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cunparis journal, thoughts, and more

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  #361 (permalink)
 fiki 
sweden
 
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CP,
vwap to me is just a mathematical spaghetti line on my chart. it not pure market generated data. the center of the distribution is vpoc. i think its important because it is a used by lots of algos for executing orders. and assuming 50-50 odds is assuming a symmetrical probability. dont remember the qoute exact but as taleb nassim says, we do not see the roulette barrel of reality...

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  #362 (permalink)
 cunparis 
Paris, France
 
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A euro trade. I anticipated a double top which was at the value area high so I went short. I got a late entry and so I had to be very aggressive protecting profits. It started pulling back so got out at +3. It would have hit +10 but I probably wouldn't have gotten filled. I'm still working on managing these but I keep to two principles: don't get stopped out and don't let a winner turn into a loser.

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  #363 (permalink)
 cunparis 
Paris, France
 
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Well it's the end of my first week trading the l2st simplified trading plan. First though I exited my swing trade for a few ticks profit at 1095. We were getting some support and with option friday I didn't really know how it was going to turn out and I didn't want to hold over the weekend so I thought it was best to get out. I guess I ended up being "right" yet was early in my entry and early with my exit so in the end I was "wrong". Goes to show you can be right about direction but that's only part of the criteria for a winning trade.

In hindsight the best thing would have been to get out at breakeven the next day and then look for a better entry. At 1210 there was a nice short setup but I missed it since I was already short. And my risk tolerance didn't allow me to add to my position. So another lesson learned, fortunately it didn't cost me.

So here's the results after 6 days trading the l2st plan (ES is not the l2st method):



First there was a mistake on a previous day for crude. Actual performance was actually $100 less (I think I put $145 instead of $45 or something like that).

The Dax seems to be ok for me and that matches my perception. The dax is very volatile yet at the same time it's calm and a bit slower than crude. I don't know if it was just me but crude was pretty crazy this week. Crude was barely profitable. I still keep having second thoughts about crude but as I said, if I'm in the l2st room then I don't want to trade something else. So i'm going to give crude another week.

Euro I don't have enough data, only 4-5 trades.

ES - I was mostly trading a mechanical strategy that I've come up with and this is still experimental. I had a big losing day but I used wide stops that got taken out. So room for improvement there. I'll be paying more attention to this next week.

Back to the l2st plan.. target 10 and stop 6 is working better for me. I'm usually able to get out with less than 6 tick loss. i do think the ninja simulator is a bit nice when it comes to slippage but I won't be able to confirm that until I start trading. That would be a nasty surprise to get 1 or 2 ticks less when stopped out so I want to make sure I don't trade real money until I'm very profitable & very confident.

The l2st plan is focused on small trading ranges on a very fast chart (200volume for CL). I think I prefer to focus on the bigger setups on the higher timeframe with confirmation on the smaller timeframe. I'm going to think about this over the weekend and try to be a bit more selective next week.

More reflection on those trades - I'm missing a lot. My intuition tells me to enter, my brain says let me verify that and then my brain says "ok you can enter" and it's too late. So next week I want to be more selective on the setups but more aggressive on the entries.

I'm attaching my stats for the dax over the past 6 days. PF is 1.96 so that's great. My criteria is 2.0 for real money trading. My short PF is 1.38 and that shows that I took some short trades that I shouldn't have. Perhaps against the trend I don't know. so that's another thing to focus on.

Let me know what you guys think. I hope you did well this week. Have a nice weekend.

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  #364 (permalink)
iwannatoscript
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I see this great indicator, is it possible that we have on multicharts?

 
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  #365 (permalink)
 cunparis 
Paris, France
 
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iwannatoscript View Post
I see this great indicator, is it possible that we have on multicharts?

Which indicator?

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  #366 (permalink)
 shodson 
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cunparis View Post
That's an interesting concept to hedge with vix calls instead of ES puts. I hadn't thought of that. But still that's an expensive hedge when vix calls are 10x the price of puts. Means a lot of people are hedging for a move up in the vix which means they're bearish on the stock market. Just a hedge yes but I believe the good fund managers hedge wisely.

I'll post my read of the S&P 500 later this weekend. We're approaching terriority where we may make a minor top, which of course will probably be retested. ALso those vix options should expire this month around the 19th and with max pain theory the market may stay high. I have to look at the S&P options.

VIX calls had a nice day. The April 19 strike was up 220% since it was OpEx day. The May strikes were up 23%. The SPY moved down 1.59%

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  #367 (permalink)
 cunparis 
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Here's an idea for a new DOM for Ninjatrader. But first I'd like to see them get 7.0 working. I guess this DOM could be released in 2015.

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  #368 (permalink)
 sam028 
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cunparis View Post
Here's an idea for a new DOM for Ninjatrader. But first I'd like to see them get 7.0 working. I guess this DOM could be released in 2015.

And it's better like this, because this (very nice) DOM will require too much more cpu than the current DOM, unless the refresh rate is set to something useless.
So 2015 will be fine, 10 gb/s and 6 ghz/hexa-core for everybody .

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  #369 (permalink)
 Big Mike 
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I like the "progress bar % fill" graph for each bid/ask depth. The depth needs to be increased to 10, which is supported already but they refuse to do it.

I'm not sure about the volume study on the dom though, it's interesting but now I am configuring my dom like an indicator, what is the volume study based on? Only graphing the depth displayed? Or for today? Or cash session? Or this week? etc.

Maybe I am not interested only because I don't use the volume study

But nice job on the graph illustration for bid/ask.

Mike

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  #370 (permalink)
 cunparis 
Paris, France
 
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Big Mike View Post
I like the "progress bar % fill" graph for each bid/ask depth. The depth needs to be increased to 10, which is supported already but they refuse to do it.

I'm not sure about the volume study on the dom though, it's interesting but now I am configuring my dom like an indicator, what is the volume study based on? Only graphing the depth displayed? Or for today? Or cash session? Or this week? etc.

Maybe I am not interested only because I don't use the volume study

But nice job on the graph illustration for bid/ask.

Mike

I didn't mean to give the impression that I made it, sorry guys, someone posted that in the NT forums. I tried linking to it but the link wouldn't work so I uploaded the image.

If you read the "no bs daytrading" he talks about how X-Trader shows the volume traded at each level. It's important to know that to detect spoofing activities. I wish NT had it. But we can use the volume ladder for this but it's harder to keep the eyes moving back and forth.

Sam - in the l2st room the Infinity AT DOM lags sometimes and I'm quite happy that the Ninja DOM is very fast. The Infinity users are having some problems and I'm not having any. So it seems the Ninja DOM performance is really critical and anything that would slow it down would have to be optional. If Ninja was properly designed to be multi-tasking and use multiple cores, you could have all that pretty volume stufff run on a seprate CPU so it wouldn't slow down the main DOM functions. But I'm not sure the Ninja developers are sophisticated enough to do that. It makes the programming a little more complicated.

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