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Watch me fly like an eagle or drop like a t..rd
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Watch me fly like an eagle or drop like a t..rd

  #1 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

Watch me fly like an eagle or drop like a t..rd

Welcome to my trading journal. The intention is to use it as my trading log for my own easy review and comments from others. I trade the demo, preparing to take a Combine with TST, mainly for my own development as a trader. I have spent around 1.5 years trying to develop a reliable intra-day system with Forex, mostly for EURUSD, had strikes of good progress 6-8 weeks in length, even moved to live but only to have the market totally change and stop producing profits. Finally I have arrived to a decent understanding of price action and order flow, with reading Bob Volman's books added some final touch on setups and expectations with a realization any system like this should be only traded on Futures with 4 digit system, not 5-digit Forex with variable spreads, etc. I will try to stay withing 30k/10d combine parameters, i.e. 500 usd risk per day tops, 1500 usd max drawdown, 1500 usd target per month.

Overall I have been trading actively 3.5 years, mostly Forex, had some great success as news trader, much less so as technical trader. Currently trade Forex on long time frames and intra-day manipulations, but consider it much like investment stuff, while I want to lean on futures scalping as a day to day source of income.

I plan to trade a simulated combine-like stretch of 30 days and then if successful take a combine.

I will only trial 6E and ES, both trading separately (i.e. not counting both) with an idea to select one of them by the end of the period for the combine run.

My ES is 500 ticks chart with EMA 21, my 6E is 70 ticks chart with EMA 21. Setups are pretty much as per Bob Volman. I use stop of 4 ticks and target of 4 and 16 ticks on ES and 7 ticks stop and 7 and 14 ticks targets for 6E.

I am trading the sim with Multicharts DT I have with AMP/CQG, since I love this software and don't need tools present in more complex futures platforms, however MC offers an excellent screen trading with one click and I love to trader with my tablet PC using wacom screen stylus

I don't mind trading with T4 for Combine since I need very little from the platform, though.


Last edited by xelaar; March 13th, 2013 at 02:02 PM.
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  #2 (permalink)
Quick Summary
Quick Summary Post

The trade plan will be the following:
1. I will trade as I started, small patterns on 6E and CL, using Bob Volman's setups, not all of them just the most tiny ones: blocks, double dojis, second breaks and inside/advanced range brakes. Normal range breaks generate way too much false breaks and teases, what I want to see before I take a trade is a lot of tension and a very compressed price aciton, possible spring traps.
2. I will look for trade locations around key daily levels, so setups will be driven by stop hunt action or sentiment overwhelming level defendants.
3. I will be studying DOM to see a confirming order flow, I am reviewing corresponding materials conserning order flow, and tape reading. I want my trades to be confirmed by the tape.
4. I plan on many setups per day with target of 5-10 ticks and stop loss of 4-5 ticks. I plan to have around 50% win rate but hopefully more. Ideally I would target something like 50-100 trades a day with 5 ticks target and 3-4 ticks stop and 70+% win rate but not sure if it can be done on Euro (however with news coming all the time lately it shows many many setups), this is why I will also trade CL with same rules. 6E will only be traded from 9AM to 12 PM CET time (London before lunch) and Crude only from 9 AM to 12 PM EST time (NY before lunch). I won't touch anything else or try any other strategy, I want to get something done finally.

I give myself 1 month to work this strategy to a level I can have some confidence in and then I will take a small 30k 10 day combine.


Last edited by xelaar; March 26th, 2013 at 10:45 AM. Reason: new plan
 
  #3 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

Entry 20th February 2013


I had started to trade my simulation of Combine yesterday. Initially I started to trade 6E as 7 tick stop and 10 tick target. ES was started as 8 ticks stop and 4-12 ticks target but while profitable it won't likely to fit into Combine parameters so I have changed it for today.

Here are my trades on 6E yesterday:

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Summary of trades:
1. -7 ticks (1)
2. -6 ticks (1)
3. -7 ticks (1)
4. 0 ticks (1)
5. +10 ticks (1)
6. +10 ticks (1)
7. -3 ticks (2)
8. +1 tick (2)
9. +3 ticks (2)

Total: +25 usd - 12x5 = -35 usd, win/loss ratio 4:4 50%, 1 break even trade, avg winner 4.6 ticks, avg loser 5.6 ticks


ES trades
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1. +4 +50$ (1)
2. -2 -25$ (1)

3. +4 +50$ (1)
4. -2 -25$ (1)

5. +4 +50$ (1)
6. +8 +100$ (1)

7. +3 +37.5$ (1)
8. +5 +62.5$ (1)

9. -5 -62.5$ (1)
10. -5 -62.5$ (1)

11. +4 +50$ (1)
12. +4 +50$ (1)

Total count: +22 ticks +275 usd - 12x5 = +215 usd
WinLoss ratio: 8:4 66.6% Avg win: 4.5 ticks Avg loss: 3,5 ticks

1st day trading conclusions: protect trade when near the take profit, actions applied to use trail stop. I normally prefer to have more breathing room for a trade, but if price comes back and stops me out for a tick or two, it would screw my time stats at combine, i.e. my losing trade will acquire too much time in duration and effectively I might get losing trades longer than winning trades due to this protection/stop outs. Solutions: I will move trade to break even +0, I can't use a negative value due to the factors above and I can't move a tick to profit first because I will screw up my profit trade average size and second I will really decrease my chances of trade working out, so I better stuff concerns about commissions far away and expect that next runner will cover all these short comings.

I will be using next setup from tomorrow: ES 4tick SL, 1st target 4 ticks moving second part to entry and 2nd target 8-12 ticks. For 6E it's 7ticks for SL, first target 8 ticks, at this point moving second part to entry, second target 15 ticks (possibly extend in high momentum market).


Last edited by xelaar; February 21st, 2013 at 05:06 PM.
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  #4 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

Entry 21st Feb 2013

Here are today's trades.
First off 6E
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1. +4 +100$ (2)
2. +5 +62.5$ (1)
3. +5 +62.5$ (1)
4. +10 +124$ (1)
5. +4 +50$ (1)
6. +10 +250$ (2)
7. +7 +87.5$ (1)
8. 0 (1)
9. 0 (2)
10. +1 +25 (2)
11. +1 +12.5 (1)
12. -7 -87.5$ (1)
13. -7 -175$ (2)
14. +7 +175$ (2)
15. +8 +100$ (1)

Total: +63 ticks + 787.5$ - 5x21 = 682.5$
Win Loss ratio: 11:2 = 84.6%
Avg win: 5.63 Avg loss: 7
Despite very nice winning day that delivered almost half of 10 days profit objective, I would still fail due to bigger losses than wins, even through win rate is 85%! I need to stop taking these +1 +2 scratches, even though it makes sense in real life to pay for commissions, in Combine it may be a difference between pass and fail!

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I am so tired I won't do a calc on ES today, overall MC gives me following stats for today:
gross profit: 625$
gross loss: 275$
trades: 16
net profit: 350$
profitable: 50% trades

Overall a good day on ES too. Tomorrow I will put together an excel book so I stop doing these numbers by hand once and for all, and will get a time metric as well


Last edited by xelaar; February 21st, 2013 at 05:58 PM.
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  #5 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

Stats for two days

My spreadsheet is ready, here is my 6E trades for last two days.

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ES trade stats

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Last edited by xelaar; February 22nd, 2013 at 08:31 AM.
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  #6 (permalink)
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prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

Sorry guys for disappearing. I am in Spain for race season opening. Will get back to trading next week. I have decided not to restart my attempt but to treat it as 50k and 20 days so I will keep the count intact.

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  #7 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

I am back! After giving it some thoughts I decided to stick with my original plan simulating 30k/10d Combine and simply restart the attempt. Besides, my spreadsheet gave me much statistical information and things to reconsider regarding trade management.

Here is my updated rules:
1. Due to limitations of T4 and clear unability to match my Multicharts strategies, I will trade only whole trades, without scaling in and out. I am certain scaling in and out is most advantageous strategy when done properly and I will likely to use it for my real trading, but it might be difficult to maintain proper statistics for Combine, specially because they treat scaled-out trade as a separate trade.
2. For simplicity sake, I will trade my next simulation in a very easy trade management fashion by simply having 7 ticks stop and 10 ticks profit for 6E instrument and 4 ticks stop and 6 ticks profit for ES. I will check out YM and NQ for a possibility to add into my trading portfolio.
3. I will narrow my trading session limitations: I will only trade 6E during the first half of London (8-30AM-12-30PM GMT) and I will only trade ES during US stocks sessions 30 minutes after the opening (10AM-12PM EST)
4. I will not trade during: end of month, NFP Friday, any Friday after London mid-day, before any big expected announcements that day.
5. I will not try to trade breakouts of any larger (20 ticks or more) ranges, instead will anticipate them to hold and fade the borders.
6. I will trade any trend day in a direction of trend and won't anticipate any reversals or prolonged ranges, trading only a continuation side on any congestion.

My plan is to follow these simple rules for 2 weeks, doing 10 trading day simulation.

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  #8 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

Ah and I have the following trade size strategy:
1. Always start session or day with 1 contract
2. If trade direction changes from the previous successful trade direction, start with 1 contract
3. Add contracts after a successful trade when going in the same direction unless fading large range borders

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  #9 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

I have planned to restart my simulation trading today, but my demo account expired and I have got a new one only before the start of US session. I still did trade 6E, ES and CL, but honestly I wanted more to get a feeling for it, rather than results, after a week-long absence from the markets. Even though I am positive today on all instruments, I won't include it into the stats and start tomorrow as per my plan.

You might notice some changes, due to my mentioning of CL. Yes, I know it is a difficult instrument to trade, but it seems that it follows Price Action rules well and moves good enough. I will look to use Vince Virgill's trading method with 800 ticks and Mack's entry rules. Not sure yet about stops size but for starters I will assume 20 ticks stop, 10 ticks profit on first contract and second one is a runner. Trading with stop large like this won't be an option for 30k Combine, but I will leave an option to do 50k instead if I see good results. Originally I though about trading CL same way as 6E, from 70 ticks chart but it's too violent in my opinion, and the only way to trade like this is to gun for profits 2-3 times stops, but with stop of 8-10 ticks on CL I am looking most likely at best 30-40% win rate, so it won't fly for a Combine. Besides, my main instrument is 6E so I can't concentrate to trade very actively them both, so CL will be trialed in the same manner as ES - less trades per day, gun for good runners.

Another change before I start my simulation. This time about ES. My original idea with 4 ticks stop seems to be foolish. It works sometimes but many times it will stop me out of the perfectly reasonable trade. ES tends to do backing and filling, so I have considered trading it differently. I have noticed that ES will have either a trend movement after NY open, pushing daily high or low one way and then eventually reverse gears and do a rather substantial pullback up to 50-60% of the daily range and then continue it's way, OR, it will range from one range border to another. I will try to use Mack's (priceactiontrading.com) rules with the exception I won't be taking 4 ticks profits and will go for 8 ticks or more with maximum stop of 8 ticks. I hope I can still achieve 45%+ win/loss ratio. I will bring trade to break even as soon as possible.

Let's see how it goes.


Last edited by xelaar; March 5th, 2013 at 08:02 AM.
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  #10 (permalink)
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prague, czech republic
 
Futures Experience: Intermediate
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Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received


I still did not start my simulation, was playing with the markets last two days again, trying to find a more suitable combinations of stops and profit that should work for the market and for combine. I will start my attempt on Monday, and will fix all the parameters for 10 days of simulation. I will stick with 30k-10d.

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