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Day Trading Stocks with Discretion

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  #201 (permalink)
 bijeremiad 
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2 losers. -$80.

3rd day of full losses. Been a while since I have seen that.

Trade 1 was a break out. It was also straight into the EMA21. Should have been more defensive with my exit. On the 7:15 bar I had a big battle with myself. Should I close out on what looks like a losing trade or let my initial risk run its course. I let it run.

Trade 2 after a failed push up into the EMA21. I thought it was my second entry for the next move down. Was "right" for 3 min. Stopped out, which was more the right thing to do than in Trade 1.

I really need to consider how long I wait after a losing trade. These two-loss-in-an-hour days are a drain on emotional capital.

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  #202 (permalink)
 bijeremiad 
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2 losers. -$80.

3rd day of full losses. Been a while since I have seen that.

Trade 1 was a break out. It was also straight into the EMA21. Should have been more defensive with my exit. On the 7:15 bar I had a big battle with myself. Should I close out on what looks like a losing trade or let my initial risk run its course. I let it run.

Trade 2 after a failed push up into the EMA21. I thought it was my second entry for the next move down. Was "right" for 3 min. Stopped out, which was more the right thing to do than in Trade 1.

I really need to consider how long I wait after a losing trade. These two-loss-in-an-hour days are a drain on emotional capital.

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 bijeremiad 
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2 winners, 2 losers. Net $144.

Broke the losing streak. I am always amazed at how few losing trades it takes for self-doubt to creep in. "Last month was luck, I've lost it, this is the end."

Trade 1 was after a strong push down that I wish I had gotten in on. It was a counter trend trade - not the best kind to try to break a streak, but I was very aggressive on the stop pretty much trailing behind each closed up bar.

Trade 2 was exepcting a retrace and test of the lows of the day. Got in a little late.

Trade 3 was another risk, with a possible double stop, but the price action had bounced twice off of prior-day support. It wasn't the run down I was envisioning, but a small profit came of it.

Trade 4 was looking for a test of prior-day resistance, perhaps I had gotten stopped out too soon.

I did look for trades at the end of the day (purple boxes). One would have been early. One would have run.

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  #204 (permalink)
sam0182
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A couple of your recent posts mirror my feelings precisely.


bijeremiad View Post

For me I have found the lost tail of a 2R trade that runs past my exit for another 4R weighs on me mentally more than a trade that runs 1.5R in my favor and then retraces for a scratch. [/INDENT]


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2 winners, 2 losers. Net $144.

I am always amazed at how few losing trades it takes for self-doubt to creep in. "Last month was luck, I've lost it, this is the end."

<--- This one especially. It's insanity how swiftly that shadow of doubt comes in...not to mention how quickly it leaves upon hitting your stride once again.

Great journal, keep it up.

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  #205 (permalink)
 bijeremiad 
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3 winners 1 loser. $100.

Trade 1 was a bit of an anomoly. My stop was broken around 7:51a. Two trades happened above my stop, but the offer came back in so quickly that I decided to let it run. I got stopped out right at the end of a push.

Trade 2 I got back into the same trade, but only 100 shares since vol had picked up since the trade started. Was actually thinking that a reversal may be coming up, so i got out close to prior swing low.

Trade 3 I was looking to play the test of resistance. Got trapped.

Trade 4 reentered for the reversal. I thought this had the potential to run, so I was loose with the stop. Gave up 2R.

I wanted to catch the pop at the end of the day off a multi-day low (green horizontal line), but I was waiting for the fake break down. Never happened and market popped fast. Left watching....

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  #206 (permalink)
 bijeremiad 
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The gross tally for this week is a grand $8. Beats losing money, but commissions would take sub-zero. I don't know if I will count this as my 11th consecutive positive week. We'll see. Here is the equity curve updated for this week.


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  #207 (permalink)
 DarkPoolTrading 
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Hey @bijeremiad. How's the trading going? You were making some really good progress but haven't posted to your journal in a while.

Im envious of your equity curve

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  #208 (permalink)
 bijeremiad 
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@DarkPoolTrading, thanks for asking. Your simple question may have been the kick-in-the-pants I needed to get going again.

I did another week of trading after my last post, but I got behind in posting. The more I put it off, the longer the task of catching up seemed painful. Just like cutting a trade that is going against you...

Then work changed on two fronts 1) becoming more demanding during market hours and 2) discussion arose of changing our compliance rules for personal trading where every trade would have to be approved by our general counsel, as well as a 15- to 30-day minimum holding periods. For my methodology with 3.3 trades per day and an average holding time of about 55 minutes that would require some major tweaking to accommodate.

Lastly, I was struggling with the scalability of the method I was developing. If I were to violate my Chief Risk Officer's advice, which is

Tip
Never, never, never... never. Never! NEVER... never take positive performance from a recently short period and use it to forecast long-term



But ignoring that and say $7k in 5 months is possible on $20k and a little leverage. So $16K per year? Now I could change the initial risk parameters to 1% per trade, up from 0.4%, and that might double returns. And then I could allocate another $20k of capital and might double again. So that gets me to $64k/yr. But I would have to be trading 400-800 shares per trade, and I am not sure there is that level of supply at the points where I trade - at least from watching T&S. There would be a lot more slippage. So for kicks lets say income degrades to $50k. That is not quite what I would hope for from a trading income (ignoring the super high ROEs that are implied). Now I could put $120k of capital and start to get to something more compelling, but at that point I go from single and double lots to 1200-2400 shares per trade. I suspect there would be buckets of slippage if i were to try and exit on a trade running against me for a $0.20 stop; there are entire 3-minute bars that don't trade that many shares. It just won't scale.

But these are all excuses. I need to get to trading live. Right now, it's not about replacing income, it's about learning how to trade consistently at a small level.

So here is what I am going to do next.
1) Individual trade analysis - most analysis to this point has been on a daily level (equity curves, % profitable days, etc). I need to figure out what is happening at a lower level. So I have been going back to my charts and recreating trade-level data to
a) summarize data on a trade level
b) look at how aggregate trades performed during different market structures
c) look at profitability by time of entry and day of trade
d) look at trade profitability by type of day
e) consider MAE/MFE and how to optimize profit targets
f) look for biases in trades
2) Sim for 20 days to reacclimate
3) If the demo trading results for the month are > 2%, go live

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  #209 (permalink)
 bijeremiad 
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Attached is aggregate data for the 338 trades logged over 115 trading days. Previously I had only looked at aggregate data on a trading-day basis. But each of those days would include 2-5 trades - on average 3.3 trades.

I will admit that for the effort it took to recreate this data (I kept poor records, but records nonetheless) was painful and maybe not worth it, since I had to go back chart by chart and recreate the entry prices and time by hand. After 8/15/12, I started keeping a written log of trade data, so that was much easier (and more accurate).

The data are presented in three sections:

1) Equity curve
2) Aggregate trade statistics
3) Drawdown analysis

So what? Here is what I see. Any observations on your end are welcome. But like everything here, this is mostly for me to distill.

Equity Curve
Commissions! So the first big observation is the impact of commissions. Previously I assumed no commissions. It was only $2 round trip... But when I trade 200 lots sometimes fills would cost $1, sometimes $2 - depending if the order was filled in one order or two. So I assumed each 200 lot trade (62% of my trades) would cost $1.5 per leg, or $3/RT. But it could be as much as $4/RT. So even this estimate could prove to be $239 too optimistic. But either way $1005 of commissions lops off 5% from gross returns. I forgot how good it is to be the broker.

Slippage? Another number not really in here is slippage. At 100- or 200- lot trades that should be small. But I am scared to see what it really is...

Total R. Total risked capital during this time was $16,323. Every trade was $40 of risk ($0.40 on 100 shares in "high vol" environments or if vol was lower, $0.20 on 200 shares). So over the 5.75 months, I risked 82% of my capital. That seems like a lot, and was surprising to see. But I also managed to gain 0.8R, give back 0.38R in losses, and pay 0.06R in commissions, for a net R of 0.36.

So is that good? I have been curious to finally see what this looks like on a trade-level basis ever since I saw this table in VanTharp's Book Super Trader.



And the answer depends on the volatility of the trades required to get to 0.36R. According to this table, if I could produce a 0.36R with only 0.72R standard deviation, I would have a superb system. But it looks like my StDev is more like 1.73R, which leaves me just eeking out an average system result. Part of what is driving that is my lower win ratio 35% and thus rely on larger winning trades. My best trade was 7.6R (a $1.65 run on a $0.20 stop with 200 shares).

Trades to break-even. The volatility of my trades can also be seen in how many trades it takes to break-even. This was a disconcerting number. If I rank all my trades by net profit/loss and start to add up the losers, and then the scratch trades, and then the winners, then I have to add up 93% of my trades to get to $0 net. Only the 7% (29) of trades that were greater than $140 (3.3R) added up to the $5,891 of net profit - averaging $203 (4.7R) per trade. I really have to let my winners run. While the percentages seem skewed, another way to look at it is that a $140+ trade comes along once every 4.3 trading days, so about once a week. In fact the opportunity set is larger than that; those are just the ones I was able to catch.

Part of this has to do with reliance on 1 trade, which doesn't seem too high. Even if I took out my top 5 trades, I would still come out with $4,464 or 3.9% per month. So I have mixed feelings about it at this point, but it doesn't seem to suffer like some system results where the top single trade accounts for 30% of the total net profits - if you miss that one big one, it doesn't work.

Consecutive winners and losers. Six for both winners and losers. With a loss rate of 43%, I should expect to see 6 consecutive losses about five times during a trading year. Seven consecutive losses would be possible, and seen about twice a trading year. Eight would even be feasible, showing up about once a year. Nine would be more of a once every two year type of event. Now not all of those losses are full stops. But even 8 fulls-stop losses would be $320 or 1.6% of equity. Not an account killer. So five or six losers shouldn't be too worrisome; if I start to see 7-8 frequently something is broken.


Aggregate Trade Statistics
Long/Short bias 383 trades: 49.1% long / 50.9% short - a difference of 7 trades. I could pull out the binomial distribution to determine what the probability is that the difference is not due to statistical noise, but I am going to assume I am not exhibiting a short bias, which is a concern. I don't want my contrarian nature creating problems for me. Maybe they are, but they aren't showing up in the aggregate numbers.

Longs carrying the profits. Despite no bias in longs vs shorts. I did make 70% of my net profits from longs. Only 30% from shorts. This is probably from the upward bias of VFC during the time I traded it. I will leave that analysis for when I look at month-by-month statistics in another post.

Time in Trades. This was a surprising number: I spent almost 203 hours managing trades. That added up over time. That is 113 hours managing winning trades trying to figure out stops and where to take profits, 42 hours sweating through trades that closed for $0, and 37 hours in misery fighting the markets.

Another way to look at it is 747.5 hours of screen time, and I was only in that market for 27% of that. I would like to think that is because I was discriminating and only involved when the best opportunities presented themselves, but the reality is probably closer to the fact that if I stopped out twice (often within minutes) I would not trade for the rest of the day, so that kept my time in market down also.

I guess the wrong way to think about, but why not, is $7.88/hour of screen time.

I do appear to be cutting the losers short. Or at least the market is cutting me short - when I am wrong, it becomes apparent quickly. I am only in a losing trade on average 13 minutes vs a scratch trade for 30 minutes and a winning trade for 55 minutes.

As I look at the extremes of "time in trades", 4 hours is probably a little long to be in a trade for $100. An hour is probably too long for a scratch trade, but determining if is going to be a scratch is probably pretty tough. It will probably be tough to figure out what to do about time-based stops with this level of data.


Drawdowns
Here is where psychology and "am I going to stick with this" comes into play. The largest drawdown was not bad - 1.75% of capital. It took me 11 trades to get there and 5 trades to dig my way out.

One question that arises is "what constitutes a draw down?" Is one losing trade a drawdown? If that is the case, I had 41 drawdowns. I don't spend a lot of time at the top of my equity curve. In fact, I only spend 18% of the time at the peaks. The other 82% of the time is fighting my way back to the top.

If I filter out the brief drawdowns to exclude those less than 6 trades long, then I had 15 drawdowns, averaging 18.1 trades in length and drawing down about 1.1% on average.

As luck would have it, the longest drawdown I have been in is the current one: 33 trades, but not the worst from a $ or % amount; it's pretty mild at $207 or about 1%.

All this seems pretty manageable so far. Part of that is due to the fact that I only risk 0.4% per trade. If I were to up that to 2% per trade then the drawdowns would be more along the lines of 5% with a max of 8.75%. Not fun, but still not brain-threatening (I hope).

Well, I am coming up on 1500 words. I am already dreading having to proof read, which I think I will put off to another time. I think I have gotten out of this first exercise what I could. I think the closer I get to the trades, the more informative it will become.

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  #210 (permalink)
 bijeremiad 
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So, one of my surprises from looking at aggregate data came from seeing how much better my longs did than my shorts. 70% of my profits came from longs. My average long was 2.4x my average short.

One things I wanted to do was look at each month from a high level to see if that overall trend made sense in the context of what the market did over the 5.75 months I have records.

Attached is a file that shows the days that correspond to the 5.75 months of trades, as well as aggregate trade statistics broken down by month.

Each month provides enough trades to make some assumptions about the month. Months 1-5.75 have 68, 64, 59, 65, 75, and 52 trades, respectively.

Looking at VFC over the period traded, the series shows an upward bias. However most of that bias is realized in Months 2, 4, 5. Months 1, 3, and 5.75 were more of a trading range series.

So, looking at the months were the upward bias was most present (2, 4, 5) 76%, 109%, and 69% percent of my net profit came from longs, as I would expect. Whereas, looking at the trading range months, only 66%, 43%, 12% of my net profits came from longs. So during those trading range months, my short play a more relevant role.

I do see a higher loss rate on my shorts in the upward-biased months, which makes sense. I don't necessarily see a higher win rate in my shorts during the trading-range months.

My time in trades seems to be getting shorter in months 4-5.75, average holding time was 33 in months 1-3 vs 29 minutes in months 4-5.75. This would be concerning if I start to see degradation in profit factor, where the average winner is not much larger than the average loser. This concern arises in month 5.75, where the holding period is short and avg winner/avg loser drops to 1.5-2.1 vs high 2s or low 3s in other months. I need those larger wins - can't afford to take "easy" profits.

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 bijeremiad 
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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)
 bijeremiad 
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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!





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.





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?




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.




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.




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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 bijeremiad 
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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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 bijeremiad 
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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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 bijeremiad 
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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.


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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 bijeremiad 
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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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 bijeremiad 
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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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 bijeremiad 
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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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 bijeremiad 
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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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 bijeremiad 
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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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  #221 (permalink)
 bijeremiad 
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Todays trades don't need a chart. I was looking for a pullback after a strong push up in the first half hour. But got a continuation downard. No matter.

What got me was my anxiety to catch the trade. I had logged in late. Saw the set up. Clicked on buy, verified the ATR5 justified my buying 200 shares vs 100. Check. Pulled the trigger - gonna miss the trade.... Problem: I had not adjusted my stop to $0.20 from the default $0.40. In less than 30 seconds, the market stopped me out with a loss of $82 (equivalent of two full stop trades), which ended my day. Closed out.

Couple problems here. It did take 30 seconds, which forces the question, why didn't I immediately close out, once I knew I had too much risk? Or at least trim down to 100? I was futzing around with the interface trying to change the stop. But the time I got there, market was below my stop. So I followed the time-honored tradition of former traders and hoped it would come back.

Fortunately I had the $0.40 default stop. Market went on for another $0.50.

So to avoid the problem in the future:
1) correct stop must be in place before entering the trade. If I miss it, I miss it. Next trade.
2) I will change my default stop to $0.20 (and see how many problems that creates).

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 Bermudan Option 
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Good read. I am digging the statistical breakdown and the charts and internal analysis. One question I have is would you say that your trading experience has been better/worse since you have focused on one stock?

When I looked at the highlighted months that you traded, I instantly knew that you were gonna have a good month 4th month (admittedly I thought you have another great month on the 5th month as well though). The reason I thought that was because those were the only two months with even a semblance of a trend. Other than that, it looks like rangebound city for the most part. Personally I would assume that trading a rangebound stock would be the hardest form of trading... Since the trend isn't strongly established, the buyers/sellers don't have quite as much conviction to keep the rallies/sell offs going, and so there is lots of whipsaw action intraday. I suppose this can be advantageous depending on your setups?


Quoting 
Longs carrying the profits. Despite no bias in longs vs shorts. I did make 70% of my net profits from longs. Only 30% from shorts. This is probably from the upward bias of VFC during the time I traded it. I will leave that analysis for when I look at month-by-month statistics in another post.

Have you given any more thought to this as well? I don't know how effective it would be if VFC still trades the same way (it was literally rangebound from mid-May to mid-July, then it gapped higher, and then it was rangebound again until the 2nd week of September) but having an overall bias depending on the Daily trend might have an interesting effect.

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 bijeremiad 
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Thanks for the questions, @Bermudan Option. Here are my thoughts (and questions).


Bermudan Option View Post
One question I have is would you say that your trading experience has been better/worse since you have focused on one stock?

I used to trade anything that moved. I really had no idea what I was trying to trade - I wasn't even looking for stocks in play. Then I narrowed it down to 6 names, which helped. But my set ups were still ill defined, and watching six stocks didn't help that. Record keeping was present (see posts 1-35), but analysis was not. It was too easy to say "I wasn't looking then" but with one name you ARE looking and have no excuses.

Finding Lance Beggs was the beginning of a turning point in terms of set ups. Focusing on 1 stock forced me to look at how those set ups played out and how they failed. Rather than "this doesn't look like this will pan out, move on to the next name" I had to watch and decide bar after bar: long or short or wait. There are stretches where little money is made. I think that can change. I am surprised by days where the range is tight, but trading went ok ( like 7/16/12 in month 2, here is the original trade journal). It was one of my better days made on a $1.50 range day.

I think it makes sense to focus on one name, one screen set up at a time. @Big Mike is a long-time critic of aspiring traders running from instrument to instrument and screen set up (indicators) to screen set up. What I have not heard is how long should you spend with one thing before "cutting your losses" and moving on to something else? I do like what I saw in this journal, where @grahamg commits to spending a 6-week period with a few different types of trading.

I have had similar thoughts on screen set ups, that eventually you should try to optimize, but how do you balance "investing time to get it right" with the expediency to find what works best. I heard that @VinceVirgil used to trade 5min charts, then eventually settled on 800-tick charts. I would be interested to hear how is screens evolved and why he decided to move on and choose the next set up.

No doubt focusing on one name has helped refine my PASR abilities from undecipherable to crude...

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 bijeremiad 
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Bermudan Option View Post
When I looked at the highlighted months that you traded, I instantly knew that you were gonna have a good month 4th month (admittedly I thought you have another great month on the 5th month as well though). The reason I thought that was because those were the only two months with even a semblance of a trend. Other than that, it looks like rangebound city for the most part. Personally I would assume that trading a rangebound stock would be the hardest form of trading... Since the trend isn't strongly established, the buyers/sellers don't have quite as much conviction to keep the rallies/sell offs going, and so there is lots of whipsaw action intraday. I suppose this can be advantageous depending on your setups?


Have you given any more thought to this as well? I don't know how effective it would be if VFC still trades the same way (it was literally rangebound from mid-May to mid-July, then it gapped higher, and then it was rangebound again until the 2nd week of September) but having an overall bias depending on the Daily trend might have an interesting effect.

@Bermudan Option, part of what is lost looking at a month of daily bars is that trends do exist on my time frame within the day. In a previous post, I look at how much VFC moves in a day to get a sense for how much of a range I can expect to see. This information could suggest where price will peter out in the extreme. What a trading range on the daily chart range does is make you more reliant on reversal patterns rather than continuation of trend or break outs.

I primarily look for tests of prior S/R, failed breakout, pullbacks (complex ones too), and pullbacks after breakouts - and admittedly break outs. In range months those tests and failed breakouts should provide more opportunity than the pullbacks and pullbacks after breakouts. But I did not keep set up data in my journal - something I will either backfill, but will definitely keep going forward.

But I also see it in the propotion of net profits from shorts. In the monthly data pdf, I can see it in month 3 and 5.75, where shorts were 57% and 88% of profits, respectively. And I don't see shorts contributing much in trend months 4 or 5 (only -9% and 35%).

So one thing I need to adapt to is expecting more range days, which mostly involves on setting a profit target based on prior S/R rather than what I do now, where I only have a stop and often let price take me out on a retracement of price. Not there yet. Another thing I need to add is "pressing my winners" where I add to the trend trades that are going my way. Not there yet either.

But this is one of the challenges of trading. If I knew ex-ante that the day was going to be trading range, I could look for specific set ups (tests and failed breakouts especially), but the hard right edge doesn't telegraph that all the time.

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I do like what I saw in this journal, where @grahamg commits to spending a 6-week period with a few different types of trading.

I got the 6 weeks trial idea from Enhancing Trader Performance - by Dr Steenbarger.

As it turns out I am trying everything in my mental power now to stick with this one method longer than 6 weeks as I don't think it is a long enough time period to pickup the skills to know if the technique is viable for me. This is in complete conflict with my goal of trying different methodologies to see what I enjoy on SIM. Someone needs to set me straight haha. To correct my original goal also - For me trading on the SIM was a very unrealistic game compared to trading one lots and did not represent the style of trading I intended to experiment with.

In addition to your discussion - I can say that sticking with the one instrument alone is beneficial. I am slowly getting to know very well the behaviour of the Bund after watching for 2 months for a few hours a day. I am noticing the inkling of an intuitive feel for where its going next - but the conscious part of my mind wants no part in trading that 'feel' unfortunately at these key moments just yet. Perhaps stocks are not as active though and you can follow a few at once.

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 bijeremiad 
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Today I didn't even pull up my screen until 10am. Missed a good part of the day.

Gross profit $71, net profit $65. 2 winners, 1 loser.

Trade 1 - long 200 shares, $33
entry: test of $164.45 intraday support.
What went well (WWW): was relatively patient, entry was such that my $0.20 stop was outside the support line I was fading.
What could improve (WCI): Execution problems. The way I have my stops set up on IB, I can't just change the price; I have to change an offset, and that offset cannot be >=0, so I can't move it to break even. I have to delete the first stop and replace it with another. As I was in that process, I put in a limit order rather than stop and was taken prematurely from the trade.

If I had stayed in, I may have gotten out at break even. I may have held to my target of $165.10; I was not going to hold this one since the day had moved already and ES and XLY had were moving more slowly.


Trade 2 - short 200 shares, -$46
set up: failed break out off of the high of the day
WWW: not too much
WCI: Could have been more patient on the entry - chased a little, and so my stop was not wide of the recent High of Day.


Trade 3 - short 200 shares, $78
set up: pullback to the EMA21
WWW: Did manage entry such that stop encompassed a) local high, b) upper end of channel, c) pretty close to EMA21. Also held to pretty close to the close. Felt like coming up out of the water after swimming submerged, just wanted to take profit (breathe), but wanted to see sell off into the close - held to plan, which had to be trimmed due to market close.
WCI: My target of $164.05 was hit. I closed out early because I had a meeting starting at 1pm. Didn't want to go into the close short.

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 bijeremiad 
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grahamg View Post
I got the 6 weeks trial idea from Enhancing Trader Performance - by Dr Steenbarger

Interesting, @grahamg, looks like he based that 6 week number on medical rotations:


Steenbarger
Medical students, as I mentioned earlier, take at least six weeks to complete their specialty clinical rotations. This is because they need to have sufficient exposure to a range of treatment settings and patients to truly appreciate what the specialty is like. Similarly, experiencing different kinds of markets—fast ones, slow ones, trending ones—helps you appreciate the nuances of each trading niche. Six weeks’ experience at intraday trading provides you with about 30 days of exposure—probably enough to capture varied market action.

6 weeks also gives you n=30 at five trading days a week, for data to start becoming more representative.

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 VinceVirgil 
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bijeremiad View Post
Thanks for the questions, @Bermudan Option. Here are my thoughts (and questions).



I used to trade anything that moved. I really had no idea what I was trying to trade - I wasn't even looking for stocks in play. Then I narrowed it down to 6 names, which helped. But my set ups were still ill defined, and watching six stocks didn't help that. Record keeping was present (see posts 1-35), but analysis was not. It was too easy to say "I wasn't looking then" but with one name you ARE looking and have no excuses.

Finding Lance Beggs was the beginning of a turning point in terms of set ups. Focusing on 1 stock forced me to look at how those set ups played out and how they failed. Rather than "this doesn't look like this will pan out, move on to the next name" I had to watch and decide bar after bar: long or short or wait. There are stretches where little money is made. I think that can change. I am surprised by days where the range is tight, but trading went ok ( like 7/16/12 in month 2, here is the original trade journal). It was one of my better days made on a $1.50 range day.

I think it makes sense to focus on one name, one screen set up at a time. @Big Mike is a long-time critic of aspiring traders running from instrument to instrument and screen set up (indicators) to screen set up. What I have not heard is how long should you spend with one thing before "cutting your losses" and moving on to something else? I do like what I saw in this journal, where @grahamg commits to spending a 6-week period with a few different types of trading.

I have had similar thoughts on screen set ups, that eventually you should try to optimize, but how do you balance "investing time to get it right" with the expediency to find what works best. I heard that @VinceVirgil used to trade 5min charts, then eventually settled on 800-tick charts. I would be interested to hear how is screens evolved and why he decided to move on and choose the next set up.

No doubt focusing on one name has helped refine my PASR abilities from undecipherable to crude...

Hello bijeremiad,

I started with 5 minute charts because of Al Brooks. 1 chart 1 instrunment. And the 800 tick because of Mack using the 2000 tick on the ES.

But, I used a single 5 mnute chart for entry and trade management for over 1 year on the CL with the 20 EMA as my only indicator.

I added Market Proflile charts from Rancho Dinero, but, I went to the 800 tick after watching Macks at PATs on the ES for over a year as well.

This entire process took over 2 years, of daily effort.

Keep at it, and you can do it. It is doable. By virtually anyone that is dedicated to it.

VV

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 bijeremiad 
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Trading today was good and it was bad. I did manage to put a long green box on the chart (a 6R runner on one leg). I also made 3 trade errors. It was like watching the keystone kops .

Grouping the trades will be a little more challenging today. For simplicity I will say there were 2 winners, 1 loser for a gross gain of $177, and a net gain of $164.

Trade 1 - short 300 shares, $191
set up: pullback. I got in a little early to call it a pullback, but that is what it ended up being.
What went well (WWW): My target worked out. I was waiting for a complex pullback, but got surprised how complex it would be...
What could improve (WCI): Got in early. Was very concerned about being stopped out at 7:44 I wrote on my scribble sheet "Miserable trade, late entry, can't even remember why I got in. And I began trying to fiddle with my trade management to move stops down. But I couldn't change them! Then a few minutes later, I scribble "Now would be an OK time to to get in... on the ACTUAL pullback. By then I had managed to get out of 1 lot and decided to add another lot to get back to $40 of risk, having already lost $12.



Trade 2
- long 200 shares, -$22
set up: break out
WWW: got luck and took myself out before a full stop
WCI: I let myself get fished in. I had been looking for a long since 10AM. The stop I put in turned out to be a limit (which became a market order when that happens) and I lost the $0.10 bid/ask spread instantly. Nice thing was that I would have lost the full $40 had that not happned. Ugh.



Trade 3 - long 600 shares (400 erroneously), -$5
set up: Test of low of local low
WWW: got in much earlier on this attempt
WCI: I had an error on entry and exit. My platform has a "feature" that when I click Ask, for a limit order, it takes the Ask price minus $1. So this limit will be immediately filled when executed (at NBO). It disappeared so quickly I thought I had clicked the wrong button, so I put in another limit order (which filled immediately as before). Now I reazlied that I had double the risk I wanted. It took 60 seconds to sort out and exit the extra shares. That needs to get faster. Then on exit (after fixing the limit orders that were really market orders), I bought, when I intended to sell. Now I am long twice risk again. This one only took 30 seconds to unwind. But it cost me $25 in real cost and $25 in opportunity cost.

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  #230 (permalink)
 bijeremiad 
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Finished my first week on sim yesterday. Not going to post an equity curve with 5 points. But here is a quick recap: things look ok.

$263 for the week, which is -0.26 standard deviations off the average of my prior sample's weeks. I had 4 positive days, and 1 negative.

15 trades, which skewed short: 4 longs, 11 shorts. 47% were profitable, 13% scratch, 40% losers.

When I look at the last 5 days, I have the following observations:
1) The short skew concerns me a little. The trend for the week was up. But I was not watching the market for the bulk of that up trend (shaded light orange). If I had been, the week could have been very good vs average. I did manage to squeeze some profits from rather tight range days. Good.
2) Errors cost me $70 in performance. Enough to make the week better than average. Need to get my execution skills polished.
3) Win percentage was higher, but avg win/avg loss was only 1.7x. I only really had one trade to let my winners run, so that is not concerning yet, but need to catch those runners.

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 bijeremiad 
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Need to bang out today's entry.

VFC was underperforming the ES. VFC was underperforming the XLY (sector ETF), and ELY was under performing the ES. This should have given me more confidence in my shorts, but I was perpetually concerned with a reversion to the mean. This caused many problems in my trading today (and one benefit). Mostly I let it make me worry about a reversal (and the pullbacks were robust - pullbacks that lasted 30-45 minutes with as many as 9 green consecutive bars.


Trade 1
- short 200, $126
set up: pullback
waited until price+stop encompassed both the channel and EMA21. Got a timely entry. Exited at after price failed to push below yesterday's low. Text book trade.



Trade 2 - long 200, -$2
set up: panic
Here you can see my worry of a strong reversal, but it subsided quickly after price didn't push as quickly as I expected, I scratched out.


Trade 3 - short 200, $32
set up: pullback
A little late. My reversal worries had me looking for a complex pullback, so didn't get in until later.


Error, -$38
Wheels came off the bus on this one. Reversal worries. I was convinced that market was going to bust through the EMA21 this time (the second push). I was short at the time. So I decided to flip (how many times is this a good idea?). But I managed to sell 400 more shares, so I was short 600 shares - rather than 200. I closed everything out quickly - paying a full bid-ask spread. I even managed to calm down and get my short back on. What a disaster.


Trade 4 - short 200, -$9
set up: pullback
Good run down, new low, but eventually reversed back. Had stop at break even but had $9 of slippage.


Trade 5 - long 200, -$32
set up: complex pullback
Was expecting price to hold above the EMA21. 3 channels had been broken. XLY and ES were pushing higher. Didn't pan out. Price then proceeded to break my second bearish target of $162.10 and my third bearish target $161.45. Then, THEN I got my partial reversal for $1.20.


Could have been a great day.

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  #232 (permalink)
 bijeremiad 
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Only in the market for 15 minutes today. -$86 net

First order of business for the day was a trade error. Wanted to sell. Bought. Cost $22. The mistake was amplified as I paid attention to my thoughts and feelings. I was frustrated because I had tried to enter minutes earlier at a higher price. Price was getting away from me, and so I thought "I will just throw this in there, its low but it doesn't matter." I was giving up on watching price. I did wait 1 tick to see if it was going to continue downward or come back up. But I was out pretty quick.



Trade 1 short 100 shares, -$64
set up: panic
Was afraid of missing another big move down more so that finding a good set up. Even if I had waited, nothing would have come of it - maybe a break even. Of note on this trade slippage was 22 ticks - wow.

So I went back to the T&S to see what happened. My stop was for 100 share set at 162.00 with a "Last" trigger, so once a trade happens at or above the stop, it becomes a market order.

Time Last Sz NBB/NBO sz
7:07:56 161.95 1 161.79/161.94 5x3
7:07:56 161.88 1 161.79/161.95 5x4
then about 93 quotes with no trades
7:08:12 161.90 1 161.80/161.90 6x1
then a 39 quotes with no trades and the market is 161.93/162.07 3x2
7:08:39 162.06 2 161.93/162.06 3x2 I would have expected my stop to activate here and lift the 162.06 offer (repeated 4 times)?
7:08:50 162.06 2 161.93/162.07 4x2 or to get filled on any of these
7:08:50 162.07 1 161.94/162.07 4x3
7:08:50 162.07 1 161.95/162.07 1x3
7:08:50 162.07 1 161.95/162.07 1x1
Then 4 more quotes all 161.95/162.07 3x1 or these
And then the offer jumps to 162.18 for a few quotes then 162.22 still within the 7:08:50 second.


I got filled at 162.22 on BATS at 7:08:50. What was the interactive broker's SMART trade router doing for 11 seconds between 7:08:39 and 7:08:50? Any old timers feel free to chime in and complain how much harder it was back in your day when fills took minutes...

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  #233 (permalink)
 bijeremiad 
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While today was a negative day, I was happy with some of the trades. No blatant errors. Tried something new.

Numbers: 5 trades, 2 scratch, 3 losers. Gross loss -$86; net loss -$98.



Trade 1 - short 100 shares, -$47
set up: pullback
doesn't really look like it in retrospect. Was intended to be a pullback and a test of yesterday's low. I did wait until my stop encompassed the recent swing high. If it had worked, it would have looked really nice. It was an early entry. Mixed feelings about this trade.



Trade 2 - short 200 shares x 2, -$4

This trade had two legs. The first was a test of prior day's S/R. I got in so that my $0.20 stop would be wide of the recent highs put in during the test. Then once the trade was $0.20 in my favor, I felt price action was supportive of my trade so I moved to break even and pressed the trade with another $40 of risk. This was my first attempt of pressing a winner. I was generally happy with how it played out - even though it was not successful.



Trade 3 - long 200 shares -$1
set up - test of yesterday's low
when I saw yesterday's low hold twice, I entered when price was crossing above the EMA21. Entry price allowed me to put my stop close to yesterday's low. I was a few pennies late. Once price neared the recent swing high around $162, I moved to break even. Taken out.



Trade 4
set up - test of $162
Price was not going above $162. There were no buyers. Ask was fishing and bids held firm, no one wanted to run higher. So I shorted. I can't explain my exit. I spent some time up near 162. The offer kept fishing above $162. ES and XLY were breaking higher highs, so I panicked depsite VFC being weaker than both.



Trade 5
set up - break out
I was looking for a breakout. ES and XLY were making higher highs and taking out yesterday's high. I thought VFC would follow. Price looked to be bouncing off the EMA21. I thought the purple channel would hold. I stepped away from the desk. The market was so slow. I knew it when I jumped out of Trade 4 - I was in a trading range. I wish I had behaved like it. Stop was hit in my absence.

Market ground sideways for the rest of the day.

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  #234 (permalink)
 bijeremiad 
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1 winner, 1scratch 3 losers. Gross -60, net -$70.

No boxes on the trades today, sorry.

Trade 1 felt the best, was a test off of an intraday channel. Wish I had focued on price putting in two higher lows - suggesting an upward biased market. We eventually broke out of the four-day range down today.

Trade 2 was a pullback, also expecting the down trend to hold, as well as the four-day trend to hold. Stopped out pretty happy with this trade, even for a loss.

Trade 3 was panic induced. Chasing a break out. Should have been a scratch.

Trade 4 was a scratch. Was also counter trend and trying to pick a top. Managed ok. I continue to be disappointed with IB's fills on stops. I really need to be watching these when they hit. This isn't a matter of micro seconds - its seconds. Humans could execute stops better.

Trade 5 was unecessary and possibly against my rules. I shut down after two full-stop losses. I only had 1, but I also had a $35 loss (88%).

I thought about buying "a flyer" and finally riding up the uptrend I had been fighting all day. Glad I did not - I knew it could have put me over my daily loss limit (and it would have).

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  #235 (permalink)
 bijeremiad 
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Great opportunity day. Nothing to show for it but unnecessary losses. Gross $144, Net -$148. 2 Losers.

I will try a different format for my trade entries.



Three problems today.

1) chasing a spike. I thought about waiting for the pullback, but I let my homework and expectations run away with me. I thought it was going to be an up day, and didn't want to miss it. Let myself get dragged into a down draft.

2) Then with a $71 loss, I decided to put on another trade. I only had $10-20 of room, but I put on another trade with $40 loss?

3) Another stop not activated. It was set up but not activated with the trade. I should have hit my stop 6 minutes into the trade. I was frustrated and thought about shutting down my machine (would have done well). But I looked back and realized that the "ding" I heard was confirmation of exiting. Nope. So by the time I realized it, price looked to be bottoming. I set a $0.09 stop, activated and watched. It pulled back.


So I have realized long ago that my chat window for work uses the same "ding" as IB. I need to change that. Usually I get a pang of fear because I am working on something and a chat makes me think I was stopped out. So I need to change the confirmation sound on IB. I also need to develop the habit of visually checking positions.

I also need to write down my money, risk, and trade management rules. They are floating around, but need to be explicit and reviewed regularly.

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 plethora 
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VinceVirgil View Post
Hello bijeremiad,

I started with 5 minute charts because of Al Brooks. ... And the 800 tick because of Mack using the 2000 tick on the ES.

@VinceVirgil, actually Al Brooks would approve of your use of the 800-tick chart. He uses the 5m chart because it provides 12 bars per hour which is the number of bars he deems necessary to read price action. If you count the number of 800-tick bars in an hour on the CL during RTH, it is often 12 or very close to it as well.

ETA: In fact, that's the reason I thought you used the 800-tick chart.

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 VinceVirgil 
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plethora View Post
@VinceVirgil, actually Al Brooks would approve of your use of the 800-tick chart. He uses the 5m chart because it provides 12 bars per hour which is the number of bars he deems necessary to read price action. If you count the number of 800-tick bars in an hour on the CL during RTH, it is often 12 or very close to it as well.

ETA: In fact, that's the reason I thought you used the 800-tick chart.

Great memory. I mentioned that a number of months ago.

That is correct. The initital reason was to replicate the numbers of bars on a tick chart that most closely mimic the 5 mniute chart, give or take, and It is in fact the the 800 tick on the CL. I also wanted the chart bars to fit on the screen for the RTH. If I look at any other instruments, I use the same criteria...the tick volume that most closely resembles the 5 minutes on the RTH. I should add this is primarily for day trading.

I looked at the tick chart because of Mack, as he often mentioned the volume and momentum element on the tick charts.

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  #238 (permalink)
 VinceVirgil 
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bijeremiad View Post
Great opportunity day. Nothing to show for it but unnecessary losses. Gross $144, Net -$148. 2 Losers.

I will try a different format for my trade entries.



Three problems today.

1) chasing a spike. I thought about waiting for the pullback, but I let my homework and expectations run away with me. I thought it was going to be an up day, and didn't want to miss it. Let myself get dragged into a down draft.

2) Then with a $71 loss, I decided to put on another trade. I only had $10-20 of room, but I put on another trade with $40 loss?

3) Another stop not activated. It was set up but not activated with the trade. I should have hit my stop 6 minutes into the trade. I was frustrated and thought about shutting down my machine (would have done well). But I looked back and realized that the "ding" I heard was confirmation of exiting. Nope. So by the time I realized it, price looked to be bottoming. I set a $0.09 stop, activated and watched. It pulled back.


So I have realized long ago that my chat window for work uses the same "ding" as IB. I need to change that. Usually I get a pang of fear because I am working on something and a chat makes me think I was stopped out. So I need to change the confirmation sound on IB. I also need to develop the habit of visually checking positions.

I also need to write down my money, risk, and trade management rules. They are floating around, but need to be explicit and reviewed regularly.

Did you make up the entry exit sheets yourself? Or are they an off the self item. Very cool. They look like a souped up trade ticket for what I used to send to the cage to buy and sell stocks.

Its a great idea. Is there a template available for this somewhere?

Money risk and trade management rules should become second nature. What I find is helpful, is having modified rules to fit the market parameters. For instance, on a very range type day, i would be inclined to trade smaller sidze with a wider target so as to not be taken out on noise. Or, increase size when I am confident of the trade idea.

Suri Dudella mentioned this on his webinar a few days ago in passing, about having a 1x, 2x, 3x trade posotion depending on the market strucure or his conficdence level of the trade . Likewize Matt Davio. He breaks it down to in poercentages...from 10 to 100 percent based on the isntrument. He mentiones he seldom gets to 80%.

Its the comcept of managing risk with position sizing.

VV

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  #239 (permalink)
 bijeremiad 
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VinceVirgil View Post
Did you make up the entry exit sheets yourself? Or are they an off the self item. Very cool. They look like a souped up trade ticket for what I used to send to the cage to buy and sell stocks.

Its a great idea. Is there a template available for this somewhere?

@VinceVirgil, I made it in excel (copy attached). it is an amalgamation of various sources: Ninjatrader, Peter Brandt, FuturesTrader71, , and VanTharp. I did look at a few old triplicate order tickets when trying to figure out how to design it. It has changed a little from what you see above. The fields are self-explanatory to me (and I imagine you have seen them all yourself). If others have questions, I can take time to explain what they are and what I hope to get out of them.

I am working on incorporating it into my trade journal where each trade is a row in excel. Its a little unwieldy, with almost 50 data fields and 5 fields for notes. I have some excel kluges that reduce the number of hand entered fields is "only" 13, with others downloaded or linked to downloaded data. We'll see.

I am finding the half-page format cramped, and I may expand that to a full page per trade. Then I could add a few things like a screen shot, scale in/scale out data, and price target+risk/reward numbers. But many of those don't apply to the system I am working on right now, so no rush on my side.

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  #240 (permalink)
 bijeremiad 
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VinceVirgil View Post
Money risk and trade management rules should become second nature. What I find is helpful, is having modified rules to fit the market parameters. For instance, on a very range type day, i would be inclined to trade smaller sidze with a wider target so as to not be taken out on noise. Or, increase size when I am confident of the trade idea.

Suri Dudella mentioned this on his webinar a few days ago in passing, about having a 1x, 2x, 3x trade posotion depending on the market strucure or his conficdence level of the trade . Likewize Matt Davio. He breaks it down to in poercentages...from 10 to 100 percent based on the isntrument. He mentiones he seldom gets to 80%.

Its the concept of managing risk with position sizing.

VV

@VinceVirgil, I remember watching a video on SMB Capital's blog, where a training trader and more experienced trader were reviewing trades. The senior trader was encouraging the trainee to risk more capital when he saw set ups where he could express a high level of conviction, which would suggest risking 35% (might have been 30%, maybe 33%) of your daily stop loss amount on that trade.

They didn't delineate what risk allocation would be for lower conviction scenarios, but I inferred that if you flubbed two (maybe three) high conviction set ups you were done for the day. It would also suggest that for a "typical" trade you would probably be risking half to a third of a high conviction set up, or 10-15%, suggesting 6-10 losses before stopping out for the day.

Again, all along the lines of what you indicate - changing risk allocation depending on the situation you perceive.

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 mdl060374 
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PErhaps I have missed it, but you can explain how you are narrowing down your focus list of stocks to choose from?

Are you focusing on daily charts setups? average behavior (% average day range, avg volume, etc)?

or some news?

I have always been curious in peoples product selection parameters..

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  #242 (permalink)
 bijeremiad 
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mdl060374 View Post
PErhaps I have missed it, but you can explain how you are narrowing down your focus list of stocks to choose from?

Are you focusing on daily charts setups? average behavior (% average day range, avg volume, etc)?

or some news?

I have always been curious in peoples product selection parameters..

@mdl060374, I currently trade 1 stock, 1 time frame, day in/day out.

When I first started I traded anything that moved. I had to follow a portfolio of 300 companies for work, so whatever was up or down a lot for the day would attract my attention.

Then I decided to focus on just six stocks: APA, CMI, LH, V, VFC, WHR. I chose those by looking at the S&P 500 and looking in each sector for a name that had a stock price >$100. The primary goal was to decrease trading costs, which for me increased with the number of shares purchased. So I could get $50 of risk with a $100 stock with just 100 shares. With a $10 stock (even more volatile, like BAC), $50 of risk would require 700-800 shares...more commissions.

This set gave me an oil & gas, industrial goods, health care, finance, consumer discretionary, and consumer non-discretionary company. I figured something good or bad would be happening in one of those sectors and drag my names along with it. Or if one name was range bound, another could be moving.

Then looked at ATR, standard deviation of daily returns, average trading volume. But for the size I was looking to trade none of that really mattered.

One thing I didn't appreciate at the time was the bid/ask spread. Wider for the larger stocks. Now once you factor in the number of shares purchased, it equals out. However, what it means is that when they run, the can gap. Whereas with a smaller dollar price, every tick tends to get hit running up or down.

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  #243 (permalink)
 mdl060374 
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bijeremiad View Post
@mdl060374, I currently trade 1 stock, 1 time frame, day in/day out.

When I first started I traded anything that moved. I had to follow a portfolio of 300 companies for work, so whatever was up or down a lot for the day would attract my attention.

Then I decided to focus on just six stocks: APA, CMI, LH, V, VFC, WHR. I chose those by looking at the S&P 500 and looking in each sector for a name that had a stock price >$100. The primary goal was to decrease trading costs, which for me increased with the number of shares purchased. So I could get $50 of risk with a $100 stock with just 100 shares. With a $10 stock (even more volatile, like BAC), $50 of risk would require 700-800 shares...more commissions.

This set gave me an oil & gas, industrial goods, health care, finance, consumer discretionary, and consumer non-discretionary company. I figured something good or bad would be happening in one of those sectors and drag my names along with it. Or if one name was range bound, another could be moving.

Then looked at ATR, standard deviation of daily returns, average trading volume. But for the size I was looking to trade none of that really mattered.

One thing I didn't appreciate at the time was the bid/ask spread. Wider for the larger stocks. Now once you factor in the number of shares purchased, it equals out. However, what it means is that when they run, the can gap. Whereas with a smaller dollar price, every tick tends to get hit running up or down.

Interesting. Thanks for the response. One thing I have been looking at is beta. There was an article (forgot where I read it) that brought up that beta is sometimes used incorrectly as a measure of risk, but really means correlation with the S&P. The idea is that stocks with betas of under .80 (1 = exact correlation with index, and 0 = direct opposite direction) offer behavior that ideally doesnt get yanked around with the overall market...

Another thing that was brought up recently (I think it was a Don Bright article in SFO)is that with HFT, they often sit .001 below/above the spread so for daytraders, trying to get filled with limit orders presents a new challenge, and the best way to trade was taking offers/hitting bids on tight spreads, and avoiding wider spread issues.

I think that scanning for volumes above 2.5M should take care of this..

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  #244 (permalink)
 Bermudan Option 
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Hey how is the trading going?

Sent from my Nexus 4 using Tapatalk 2

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 bijeremiad 
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@Bermudan Option

Took two weeks off. Been trading sim this week and recovered from the disaster of the prior week I traded.

However, I still need to get my analysis together for the bad week - can't let it go wasted. But I am getting hung up there.

I have also been collecting a lot more data on my trades which is slowing me down on getting everything together.

Facebook has a saying: doing is better than perfection. I need to move more towards that end of doing, and less so about getting it all together.

Hoping to go live in two weeks.

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  #246 (permalink)
 bijeremiad 
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Amazing how fast two months seems to go by. I have not been idle. I have over 125 trades to catch up on. But I have not been posting. Now I need to catch up. This is a problem. I get hung up, and then the catch up becomes more work than the hang up and nothing gets done. Just stall.

So I am not going to pause for weekly reviews. Just going to bang through day by day, and will run aggregate stats at the end (which I still need to finish, but will not let that keep me from getting started again). So going to start working on the next entry tonight.

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 bijeremiad 
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Two trades, two losers, -$102.

Trade 1 Looked like a valid pullback after break out. Strong open and run up (too much?) Then a retest of yesterday's high and the EMA21, after the second test of yesterday's high I thought I was good to go. I chased the market a little as i flipped from a limit order to a market and lost 7c on my entry. But no follow through the next Resistance. Probably held on to this too long, could have punted at HOY. Others were trapped two as slippage was miserable getting out.

Trade 2
I took as price cleared above the EMA 21. Price had come near a support trend of prior days; I even saw a strong down bar on highish volume rejected. But was too early. Second test was needed. I was done for the day by then.


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  #248 (permalink)
 deaddog 
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I also need to write down my money, risk, and trade management rules. They are floating around, but need to be explicit and reviewed regularly.

Have you done this yet?

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tradingkevin
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Love the way you take notes on your trade bijeremiad...top notch. I will use some of it ; )

Kev


bijeremiad View Post
Two trades, two losers, -$102.

Trade 1 Looked like a valid pullback after break out. Strong open and run up (too much?) Then a retest of yesterday's high and the EMA21, after the second test of yesterday's high I thought I was good to go. I chased the market a little as i flipped from a limit order to a market and lost 7c on my entry. But no follow through the next Resistance. Probably held on to this too long, could have punted at HOY. Others were trapped two as slippage was miserable getting out.

Trade 2
I took as price cleared above the EMA 21. Price had come near a support trend of prior days; I even saw a strong down bar on highish volume rejected. But was too early. Second test was needed. I was done for the day by then.
/IMG]


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 bijeremiad 
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@deaddog.

Short story is it never happened. So none of the upcoming trades any rules other than a $40 stop loss and two losses shuts the day down.

Here is what I have so far. Rules (always to be honored) and guidelines (strive to do, but discretion will dictate each situation).


Capital Management

Capital at risk
R1. Max risk per trade is $40 (in reality this should translate into $40 +2 commission + $10 slippage for $52 total, which is 25bps of capital)
R2. Max risk outstanding at any time should be $40. If another position is added, open positions' stops should have stops at or beyond break even.
R3. Trading day stops after two full stop losses.

Position sizing
R4. Position size will be 100 shares (stop <$0.40) or 200 shares (stop <$0.20).
R5. 200 shares if ATR5 < 0.20. Some discretion ATR <0.25
R6. No trades when ATR5 > 0.50
G1. If position size of 200 shares then NBBO - order price < 0.10.

Stop Management

R7. Stop cannot be moved to increase initial risk.
R8. Stop cannot be moved to decrease risk until (this is a guideline for Counter Trend and Trading Range trades)
i) a SL/SH has been put in,
ii) I take heat on the trade of at least 1/2 my risk,
iii) price hits R:R of 1:1
G2. Stop should be placed behind a market structure point: EMA21, S/R, or SH/SL

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 bijeremiad 
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Trade 1. Day opened down weak, but price retraced higher. As price tested the high of the day I went short after a double top and two bars of weakness. Stop was just outside the double top. Stopped out. Perhaps I should have been more mindful of how strong the up bars where (long green bars going up). But otherwise happy with the trade. How a losing trade should look.

Trade 2. Price had taken out yesterday's high. While my journal sheet says "breakout" the market had spent one bar testing that level. I got in as price went higher. Could also be considered the first pullback after a break out (but price didn't really run that much before the retest). Probably should have considered getting out when the channel was broken. I was also in the trade for 53 minutes vs my average loser at 15 minutes or breakeven at 30 minutes - a little long for a loser. But only lost what was risked.

Two full stops. Day shuts down.


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 bijeremiad 
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Lots of days passed since last entry. Again me trying to figure out how to account for certain loss trades and procrastinating. Decide to just get moving again.


3 Trades, 2 "scrathces" 1 loser. Net -$58.

Trade 1. Price bounced off the 52-week high. After third bar closed without pushing higher I got short. Had a good run in my favor 71 cents (1.75R) in just 3 min. I took this to mean I had caught a runner and I wanted to give it room, but twelve minutes later I was back at my entry, and took 8 cents of slippage beyond the break even stop.

Trade 2. Price had been bouncing above the EMA21 and trending upward. I got long expecting price to trend higher. Did run 69 cents in my favor but failed to push past the HOD. Probably could have gotten out below the EMA21. But took a full stop loss.

Trade 3.
Price was holding above the EMA21 and trending upward. I got long after a dramatic push lower on high volume. I bailed when price retraced. All the better, i would have been shaken out on the next long bear tail that was accompanied by very high volume.

I also marked some points on the chart in purple where I was considering positions. Some good, some not.



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 deaddog 
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Position sizing
R4. Position size will be 100 shares (stop <$0.40) or 200 shares (stop <$0.20).
R5. 200 shares if ATR5 < 0.20. Some discretion ATR <0.25
R6. No trades when ATR5 > 0.50
G1. If position size of 200 shares then NBBO - order price < 0.10.

You might want to look at position sizing a little differently.
I take the difference between my entry and my stop and divide it into my risk.

With a $40 risk if the difference between the entry and stop is 40 cents I buy 100 shares.If it's 25 cents I buy ($40/25) 160 shares. If the difference is 50 cents ($40/50) I buy 80 shares, This allows you to use S&R as a logical place to put a stop. I haven't had any problem buying odd lots with IB and the commission is still $1.00

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 bijeremiad 
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Two trades, two losers, -$118. Only in the markets for two minutes. Not the best day.

Trade 1 Price came up off of yesterday's close to bounce off of yesterday's high. When it appeared to bounce the second time, I got short. 60 seconds later I was past my stop with 26 cents of slippage.

Trade 2
Price felt aggressively bullish, so when I saw price come back to yesterday's high, I got in expecting a test of that level and continuation. 60 seconds later I was past my stop with 28 cents of slippage.

Both miserable fills. I went back to the T&S and looked for how this could be. Better prices were to be had, but they were short lived. Market was moving quickly.



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 bijeremiad 
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5.5 trades. 2.5 winners, 1 scratch, 2 losers. Net $265.

Trade 1 Price opened strong and retraced quickly off yesterday's high. But the retrace was shallow and scooping, grazing along the EMA21. I chased the entry for 10 cents and the ask finally dropped to fill my buys. But price kept going down. No trades occurred at my stop, and I was worried about slippage from the previous day, so I hit the bid. You can see nobody in the real market panicked like I did.

Trade 2 But price didn't let up after I was out. So 15 minutes later I was fishing again. Got in with just 3 cents of adverse move against my entry. Market took off. The run feels a little parabolic and I worry about getting left on the top of a spike. at 8:18, I notice the market has slowed down. 5 min later I put in a limit to exit for $275 profit, a 6.9R trade. Except that price went on for another 8.0R. Ack.

Trade 3 was more impulsive. Watching the market run up after my exit only made this worse. I jumped in at market when I thought I saw another move higher. But this push was shorter lived. I put my stop at BE, but had some slippage. 2.1R between the two trades.

Trade 4 Faked out one more time looking to ride the monster wave. Too early. Stopped out.

Trade 5+.5 Was a more patient entry, back at the EMA21. Then after a higher high, I added one more position. Had stop on first position at break even. Was a little weak in the hands and punted before price tested the HOD again. Then closed the initial position just below the EMA21.




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 bijeremiad 
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Here is the equity curve for the first three weeks, just to keep things in context. Have taken a beating the last couple weeks. The dark line is net loss, the lighter line is gross loss. Negative either way you look at it.

Bad trades are documented. Had a few of those. Two other things in this analysis that haven't been present before: 1) Trade errors. I will make an effort to tabulate those when I do a full analysis of trade sample.
2) Slippage. So far I have had about $240 of slippage over 51 trades. About $5/trade. That eats a lot of the edge I was seeing in the last sample, which averaged $15/trade.


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 bijeremiad 
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5 Trades. 2 winners, 1 scratch, 2 losers. Net $108.

Trade 1 Break out trade past the low of the day, headed towards yesterday's low. Good run, but I got spooked by a high volume bar and bailed.

Trade 2
So spooked that I got long on not much of a reversal. Could have waited for a little more confirmation. Was only in the trade 9 min. It was counter trend, so kept a tight stop appropriately, but did chase a little on the exit.

Trade 3 Had the right idea and direction. Was a little early. Had I held I would have been ok, but it would have been a long trade for little to gain.

Trade 4
Simple pullback to the EMA21. This far into the day, I should have been looking for price targets rather than runners. Gave back too much here.

Trade 5 12 minutes to close and I am still chasing trades? Trade error. Stops were set backwards, triggered immediately.

Trade 6 Right idea, but was early. And out with slippage. Miserable way to end the day.




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 bijeremiad 
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3 trades. 1 winner, 2 cratches. Net +$189.

Trade 1 Strong open. Fished for an entry as price crept up the EMA21. Had a moment of concern as volatility came in during a 25k volume bar, but price held. Ended up exiting near resistance line of $173. 4.9R trade.

Trade 2 Wondering if I had gotten out early, also worried about being stuck in a trading range. I get long on a complex pullback setup. Price didn't push up past the previous SH, so I bailed. Happy to be out.

Trade 3 Price came down and rested around $172.50. I get long after 9 minutes of testing that level. I was called into a meeting just minutes after initiating the position, so I try managing it on my phone. I set up a tight bracket and bailed after price turned back just once. Too bad, it went on for another 5R...



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 bijeremiad 
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Ah days like these: 2 trades, 2 losers, only 15minutes in the market before i am done. Net -$118.

The day looks ugly in a pretty tight range, bouncing off the high of the day

Trade 1 Huge volume bar (22k) pushed price down, then price holds $0.50 higher than the previous SL and above yesterday's high. I get long. Price runs strongly for two bars. Feels good. I even noted price was near a previous 52 week high. Price came off that level. I was watching the broader market (SPY/XLY) too much. Let price go too far. But it felt with trend, so I should have given it that room to run.

Trade 2 I put too much faith in the 52-week high which was rejected in my last trade. Price went through it to grab some stops before coming back down. Only in trade for 30 seconds.


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 bijeremiad 
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4 Trades: 2 scratches, 2 losers. Net -$104.

Trade 1 Was a little early on the pullback to the EMA 21. took immediate heat. I got 1 push down with little follow through. Bailed at break even. Was glad to be out.

Trade 2 Got a good push higher on high volume (12.5k). Should be encouraging, but got worried that trapped traders could push price lower. But lows of previous SL not challenged. Jumped out at BE. Wish I had held.

Trade 3 After seeing price dawdle around $173 and still watching the high volume bar from the last trade, I got short. Disaster. I guess I thought there would be a trading range after the move down - ignoring how picture perfect the reversal bar looks at 8:13. No follow through down, but was given four chances to get out at break even. Ugh.

Trade 4 I chased a double top here. Clearly a counter trend trade. Should have been more impatient with my stop. No need for full stop + slippage.




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 bijeremiad 
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5 trades: 2 winnners, 1 scratch, 2 losers. Net +$57.

Great opportunity day, not much to show for it. Need to walk away with $200-300 on days like this.

Trade 1 Panic trade. You don't always get to get the 52-week high top tick, but if you are impatient, your time will come. Wait, even on trend days there are pull backs. Got spooked by the SPY/XLY running up quickly and VFC breaking above its channel.

Trade 2 Although that patience is tested when you are trying to get in on a limit order. I originally tried to get in when the market was $176.12/34. I chased it all the way up to $176.60 before finally getting in. I was trigger shy from the last trade. It amazes me how the last few trades can completely mess up the ones that follow it. I jumped on weakness here. Another risk because it was a trend day and I might not get back in in time.

Trade 3 Bought the pull back to the EMA21. I was focused on a multiday channel. Price was at the top and struggling to push through. I was lucky enough to get out of the last trade in time, so tried again here. It was a nice little 2.6R trade, but price went on for another 7R.

Trade 4 Hmmm I am now buying a complex pullback at the top of a $4 run up. I am a little manic at this point, as seen by my notes at 10:50 "big block trades on bid, moment of truth..." and 10:52 "asks are rising... Run!" From despair to euphoric hope in just 2 minutes. I took a bigger stop on this trade to give it room, ugh. Didn't lose more than planned, but in retrospect, risked too much.

Trade 5 I love looking for the short after a big run up. Stop it. I was mentally not my best today. Asks were floating outside my stop. I was resigned to just taking the slippage. Bad attitude. Got out at BE.

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  #262 (permalink)
 ratfink 
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bijeremiad View Post
... I am a little manic at this point, as seen by my notes at 10:50 "big block trades on bid, moment of truth..." and 10:52 "asks are rising... Run!" From despair to euphoric hope in just 2 minutes. .

I can relate well to the issue. I constantly remind myself to pull the trigger when I am a little scared rather than when I am a lot excited.

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 bijeremiad 
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4 Trades: 1 winner 3 losers. Net -$71.

Earnings day. Good numbers but not as great as the run up in the stock yesterday suggested. Strong bear open.

Trade 1 I am looking for a channel to form. Take a short. I see two high volume bars pushing price down, but price is not going down as much as it was earlier in the day. I get a pull back to the channel. I get a fourth push lower since the open - none of them are that much lower than the prior. So I jump on stalled price. Pretty content with how this trade played out for 2.5R.

Trade 2 Price is bobbling along the bottom. I get long. Three pushes above the EMA21 fail to take hold. Wish I had gotten out at the second or third. Held for a small loss, -0.2R.

Trade 3 15 minutes later, price takes what I think will be one last swipe at the LOD. Go long. My stop is below LOD, but price goes lower. Right idea, but about 30 min too early.

Trade 4 For all my seraching for a bottom, I don't know why I play this test of a prior day level. I guess I thought becuase it was such a negative day, it couldn't totally rebound, could it? Yes, yes it can. Here conviction got the better of my. I acknowledge in my set up that the trade is counter trend, which means I should be impatient with my stop and I should definitely not be adding to a CT trade, but I did, convinced I saw a complex correction. Others saw it too and were trapped with me. Price went on 9R past my tap-out point. Ugh.





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 bijeremiad 
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4 Trades: 1 winner, 1 scratch, 2 losers. Net -$76.

Trade 1 was an error. My price target had been set at a previous level of interest. When my trade was executed, it triggered automatically. Still weird that it takes 34 seconds to fill. You would think that would be more immediate. Lost $23.

Trade 2 So I get back in at 5 cents better, on the test of yesterday's high. Doesn't go anywhere. Get out for a small gain - to even the out the blunder of Trade 1.

Trade 3 After a lower high and another test of LOY, I thought the level might break. I go short. Taken out quickly.

Trade 4 Yet more lower highs, forming a triangle down. I get short again. LOY holds for 4th time. I scratch out.

Trade 5 LOY holds for 5th time, so I get long on the 6th test - only 100 shares b/c my losses are highish for the day. Breaks down into the close. Thanks Mr. Market. Thanks.




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 bijeremiad 
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4 trades: 2 winners, 1 scratch, 1 loser. Net $136.

Trade 1 I got short after price pulled back to the upper bound of a bearish multi-day channel. Market was moving quickly, which I confused with directional bias. I should have been watching volume more closely. After the 30k bar printed around 8:03, I should have been more leery of breaking higher than that bar. In stead I waited until the HOY.

Trade 2 With a bottom well established and 3 swing lows behind me, I got long. I could have minded that multi-day channel again. Fear of missing out got me.

Trade 3 Once again my most recent trade totally biases my next trade. I get short to honor the multi-day bearish trend. Price action was okay, but no much penetration past the EMA21. Got skittish and bailed for a scratch.

Trade 4 With the bearish channel challenged I bought towards the low of the trading range price had been in. Got out near the top of that trading range. Ok trade.




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 bijeremiad 
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Two trades: 2 losers. Net -72.

Trade 1 Strong move up on the open. I was pretty patient with my entry. Trade started moving my way, so I took some risk off based on a recent swing low bar, but price pushed through it before continuing on in my trade. Originaly stop would have been honored. Don't know that I can do much about that. Fair trade otherwise. Would have been a 3-4R trade.

Trade 2 A bit of a panic trade. I was out, watching the market run. I decide to get in on a very shallow pullback. Just as the market breaks a recently steeper trend line. This was more forced error than the previous trade and unduly influenced be the previous trade.



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 bijeremiad 
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Two trades: two losers, net -$106.

Trade 1 Pretty weak trade in retrospect. Hard to justify - smack dab in the middle of a trading range. Triangle pretty visible with no apparent trend. Wow.

Trade 2 Even when I go back and read my notes I can't understand why I took these trades. Was at least a little closer to the trading range extreme on this one. Cant fish from the middle of the stream...



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  #268 (permalink)
 bijeremiad 
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Two trades: Two losers, net -$75.

Mild upward trend day. Nothing too big, but a nice "easy" day. If you trade it right. I was late to getting my platform up, so didn't see the earlier set ups, but opened above HOY, and pushed past S/R from a prior day.

Trade 1 My first trade was just a little late. Stop triggered for me, even though no one in the market saw fit to transact there. Price went on without me.

Trade 2 I tried to recover the trend in the second trade just a few minutes later, but a trade error took me out before the trade even took off. Shut down for the day



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 bijeremiad 
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Two trades: two losers, net -$70.

Another 1-2 punch day. Getting old.

Trade 2 Another trade error. Profit limit triggered automatically, not even a second in the trade. Paid the bid-ask. The position of the short was ok, intended short would not have been hit, chance for small profit.

Trade 2 Chased the entry on this on a little much. I trading range, nothing too special. I was hoping for a trend continuation. Three large volume bars suggested that I might be right, so I held my position. I was in it for 90 minutes. Should have scratched. Was up 2.5R at one point. Kind of silly.



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 bijeremiad 
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3 Trades: 3 losers, net -$82.

Good losing streak going here.

Trade 1 Price pushed past the high of yesterday and came back to the EMA21. I grabbed an inside bid ask price just around the HOY. Looked like a decent pullback. Then it melted in 1 second. Surprisingly quick. It happens. Glad to be out.

Trade 2 Simple pullback to the EMA21. Then a high volume bar (32k) put a higher low and long tailed bar in front of me - a little unsettling, could be reversal with that strength. Exited at a small loss. Original stop would have been honored.

Trade 3 Poor entry motivated by missing out on the downward trend in the last trade. Coupled with a stop too tight - wasn't going to make it.



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 bijeremiad 
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4 Trades: 1 scratch, 2 losers, 1 error. Net, -$102.

Slump goes on.

Trade 1 Trade error, stop triggered immediately. Was playing off of a test of yesterday's high. Stock opened a little higher and bounced twice off HOY, so got short, but jut paid the bid-ask for 4 seconds of trade.

Trade 2 Got into the same trade 2 minutes later. Stopped out pretty quickly.

Trade 3 Got long as a last dictched effort to catch a complex pullback. Didn't play out; scratched out.

Trade 4 I am always chasing that end of day reversal after a run up. Break out set up. Had two chances to get out at BE. 1 I correctly let pass, but the second, I should have been out. Closed out just before the bell.




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 bijeremiad 
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3 trades: 2 winners, 1 loser. Net $333.

Losing streak is off. Hallelujah.

Trade 1 Lucky trade. Easily one of my best and it is an outlier. Set up is a standard pullback. Entered as price crossed the EMA21. Only 1 cent of heat, and only gave up 12 cents of drawdown at the end. Price was at the top of a multiday bullish channel. Jumped there. Wish I could count on more trades like this, but they will be few.

Trade 2 Another pull back. Stop was outside EMA21 and recent swing low. But price dipped lower than expected. Shaken out. Price went on for another 5R. Ugh.

Trade 3 Countertrend trade. Price had falied to push lower for 10 minutes. Got long. Price also failed to push higher, got out.




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 bijeremiad 
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Dark line is net profit, lighter line is gross (pre-comission).


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  #274 (permalink)
 Bermudan Option 
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Any idea why there is a larger discrepancy between gross profit and net profit for the most recent drawdown in your account?

Edit: Looks like the trend started after the first recovery now that I relooked at the graph

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  #275 (permalink)
 bijeremiad 
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Any idea why there is a larger discrepancy between gross profit and net profit for the most recent drawdown in your account?

Edit: Looks like the trend started after the first recovery now that I relooked at the graph

Not sure I follow. The gross/net graph looks like I would expect it to.

At the most recent peak (after trade 71) Gross profit is $569, net profit is $417, a difference of $152, implying at round trip commission of $2.14.

Then at the trough of the draw down, (at trade 112) gross profit is -30, net profit is -$268, a difference of $238, implying a round trip commission of $2.13 over 112 trades.

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 bijeremiad 
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5.5 trades: 3 winners, 2.5 losers. Net -$24.

Trade 1 Test of yesterdays low. Price had been bobbling along near yesterday's low. Price approached the EMA21, I got long. Taken out quickly. Move on.

Trade 2 The price put in a small hanging hammer right after I got stopped out. So i got long again. But price did not hold above the EMA21 as expected. Got out for 0.7R.

Trade 3 I got long 1 more time off a bounce from yesterday's low (why such conviction in a reversal?). Trade error. Stop was set improperly to trigger. Ironically I only lost 0.3R instead of 1R, had the trade been set up properly.

Trade 4 I finally get my short head screwed on straight. I get short after the first (kind of second) pullback after breaking through LOY. Price actoin is supportive, I get a nice tight channel down. I like how things are going so much, I add to the winning trade.

Trade 4.5 Bad timing. I add to the short, after moving my other stop to break even, so max risk remains $40. But get stopped out, with a little slippage. Price then goes to move on 10R on what could have been a double position. That would have made my month. No such luck. Should have waited for more of a pullback.

Trade 5 I was so angry about getting stopped out, and so sure that i was right, that I jumped back into the short. I was right. Price went 4.5R in my favor. I was going to let this one run. Then it put in a hanging hammer and retraced, and retraced with some big volume bars. I got scared and punted for 0.6R. Price then went on for another 10R. Ugh.





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 bijeremiad 
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Four trades, 1 scratch, 3 losers; net -$124.

Trade 1 Bullish open to the day, grinding higher. Price breaks above a key level from prior days. Wait for the pullback, get in minimal heat. Price heads back up. Then it stalls. Twice. Big bar down the second time, another key level just above the highs. Two more strong bars down and I worry. Scratch out. Original stop would have been honored but market looked like it had changed - trend line was broken.

Trade 2 In fact the long tail that followed just after confirmed my suspicion that things were weakening. Got short. I should have been a little more respectful of the trend. Four bars with no progress down, then price breaks higher. I get a little emotional at this point as evidenced by my flipping out of my short right into a buy.

Trade 3 When are flips ever unemotional? I don't have any patience for market signals that I might be wrong. I jump out when price gets half way to my stop.

Trade 4 But wait there's more I switch directions again. Long -> short -> long -> short with only 11 minutes of out-of-market time between the last three trades. And I take 16 cents of slippage on my exit. Classing sign of over trading. Ugh.





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 bijeremiad 
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Three trades: 1 winner, 2 losers; net -$86.

Trade 1 Break the high of the day on strong move up. I wait for a pullback to the EMA21 - even a little confirmation. I am long. Price plunges below the EMA and even below the HOY. I am stopped out. Great trade, would do it again. Just didn't work this time.

Trade 2 Don't recall why I missed the second pullback, but I caught the 3rd. That should have put me a little on edge even though I was with the trend. I see three pauses in the push higher, recent swing high challenged and fails to break. I get out of part of my position at the EMA21, the other half after the break of the trend line.

Trade 3 One more lower high since the last failed push past the HOD and I think structure has changed. I get short. A little late, but short. I take some heat, and then I get a good push in my favor. Price pulls back and then bobbles right at my entry point for 6 bars! Why do I have to take a full stop on a trade like this? Should have seen the trading range for what it was...




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 bijeremiad 
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Month or so has passed... Journaling and filling out trade sheets takes time. I got behind, had to reacreate some data, kept putting it off, so I didn't want to fall further behind. Stopped trading. (as you can see from this journal I am still catching up some).

3 trades: 1 winner, 1 scratch, 1 error

Trade 1 Bullish open, price grinds higher, then a big 22.5k volume bar forms a doji. 9 consecutive bars close lower. Price struggles around a key level from prior days. Swing highs are lower. I get short. Push lower but no prior lows broken. Then a strongish bar closes back up above the EMA21. I jump out for scratch.

Trade 2 I am waiting for the next pullback. Get a fantastic price. But I had been stalking for so long that my price target was lower than my entry point by the time I pulled the trigger. Instantly pulled out of the trade.

Trade 3 Still liking my position, and price going in what should have been my favor, I jump back in long 1 minute later. I exit as price stalls after reaching a key level from prior days. Nice, simple 2.5R trade.




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 bijeremiad 
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3 Trades: 2 winners, 1 scratch. Net $123.

Trade 1 9 bullish bars in a row. I hold my nose and buy at the break of the high. I don't like it, but I can't deny strength when I see it. Price pauses for 5 bars. I bail for a scratch. My stop would have been honored. Price went on for 1R. Not missing too much.

Trade 2 I was waiting for a PB given how strong the first push up was. Got a little anxious and in early. Stop held. Got out on price weakness near the HOD.

Trade 3 Third push just barely becomes HOD, but we are in a trading range maybe. Maybe in a trend. I get short. Only 1 pullback, and the price goes on for a 1.9R trade. I got out at the first signs of price curling back up. I always hope for that break out. This was a trading-range trade at best, counter trend trade at worst. Be happy with 2R.




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  #281 (permalink)
 bijeremiad 
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Dark line is net of commissions. Just barely squeaking by BE...


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  #282 (permalink)
 bijeremiad 
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1 Trade: 1 loser, net -$89.

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.





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 bijeremiad 
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6 trades: 1 winner, 1 scratch, 4 losers; net $133

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 2 Pullback 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.






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 bijeremiad 
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2 Trades: 2 losers, net -$71.

Trade 1 Bearish 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.

Close out for the day.


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 bijeremiad 
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5 trades: 1 winner, 3 scratch, 1 loser. Net $17.

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.






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 bijeremiad 
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4 trades: 1 scratch, 3 losers, net -$146.

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.

And so ends month two.





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 bijeremiad 
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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.

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 Bermudan Option 
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I see higher lows since the beginning which means smaller drawdown. Looks like the trend is leaning towards profitability imo

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  #289 (permalink)
 bijeremiad 
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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%).


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 bijeremiad 
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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.



Time in trade on x axis, Net trade P&L on y axis.

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  #291 (permalink)
 bijeremiad 
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Losing streaks. Another thing I struggled with was controlling my losing streaks. S-I-X-T-E-E-N consecutive losses. Highest on the win side was 4. This compelled me to see what the odds of seeing a 16-loss streak in 45 trades was (assuming 50/50). It lead me to something I never knew about: hexadeccanacci series. Sparing you the details, the odds are 1 in 4,900. So probably safe to assume I was titling the odds against me.



One thing I was curious about the losing streak was if it was a result of breaking any rules, such as no more than 5 trades per day or no more than $80 of loss per day (two full stops). On 6 or 15% of my trading days I did exceed my max number of trades (highlighted in yellow), but only 1 of those was a losing day (1 kind of breakeven day). I did exceed my max daily loss limit, but this was driven by slippage rather than me not honoring stops.


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 bijeremiad 
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Trade set ups. I collected more data this time around. Among that data was set up information. Here are the long/shorts for trades that were pullbacks, complex pullbacks, failed breakouts, tests, breakouts, first pullback after breakout, pressers, flips (closing and opening a position at the same time) , and “gut” trades. Pressers were trades that I tried to add to a trade that appeared to be working out. Gut trades are just as they sound – no real set up, just “looks” like it will work.
  • Pullbacks worked, both long and short. The win rates are better, the W/L ratio is better.
  • Complex pullbacks I struggled with, and oddly didn’t see on the short side. Not a lot of numbers here, so tough to draw too many conclusions.
  • Failed breakouts were tough too, but also sparse.
  • Tests I got killed on the long side, probably trying to fish the bottom. On the short side I fared a little better, but probably flat given sparse data.
  • Breakouts were pretty flat, nothing exciting.
  • First pullback after breakout were terrible on the long side and pretty good on the short. Sparse data here too.
  • Pressers were disappointing. I would have hoped for better results when a trade appeared to be going my way.
  • FLIPS were not surprising. They seem like the only logical thing to do at the time, but rarely feel right in retrospect.
  • GUT trades always “feel” right. Not much edge in the numbers.


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  #293 (permalink)
 bijeremiad 
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Crossed 10,000 views today on the journal. Thanks for looking. 91% of the journals don't make it this far - over half of those are inactive (as was I for a while). How do you tell the difference between determined and stubborn?

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 bijeremiad 
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Type of mistake. Another piece of data that I kept track of was mistakes made during trades. I classified those mistakes into 5 buckets
1. Directional (35%), thought the market was going up/down but instead it went down/up.
2. Entry error (11%), something was off on the entry: I got in too late which pulled my stop higher, or I chased the entry too much, or I hesitated too much, but if my entry had been better, the trade would have eventually gone my way or presented a better opportunity.
3. Stop Error (8%), stop too tight, or not wide enough to incorporate the latest swing low (can be tough to distinguish #2 from #3), or moved the stop too soon.
4. Execution error (28%), didn’t let a winner run, or didn’t break even when the market gave me a chance. Somewhat of a catch-all category where something could have gone better.
5. Trade error (9%) bought when I meant to sell and vice versa. Or bought too many shares. Or bought the wrong instrument. Or put in a limit order when I needed a stop loss.

That leaves 9% of my trades that I was totally happy with given the circumstances.

Here are the P&L impact of each of those groups. Over time I hope to see the directional errors decline.



Always frustrating to see the impact of those trading errors - $26 an error. They seem so avoidable.

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 bijeremiad 
San Francisco, CA
 
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I also kept track of my assessment of the market when I placed my trade, whether it was trending or in a trading range (and whether my trade was in the direction of the trend or counter). Not too many surprises: with trend was my “best“ collection of trades, really got chopped up in the trading range, and counter trend has “room for improvement”.


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 bijeremiad 
San Francisco, CA
 
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Should I set profit targets? One question I was interested in was to see how I would have fared with a price target – rather than holding onto my winners for an undetermined amount of time and profit. The Chart below shows what my P&L would have been had I exited all my winners at a predetermined profit target – including the ones where price went my way, but I let retrace a bit too much.

Fitting a curve line to those scenarios, I get an equation. The first derivative (solved for zero or just eyeball it) shows the local maximum of the curve to be about $120. But practically a $105 and $145 yield better “results”.



In both cases, my winning percentage increases a percentage point or four and my average win declines $3 to $9, contributing to a higher overall result. If I were to split my targets into 1 at $100 and the other discretionary, that might be interesting.

When I lower my hypothetical price target to 1R or $40, I get a win rate of 49%, but I lose my big winners.

One other thing that this analysis does is group all trade entries together. It might make more sense to have larger targets for with-trend trades and smaller targets for counter-trend and trading-range trades.

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 bijeremiad 
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I am going to put up this last chart without much commentary. I put it together, so it might as well be here.


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  #298 (permalink)
 bijeremiad 
San Francisco, CA
 
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I haven't been idle from a trading perspective over the last month. I have been "post-it" trading - keeping a screen in the corner of my eye and jotting down entries, targets, fills, and exits on a post-it. I will put together an analysis of those 83 trades over 19 trading days. Maybe tonight. Hopefully this week.

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