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Day Trading Stocks with Discretion
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Day Trading Stocks with Discretion

  #211 (permalink)
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Working on getting a sim account set up

It still needs real time data. I checked the wrong box on set up, so real time data costs $200 per month rather than $10. So the account only has delayed data for now. I can get around that looking at real time at work and execute on the platform "just a little blind", but I am going to try to get real time for the sim account.

First trade was just a trial trade. Nothing too special. But I have lost a little of me sea legs in terms of being willing to sit through pullbacks. The trade pretty much only went my way and yet I balied early. Part of that was due to the fact that it was late in the day when I opened up, so I didn't have much time, but it will take a little transition to get back into the swing of riding the pullbacks.

Anyway, it will take a day or two to get the data issue resolved. But I am working towards getting it set up as committed a few posts ago. This will allow for more realistic execution than me writing prices down on paper at the blink of an eye.

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  #212 (permalink)
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High Level Month Review on Charts

Lots of data on this post. 6 charts, each corresponding to the months I have results for. Time frame is M30. The box lists the longs on the top (win/scratch/loss) and the net P&L of longs. The bottom row is the same for the shorts. The number at the bottom is the net P&L for the day. What I was hoping to see was if there were any types of days that I was doing poorly or well on. I was surprised at how little day volatility I needed to have a good day; I was also surprised at how little I made on some large volatility days.



Month 1
I tend to be "faked out" by large spikes in the first half hour of trading. These spikes tend to be upward, and I lose either getting in to late or trying to short too early. While I tend to avoid trading in the first 30 min, these big moves pull me in one way or the other (usually the wrong way). There is still the whole trading day left, WAIT!
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Month 2

Hard not to criticize in retrospect, but look at 6/28/12. Downward trend for the last 3 days. Price breaks below the low of the previous day, and all I have to show for it is two longs - losers. One was a complex correction, the other was on a possible double bottom. Both were fishing for reversals on a day that didn't really suggest a reversal.

Other days you just get lucky. Look at 7/3/12. Largely an up day, but managed to make $ on the short side.

Days like 7/16/12 are encouraging. Tight trading range day, but managed to make $ on both the long and short side.
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Month 3

8/8/12 is a reasonable way to trade a range day - don't. Ideally I wouldn't lose at all, but lose once, scratch out, and realize what is going on and walk away. Better than two full stop losses.

Days like 8/13 or 8/14 kill me. Clean trends and can't make anything of them. No reason they can't be like 8/16. But on 8/16, a short - really?
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Month 4
9/7 to 9/14 was one of my longest winning streaks. All upward trending days. Made a little $ on the short side, but mostly longs. Good run.
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Month 5
Good day on 10/1 - longs and shorts both good.

Still fighting the trend on days like 10/02, 10/18 or 10/24.
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Month 5.75
Days like 10/31 good to see where longs and shorts work out. As long as I am not trying to pick bottoms on the reversal, should do ok.

More days like 11/08 will kill me. How can I not see the down trend and blow up going long?
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  #213 (permalink)
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biding time


Did some paper trades today. 3 winners, 1 scratch, 1 loser. Gross $116, less $11 comish, net $105. No screen shot.

Still trying to fix the data feed fees issue to save $2,280/yr. Hopefully resolves soon.

Did some work on time analysis. Hope to post tomorrow.

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  #214 (permalink)
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Time analysis

Attached is a series of charts that look at trades in relation to time:
  1. trades by day of the week
  2. time of day for each of my trades
  3. time of day I took my first trade
  4. time I let pass after closing my previous trade before entering the next


Trades by day of the week
I have seen this done before and I was curious to see what my trades looked like by day of the week, but I have never been sure what to do with that information. For example, my day with the highest trades is Friday. Friday also happens to be my lowest net profit day. Longs on Friday did well - shorts did not. So do I not trade on Friday?

Time of day for each of my trades
Trades taken before 7AM didn't do much good. Neither did trades after 12PM. Most of my trades concentrate in hours 7AM and 8AM; this has as much to do with if I hit two losers I stop trading, and often that happens in the first two hours of trading.

I have been wondering about my loose rule (should I even have loose rules, or should they all be firm?) of not trading in the first half hour. I have felt little good comes of it; the data seem to back that up. I tend to lose money on shorts in this time (off those pesky early-morning spikes that I can't believe are real).

Time of day I took my first trade
So one question I had was how I did on the first trade of the day. Of my 383 trades, 115 are first trades (30%). As I plunge into the morning market uncertainty, I only win 30% of the time (vs 37% for 2nd+ trades) and scratch 21%.

At first glance every things looks profitable except 6:50, 7:10, and 8:20. But another way to look at it is I have about a dozen trades that were on average profitable from 6:30-6:49. Then adding up 6:50-7:29, I have 52 trades for a net profit of -$228. That period around 7:00, when I am first trying to divine the markets appears to be troublesome. If only I could begin my trading day without the first trade... After 7:30am, the first trades look ok. Althouth everything after 7:40 doesn't have more than a few trades to go off of.

Perhaps I need to consider pushing off my trading to start after 7:30?


Time I let pass after closing my previous trade before entering the next
Once the first trade is behind me, things get a little better. 70% of my trades are second/third/fourth/fifth trades, but they account for 87% of my profits.

One of my fears has been the impact of getting back in the market too quickly; perhaps a rule like "wait 1 hour after exiting a trade". But I was surprised to see that a large chunk of my profits come from trades made within 0-30 minutes of my last trade. My concern over revenge trading or going on tilt appear misplaced.

Perhaps one thing I can look at is how trades go after a winner, scratch, or losing trade. Sounds like analysis for tomorrow...

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  #215 (permalink)
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Trade after trade

Last post raised the question of how trades performed after a winning or losing trade? Does a losing trade through me off enough that the next trade is more likely to also be a loser? Does a winning trade blind me sufficiently that I am more likely to lose the next trade?

This analysis excludes my first trade of the day. I don't think a winning or losing trade from the prior day would influence the next one. So that leaves 268 trades.

In the chart below, a green '+' is the profit of a trade taken after a prior winning trade. The gray 'o' is after a scratch, and the red 'x' after a losing trade.
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I would have expected more serial correlation. But some of my larger winners were right after losers. But my best winning percent was right after another winner. I won 41% of trades that were preceded by a winner (better than my 35% win rate overall and my win rate of 26% on my first trades of the day). So I will alter my strategy so I don't take first trade ever and only take second trades?

Trades taken after losers within 1 hour of the losing trade produced net profits of $714 over 84 trades. The expectancy of the trade at $8.50 is less than the overall system at $15.38 (but not statistically different, p-value 0.79), so I will hold off before drawing a clear "no trade within 1 hour of losing trade" rule.

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  #216 (permalink)
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Still chasing changes in fees

No change to fee story, hoping to get that fixed this week.

Did some paper trades today: 2 winners, 1 scratch, 1 loser. Gross $381, Net $375. Would have been a good day to have on record.

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  #217 (permalink)
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Almost there

Made progress on the fee negotiation. Should be close to getting real-time quotes for a reasonable price. Hope to be on sim by end of the week.

Did some paper trades today: 1 win, 1 scratch, 1 loss. Gross $138, net $131.

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  #218 (permalink)
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Should be good soon

Same issues. Have one more analysis want to complete. Will work on it tonight.

Paper trades today: 3 wins, 1 scratch, 3 losses (which violates a rule of quit after two full stop losses). Gross $112, net $96.

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  #219 (permalink)
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I am "live" on demo

The markets welcomed me back with a gross profit of $10, net profit of $4. 1 winner, 1 sratch, 1 loser.

The trades are boxed (green profitable, yellow scratch, red losing). The entry/exit points are difficult to see in IB, but if you squint you can see the red sell and blue buy dashes.


Trade 1 - short, -$42
Set up: Pull back
I didn't get the real-time data set up until 8:40 (11:40 on the chart, which hasn't been changed to PST). So I hadn't been watching. I drew some lines on my 30 min chart at 160.98 and 160.08 from a trading range yesterday that lasted a good chuck of the day.
I tried to get in at 161.14 with a mid-market ask to sell. IB demo fills are a little different (will discuss below). I ended up chasing it down to hitting the bid at 161.09. The ATR5 was low enough I could have sold 200 shares, but I only took 100 because I felt rushed (a warning).

I wanted to see the trend channel continue downward (like the S&P at the time). In retrospect I ignored 3 clues
1) The push up and out of yesterday's congestion area
2) The two higher lows that preceded my entry (although to my partial credit I did have two lower highs also)
3) the four bars following my entry that pounded into yesterday's resistance with no headway.
On my scribble sheet, I noted that I had been seeing support around 160.70. I also noted the possibility of being in a trading range - not a down channel, and so I should be defensive on my exit.

My stop was a bit wide at 161.54 ($0.40). The local swing high was 161.38. The top of the channel was at 161.33. Hitting either of those would have invalidated my trade. But I held, and hoped.

I could have gotten out with $25 loss. I should have gotten out with a $7 loss. Espcially when on the defensive, take heat once, but not twice.

But I did get out at the stop.



Trade 2 - short, -$2
Set up: Failed break out of $161.80
Price had broken the high of the day and fallen back below the next bar. The subsequent bar tried one more time and failed. I got in at 161.65; I tried 161.75 and ended up chasing $0.10.

This was a counter trend trade. So I did take heat the next bar. Then two good bars in my favor. Then trouble - not big trouble, the high did not break the prior bar, but it did close above the EMA20. And the next bar floated above the EMA20. Then I hesitated and was in drawdown again, which shouldn't happen on a coutner trend trade - it either runs or you are out. Market gave me one last chance and I grabbed it for a scratch.



Trade 3 - short, +$48

Set up: Failed break out of $161.80
Price pushed up past the high of the day, then took two strong bars back down. I was not at my desk. Then a bar pushed back to resistance and I was not at my desk. Came back and saw price pulling back into the EMA20. Took it.

We had broken a few trend lines and had seen strength in the sell off. So I held through a few hot bars, then price took a step down.

I did note on my scribble sheet that I was tempted to close out my position at a price just to have a break even day. I moved my stop to break even and held. Then it was getting close to closing time. I bailed on a leg down with 9 minutes to go. Not a huge deal. I might have been able to squeeze 0.5R out of it.



Execution on IB demo
The order fill is very different. In the markets I could get fills at mid market if it it wasn't going somewhere too fast. But in Demo, IB seems intent on keeping you out until the bid or ask trades to/through your point. I would have a mid-market ask in and I would see two trades on either side of my ask, I wouldn't get a fill. I had assumed that if my ask was higer than the market order and someone hit the bid, I would get filled. The queues are not long in VFC. They are usually only 1 lot deep with the next lot more than 2 ticks behind. It will take some getting used to.

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  #220 (permalink)
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Day 2, with some troubles


The next set back. I put my demo account at $20,000. So after yesterday’s three trades I was demo blocked for the day trading rule. So I had to reset the balance of my account, which would take a day to reset. So I traded off the charts without the platform – not the best , but its practice.

I also tried a different mark up of the chart, which looks busier than many trader’s indicators. I do like the visualization of how/when I moved the stops, but it’s tough to read.

Gross profit was $97, net profit was $87. 3 winners, 1 scratch, 1 loser.



Trade 1 – short 100 shares, +$27
Set up: pull back to EMA20
What Went Well (WWW):
a) I was relatively happy happy with the entry off a bounce. Stop was placed to be above a recent high.
What Could Improve (WCI):
a) I might have considered to exit off of the local high at 159.90, rather than $160.15.
b) I really hesitated on the hammer put in just before 7:30 that close above support. the S&P and XLY were approaching higher highs, but I held for the continuation. I need those runners. ETD is part of that cost.


Trade 2 – long 100 shares, +$58
Set up: pull back
WWW: Recognized the pullback. Was also defensive on the prospect of a range day after the second test of a support level from yesterday.
WCI: Could have gotten in on the break above the prior bar rather than waiting for the break of the swing high. Price was well above the EMA20, and strong volume had come in three bars prior.



Trade 3 – short 200 shares, +$50
Set up: Test of yesterday’s low
WWW:
a) The boxes are covering a wick where price tested yesterday's low again (the red/orange line), but there was a test prior to my entry.
b) I was more defensive given the trading range context. Did get out with some profit near the EMA20
WCI: If I had really been convinced of the trading range, I would have targeted the bottom of the range.



Trade 4 – short 200 shares, -$2
Set up: Test of yesterday’s low
One more push up. Given how close these trades were you would think I would realize I was over trading a bit.


Trade 5 – 200 shares, -$42
Set up: Break out of prior intraday support
WWW:
a) I protected my capital at my stop
WCI:
a) Patience: One frustrating aspect of this trade was that 20 minutes before I entered the trade I wrote on my scribble sheet, “[Lots of] trading range nonsense, hold [your] ground!” And perhaps that acknowledgement of a trading range made me want to see a breakout. But the range was tight (only about a 50-cent range). I was "fishing on the edges" but from the wrong shore for shorts.

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