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Trading ES with Depth of Market
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Trading ES with Depth of Market

  #41 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 76 given, 154 received

Thank you Profiler

Found a very interesting journal here on futures.io (formerly BMT) today. @Profiler shared his journey of learning to use auction theory principles after scalping FESX successfully for many years. For me, his introduction was especially close to heart. I got into prop trading hearing stories about guys who were making money day-in day-out with 6figure bonuses at the end of the year. It was just a year before Profiler noticed that markets were changing and decided to start over.

Sometimes I wish I could have started earlier and see those "great" times, but hopefully current markets will produce new generation of tough traders.


Quoting 
Hello all-
Im starting this thread in hopes of it becoming a collaborative effort to figure out how to make money trading the ES. A little background first: I was a very successful fesx scalper in the past. For 9 years i literally made money virtually every single day including only 1 losing day in 2005. At my peak in 2007 i was trading 6000 contracts a day working only 4 hours a day. I was living the life. I had edge and took it whenever i saw it. Until last year when some new algos took my edge away. Over 3 months my steady profits dwindled to nothing and after losing 8g's the first week of april i just walked away. I stand before you (figuratively speaking) a humbled man/ trader.

3 months ago i started trading spoos. I trade 1 lots, i am down $1300 so far including commish. I use volume profiling/ auction market theory. I have no edge. I understand the theory but as said in daltons books it depends on context. I am contextually blind the majority of each and every day. I am unable to prioritize the most important contextual factors at any given time. The worst part is that i dont know what i dont know. Ive been in various chat rooms and seen what other guys are looking at. I have the exact same charts as them. We are looking at the exact same things and they are crushing it while i am clueless. They are not smarter or better than me. They know how to filter the noise from the signal. They see subtle clues and understand the importance. I WAS the same way.

I know many of you are exactly like me. Lets help each other out and speed up the transition to profits. I will be posting here on a daily basis my nightly homework, my trades that i make and pnl. I will be posting a daily recap of what the market did as it relates to context. If you see me do a trade that was just obviously stupid, reply and tell me why! Im going to do whatever it takes to make money again so if you see me lacking in some way, tell me! This is trading, brutal honesty is required. If i wanted a friend i would get a dog (fyi i have one). Lets do this!


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  #42 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 76 given, 154 received

Day18

Choppy day. Not many clean moves, every breakout was followed by a pullback into prior range. Couldn't find a good entry after my last trade:

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  #43 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 76 given, 154 received

Day19


After today's session I decided I will not continue trading my breakout setup. It seems that particularly its management depends too much on behavior of algos, as I was looking for either immediate continuation or couple of ticks stop. Good breakouts don't happen often enough to cover small losers and roundturns. Sample size is still too small, but I think it will be a very difficult strategy to trade long term.

Trades today:

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Trade1: thought selling momentum was strong enough to play 1point pullback.

Trade2,3: front-running breakout. Got stopped on a high tick both times. As I mentioned, I think it's too close to algos' tricks.

Trade4: good selling momentum.

Trade5,6: possible climax. Good location at the end of a prolonged channel+acceleration in cumulative delta. Both trades not ideal. The first setup was weak and I just overlooked some details, so scratched very quickly. The second was a bit better, but entry questionable at this point. Decided to give it a go hoping for some momentum, but market slowed down so I exited with 1t.

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  #44 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 76 given, 154 received

Day20

Last day of the Combine. Reduced my size planning to try a bigger picture trade but nothing came around.

Trades:
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Trade1: volume cluster break. Yesterday low and slow action made me exit faster.

Trade2: possible climax after a prolonged move up but someone started scooping thousands of contracts on 85s so I joined in.

I will post official report tomorrow. I am down around $1300 trading 3 lots. Generally satisfied with how I performed (not results). If I didn't trade breakouts and didn't have that hiccup on Day2 would have been a scratch Combine. Not great, still need to find a way to take my trading to the next level, but August wasn't easy.

I think I described pretty much every setup I use. Hope it was useful for someone.

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  #45 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 76 given, 154 received

Combine report

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  #46 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 76 given, 154 received

Brett Steenbarger

"One of the great disappointments I encounter when I read writings on the topic of trading psychology is that they invariably touch upon the same themes: discipline, controlling emotions, etc. Having worked with traders and portfolio managers for over a decade now, there is so much more to the psychology of trading than "sticking to your process" that I decided I had to write a book about what I was experiencing but wasn't reading. The title reflects that interest: Trading Psychology 2.0: From Best Practices to Best Processes.

I think Ted Hayes hit on something important in his recent interview. He pointed out that the personality traits relevant to success among early career traders are different from those that generate success for experienced ones. Perhaps so much writing concerns discipline and emotional control, because those are the dominant concerns of the new traders who buy the books, haunt the websites, and seek the help.

At several of the firms where I work, no one even gets an interview unless they have years of experience managing significant capital with a solid track record of profitability and risk management. So by the time those traders join the firm, discipline and emotional control are not screaming priorities. Instead, they deal with other challenges. In Trading Psychology 2.0, I refer to these challenges by A-B-C:

* Adapting to changing markets
* Building on strengths
* Creating creativity

In adapting to different markets by leveraging their strengths and generating new ideas, successful market participants are not so different from successful businesses in fast-changing industries, such as technology or social media. When markets change from year to year, stasis is a formula for failure. The successful trader, like the successful tech firm, must constantly innovate. Moreover, once traders generate those innovations, they must turn best practices--what they do that is successful--and turn them into robust, best processes.

I think this is very, very important: What makes a trader successful is discipline: doing the right thing with fidelity. Whatkeeps a trader successful is innovation: doing new things and turning them into disciplines. Conscientiousness makes for success, but it is openness that makes for adaptation. Trading psychology as a field has done a fine job of articulating the importance of discipline. My hope is that the new book will broaden the discussion to include a research-informed look at mastering change and innovation."

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  #47 (permalink)
Elite Member
Stockholm Sweden
 
Futures Experience: Intermediate
Platform: Sierra chart
Favorite Futures: CL
 
Posts: 58 since Jun 2015
Thanks: 39 given, 48 received

Are you still trading ES with DOM? I'm thinking about learning trading with the dom as a supplement to price action, so I'd like to hear your thoughts about it. Did it give you any edge to your trading?

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  #48 (permalink)
Elite Member
London/UK
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Rithmic
Favorite Futures: ES, 6E, FESX
 
Posts: 104 since Jun 2012
Thanks: 76 given, 154 received


Macan View Post
Are you still trading ES with DOM? I'm thinking about learning trading with the dom as a supplement to price action, so I'd like to hear your thoughts about it. Did it give you any edge to your trading?

Hi. I still trade with the DOM but focusing on 6E in European morning and ZN when America opens.

I changed my approach from trading DOM setups only to using auction theory/market profile principles to generate trade ideas and then DOM for execution. This reduced number of trades I take but brough more confidence in quality of setups as losers became less frequent.

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  #49 (permalink)
Normal Wizard
Sydney, NSW, Australia
 
Futures Experience: Intermediate
Platform: NinjaTrader with Jigsaw DOM
Favorite Futures: CL, 6E, ES, Piano
 
TickedOff's Avatar
 
Posts: 191 since Nov 2014
Thanks: 163 given, 195 received


Macan View Post
Are you still trading ES with DOM? I'm thinking about learning trading with the dom as a supplement to price action, so I'd like to hear your thoughts about it. Did it give you any edge to your trading?

If you want to scalp with DOM, the no BS daytrading videos by John Grady are excellent. I should warn you though he is very skeptical about charts in his videos. I find them very useful for overall market structure. Even if you don't scalp, reading order flow can help u with entries and tell you whats going at at particular levels. So pretty much what isla said. Also the Jigsaw DOM (available on ninjatrader, S5 trader and soon multicharts) is pretty much the best you can get.

Understanding yourself is just as important as understanding markets.
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  #50 (permalink)
Elite Member
Chicago, IL
 
Futures Experience: None
Platform: NT8,NT7,TWS,FOREX.COM app
Broker/Data: InteractiveBrokers, NinjaTrader Brokerage FOREX.COM, IQFeed
Favorite Futures: The one I'm creating in the present....ES, ZF, ZN, ZB, FX pairs
 
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Posts: 1,560 since Nov 2011
Thanks: 4,527 given, 2,340 received
Forum Reputation: Legendary


Could not agree more regarding Jigsaw tools they really help open the door for me, to what I'll just call the truth of the market, and increased my understanding by a large magnitude along with Peter instructive videos and a lot of time in front of the tools on diff markets.

I tend to be a much bigger Joel Parker fan then John Grady but it's just personal preference. I just find charts extremely helpful put it that way.

Ron


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It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
The steed of this Valley is pain; and if there be no pain this journey will never end.
Buy Low And Sell High (read left to right or right to left....lol)
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