothing personal in what i am going to say, ok? but it is an idiotic nakachalet axiom that.... what a trader wants to do or wants to learn on his/her personal level, is really entirely irrelevant to trading successes....

How would I possibly get offended by what you said!? I completely agree with you here. It is my path to do it in code and I know I have taken the hard way. I wanted to, because I love programming and solving hard problems. It is an “excuse” to add more chart time to my education without losing money. It also helps me understand how the market works and the code is a way to persist that understanding outside of my head.


nakachalet View Post
if a trader wants to become more successful, more profitable, more consistent; the shortest avenue to that utopia is NOT what that trader wants to do or wants to learn.... but to do what other successful, profitable and consistent traders practise, day in and day out.... until they become habitual in one's own trading....

I guess my style is different here. I love to solve problems without being too interested in how other people do it. I could learn and I am willing to save myself some time, but it is hard to discern between people who BS as a rule and have no idea what they are doing and people with substance. The effort of trying to mimic others, not knowing what works and not, is too much for me. I have tried and wasted my time.

I am very aware of the fact that money can be made in a lot of simpler ways and I wouldn’t spend hundreds of hours on thousands of lines of code if I had it. Trading is a way to achieve my goals and believe me when I say that I would rather be on a boat in the middle of the ocean or circumnavigating with my daughter than spending my days and nights programming. I just don’t have a good system that works yet. Again, if you are willing to share, PM me! J


nakachalet View Post
pajot, you will be surprised that there are many greater, much greater traders on board here, each specializes in his/her own instruments and markets. and to become proficient at even only 50% of what they are doing.... would take two or three years of on line live screen time. many traders whom i admire immensely also have already practically spelled out everything concerning what a successful trader must develop personally.... spend some extra time on what they counsel, if you have time, K?

I am approaching three years now, with most of the trading days covered for the full extent of the RTH and some overnighters.


nakachalet View Post
pajot dear, i am really not that bold in telling you or others what to do. by no means, pajot, believe me. nevertheless, just humbly wish that you would not try your very best to REINVENT the wheel or whatever indic are already available on board.

PM!


nakachalet View Post
happy and profitable trading everyone. apologized for my babbling. now, enjoy my losing 6e trade.

No babbling here, but honest and open opinions. I appreciate you taking the time to come back after those out of the blue posts. Thank you, again!

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 Pajot 
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Right now, my strategy allows both short and long entries, because I collect stats for each entry type. Of course, there are other restrictions that may cause skewed stats, like the minimum allowed distance for doubling down and the fact that each signal type has an importance assigned by me, which makes certain signals have priority above others.

I was in a long ES trade today, with 1.75 profit at 1365.5, with a target of 2 points, so 1 tick away. A very visible measured move target from a lot earlier was sitting at exactly 1365.5, but my strategy did not decide to take the 1.75 points profit because of that, so the price bounced and I got stopped at two ticks profit.

This example and many other situations give me a permanent ToDo for the future of my strategy: implement tweaks for current trades and adjust decisions for new ones based on upcoming predicted action. I put something together with that in mind, a while back, but I need to actually process the info in there. Right now, I only display it for my eyes. A simplified version looks like this and it gets updated with each new price level:



, so I have some levels in my code and I need to use them more. I don’t check this list too much now, for my personal benefit, because all the levels are visible on the chart anyway.

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 Pajot 
Toronto, ON
 
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Another slow day in ES and I can see how people have enogh action to work with, but I definitely enjoy faster days, longer swings, more trending. I think it has to do with my style. I like to be more like a sniper, in and out quickly. That's another reason I am working on my code: my strategy (I hope) will never get bored.

I could see how I had nice profits on a couple of trades and my strategy kept me in and even allowed one to turn into a (small) loser. I will adjust the ATM for that particular entry type.



Studying the stats NT helps collecting is a must, as they will tell things over long term that you may otherwise miss. The way I do my trades is to have a dedicated ATM for each entry type and I love how NT let's you see which ATM was used for each trade, so you can draw conclusions.

Here are the individual trades. I could see trades unfolding and would have moved things around, mostly take some profit on that large losing trade, but I won't interfere with my ATM that way, to keep things honest.



Regarding the chart, I love some of the entries and, most of all, the call on the manually drawn channel, which bounced on bars 62 and 69, at the exact tick.

Also, my calculation was calling for a 1357.25 bounce, but ES bounced at 1357.5 and that became the low of the day. Pretty close. I like the automatic entry with trend on bar 67, a good sign that I am not only looking for reversals and counter trend entries.

Just checked why the entry on the channel line on bar 62 was rejected (the gray arrow up). The reason was the "strong" bar right before, against the order. That is not a strong bear bar, so I have to check my code for how I define a strong bar there. Damn!


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 Pajot 
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Here is my first stab at sharing the chart on futures.io (formerly BMT) and, to be honest, ever. I just ran a replay of today, at 50x speed, at high speed. I usually clean up my database before I run replays, so the couple of trendlines from yesterday were not there. The channel I drew today is not there either. It's just a clean run with all default settings. The speed also alters the results a bit, because of the lag in reacting to the price. I will try to post a replay every day, but I will probably miss the start of some in my tick recordings. Enjoy!

March 8, 2012 ES replay - YouTube

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 Pajot 
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March 5th, 2012 replay - a bad day - YouTube
Sucky day, a lot of tweaking work. Still, an interesting day for what can be learned from it.

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 Pajot 
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Another less than great day, at least for me and my indicator: -$169.66. On a positive note, I have figured out why the 15min and 60min EMAs do not plot properly on the 5min chart and will hopefully fix it soon.

Here are the trades so far:



and the chart:



I am wondering what traders do in days when the ATR stays low. Are you adjusting your ATM depending on the size of the ATR? Thanks!

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 Pajot 
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I guess the only positive thing after days like this is that the strategy is not screwing up big time, so I don't end up bankrupt. Other than that, days like this trick my indicator because I don't handle the tight trading range properly. I used to have an exception that prevents entries if the ATR is below 1.5 - 2 points, but I turned it off after days with barely any trades.




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 aquarian1 
Point Roberts, WA, USA
 
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Pajot View Post
Here is my first stab at sharing the chart on futures.io (formerly BMT) and, to be honest, ever. I just ran a replay of today, at 50x speed, at high speed. I usually clean up my database before I run replays, so the couple of trendlines from yesterday were not there. The channel I drew today is not there either. It's just a clean run with all default settings. The speed also alters the results a bit, because of the lag in reacting to the price. I will try to post a replay every day, but I will probably miss the start of some in my tick recordings. Enjoy!

March 8, 2012 ES replay - YouTube

Is there sound on this recording?
Thanks

..........
peace, love and joy to you
.........
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 Pajot 
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aquarian1 View Post
Is there sound on this recording?
Thanks

Sorry, no audio yet. I can see how it's not very interesting without it, but I am not at that skill level yet. Until I have the right hardware (doing this stuff in a VM and probably don't own a microphone), I am hoping the replay helps a bit seeing how I trade, on top of the list of trades and the snapshot at the end of the day. Thank you for your interest and, of course, for the PM recommending the video capture tool. Starting from what you recommended, I went with Camtasia, from the same page. I hope my use of Google's YouTube is not offensive to you, but I understand your point about the Chinese opposition. Cheers!

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 Pajot 
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March 9th, 2012 ES replay - YouTube
No sound on the video, only the quiet beauty of the market, tick by tick. For what you see on the screen, there is a reason for each arrow, each entry, level, line, rejected signal, a lot of meta data generated and much processing happening. I normally collect the details and correct what I see my indicator doing wrong, very careful not to enter exceptions as rules. I am not looking for a quick fix of the day to increase my profit. That's a trap, because I can always adjust the many parameters to generate a better day in replay, but it will not necessarily work tomorrow or ever again. The changes I introduce are sometimes in the making for a month.

One thing I've noticed is how important the ATM is. I have dedicated ATMs for all types of entries, so they can differ. I can also override the differences and decide to use one single ATM for all signals. Without exception, I can make the day better in replay by adjusting the ATM to take profits at certain levels or to trails stop starting at certain tick, having stops at certain levels. I am wondering what signals can the market offer in the first bars today or within the price action yesterday to allow the strategy to come up with optimized configuration for the ATM. I am thinking to correlate with the recent ATR, but haven't tried it yet.

Any ideas, anyone else has ever tried anything like this? I assume so, because it is obvious a trader would adjust the expectation for target/stop depending on the size of the day (range, bar), but I haven't seen a quantifiable method yet.

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 Pajot 
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A lot of work in the code for the trade management should improve the PnL consistently. Right now, other than the bad entries, I am dying from the 1000 paper cuts, because of the tight stops. I can see how I need to have subsets of exceptions applied to individual entry types and that should also help. My strategy is avoiding entries altogether when certain conditions are met, but I know exceptions from exceptions that will make a difference.

When a breakout happens, I need code to look at the volume and, if the breakout was strong, I enter on a "with gap" or a breakout test.

Also, the code that keeps me from doubling down at less than the predefined distance is failing at times, so I am fixing that today. Too many times in the last week the strategy got me in with 2 cars at 1-2 ticks distance, which is not how I want to trade.


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 aquarian1 
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Pajot View Post
I hope my use of Google's YouTube is not offensive to you, but I understand your point about the Chinese opposition. Cheers!

no worries -

chaq'un a son gout. (sp?)

..........
peace, love and joy to you
.........
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 Pajot 
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March 12th, -$300.96.
Here are the trades for today. Since I forgot my chart object only load on OnBarUpdate and I hit F5 after 4:15, I will have to run replay to generate the chart of today with all the signals.


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 Pajot 
Toronto, ON
 
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I am really interested in finding out how people make money in days like these. I am not question the possibility, only what kind of strategy is better tailored to deal with the price action. I think the trading range code should help, but I don't have time for it now. Here is the replay chart. My indicator finds this kind of action tricky.


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 aquarian1 
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Pajot View Post
I am really interested in finding out how people make money in days like these. I am not question the possibility, only what kind of strategy is better tailored to deal with the price action.

I don't have an automated system like you do. However, if I was was going to code one I would have strategy for trending days and one for non-trending days. This means the over-riding strategy would have to call the "trending strategy" or the "non-trending" strategy.

Does Ninja allow for program subroutines?

Unless you are averaging into a position, or very good, it is hard on narrow choppy days like this to make profit, IMHO. I hope it helps!

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 Pajot 
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I don't have an automated system like you do. However, if I was was going to code one I would have strategy for trending days and one for non-trending days. This means the over-riding strategy would have to call the "trending strategy" or the "non-trending" strategy.

Does Ninja allow for program subroutines?

Unless you are averaging into a position, or very good, it is hard on narrow choppy days like this to make profit, IMHO. I hope it helps!

You can do pretty much what you want in NT and calling strategies depending on the day is a piece of cake. Now, identifying the type of day might be a different story... My strategy is a proxy to many strategies and I am not having good days because my code "falls" for signals that work on days with wider ranges, trending or not. I have code for trading ranges, but not for narrow ones. It would be probably best not to consider entries when the ATR is less than 1.5. The trending range code still sucks, but fixing that might make things better. Doubling down must be the way, but I am trying to first refine what I have without it. Thanks so much for your input. So hard to get others to share their ideas around here, unless is about how to combine existing indicators.

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 aquarian1 
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Pajot View Post
You can do pretty much what you want in NT and calling strategies depending on the day is a piece of cake. Now, identifying the type of day might be a different story... My strategy is a proxy to many strategies and I am not having good days because my code "falls" for signals that work on days with wider ranges, trending or not. I have code for trading ranges, but not for narrow ones. It would be probably best not to consider entries when the ATR is less than 1.5. The trending range code still sucks, but fixing that might make things better. Doubling down must be the way, but I am trying to first refine what I have without it. Thanks so much for your input. So hard to get others to share their ideas around here, unless is about how to combine existing indicators.

"Now, identifying the type of day might be a different story" - le vrai mot

"My strategy is a proxy to many strategies" - sorry I'm not clear on your words here

"my code "falls" for signals that work on days with wider ranges, trending or not. I have code for trading ranges, but not for narrow ones" - In essence a wide ranging day can be though of as several minor trends, up and down within the range -assuming the range is wide enough. So for example an "N" day is three legs. (Certainly not the same as an upslash day.)

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 Pajot 
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"Now, identifying the type of day might be a different story" - le vrai mot

"My strategy is a proxy to many strategies" - sorry I'm not clear on your words here

"my code "falls" for signals that work on days with wider ranges, trending or not. I have code for trading ranges, but not for narrow ones" - In essence a wide ranging day can be though of as several minor trends, up and down within the range -assuming the range is wide enough. So for example an "N" day is three legs. (Certainly not the same as an upslash day.)

Hey aquarian1!

What I mean by "proxy to many strategies" is that my strategy is not looking for one setup, enters on the signal, exits on some criteria. I have a collection of reasons for entries. Some are related to horizontal levels, some to trendlines, channels, measured moves, gaps, breakout tests, TICK, and so on, all ordered by the importance I assigned them. Subsets of these "atomic" strategies can be productive during days of certain type, but they are not clearly identified as working only during one type of day. Everything is controlled by a single "mother" strategy, the proxy I mentioned. I hope this clarifies my words there.

Regarding the types of days, I like how AB (Al Brooks) identifies them in his books. I don't have a problem seeing what kind of day is in front of me after the fact or after a big chunk of the day has passed. Instead, I am looking for telling signs within the first bars about what kind of day is developing from here.

I think some of the elements to look at are:
- open gaps, trend bars
- volume (cummulative delta)
- the size of the pullbacks
- % overlap between bars
- how it behaves on breakouts (of bars and of trading ranges)
- higher timeframes channels
- opening gap
- swings high/low and their sequence.

I think a combination of values for these entities would offer the footprints for all types of days.

Of course, in case I wasn't clear, my problem is how to do that in code, too.

I may start by going backwards, meaning I can record the footprints for all the values of these entities for a large number of days and, by manual assignment, I can "teach" the code what to "see" when the combinations repeat in real-time. This will practically be a sort of supervised machine learning, where I feed days after day of tick data along with the levels in the set of entities, generate a classifier, and apply it to future sets of data, making sure to refine it with new findings. It might work.

Or I can write the classifier from scratch, with the problem that I don't know how to define a day from the values of the entities listed above.

What do you think about the list? Would you add anything? I wonder if anyone else cares about the type of day or only about the bars in front of him/her.

It's funny, but a friend of mine referred to the upslash day as a melt-up day. Someone should write a slang dictionary for trading people.

Cheers!

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 Pajot 
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ES is still running in Sim and I like some level for shorts above: 1386, 1389.25, 1393.25.

I had my first real money trade in a long time. Entered in QM at a perfect level for a short, 107.25, I had some $160 on it, was greedy and it got me out at break-even. I actually had the stop at +1 tick to cover the commission, but there was slippage. I can't catch a break . Another confirmation that my levels are good for a quick sure bounce, not for big profits...

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 aquarian1 
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Hey aquarian1!

What I mean by "proxy to many strategies" is that my strategy is not looking for one setup, enters on the signal, exits on some criteria. I have a collection of reasons for entries. Some are related to horizontal levels, some to trendlines, channels, measured moves, gaps, breakout tests, TICK, and so on, all ordered by the importance I assigned them. Subsets of these "atomic" strategies can be productive during days of certain type, but they are not clearly identified as working only during one type of day. Everything is controlled by a single "mother" strategy, the proxy I mentioned. I hope this clarifies my words there.

So does this mean you have a number of sub-strategies and each one contributes on a weighted basis by level of importance to a signal "buy" "sell" signal?
Or
That various substrategies are bought into play or not (in a binary fashion - on/off) controlled by the main governing strategy?

Ian

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 aquarian1 
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Pajot View Post
I don't have a problem seeing what kind of day is in front of me after the fact or after a big chunk of the day has passed. Instead, I am looking for telling signs within the first bars about what kind of day is developing from here.
--------------
I think some of the elements to look at are:
- open gaps, trend bars
- volume (cummulative delta)
- the size of the pullbacks
- % overlap between bars
- how it behaves on breakouts (of bars and of trading ranges)
- higher timeframes channels
- opening gap
- swings high/low and their sequence.


Hi Pajot,

I read a long post #14 where you asked how could you tell an entry would be guaranteed to have 100% chance of a 1pt profit potential (PP) before reversing. And you have a five minute bars at the beginning of the example.

Looking at the list you have above for identifying day-types early on I see a similar situation.

A story
Once a friend who doesn't day-trade, was asking me to explain what I was doing, that is how I was looking at the market. Part way through he interrupted and said:
"Why not write a computer program to tell you where the market is going?"

I asked him if he had heard of Long Term Capital - he hadn't.

Then I said:
"Do you realized that there are enormous banks and trading firms with:
  • Virturally unlimited trading capital - hundreds of millions of dollars to live trade test strategies,
  • Teams of skilled experienced programmers,
  • Money to buy the best computers and programming tools,
  • Teams of mathematicians and statisticians and bright MBAs CFAs to work on it,
  • Rapid access to many more data-feeds than you or I could ever imagine,
and they can't do it?

Different viewpoint
Please understand that I am NOT saying you can't beat them, but I believe that if you are going to you must do it differently from them. You can't play their game and expect to win. You are out-gunned. You must have a different viewpoint to develop different strategy. You must play your game.

So in your list the very first item "open gaps" is something that thousands of people look at.

You seem to have great programming skills. I'm sure you will have success if you step back from the problem and ask yourself how can I look at this differently than everyone else?

I hope it helps!

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 Pajot 
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Hi Pajot,

I read a long post #14 where you asked how could you tell an entry would be guaranteed to have 100% chance of a 1pt profit potential (PP) before reversing. And you have a five minute bars at the beginning of the example.

Looking at the list you have above for identifying day-types early on I see a similar situation.

A story
Once a friend who doesn't day-trade, was asking me to explain what I was doing, that is how I was looking at the market. Part way through he interrupted and said:
"Why not write a computer program to tell you where the market is going?"

I asked him if he had heard of Long Term Capital - he hadn't.

Then I said:
"Do you realized that there are enormous banks and trading firms with:
  • Virturally unlimited trading capital - hundreds of millions of dollars to live trade test strategies,
  • Teams of skilled experienced programmers,
  • Money to buy the best computers and programming tools,
  • Teams of mathematicians and statisticians and bright MBAs CFAs to work on it,
  • Rapid access to many more data-feeds than you or I could ever imagine,
and they can't do it?

Different viewpoint
Please understand that I am NOT saying you can't beat them, but I believe that if you are going to you must do it differently from them. You can't play their game and expect to win. You are out-gunned. You must have a different viewpoint to develop different strategy. You must play your game.

So in your list the very first item "open gaps" is something that thousands of people look at.

You seem to have great programming skills. I'm sure you will have success if you step back from the problem and ask yourself how can I look at this differently than everyone else?

I hope it helps!

Hey! I enjoyed your message a lot and thank you for the kind words.

It sounds like a nice good story to tell your grand kids one day, but I don't find the premise to be correct. The big firms are actually profitable big time. One of the ways to benefit is to get in their way and feed off their crumbs. Of course, we all hope for more like MF Global to reach our targets and that firm is a good example of how good institutions can be.

I don't think I am at a disadvantage when it comes to programming, knowing my skill and experience. I am being objective, not pretending something I'm not. I actually have to be better than them, because I don't have the comfort of almost unlimited capacity for doubling down to get me out of trouble or to withstand huge drawdown. I am trying to be like a sniper and understand why bounces happen at any level. This is my approach and I'm not saying it is the best. It's only best modeled after my trading personality. People writing code for institutions can also make mistakes, so I don't feel at a disadvantage on the science front. My hardware, Internet connection, data feed, distance from the exchange are all weak on my side, so I work with what I can. And it's tons of fun, because I love programming, solving problems, and now trading.

Also, I don't think doing something completely different than what institutions do makes sense, because they move the market. If I figure out what the majority is doing, then I have the edge of understanding which way to enter. Mimicking them will make money. Of course, I don't know what they're doing, so I focus on refinining some sort of heuristic theory of that, trying to maximize profits, like all of us.

Again, very good exchange, thanks much for contributing. I know I may expect too much from this forum, but I don't know what other traders are doing, only a very limited view. There must be better ways for everything and I am on a quest to find them. Cheers!

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 Pajot 
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Not helping my point in the previous post, but very timely, as a good friend of mine sent me this a few minutes ago:

Quote from Paul Tudor Jones

"I love trading macro. If trading is like chess, then macro is like three-dimensional chess. It is just hard to find a great macro trader. When*trading macro, you never have a complete information set or information edge the way analysts can have when trading individual securities. It’s a hell of a lot easier to get an information edge on one stock than it is on the S&P 500. When it comes to trading macro, you cannot rely solely on fundamentals; you have to be a tape reader, which is something of a lost art form. The inability to read a tape and spot trends is also why so many in the relative-value space who rely solely on fundamentals have been annihilated in the past decade. Markets have consistently experienced “100-year events” every five years. While I spend a significant amount of my time on analytics and collecting fundamental information,*at the end of the day, I am a slave to the tape*and proud of it.


I see the younger generation hampered by the need to understand and rationalize why something should go up or down. Usually, by the time that becomes self-evident, the move is already over. When I got into the business, there was so little information on fundamentals, and what little information one could get was largely imperfect.*We learned just to go with the chart. Why work when Mr. Market can do it for you?*These days, there are many more deep intellectuals in the business, and that, coupled with the explosion of information on the Internet, creates the illusion that there is an explanation for everything and that the primary task is simply to find that explanation.*As a result, technical analysis is at the bottom of the study list for many of the younger generation, particularly since the skill often requires them to close their eyes and trust the price action. The pain of gain is just too overwhelming for all of us to bear!"

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 aquarian1 
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Interesting post (above).

I guess you meant MF Global tongue-in-cheek - the 6th biggest bankruptcy in US history and next to Lehman brothers. Long-Term Capital nearly brought down the entire financial system. And then there was a huge British Bank broken by a rogue trader and another in France. Of course not to forget Lehman or the giant insurance firm --- recused by the US govt when the stock was down to a dollar and change and looking like it would go to zero.

However, I didn't say the big banks and trading firms don't make money.
What I did say is that they cannot write a program to predict where the market will go.
I will go further and say that they cannot make 3 (travel) pts consistently per day over the long term - like 2 years.

But we stray.

It is about how we as small traders figure out the puzzle through innovative insight.
and that we can do!

With God all is possible.

Take care,

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 Pajot 
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Interesting post (above).

I guess you meant MF Global tongue-in-cheek - the 6th biggest bankruptcy in US history and next to Lehman brothers. Long-Term Capital nearly brought down the entire financial system. And then there was a huge British Bank broken by a rogue trader and another in France. Of course not to forget Lehman or the giant insurance firm --- recused by the US govt when the stock was down to a dollar and change and looking like it would go to zero.

However, I didn't say the big banks and trading firms don't make money.
What I did say is that they cannot write a program to predict where the market will go.
I will go further and say that they cannot make 3 (travel) pts consistently per day over the long term - like 2 years.

But we stray.

It is about how we as small traders figure out the puzzle through innovative insight.
and that we can do!

With God all is possible.

Take care,

Tongue-in-cheek is how I meant it, yeah. And it's not lost on me that you had to be explicit about which post you found interesting: the one with the quote, not the one before . I am perfectly aware this is a game of probabilities and there will be a time when I will drop the need for perfection and will trade odds, still algorithmic. Thanks!

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 Pajot 
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I had one of my rare real money orders waiting to enter short in SPXU at 9.25. I haven't looked at this ETF in a long time and I had a mental reminder to get a position when ES is at around 1400. It didn't get me in, as it almost always happens with my unreasonable levels, and I checked the chart at the end of the day.

Take a look! This was a very surprising move and I am not sure if it means some big player really wanted to establish a large position (long SPXU, short S&P500) expecting a correction or that the price was moved up artificially, on low volume, at the close, so someone could get rid of a large position, expecting a big move up in S&P500. Well, the volume was not that high, compared with the previous 1 min bars, but it was probably large for the after market, since this was the 16:00 to 16:01 bar.

I am not sure how to interpret things like this, so please let me know if you know or give your best shot guessing. Thanks!


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 Pajot 
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Not an awful day. One good thing is that the code to override the distinct ATM strategies per entry type with a single strategy when the ATR is under 2 (I think) works. I have decided for a 1:1 RRR, with 4 ticks profit and 4 ticks stop loss. It made me 92 bucks in the beginning of the day and I could see that one strategy being used until the last one, once the bars started to be larger.

I had a couple of real money orders that would have been good for at least a bounce, but I kept moving them, so I never entered in real. Still too shy with the trigger...

Here is the story of my indicator flirting with ES today:






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 Pajot 
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ES is still running in Sim and I like some level for shorts above: 1386, 1389.25, 1393.25.

I had my first real money trade in a long time. Entered in QM at a perfect level for a short, 107.25, I had some $160 on it, was greedy and it got me out at break-even. I actually had the stop at +1 tick to cover the commission, but there was slippage. I can't catch a break . Another confirmation that my levels are good for a quick sure bounce, not for big profits...

Not sure anyone read this at all, but I've just realized the ES levels might not have made a lot of sense, since I was still on March contract today .

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 Pajot 
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I started the day on ES 03-12 and it is too late to change if I want proper replay data recorded. If it goes up, I like 1405.75 and 1413.25 levels on the March contract. I think the importance of the 1400 level will be lost for me today, since I am on the wrong contract. Good luck!

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 Pajot 
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I had an email with news about crude oil inventories at 9:30am and the sudden move happened at 10:30am, which is the time I remember for crude inventories anyway. The times in my database must be wrong :s. Damn!

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 Pajot 
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Some good scalps today so far on ES March. I had $158.92 in the bank and a short trade at 1395.25, entered at 11:10. From what I can see on my phone, it would have given me another point, but the Internet is down now... ;(

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 Pajot 
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Some good scalps today so far on ES March. I had $158.92 in the bank and a short trade at 1395.25, entered at 11:10. From what I can see on my phone, it would have given me another point, but the Internet is down now... ;(

NT won't back fill the charts with the missing bars once IB reconnects. I guess, from NT's point of view, the local connection with IB was never down. My issue is that the chart is not accurate now, so the signals are unreliable.

I had a first trade stopped after NT reconnected, so I don't know if that signal was bad because of my indicator or because of the missing bars. Oh, well. I will run the reply anyway.

Back to $150.88 and will disconnect NT and reconnect for back fill.

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 Pajot 
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Pajot View Post
I started the day on ES 03-12 and it is too late to change if I want proper replay data recorded. If it goes up, I like 1405.75 and 1413.25 levels on the March contract. I think the importance of the 1400 level will be lost for me today, since I am on the wrong contract. Good luck!

If it goes straight up from here, I like 1405 instead of 1405.75.

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 Pajot 
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Pajot View Post
I had an email with news about crude oil inventories at 9:30am and the sudden move happened at 10:30am, which is the time I remember for crude inventories anyway. The times in my database must be wrong :s. Damn!

On the ES June contract, 1385.00 is the equivalent target for the measurement that got me 1390.5 level on ES March, which just worked for a bounce of at least 2 points so far. Since June matters more than March now for these levels, I am happy with the prediction. I need to add this kind of entry type to the indicator. Unfortunately, with real money, since I decided to stay with the March contract for today, I was waiting at 1390.5, which was missed by a tick.

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 Pajot 
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I thought it was safe to follow the action on QM to know what CL is doing. It seems I cannot rely on QM and should get my signals and levels from a CL chart, but place QM orders, if I want to keep the risk low(er).

Here is one example for what happened on the 10:30 news bar:


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HorstGoldstein
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@Pajot, Yes, even I've had some bad experience while messing with QM, I'd say the CL is much better to play with, and signals should solely be taken from their respective charts. Have you tried using a 440 tick chart on CL, give it a try, maybe you'll like it, play with the fibs on 440 tick chart and you'll find the point where it turns, there are some really good fib no.'s that CL like to follow!

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HorstGoldstein
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If your looking for a recording software, I think you'll love Camtasia, its really good!! Check it out!
Keep up the Good Work Bro!

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 Pajot 
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HorstGoldstein View Post
@ Pajot, Yes, even I've had some bad experience while messing with QM, I'd say the CL is much better to play with, and signals should solely be taken from their respective charts. Have you tried using a 440 tick chart on CL, give it a try, maybe you'll like it, play with the fibs on 440 tick chart and you'll find the point where it turns, there are some really good fib no.'s that CL like to follow!

Hey Horst! I will give it a try for sure. I haven't tried much other than the time charts and I can see things there after looking at them for so long. If the tick chart is promissing, more I can add to my probability for profit. Thanks much!

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


HorstGoldstein View Post
If your looking for a recording software, I think you'll love Camtasia, its really good!! Check it out!
Keep up the Good Work Bro!

I am using Camtasia already. Someone recommended another product from the same company and found Camtasia on the same page. I like it a lot. Thanks!

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

I was saying I had Internet issues today and that I would have to run replay anyway. Duh, I don't have all the bars recorded. I am posting here the few trades that happened, but I would really like to rerun today at some point, if I find the tick data for ES 03-12.

Towards the end of the day, I reactivated the trading range code, so I can remember what it is doing before I start working on it again. Some additional rectangles are visible. It is hard to put everything on a single chart and this is the cleaned-up version. I had a lot of notifications with every tick and I moved them to a different chart first. Now, everything goes to a database and to a web page from there, so that mess is gone. I like how I depict the trading ranges, but it's getting busy again.

Now, the visuals:






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  #94 (permalink)
 Big Mike 
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If you are trading QM to manage risk, I highly recommend charting CL and executing on QM. Don't chart QM.

Mike

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 nakachalet 
siam, west coast andaman sea
 
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Pajot View Post
I am using Camtasia already. Someone recommended another product from the same company and found Camtasia on the same page. I like it a lot. Thanks!

i thought they were charging some 300 usd for the purchase which, if true, would in my opinion be rather very expensive in comparison to others, in the neighborhood of 40 usd.

but then my old memory could be entirely erroneous as well.

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


nakachalet View Post
i thought they were charging some 300 usd for the purchase which, if true, would in my opinion be rather very expensive in comparison to others, in the neighborhood of 40 usd.

but then my old memory could be entirely erroneous as well.

I think you are right or very close. I wouldn't know, because I am cheap and would probably not find enough reasons to pay for Camtasia, no matter how nice it is. Enjoying the free 30 days trial for now and will look for options after.

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

I didn't watch it tick by tick today, but made sure to start the strategy and collect the replay data. The automated stuff sucks today. It stopped me 6 times at 1 point, so the ATM based on ATR needs further qualification. For instance, it is obvious the ATR cannot be the only factor, since the size on one single bar matter less when the day allows for 3-4 bars of that average size in a row, going the same direction.

I think the size of the waves is more important than ATR here. Speaking of 3 bars in a row, maybe the ATR of the 15min chart should be used. Anyway, no rule I add to my code ever gets in there and stays unchanged. I need to get back to it and write code for circumstances, exceptions, relationships, etc.

On a positive note, I remember what the trading range code is doing by looking at the stuff drawn by the indicator. I already have a bunch of ideas to improve on what's there. It will get real fun when I start looking at channels as sloping instances of trending ranges. Brrr.


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


Big Mike View Post
If you are trading QM to manage risk, I highly recommend charting CL and executing on QM. Don't chart QM.

Mike

Hi Mike and thank you for the suggestion! It sounds reasonable with the only problem being I have to accept the risk of my CL targets working on CL but not on QM, levels disregarded, channels pierced, etc. I think I am on contention with the strong traders taking their cues from the QM chart. Somehow, I thought the two symbols will be kept in sync at the exact levels within milliseconds by the computers, but there are lapses when the action is sudden, I guess. Cheers!

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

Not a good day and enabling the trading range code may have something to do with it. I got the only one point during the last hour, all other trades were losing scalps. The code that enforces 1point:1point risk to reward ratio when the ATR is small is also disabling the rest of the smart code that does trade management. It may be that that code is sensitive to move over 4 ticks, with or against me, but there is still work to do here. I had some blackouts because of a bug, with pauses in trading. I will run the replay and see what I get, maybe post the chart back here.

The chart does not show all that was taken into account during the day and the automated trading ranges are some of the missing items. ToDo: make sure to persist the rectangles for ranges into the cache of chart objects.





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


Pajot View Post
Not a good day and enabling the trading range code may have something to do with it. I got the only one point during the last hour, all other trades were losing scalps. The code that enforces 1point:1point risk to reward ratio when the ATR is small is also disabling the rest of the smart code that does trade management. It may be that that code is sensitive to move over 4 ticks, with or against me, but there is still work to do here. I had some blackouts because of a bug, with pauses in trading. I will run the replay and see what I get, maybe post the chart back here.

The chart does not show all that was taken into account during the day and the automated trading ranges are some of the missing items. ToDo: make sure to persist the rectangles for ranges into the cache of chart objects.





As you can see in the pics from yesterday and as I could only notice today, I left ES March contract as the instrument on the strategy, while correctly moved all the charts and indicators to ES June. This explains, at least partly, why I got stopped so mercilessly all day yesterday. Will have to replay with the correct settings and add code to prevent this human flaw in the future.

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