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Trading fast markets
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Trading fast markets

  #941 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
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Pedro40 View Post
Welcome back!

Wow that direction change rule is strange. Yes sometimes the market is rangebound and turns 4-5 times. They should allow at least 3 changes, that would still cut down on the flippers....

Thing is, it's not scalping. Its trying to get onto runners with small risk, when both low time frame and higher time frames look solid and there is a way to go. Once it starts to chop and regress, one direction change rule prevents you from losing a sight and being chopped off, so you can rejoin trading next session or next day.

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  #942 (permalink)
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March 16

This is to be expected a low volume week before the roll-over. We have an established pattern of counter-trend European session, doing deeper and deeper stop runs and then relentless and often dead-time timed no-pullback runs up during mid-US session. It's a difficult market to trade for EU-centric trader.

Thus said, I intend to implement my plan any way. Today Draghi is giving a speech at 1945, so expect any new ATH to be timed to that. It means a probable regression and messy stuff before that. I will have enough time to think through the strategy to buy on Draghi-induced buying spur. I have few ideas.

upd: when man makes a plan, God laughs. So much of a deeper stop run and waiting for Draghi, new ATH right after 9 AM. Don't get into routine guys, every day is a new adventure.

Trade to live. Not live to trade.

Last edited by xelaar; March 16th, 2015 at 05:09 AM.
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  #943 (permalink)
The Narrow Road
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xelaar View Post
This is to be expected a low volume week before the roll-over. We have an established pattern of counter-trend European session, doing deeper and deeper stop runs and then relentless and often dead-time timed no-pullback runs up during mid-US session. It's a difficult market to trade for EU-centric trader.

Thus said, I intend to implement my plan any way. Today Draghi is giving a speech at 1945, so expect any new ATH to be timed to that. It means a probable regression and messy stuff before that. I will have enough time to think through the strategy to buy on Draghi-induced buying spur. I have few ideas.

upd: when man makes a plan, God laughs. So much of a deeper stop run and waiting for Draghi, new ATH right after 9 AM. Don't get into routine guys, every day is a new adventure.

Mind the gap too ... :-)

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  #944 (permalink)
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podski View Post
Mind the gap too ... :-)

Hey Paul, long time no see, glad you are here.
Yeah, there is a gap to RTH on Friday, so according to the gap theory, with-trend gaps tend to close. So there might be a move down soon. And possibly another move up in US session.

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  #945 (permalink)
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So no Draghi explosion today. Boohoo. But we had 290 points day nevertheless. Crazy as it sounds. Up from 9 AM and restless until 5 PM. Nothing normal there. Pretty much no fat trades for me, until very late into the move so I stepped aside. There were good trades from 3M but that was only for educational purposes. Too big stops.

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  #946 (permalink)
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So big news today at 11 AM. Tomorrow is FOMC, then we had a 3witching. What a week. I hope to call it early and be gone by Thursday to the first race weekend of the season in Croatia. HoHo.

Anyway, gap down this morning, almost closed by now, so a continuation up is likely. Give the circumstances a chance of pre-market trade before 9 AM is low, as immediate trend down is rolling over up.

There is a good chunk of space before the YH/ATH so we can expect a decent price action as price moves up. If it breaks down, remain careful as it can be a stop run with a V shaped reversal up.


upd wow just noticed I had become a "market wizard". I guess if you change "market" to "market blahblahblah" it will be just right

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  #947 (permalink)
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There is one big realization that came to be lately: market can have an ordinary volatility and extra-ordinary volatility and its behavior is totally different among them. Ordinary volatility can be higher or lower, and price generally follows market structure fundamentals, you can plan stops and take profits adjusted to the volatility and trade same strategy. However, during extra-ordinary volatility, there is pretty much no market structure to anchor to, trading strategies aimed to ordinary volatility times perform badly and, unlike ordinary volatility times when markets are fractal and repetitive, extra-ordinary volatility markets are one-off events, providing almost unique price action every time, making it very difficult to trade with any structure-concision strategy (pullbacks, consolidations, breakouts, etc), and the only choice is hoping to ride momentum.

So the revelation is, if you limit your trading to the ordinary volatility markets and learn to by-pass extra-ordinary volatility market, you will do very well.

Talking about ordinary volatility. I have found out, that it is very well worth it to trade less volatile market state from lower time frame, and more volatile market state (still orderly market) from higher time frame. Currently I use 30 second and 3 minute time frame for trading. I use ATR(20) to determine volatility. Anything above 6 points on 30 seconds makes me stop trading (as stop will be above 7 points) it and wait either to have market to calm down, or to get an entry from 3 minute time frame off its market structure. Same time I won't take a trade off 3 minute frame is low volatility market, let's say if ATR(20) on 3M is less than 10 points. Because while it still likely to work, there is no sufficient reward potential to justify trading off this timeframe, so it is better to focus on smaller time frame. Since I had automated entry detection, I have filters that let out unsuitable conditions for each time frame.

Trade to live. Not live to trade.

Last edited by xelaar; March 18th, 2015 at 07:09 AM.
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  #948 (permalink)
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xelaar View Post
There is one big realization that came to be lately: market can have an ordinary volatility and extra-ordinary volatility and its behavior is totally different among them. Ordinary volatility can be higher or lower, and price generally follows market structure fundamentals, you can plan stops and take profits adjusted to the volatility and trade same strategy. However, during extra-ordinary volatility, there is pretty much no market structure to anchor to, trading strategies aimed to ordinary volatility times perform badly and, unlike ordinary volatility times when markets are fractal and repetitive, extra-ordinary volatility markets are one-off events, providing almost unique price action every time, making it very difficult to trade with any structure-concision strategy (pullbacks, consolidations, breakouts, etc), and the only choice is hoping to ride momentum.

So the revelation is, if you limit your trading to the ordinary volatility markets and learn to by-pass extra-ordinary volatility market, you will do very well.

I've found this very true for many fast moving instruments. It's almost like dealing with two completely different markets. One day I could hit all my targets over and over, and then the next day it's like I'm dealing with a completely different monster altogether. I could write a book trying to explain why this phenomenon occurs because it's a culmination of many complicated variables working in unison churning out an almost infinite array of patterns.

The best way I deal with an instruments varying degrees of volatility is simply to just download the previous few hours of data from the beginning of the day and replay it at different speeds depending on the price action I'm looking for. I like to get a sense of what I'm dealing with before I jump in and try to wrap my head around what other traders of similar style were up against because it may give me clues if they've hit their daily loss limit or not. Obviously sentiment can shift at anytime too, that's also something to keep aware of. I used to just look at the chart and guess about what had happened, but I've found that doesn't convey enough information to me. There's a lot of movement locked inside a chart that can't really be discerned with whatever bar-type is used be it timebased or not. Some of the movement that looks like I would've caught it simply isn't so when I review how fast or slow it occurred.

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  #949 (permalink)
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A quick trading life-hack here: how to determine volatility bands for given time frame - just put a very long time period ATR there, say 10000 periods for a 30s time frame, and see what it is. For DAX it is about 3-3.5 points. Indeed, my default is stop developed by a gut feeling was 4 points. So when it rises to 6, it's time to move up to next time frame. For 3 minutes my stop again developed by watching the market and manually back testing is about 10 points. What is 1000 atr? 9 points. so for anything more than 18 points - time to stop trading that TF. For me it means stop trading altogether, as for intra-day trading having 2 gears is more than enough IMO.

Trade to live. Not live to trade.
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  #950 (permalink)
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Back to trading


After the race season opener this weekend in not-so-shiny-this-time-out Croatia (but still good) I am back to my desk.

Some decent pre-market setups but I decided to wait until it is open as it is Monday, new contract. We had this big sell off right after the close that lasted 30 minutes. No entries for me. I am trading from 8am till 12pm, so there are still 2 hours left today but apparently this move is over and unless we have another, calmer push, there will be no trades today.

Trade to live. Not live to trade.
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