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VERY frustrating day. I generally try to avoid blaming "the bots" that are out to get me. But today is a tough day to ignore.
Yesterday closed on HUGE volume. 150k shares traded in the last three minutes, vs 680k shares trade during an entire day. It was a 52-week high close. Then Bernanke waffled on tapering. Markets teetered. VCF opened weak. This was going to be a trend day. I was determined to ride it down.
Bid ask spreads are crazy wide: 40-60 cents when they are usually 10-20. I stalk around with a limit to sell. Get hit with my stop well above the high of the previous bar. Price action looks constructive for my trade. Then this happens:
In 3 seconds, the bid and ask travel 175 cents. One single trade goes off outside my stop and my stop triggers at market. RIDICULOUS. So I am stopped out with 47 cents of slippage. $89 is more than I am supposed to lose for a day. Do I get back in one more time? I really hesitate. Finally decide to stay out.
Price went on 9.8R lower. Could have been a $390 trade. That would have made the month. So frustrating. Does this mean I need to start using stop limit orders? This is the first time I have seen shenanigans like this.
Violation of trading rules today. Should have shut down after 5 trades. Was riding off a big win on the open and chasing the next move. No fun to give back $120, but better to lose the money and learn the lesson than to get away with it and reinforce a bad habit.
Trade 1 price tested 188, bounced up for 4 bars, then tested again and broke, came back up for 1 bar (hammer), and broke again. I got short. After price broke LOY, I started to want out. Price was bobbling along for 5 bars. I looked at my historical record and saw that the longest run I had ever caught was $1.75. I jumped at $250. If I had "stuck to my guns" I might have made another 0.6R. Can't be too unhappy with a 6.2R trade.
Trade 2Pullback off the EMA21. The run down has been fierce so far. I am anxious about getting in again this late. Get short. No follow through. Bail for $6 loss. Good trade all things considered. Would do it again.
Then price approaches the LOY, and I lose my trading mind.
Trade 3 Two strong bullish bars off the LOD have me thinking reversal after 1.5 days of hard sell off. Price does not show any downside weakness. I get long. Price creeps up and challenges LOY. Should have been more impatient with my stop. Got out for -0.7R. Thought "this isn't a break out, this is a failed break out".
Trade 4 I get short pretty quick after my exit (65 seconds later). I got a little greedy and put two lots on with a tighter stop. Two failed pushes down and a challenge of my stop. Do I think "Maybe I put my stop too tight?" No. I think, "This is a complex pull back. It's not a failed breakout, its a breakout disguised with a complex pullback. I do get out of half my position at break even, but not the other half. So I lose -0.6R.
Trade 5 Three minutes later I am long for the "breakout". It's obvious 8 minutes later, this is not a break out. Its a test of LOY. So I queue the trade for my FOURTH flip flop in the last 50 minutes.
Trade 6 I shake my head as I do this, but KNOW I know what is going on (and I was right two of the last 4 trades). BUT I mess up the Price Target placement and the trade triggers automatically. I am out. Had I not flubbed the execution, I would have picked up 4.5R and covered all the shenanigans of the last three trades and then some. Good. I am glad I lost. If I had made it out alive, I would not remember this ridiculous episode. Even when you have gains for the day, if you flip more than once, you are probably not reading the market correctly.
Trade 1Bearish opening below the LOY. Saw price drop below a key level and retrace. Got short. had 1 push in my favor than watched price go against my position for the remainder of the trade. Full stop loss.
Trade 2 Price had come above the EMA21 and gone back below. Crossing above again, I took heart in the 40k volume bar. If price can push higher after that, I figure I am good to go. Get long, very brief push above EMA21. After second push above EMA21 fails, I bail for 0.7R.
Trade 1 Open higher. Price pushes above HOY. Retraces to HOY. I get long with the bobble in price. Price bounces off of key level - forming a lower high. I scratch out. Stop would have been honored, but I felt price justified the liquidation.
Trade 2 Long again near the last entry point. This time I get out a little closer to the top of the range established. That's where my winner came from.
Trade 3 I got long after on break above $187.84. Needed to wait just a bit longer for the pullback. Got stopped below the level.
Trade 4 Went short after another failed push above $187.84. Price went $0.50 in my favor. Ended scratching out.
Trade 5 Yet another break above $187.84. This one appears to to stick. I get long after price refuses to recede. And then it does. And then it makes a push up and fails, so I jump at BE. Price went on for another 1.8R.
Trade 1 Got long after huge 40k volume bar pushing above EMA21. Fooled by volume. Stopped out below EMA21.
Trade 2 Went short after a pullback to the EMA21. Didn't really get much lower. Jumped at BE.
Trade 3 Was patient for a good entry to put my stop below the swing low. Got it, but then there was dramatic push lower. Felt like I was on the wrong side of a break out. So I flipped.
Trade 4 As price stalled after my flip, I knew I was on the wrong side. I debated flipping again, but I remembered my excessive flipping from days earlier. So I held off. But I wrote on my notes, "I will be able to hold this until the end of the day & make a killing." Price went on for 10R. Ugh.
So, going to dust off this journal with some trade recap and review.
First question: did I make money over 42 trading days of sim?
No.
Final tally was net -$106. If I am looking for consolation, I would say that I was “break even”, or I would put that in context that my average winning day was $127, so I wasn’t too far away from break even. Going into my last day, I was “up” $40.
But the result was far from my prior run, where I would have expected to see net profits of about $2,338.
Slippage. One of the first differences between this run and last was slippage. This run was done on IB’s simulator. I knew where my stops were and what prices I got filled at. Slippage totaled -$549. There were a handful of situations I exited winning trades on stops and slippage as positive (best one was $28 or 0.7R), but 97% of the time that was not the case – and only 37% of the time was their negative slippage (worst one was -$60 or -1.2R). For 60% of the time, I got the price I was expecting.
Fewer scratches, smaller wins. While it’s easy to point to slippage, it only explains about 25% of the shortfall. Putting slippage aside I did a quick “sales variance analysis” to identify what was driving the difference from my last trial. 47% was explained by my lower average win size: $70.73 vs $94.70 last time. Next was the higher proportion of losing trades, which explained 38% of the difference. And the last chunk was the lower proportion of wins for about 20% (a few other small variances offset to get the total to add up to 100%).
Not holding as long. Holding times were about the same for losing trades – about 15 minutes, but scratches and winners were held for a much shorter time. In the last round winners were held for an hour vs half an hour this round and 30 minutes for scratches vs 18 minutes this round. Perhaps suggesting I wasn’t letting my “winners run.”
I also had a half a dozen losers that I held on to for over half an hour – probably too long.
