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Scalpingticks ES Journal

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  #1 (permalink)
Chicago, IL
 
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I'm about 2 years into trading and I believe I've finally found my niche. I've traded various CME/CBOT products but I keep finding myself back at the ES. I've decided to focus on one product and one style. I've had some pretty devastating losses due to every newbie screw up in the book. I've revenge traded, blown accounts, over-traded, you name it I've done it.

I enjoy being active in the markets and taking more of a scalping approach. I don't care to sit in front of the screen for hours waiting for that perfect set up, this may be the death of me as a trader but I prefer being much more active in the market. I watch the ladder and time/sales and base all of my decisions on this information. I keep a 5 min chart open for general reference but don't run any indicators or trade from the chart. Most of my losers run 4-5 ticks and most of my winners run 3-4 ticks. On occasion I'll get a 6-8 tick winner and unfortunately on occasion I'll have a 20-30 tick loss and completely screw up my week/month etc.

My trading cycle for the past year is, small profit, small profit, small profit, large loss, rinse, repeat. I have a win rate pushing 70% but historically I have let my losers get way out of hand at times. I believe that my style will work because I have thousands of trades under my belt using this style, I can NEVER again allow a large loss. I can NEVER move my stop again "just a tick" and "just another tick".

I'm open to any suggestions or thoughts this community can provide me. I don't know everything by any means and I'm always willing to listen and learn.

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  #3 (permalink)
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Sound great scalpingticks! I'm looking forward to your journal !

“Happiness is the meaning and the purpose of life, the whole aim and end of human existence.” Δ

“There is no path, but only a fool wouldn’t follow it.”
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  #4 (permalink)
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scalpingticks View Post
I'm about 2 years into trading and I believe I've finally found my niche. I've traded various CME/CBOT products but I keep finding myself back at the ES. I've decided to focus on one product and one style. I've had some pretty devastating losses due to every newbie screw up in the book. I've revenge traded, blown accounts, over-traded, you name it I've done it.

I enjoy being active in the markets and taking more of a scalping approach. I don't care to sit in front of the screen for hours waiting for that perfect set up, this may be the death of me as a trader but I prefer being much more active in the market. I watch the ladder and time/sales and base all of my decisions on this information. I keep a 5 min chart open for general reference but don't run any indicators or trade from the chart. Most of my losers run 4-5 ticks and most of my winners run 3-4 ticks. On occasion I'll get a 6-8 tick winner and unfortunately on occasion I'll have a 20-30 tick loss and completely screw up my week/month etc.

My trading cycle for the past year is, small profit, small profit, small profit, large loss, rinse, repeat. I have a win rate pushing 70% but historically I have let my losers get way out of hand at times. I believe that my style will work because I have thousands of trades under my belt using this style, I can NEVER again allow a large loss. I can NEVER move my stop again "just a tick" and "just another tick".

I'm open to any suggestions or thoughts this community can provide me. I don't know everything by any means and I'm always willing to listen and learn.

What are your entry conditions to enter a trade?

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  #5 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
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scalpingticks View Post
I'm about 2 years into trading and I believe I've finally found my niche. I've traded various CME/CBOT products but I keep finding myself back at the ES. I've decided to focus on one product and one style. I've had some pretty devastating losses due to every newbie screw up in the book. I've revenge traded, blown accounts, over-traded, you name it I've done it.

I enjoy being active in the markets and taking more of a scalping approach. I don't care to sit in front of the screen for hours waiting for that perfect set up, this may be the death of me as a trader but I prefer being much more active in the market. I watch the ladder and time/sales and base all of my decisions on this information. I keep a 5 min chart open for general reference but don't run any indicators or trade from the chart. Most of my losers run 4-5 ticks and most of my winners run 3-4 ticks. On occasion I'll get a 6-8 tick winner and unfortunately on occasion I'll have a 20-30 tick loss and completely screw up my week/month etc.

My trading cycle for the past year is, small profit, small profit, small profit, large loss, rinse, repeat. I have a win rate pushing 70% but historically I have let my losers get way out of hand at times. I believe that my style will work because I have thousands of trades under my belt using this style, I can NEVER again allow a large loss. I can NEVER move my stop again "just a tick" and "just another tick".

I'm open to any suggestions or thoughts this community can provide me. I don't know everything by any means and I'm always willing to listen and learn.


If you don't mind sharing, what is your average net profit per contract per trade (after commissions)?

THANKS

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  #6 (permalink)
Chicago, IL
 
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budfox View Post
What are your entry conditions to enter a trade?

I trade extremely discretionary, therefore I really don't have any rules or conditions on when to enter. There are times I may see price breaking a level in the daily volume profile and I may go with the break but there are other times I'll let the price break the level and attempt a fade trade. I try to get in the flow with the market and let it guide me on my entries. I'm a very short time frame trader and I'm not looking for a big move. If I can take a quick 3 or 4 tick scalp within a few mins I'll take my profit and look for the next trade.

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  #7 (permalink)
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kevinkdog View Post
If you don't mind sharing, what is your average net profit per contract per trade (after commissions)?

THANKS

I would estimate around $30 per contract.

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  #8 (permalink)
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scalpingticks View Post
I would estimate around $30 per contract.

THANKS!

Can you help me out here, because I can't get the math to work using the numbers you gave earlier (I realize they are just estimates, but a tick here or there in scalping can really change things).


From your earlier post...
70% wins
Winners 3-4 ticks (let's say 4 ticks)
Losers 4-5 ticks (let's say 4 ticks)

.70*4 - .3*4 = 2.3 ticks - .4 ticks commission = 1.2 ticks = $15 average per trade

But if instead your average win was 6 ticks, then that would yield $32.50 per contract per trade, in line with your estimate. Or if your win % is 80% (with 4 tick win, 4 tick loss), then you'd be at $25 average.


I'm always intrigued by scalpers like yourself, and I am trying to understand your basic approach.

Can you tell me what I might be doing wrong calculating your numbers?

THANKS!

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  #9 (permalink)
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kevinkdog View Post
THANKS!

Can you help me out here, because I can't get the math to work using the numbers you gave earlier (I realize they are just estimates, but a tick here or there in scalping can really change things).


From your earlier post...
70% wins
Winners 3-4 ticks (let's say 4 ticks)
Losers 4-5 ticks (let's say 4 ticks)

.70*4 - .3*4 = 2.3 ticks - .4 ticks commission = 1.2 ticks = $15 average per trade

But if instead your average win was 6 ticks, then that would yield $32.50 per contract per trade, in line with your estimate. Or if your win % is 80% (with 4 tick win, 4 tick loss), then you'd be at $25 average.


I'm always intrigued by scalpers like yourself, and I am trying to understand your basic approach.

Can you tell me what I might be doing wrong calculating your numbers?

THANKS!

Sorry I read your question of "net profit" to mean what do I net on average out of a profitable trade. I used $30 since I assumed a 3 tick winner less $4 for commish then reduced it down to $30 for conservatism.

When factoring in losing trades to be honest I'm not really sure. I've just recently "turned the corner" with an above 50% win rate. I also have traded with 3 different brokers over two different machines in the last 6 months and I haven't kept track of my trading statistics in an independent spreadsheet (I think this would be a good idea).

I know that over the course of the past 2 years my average trade has to be negative since my trading capital has been on a decline. My equity curve would be downward sloping but not a consistent drawdown. It would start with a large amount, spike downwards, level off, curve upwards a bit and then spike down again. Only within the past few months have I allowed myself to just be okay to focus on one market (ES) and just go with the flow and stop worrying about looking for setups etc. I have been trying to just buy when the market appears to be going temporarily higher. I'm only interested in what is going to happen in the next 3-6 ticks. I'd like to eventually work up to significant size to make the smaller tick movements worthwhile. That is a big reason why I'm trading the ES. I figure if I'm going to learn a market through and through, I might as well learn a market that I can trade enough size to make my style have enough dollars profit.

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  #10 (permalink)
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scalpingticks View Post
Sorry I read your question of "net profit" to mean what do I net on average out of a profitable trade. I used $30 since I assumed a 3 tick winner less $4 for commish then reduced it down to $30 for conservatism.

When factoring in losing trades to be honest I'm not really sure. I've just recently "turned the corner" with an above 50% win rate. I also have traded with 3 different brokers over two different machines in the last 6 months and I haven't kept track of my trading statistics in an independent spreadsheet (I think this would be a good idea).

I know that over the course of the past 2 years my average trade has to be negative since my trading capital has been on a decline. My equity curve would be downward sloping but not a consistent drawdown. It would start with a large amount, spike downwards, level off, curve upwards a bit and then spike down again. Only within the past few months have I allowed myself to just be okay to focus on one market (ES) and just go with the flow and stop worrying about looking for setups etc. I have been trying to just buy when the market appears to be going temporarily higher. I'm only interested in what is going to happen in the next 3-6 ticks. I'd like to eventually work up to significant size to make the smaller tick movements worthwhile. That is a big reason why I'm trading the ES. I figure if I'm going to learn a market through and through, I might as well learn a market that I can trade enough size to make my style have enough dollars profit.


I definitely agree, keeping track of your statistics is a very good idea. Numbers don't lie, and staring at those numbers can really help you identify weak points in your approach.

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  #11 (permalink)
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kevinkdog View Post
I definitely agree, keeping track of your statistics is a very good idea. Numbers don't lie, and staring at those numbers can really help you identify weak points in your approach.

Cool. Any suggestions on the basic stats I should keep track of? Simply trade, net profit, # of contracts?

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  #12 (permalink)
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scalpingticks View Post
Cool. Any suggestions on the basic stats I should keep track of? Simply trade, net profit, # of contracts?

It really depends what your are going to do with the information.

Below is one I use to track a strategy. I like to add the time and date, to go back and review the trade. I add in slippage, have calculations built in for commission, and assume every trade is 2 contracts (since I trade multiples of 2).

This works for me, and my particular system.

For you, to start, just record everything for that trade. If it is discretionary, you can even record your feelings at time of entry and/or exit. You never know what you might need a piece of data for.


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  #13 (permalink)
Chicago, IL
 
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Ugly day today, 8 trades and kept fading an obvious move down in the ES looking back. I'm a bit frustrated in myself for allowing the 8 and 10 tick losers and also to continue trading once I realized I was off my game. I need to set a firm rule that once I'm down 10 ticks I'm out for the day. Traded like a rookie today.

trade 1 -6 long
trade 2 -10 long
trade 3 -4 long
trade 4 +4 short
trade 5 +2 short
trade 6 -8 long
trade 7 -6 long
trade 8 -4 long
net loss of 32 ticks

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  #14 (permalink)
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The other thing that I notice happening when I have days like today is that I abandon my game plan looking for that miracle trade. At one point I was down 20 ticks or so I had a nice 8 tick unrealized profit from the downtrend that I should have taken as a profit but I decided to let it ride to "try to make back my losses" and ended up with a 4 tick stop out. If I would have been even on the day I would have taken that 8 ticks but when I get down I guess I don't think those 8 ticks are worth it since I'm already down on the day. Emotional capital taking a big lump today.

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scalpingticks View Post
The other thing that I notice happening when I have days like today is that I abandon my game plan looking for that miracle trade. At one point I was down 20 ticks or so I had a nice 8 tick unrealized profit from the downtrend that I should have taken as a profit but I decided to let it ride to "try to make back my losses" and ended up with a 4 tick stop out. If I would have been even on the day I would have taken that 8 ticks but when I get down I guess I don't think those 8 ticks are worth it since I'm already down on the day. Emotional capital taking a big lump today.

I can relate well to that, a big part of my progress/process is now to remember 'a trade is a trade is a trade' - maybe think that if you took those 'just 8 ticks' every day you would beat most traders..., now that's worth it!

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  #16 (permalink)
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I've learned that a lack of discipline is my biggest challenge. I'm actually a pretty decent trader most of the time but not abiding to a specific set of rules is killing my results. IMO being discretionary is to my advantage but I need to develop a core set of rules that I stick to. I'm going to list some rules, if anyone has some additional insight please let me know.

Rule #1: Individual trade loss rule. No losses greater than 4/5/6 ticks per trade
Rule #2: Daily loss rule. Stop trading when loss hits daily limit, 10/12/15
Rule #3: Losing trade limit. Stop trading when I hit 2/3/4 losing trades in a row
Rule #4: Weekly loss limit. Stop trading for the week if either $ amount of # of tick amount is exceeded
Rule #5: Some sort of high watermark profit rule. If I hit X profit intraday, I walk at minimum with X

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  #17 (permalink)
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I know it sounds like an oxymoron and probably is but I was wondering today if it is possible to program an algorithm based on my thoughts on when to enter a trade which is based on pure discretion? In other words, when I take a trade, I always have a very specific reason why I took the trade; for example the high of the day is breached on a slow day, the bids don't follow the price up and it appears longs are covering a few ticks above the high to get out at a good price. Can discretionary "scenarios" be programed?

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  #18 (permalink)
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Hi scalpingticks,

my scalping strategy for ES and other instruments has mostly discretionary entries. For the Exit I use a program to Takeprofit or Stoploss.
If I want to move Stoploss manually I leave the screen and do something else.(That is one part I have learned from my trading of such "bad" days you talked some posts earlier)

The only rule I allow is to move Takeprofit manually to bigger Profit.

The biggest Problem in trading is not to find your own rules but to follow these rules.
I think this is what makes a Trader profitable.

aiti

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  #19 (permalink)
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scalpingticks View Post
I've learned that a lack of discipline is my biggest challenge. I'm actually a pretty decent trader most of the time but not abiding to a specific set of rules is killing my results. IMO being discretionary is to my advantage but I need to develop a core set of rules that I stick to.


aiti View Post
The biggest Problem in trading is not to find your own rules but to follow these rules.
I think this is what makes a Trader profitable.

Eternal truths indeed. After umpteen years of system development my entire focus is now on this area of psychology, each day I can touch progress but I can't yet hold on to it. Thanks for the posts, I have made decent enough progress on stop rules that I can now contain over-trading days to not be account destroyers, even though I haven't yet managed to stop the over-trading. This was a surprise to me so maybe there is hope yet for the Main Rule to come to fruition soon.

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  #20 (permalink)
NYC + NY / USA
 
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scalpingticks View Post
I've learned that a lack of discipline is my biggest challenge. I'm actually a pretty decent trader most of the time but not abiding to a specific set of rules is killing my results. IMO being discretionary is to my advantage but I need to develop a core set of rules that I stick to. I'm going to list some rules, if anyone has some additional insight please let me know.

Rule #1: Individual trade loss rule. No losses greater than 4/5/6 ticks per trade
Rule #2: Daily loss rule. Stop trading when loss hits daily limit, 10/12/15
Rule #3: Losing trade limit. Stop trading when I hit 2/3/4 losing trades in a row
Rule #4: Weekly loss limit. Stop trading for the week if either $ amount of # of tick amount is exceeded
Rule #5: Some sort of high watermark profit rule. If I hit X profit intraday, I walk at minimum with X

outstanding short and sweet the number of trading plan rules you outlined

keep them to heart and repeat them each morning with stretching exercises (Japanese psychological approach to marketing at big box retailers)

also, keep in mind, not to over trade or chase, when your timing is off, wait until the world gets back in sync with you!, not you with it!

if you use NinjaTrader, look into configuring the HotKey functions for order submission, maintenance and cancellation. These might help with your trade acuity (the ability to see, decide, act and accept the outcomes) all without emotion....

hotkeys can also be the express train track to ruin and being thrown under the bus and having the old ladies trample you down... (see how that progressively smaller and lower decline occurs?, humor)

ATB! (all the best, that;s my motto)

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  #21 (permalink)
Legendary Market Wizard
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scalpingticks View Post
I've learned that a lack of discipline is my biggest challenge. I'm actually a pretty decent trader most of the time but not abiding to a specific set of rules is killing my results. IMO being discretionary is to my advantage but I need to develop a core set of rules that I stick to. I'm going to list some rules, if anyone has some additional insight please let me know.

Rule #1: Individual trade loss rule. No losses greater than 4/5/6 ticks per trade
Rule #2: Daily loss rule. Stop trading when loss hits daily limit, 10/12/15
Rule #3: Losing trade limit. Stop trading when I hit 2/3/4 losing trades in a row
Rule #4: Weekly loss limit. Stop trading for the week if either $ amount of # of tick amount is exceeded
Rule #5: Some sort of high watermark profit rule. If I hit X profit intraday, I walk at minimum with X

It is good to have rules, especially if you can follow them. My only advice is to tailor these rules to the strategy you are trading. Rule #3, for example: it is common for even very good trading systems to have 2/3/4 losses in a row. Stopping trading at that point may only stop you from trading the next winner.

So, I recommend you develop the specifics of the rules along with the rest of your strategy, and then see how it has done historically. You may very well find that one or more of these rules takes away a lot of potential profit.

Good Luck!

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  #22 (permalink)
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scalpingticks View Post
Most of my losers run 4-5 ticks and most of my winners run 3-4 ticks. On occasion I'll get a 6-8 tick winner and unfortunately on occasion I'll have a 20-30 tick loss and completely screw up my week/month etc.

My trading cycle for the past year is, small profit, small profit, small profit, large loss, rinse, repeat. I have a win rate pushing 70% but historically I have let my losers get way out of hand at times. I believe that my style will work because I have thousands of trades under my belt using this style, I can NEVER again allow a large loss. I can NEVER move my stop again "just a tick" and "just another tick".

I'm open to any suggestions or thoughts this community can provide me. I don't know everything by any means and I'm always willing to listen and learn.

Here are my 2 1/2 cents fwiw.

When I see "small profit, small profit, small profit, large loss" it tells me you are either using a mental stop, in other words your not consistently using a hard stop order working in the market. In this case when the market trend breaks against your position, you let the losing trade run and run. Or, you are using a hard stop but with a wildly upside down win:loss ratio, the upside down thinking of risking 4 or 5 to make 1. Neither of these approaches is mathematically sound in any way, and they are and always will be net losing risk management strategies over the long term. None of us can wish or dream away the underlying math ensuring the failure of this strategy.

This is further confirmed to me when i read "a win rate pushing 70%", since I know if you were using 2:1 or 1:1 win:loss ratio and aiming for 3-4 ticks profit, and a hard 3-4 tick stop working in the market, you would never consistently achieve a 70% win rate. The 70% win rate is a temporarily comforting illusion produced by an upside down win:loss ratio.

Trade management is an optimization function, it requires finding a profitable balance of opposing forces pulling in opposite directions. For an ES scalper, the "tuff nut to crack" is finding the optimal balance between the win% and the average win/loss ratio. (Average win/loss ratio = Average $ won / Average $ lost). A good ES scalping system should produce an average win/loss ratio of 1.5 or higher, anything lower than 1.5 is at risk of eventual failure.

For example, if scalper Joey were to use a 12 tick stop loss and a 3 tick profit target, (a win:loss ratio of 1:4, risking 4 to make 1) his win % might be high (70-80%) because the stop would not get hit very often, but given enough time his Average Trade metric would always end up negative. In this case, a losing streak of just 2 trades (-24 ticks) would require 8 winning trades to get back to breakeven (not including commissions). A practical way of understanding how this works together is to view the win:loss ratio as a goal or target your trying to achieve, and the average win/loss ratio metric is the measure of how well you did managing your wins and loses in your actual trading performance.

In order to turn the average trade positive, scalper Joey would need to bring the win:loss ratio into balance, let's say 1:1 (fairly typical for an ES scalper) 4 tick profit target : 4 tick stop loss, which would then cause Joey's win% rate to drop back to 50% because over time the stop would be hit with the same frequency as the profit target. Mathematically a 1:1 with 50% win rate is also a net losing strategy, so something like a 1.5:1 at 50% will cross above the breakeven threshold, and a win:loss ratio of 2:1 (risking 1 to make 2) at 50% winners would provide the average ES scalper a little more (not much) breathing room.

So the question then becomes: can you devise and consistently adhere to an ES scalping strategy you can employ to produce a positive average win/loss performance metric, a positive average trade metric, and a 50% or better win rate at the same time ?

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Here are my 2 1/2 cents fwiw.

When I see "small profit, small profit, small profit, large loss" it tells me you are either using a mental stop, in other words your not consistently using a hard stop order working in the market. In this case when the market trend breaks against your position, you let the losing trade run and run. Or, you are using a hard stop but with a wildly upside down win:loss ratio, the upside down thinking of risking 4 or 5 to make 1. Neither of these approaches is mathematically sound in any way, and they are and always will be net losing risk management strategies over the long term. None of us can wish or dream away the underlying math ensuring the failure of this strategy.

This is further confirmed to me when i read "a win rate pushing 70%", since I know if you were using 2:1 or 1:1 win:loss ratio and aiming for 3-4 ticks profit, and a hard 3-4 tick stop working in the market, you would never consistently achieve a 70% win rate. The 70% win rate is a temporarily comforting illusion produced by an upside down win:loss ratio.

Trade management is an optimization function, it requires finding a profitable balance of opposing forces pulling in opposite directions. For an ES scalper, the "tuff nut to crack" is finding the optimal balance between the win% and the average win/loss ratio. (Average win/loss ratio = Average $ won / Average $ lost). A good ES scalping system should produce an average win/loss ratio of 1.5 or higher, anything lower than 1.5 is at risk of eventual failure.

For example, if scalper Joey were to use a 12 tick stop loss and a 3 tick profit target, (a win:loss ratio of 1:4, risking 4 to make 1) his win % might be high (70-80%) because the stop would not get hit very often, but given enough time his Average Trade metric would always end up negative. In this case, a losing streak of just 2 trades (-24 ticks) would require 8 winning trades to get back to breakeven (not including commissions). A practical way of understanding how this works together is to view the win:loss ratio as a goal or target your trying to achieve, and the average win/loss ratio metric is the measure of how well you did managing your wins and loses in your actual trading performance.

In order to turn the average trade positive, scalper Joey would need to bring the win:loss ratio into balance, let's say 1:1 (fairly typical for an ES scalper) 4 tick profit target : 4 tick stop loss, which would then cause Joey's win% rate to drop back to 50% because over time the stop would be hit with the same frequency as the profit target. Mathematically a 1:1 with 50% win rate is also a net losing strategy, so something like a 1.5:1 at 50% will cross above the breakeven threshold, and a win:loss ratio of 2:1 (risking 1 to make 2) at 50% winners would provide the average ES scalper a little more (not much) breathing room.

So the question then becomes: can you devise and consistently adhere to an ES scalping strategy you can employ to produce a positive average win/loss performance metric, a positive average trade metric, and a 50% or better win rate at the same time ?

Thanks so much for the reply. I am using a stop on every trade but often times I move it down "just a bit". That's how my losers get out of hand. I usually place a 4 tick stop but I often move it. I lean towards a 1:1 risk reward and if I hold onto that hard stop I would occasionally get a bigger winner which would hopefully move my RR better than 1:1. It sounds from your post that you don't think much better than 50% win rate is possible over the long term. I like to think an edge would allow for a better than 50% win rate using a 1:1 RR. Thoughts?

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Thanks so much for the reply. I am using a stop on every trade but often times I move it down "just a bit". That's how my losers get out of hand. I usually place a 4 tick stop but I often move it. I lean towards a 1:1 risk reward and if I hold onto that hard stop I would occasionally get a bigger winner which would hopefully move my RR better than 1:1. It sounds from your post that you don't think much better than 50% win rate is possible over the long term. I like to think an edge would allow for a better than 50% win rate using a 1:1 RR. Thoughts?

You are very welcome scalpingticks.

A 4 tick stop in ES is tight, so I can certainly understand feeling the 'need' to soften it up a few ticks to give the new trade a little more breathing room to work out in your favor. I don't see that as a major problem, other than it will 'throw off' the math underlying the system expectancy.

Based on my experience scalping ES, using a 4 tick stop and a true 1:1 RR , it would be very hard to achieve better than a 60% win rate over time, meaning month in and month out. If your really good I think you could get into the high 50%'s , say 56-58%. I personally can consistently produce a 68-70% win rate scalping ES, BUT I can only do it with a wider 6-8 tick stop (inverted RR). Anything less than a 6 tick stop and my performance drops back below 60%.

Using a 1:1 RR, with 4 tick profit/stop, $4.50 RT commission, and 50% win rate, produces an negative expectancy of -$4.50, or a net loss of - $ 45.00 after 10 trades. Bumping the win rate up to 60% produces an average trade of +$5.50 or +$55.00 every 10 trades.

Maybe think of the problem from a different perspective. Setting aside everything else, what would a more reasonable stop be for your typical (average) trade setups ? 6 ticks , 8 ticks ? If the trade goes 6 ticks against your position then the probability of it recovering for a 4 tick win is ? It is a balancing act is between giving the trade the room and time it needs to work, where the integrity of the trade is still valid, but cutting the loss as soon as the trade setup clearly fails and your edge disappears.

So let's say in reality the 4 tick stop is just too tight, and your trade setup needs a 6 tick stop for this to work better (where the stop is far enough away so that it doesn't interfere with your trade setup). From this we would need to calculate the win% required for various profit targets in order to maintain a winning expectancy. Using a 4 tick profit target and a 6 tick hard stop with 60% win rate is a losing strategy (-$4.50). At 65% the 4/6 strategy crosses breakeven at +$1.75 ($17.50 per 10 trades), at 70% we jump to $8.00 ($80 per 10).

With all that said, it might be a good idea to break the habit of moving your stop once in a position. It will be better to settle on the stop size your comfortable with (obviously 4 ticks isn't it), then leave the stop alone. Just make sure your real win% can support that wider stop.

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Hi everyone,
I think from money management it is very bad idea to work with poor then 1:1 RR. But if we are talking about strategies, I could not say that 6 or 8 ticks stop works better. 4 tick stop also could work nice. All depends from strategy used by trader. Here you can find my entries based on order flow - Download ES 09-13 (1 Min) 03_09_2013.jpg from Sendspace.com - send big files the easy way

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I've been listening to some FT 71 webinars and I realize how random I've been with my trading. Random entries, random exits. It seems that FT recommends keeping good stats, doing research and homework, discretionary entries and mechanical exits via a predetermined trading plan. I think following a structure like this will help me eliminate the stress of trade management.

Since I haven't used charts or indicators in the past I've always struggled with determining what my edge is. Everyone always says, you have to have an edge. I listened to FT say his edge is simply when he knows the probability of the trade going in the direction he wants is greater than the trade going against him. There's the edge I can shoot for. I can still be discretionary on my entries but after I take my trades based on probability, the trade management is defined.

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I've always been a DOM only trader, considering if I need to research into market profile. I use the volume profile for the current date to determine quality trade location but I have never looked a multiday MP.

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I've always been a DOM only trader, considering if I need to research into market profile. I use the volume profile for the current date to determine quality trade location but I have never looked a multiday MP.

I have used both, but have found the volume profile more reliable. I guess it depends on what levels and associated strategy for using those levels. Obviously if your strategy is based on the MP VAL then you would need to use the 'official' VAL price. Composite profiles are pretty handy, you can create those using volume as easily as time.


scalpingticks View Post
I can still be discretionary on my entries but after I take my trades based on probability, the trade management is defined.

It's interesting you mention FT71 because he focuses a lot of his instruction material on the concept of knowing the math underlying your trade management strategy. I tried in my earlier pot to bring a little bit of that sort of thinking into how your look at your performance results. One of my most important mantra's is: I want the the math working for me, not against me, it's part of my edge.

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Rule #1: Individual trade loss rule. No losses greater than 4/5/6 ticks per trade
Rule #2: Daily loss rule. Stop trading when loss hits daily limit, 10/12/15
Rule #3: Losing trade limit. Stop trading when I hit 2/3/4 losing trades in a row
Rule #4: Weekly loss limit. Stop trading for the week if either $ amount of # of tick amount is exceeded
Rule #5: Some sort of high watermark profit rule. If I hit X profit intraday, I walk at minimum with X

Great rules scalping. Since we chose not to have clearly set entry and exit criteria to make trading rules with as discretionary traders, definite money management rules are what I think we have to lean on to maintain a psychological consistency and subsequently profitable consistency.

fwiw - I find that my Daily loss rule should be no more than I expect to profit on a normal day ie I call it quits when I know it will take one average profitable day to cancel out the losing day. Just a psychological thing that helps me manage the losing days without losing my head. I also (try to happily) accept that I will have one of those losing days a week. That makes it psychologically easier to manage the rest of the week allowing for a down day. Then its a matter of scalping in such a way that the avg win, avg loss and probability of being right give a profitable expectancy that makes the effort worth it profitability wise.. stats that require ongoing adjustments after a sufficient sample set of scalps. I only feel the heat with comms when expectancy is < 0.5 with about 10 trades a day (happening a bit lately)

Looking forward to reading more of your progress. Crush it!

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scalpingticks View Post
I've been listening to some FT 71 webinars and I realize how random I've been with my trading. Random entries, random exits. It seems that FT recommends keeping good stats, doing research and homework, discretionary entries and mechanical exits via a predetermined trading plan. I think following a structure like this will help me eliminate the stress of trade management.

Since I haven't used charts or indicators in the past I've always struggled with determining what my edge is. Everyone always says, you have to have an edge. I listened to FT say his edge is simply when he knows the probability of the trade going in the direction he wants is greater than the trade going against him. There's the edge I can shoot for. I can still be discretionary on my entries but after I take my trades based on probability, the trade management is defined.

Ft71 has some fantastic stuff. I listen to his webinars frequently.

His last webinar he said the holy grail is consistency in your "rough" edge.
He attributed your edge to be as good as the 100 coin toss.
Basically if you have a 1:1 ratio where you never move your stop and you go all in (no runners) and all out. You are playing to give away commissions and slippage because you have a 50/50 chance at what ever trade you take.. Remember he said "All trades have a random outcome" ALL TRADES

In the back of my mind I heard him say that I need to have better than a 1:1 ratio.
That is not to say that I cannot start out with a 1:1 ratio and adjust my stop... As long as I do it based on structure and NOT fear.

If you always do what you have always done you will always get what you have always gotten.
Celebrate because you executed your edge. Not because you won.
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I've never kept stats and I've always just "winged" it, how random I guess. Several on this thread have mentioned expectancy now and I noticed it on the FT webinar I watched. I'm going to start keeping an excel spreadsheet with my trades and find out what my expectancy is. I paid for the FT webinars on his website several years ago, I assume I should re watch them and also watch the new webinars here on futures.io (formerly BMT)?

Does anyone have an excel spreadsheet that will generate the stats %'s and such?

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Patrick S View Post
Ft71 has some fantastic stuff. I listen to his webinars frequently.

His last webinar he said the holy grail is consistency in your "rough" edge.
He attributed your edge to be as good as the 100 coin toss.
Basically if you have a 1:1 ratio where you never move your stop and you go all in (no runners) and all out. You are playing to give away commissions and slippage because you have a 50/50 chance at what ever trade you take.. Remember he said "All trades have a random outcome" ALL TRADES

In the back of my mind I heard him say that I need to have better than a 1:1 ratio.
That is not to say that I cannot start out with a 1:1 ratio and adjust my stop... As long as I do it based on structure and NOT fear.

Even though all trades have the potential for a random outcome, don't you think that some setups yield a higher probability of working in your favor because of short term market behavior?

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Even though all trades have the potential for a random outcome, don't you think that some setups yield a higher probability of working in your favor because of short term market behavior?

yes but I still have a 50/50 chance on every trade I take.
The probability that my trade is going to work is high. That is my edge. That is why I take the trade. But I still know that I have a 50 50 chance at my trade working and that is why I know the only thing I can manage is my risk.
Therefore the maximum risk I will take is a 1:1.
Just my 2 cents.

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Does anyone have an excel spreadsheet that will generate the stats %'s and such?



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Does anyone have an excel spreadsheet that will generate the stats %'s and such?

This is all I use:

https://docs.google.com/file/d/0B9vAC7FwyF7hSERUdVBzMEt5QWc/edit?usp=sharing

The leap into freedom is the exchanging of risk for reward. This can be done only by shifting from tension to ease, and that can be done only when one perceives the reward and not the risk. That you won't win all the time has nothing to do with it - that's life, that's the [stock] market. The trying itself is freeing. And being free has its own reward - Justin Mamis, The Nature of Risk
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