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Trading ES with Depth of Market


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Trading ES with Depth of Market

  #21 (permalink)
London/UK
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Optimus/Rithmic
Trading: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 78 given, 158 received

Day7

The day started off with decent volume and participation, but turned into another slow-grinder. Unfortunately I got into two trades in the first half an hour and didn't have a chance to make anything back after.

I expected a breakout lower on both trades, but I guess we were channeling down rather than trading in a range:


Relative volume keeps dropping so I'm done for the day:

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  #22 (permalink)
London/UK
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Optimus/Rithmic
Trading: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 78 given, 158 received

Day8

I understand people who go on holidays in July-August

Was hunting a breakout, but no follow-through:



Here is the original range I was watching:



And it expanded into:


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  #23 (permalink)
London/UK
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Optimus/Rithmic
Trading: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 78 given, 158 received

Day9


I didn't trade ES last summer. So far it's been a useful learning experience. I've been trying to pick only relatively active days, but sometimes there is no way to tell when volumes just leave the market.

Trade1: not the strongest trade. Will be looking for more participation for this setup next time:



Market was trending from the opening and got stuck in a clear range. I had some doubts about a possible climax at the lows, but got in anyway.



Trade2: a mistake. Thought there was a climax after a prolonged channel on a trading range day. I didn't notice a couple of volume clusters on the way up (trapped shorts) when I placed a trade. Scratched when realized my mistake.

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  #24 (permalink)
NYC + NY / USA
 
Experience: Advanced
Platform: "I trade, therefore, I AM!"; Theme Song: "Atomic Dog!"
Trading: EMD, 6J, ZB
 
kronie's Avatar
 
Posts: 798 since Oct 2009

@isla...

what you just (honestly) admitted to is the flaw that makes trading using that method as the primary decision driver, such an impossible flaw.... namely being stopped out frequently enough to trigger one's risk management principles of 3 losers and shut down for the day...

I blend chart, of some smaller / larger outside timeframe paired with the depth market approach, just to prevent that scenario you're describing.

that however invalidates the "purest" approach that adherents to this method insist you must have to attain its nirvana...

hope that makes sense and fits with your karma....

just war stories from the front lines....


have you found a solution or work around yet?

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  #25 (permalink)
London/UK
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Optimus/Rithmic
Trading: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 78 given, 158 received


kronie View Post
@isla...

what you just (honestly) admitted to is the flaw that makes trading using that method as the primary decision driver, such an impossible flaw.... namely being stopped out frequently enough to trigger one's risk management principles of 3 losers and shut down for the day...

I blend chart, of some smaller / larger outside timeframe paired with the depth market approach, just to prevent that scenario you're describing.

that however invalidates the "purest" approach that adherents to this method insist you must have to attain its nirvana...

hope that makes sense and fits with your karma....

just war stories from the front lines....


have you found a solution or work around yet?

Hi kronie,

Thanks for your advice!

I'm not sure I said anything about being stopped out too often though. I did have this problem before, but much less so now. I do use a chart all the time, but I'm not a pure DOM scalper anyway. Although, more often than not a Volume profile would be sufficient for me.

Not the brightest performance is more a result of setups not coming around often. But, considering volumes, that's ok. I'd rather get more experience identifying days/periods when I should just stay out.

I know my limitations trading-wise and I guess this thread can be a slow-burner

So if you feel like posting any of your trades/ideas you are more than welcome.

Thanks again for stopping by!

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  #26 (permalink)
NYC + NY / USA
 
Experience: Advanced
Platform: "I trade, therefore, I AM!"; Theme Song: "Atomic Dog!"
Trading: EMD, 6J, ZB
 
kronie's Avatar
 
Posts: 798 since Oct 2009

I am in New York, and you shouldn't be surprised to hear this often quoted axiom:

"the world starts at the NYSE", when it comes to stock trading.

your question needs translation into your local times, based on your chart scales, and then you will have your answer, but the heavy volume times in NY are just before the 9:30am open through the Euro market close, which comes around 11:00am NY time, and lasts as long as 11:30am NY time

the second best time to trade are position squaring times towards the close, and buffered by the usual 2:15pm - 2:30pm financial and FOMC meeting notes announcement times through into the 4:15pm futures close, again relative to NY time

hope that helps

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  #27 (permalink)
London/UK
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Optimus/Rithmic
Trading: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 78 given, 158 received

another good one from Steenbarger

I thought this post will be a good reminder that we actually need to know what we are doing in order to be profitable long-term. Ups and downs in results, mood or focus, although play a big role sometimes, shouldn't prevent achieving the goal if the "edge" is there.

"As I mentioned some months ago, mad props to anyone who can duplicate dubstep with regular instruments, especially with a bass guitar that plays a magnetic field theramin-style. One way to stay creative is to stay in touch with people who are creative--across different fields.

I was recently contemplating whether markets would bring us scary pullbacks or spritely rallies when an email came from a group interested in a webinar. They were soliciting my participation, according to my contact, because--as we all know--90% of trading success is the mental game. The group would be open to any topic I chose, he explained.

Until, of course, I chose the topic of how 90% of the mental game is skilled trading.

Now why is it that no one proposes to a brain surgeon that 90% of what he or she does is a mental game? And if 90% of performance is a mental game, why do Olympic athletes spend 90% of their time on skill development?

Is making an instrumental version of Skrillex the result of mastery of a mental game? If you control your emotions and stick to a plan, will you generate music like they do?

C'mon.

But 90% of the mental game being trading well; there's a bass guitar worthy of a Hot Hand!

So here are three trading practices that reliably lead to emotional disruption:

1) Poor risk management - Oversized positions; holding positions that are more correlated than you realize; failing to clearly define and trade a risk/reward relationship for each trade--all of these create outsized losses, which in turn generate outsized emotional responses and subsequent potential for disruption of trading.

2) Failure to plan - Trading without an explicit process for clearly formulating an opportunity set; trading ideas and patterns that are untested and unproven: these generate loss and frustration, which then color thought and action going forward.

3) Failure to adapt - Markets become more volatile but trading sizes don't change; the trade becomes choppier but trading continues to pursue momentum: doing the same thing when the environment changes is a sure way to become confused, then frustrated, then reactive.

Show me traders troubled by emotion and nine times out of ten I'll show you traders who are taking improper risk, who are underprepared, and/or who have been trading static methods in dynamic markets. What those traders need is not counseling, coaching, or therapy. What they need is to trade more intelligently. If a chess player takes imprudent and uninformed risks early in a game, does not prepare for an opponent, or plays the same way regardless of the opponent's strategy, we would not attribute his or her losses to a failure of any "mental game."

True, psychological variables become relevant once skills are honed. Then mindset can help deploy them consistently. But no amount of focus on the mental game can substitute for skill and preparation and the need for strategies that possess an objective edge in the marketplace. Trading randomness with a positive attitude will make one a good loser, not a high performing winner.

That's the Scary Monster webinar no one wants to sponsor. It's so much easier to believe the Nice Sprites that tell us we can all make money if we just have the right attitude. "

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  #28 (permalink)
London/UK
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Optimus/Rithmic
Trading: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 78 given, 158 received

Day10

Trades today:



First three trades were attempts to play the range.

Last trade was a bit messy. Was too early with entry and then couldn't get out for a smaller loss. After my exit I thought it was another tricky tight range day so left the screen. Possibly shouldn't have.

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  #29 (permalink)
London/UK
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Optimus/Rithmic
Trading: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 78 given, 158 received

Day11

I may have missed the very first breakout of the day. Range was tiny at that point and even though my setup was there I didn't pay much attention to the market.

Apart from that, don't think I could have done anything better:


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  #30 (permalink)
London/UK
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Optimus/Rithmic
Trading: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 78 given, 158 received

Day12


Seems like some new ideas don't stand the test of time:


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