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Rich's ES intraday strategy

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Rich's ES intraday strategy

  #21 (permalink)
Cape Town, South Africa
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Mon 13 Oct - Trading Preparation

OK, so here's the news that's coming out today:

As you can see, it's a public holiday (or bank holiday) in the states. However, my NYSE and CME calendars tell me that both exchanges will be open as per normal. It will be interesting to see what level of activity there is today, given that it's a holiday.

The 30 day average range on the S&P 500 index is at 19.6, and the standard deviation is 9.0. If you look back at my previous preparation notes you can see how much these two statistics have increased!

And here's the daily chart for ES over the last few months, just to give a broader perspective going into today's trading.

My intentions for today:
  1. To trade the new system as consistently as possible
  2. To trade with the trend
  3. To keep tabs on my emotional state, and to stop trading if I get too emotionally aroused (positive or negative)

Last edited by RichJamo; October 13th, 2014 at 07:55 AM.
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  #22 (permalink)
Cape Town, South Africa
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Tuesday 14 Oct - Trading Prep

Today is going to be a bit back-to-front, with prep coming out before Results. My excuse is that I've been in the process of putting an offer in on a house this morning, which has taken up all of my time and my mental bandwidth!

However, here's looking ahead to today. News coming out as follows:

Average Range and std deviation of the S&P 500 has not updated yet on my spreadsheet, will edit this once it does. As of yesterday the market was in sideways volatile state, which should still be fine for the RLCO system.

My trading intentions for today - to trade consistently according to the rules of my system, and to take fewer marginal trades.

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  #23 (permalink)
Cape Town, South Africa
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Mon 13 Oct - Trading Results

OK, so not a bad day for me, although I ended up giving away all of the profits that I made in the early part of the session. I'm still trying to figure out my trade management (how far away to put stops and trailing stops), so not too worried.

Here are the results:

And here is the chart that I use to trade off, with entries and exits indicated:

Trade 1: I closed this for +1 tick, almost straight away, having realised that it was not in alignment with the rules of my system. I was trying to figure out whether to trade this system in the first half hour of market action, and so didn't take a signal at 15.34 to long (which was the right decision, according to the system rules). When it then went charging up, I became regretful and jumped in. Lucky that I exited when I did, as shortly afterward it went sharply down.

Trade 2: Made the full target of +16 ticks on this trade, which was 2R, or 2 x my initial stop of 8 ticks. It was a Standard RLCO trade, by the book. My only question was whether I should have stayed in for more - it dip come up slightly after I exited, and then srop down for another potential 4.5 points - could have gone to 4R.

At this point in the day I was up $212.50, and could have stopped trading if I was in real money mode (target of $200, or 2R, per day)

Trade 3: Here I was looking for the continuation trade, after a succesful RLCO trade. By the book, everything was right for the trade, so no problem there. Unfortunately I got stopped out 1 tick from the top of a small pullback (I was trailing by 8 ticks) for a loss of 3 ticks. It had moved 5 ticks in my favour from entry. This is where I started thinking about making my initial stop 1.5xR (in this case more like 12 ticks), and then trailing by that amount. This is work in progress. The other option would be to choose a recent swing high as the iStop, which in this case would have been 8 ticks or 11 ticks, so not all that different. Another key consideration is whether to move the stop to breakeven once I have 0.5R in hand, and then to trail by 1R (or 0.5R), or whether to just stick with a straight trail by 1 R from the word go.

Note: My experience with ES is that it often has these small pullbacks of 3-6 ticks, so I need to take that into account when setting my iStop and trailing stop.

Trade 4: Again, went for the continuation trade, but got stopped out at breakeven this time, having seen the trade move to 2.5 points (10 ticks) in my favour. I was stopped out 3 ticks from the top of the reversal. Even if I'd had a straight trail of 12 ticks, I would have been stopped out. Again, this raises questions in mind about where is the optimal place to put my stops, because the down move continued after I got stopped out. Maybe there should be a different trade management strategy for a continuation trade versus a standard RLCO trade?

Note, trade 4 was looking for the continuation on the '2nd' pullback - it gets riskier and riskier to take these continuation trades the further one gets from the original succesful RLCO trade.

Trade 5: Again I was looking for a continuation trade here, but to be fair it was now quite a long time and quite a few pullbacks since the original succesful RLCO trade. I followed the conditions for a continuation trade, but got stopped out very quickly by an upward spike in price (after which price did continue down). I got stopped out for the full 12 ticks, again 1 tick from the top of the reversal The subsequent downward move could have made me 2R, just. I'm questioning whether this was a good trade, given how far from the original RLCO it was.

Trade 6: This was a standard RLCO trade, and I made +14 ticks, which was 1.75R. I got stopped out by my trailing stop of 6 ticks (0.5R). Good trade.

Trade 7: This was an execution error I made in closing trade 6 - cost me 4 ticks unfortunately!

Trade 8: I was looking for another standard RLCO trade here, but in truth the BBmean slope was against me - it was still pointing slightly up, starting to flatten. I lost 12 ticks. I think what I'm learning about the ES, is that at this time of day it's often starting to move towards a SQC, especially if there have been one or two decent sized moves during the day. Not a great trade.

At 17.27 I thought about entering long, as a continuation trade to the RLCO of trade 6. This would have taken 10 ticks of heat, but would have turned out to be an OK trade, grinding higher over the next while, but probably getting stopped out for breakeven by the trailing stop.

Trade 9: Was looking for another standard RLCO trade, but the conditions were not met in a number of ways: (1) the RLC was just inside the river, and (2) the BBmean was flat. Knowing the ES, I'm starting to see this pattern just before lunch, that it starts going flat and drifting into lunch. I should have trusted that. Also, I could have noted that already the RL10 and RL30 and price were all inside the river, indicating an SQC forming.

I was tempted to take the SQC breakout trade at the end of my session, but was already starting to shift my focus to other work. It might have made me 1R. There was another SQC breakout at 18.20 which really went the distance...

Lessons from today:
  • Don't overuse the continuation trade, maybe just once after a succesful RLCO
  • Beware the flat BBmean, especially towards lunch time
  • Need to do some more work on getting the trade management strategy right
  • This strategy does seem to work in first half hour of market action

Last edited by RichJamo; October 15th, 2014 at 08:59 AM.
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  #24 (permalink)
Cape Town, South Africa
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Tue 14 Oct - Trading Results

Not a great day, but I'm not losing faith in this new system. If anything, I'm gaining in confidence. Unfortunately, I was only able to start trading after 10am, so I missed one really good trade opportunity.

Here are my results:

And here is my trading chart:

Trade 1: Went for a continuation trade, got stopped out for full 12 ticks initial stop. The trade was mostly by the book, the only thing that perhaps wasn't great was the amount of price momentum. There were two red candles in a row (which I must remember on a 1 min chart is only 2 minutes), but the second candle had a very long bottom tail... (Looking back at my trading notes, I didn't really see this at the time - such is the power of the review!)

Lesson - continue to be careful with these continuation trades, must try to have all conditions in place

Trade 2: Went for an SQC breakout here, and lost 9 ticks (0.75R). It was not a bad trade, except perhaps for the fact that there was not much price momentum (for e.g. at least 2-3 green candles in a row...). I am wondering whether I should perhaps have exited sooner, almost as soon as price re-entered the river? Could have contained the loss to 4 ticks...

Trade 3: Again, went for the SQC breakout and this time made +12 ticks. My target was 24 ticks, and price did actually touch that point, but my limit order didn't get filled and price pulled back all the way to my trailing stop. In retrospect I should probably have closed out quickly after it touched +24 and started pulling back, rather coming away with close to my target. (I'm looking back at the chart for any distinquishing differences between this trade and trade 2 - what I think I can see is that in this case the SQC was better established, flatter, and the breakout came after two dojis followed by two green candles...)

17.08 I was tempted to take a continuation trade, support @ BBmean, but HOD was only 3.75 away, so framing not great.

Trade 4: Execution mistake! I'd left a limit order in from earlier. Fortunately I was able to close for breakeven. Ironically, this trade would have potentially made a few ticks on a little pullback

Trade 5: I looked to make a HOD trade, but lost 5 ticks (approx 0.5R). I think all of the conditions were met, except perhaps RL30 could have been a bit steeper, and could have waited for a couple more green candles. I exited after two dojis and two reds in a row - was this premature? No, in retrospect I think it was fine. What I'm looking for in this system is a rapid move in a certain direction, in this case the push through the HOD stalled immediately after I entered.

So, not a great day profits-wise, but starting to learn more about this system and refine my implementation of it.

Lessons from today:
  • Sometimes want to take the profit if price hesitates just before goal
  • Price momentum continues to be important, even on SQC
  • Price momentum especially important on HOD/LOD
  • Must pay attention to whether I'm in yellow, green or red zone relative to yesterday's price

Last edited by RichJamo; October 15th, 2014 at 07:34 AM.
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  #25 (permalink)
Cape Town, South Africa
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Wed 15 Oct - Trading Prep

So, here is the news coming out today:

I'll have to watch out for that orange news item coming out at 10am, and also for the yellow item at 11am.

The average range for the S&P 500 index today is 21 pts, the std deviation is 9.3

The market state is volatile sideways. This system is supposed to work in all daily market states except sideways quiet, so should be fine today.

And here's a daily chart for the last few months:

Big drops in the last few trading days, so it might bounce today, but it might also keep heading down. Either way, range has been nice and high so the potential exists for some nice big gains .

My intentions today:
- to not hold on too tightly, but to let the system do the work, just trade the rules

Last edited by RichJamo; October 15th, 2014 at 09:10 AM.
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  #26 (permalink)
Cape Town, South Africa
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Wed Oct 15 Trading Results

Wow, an interesting trading day indeed! Not just for the volatility of the market, and the size of profits, but also for lessons learned.

I was up over $400 at one stage, and would like to think that I would have switched to SIM at that point, but I kept trading and had an up and down day after that. See below...

Here are my results:

And here is the chart that I use to trade off, with entries and exits indicated:

And here is my new trading review spreadsheet:

What I've tried to do with the spreadsheet is assess the quality of my trading decisions first and foremost, giving a Trade Quality Score (TQS) for each trade. This is based on the system criteria for entering a trade, and the percentage reflects how many criteria were followed. I also show trade outcome, but it should be seen as secondary. I'm really trying to take Big Mike's advice to heart - first trade the system consistently, then worry about profitability.

Some lessons learnt:
  • It's really interesting to see that only 4 out of 19 trades get 100% quality scores. I'm definitely overtrading!
  • It's interesting to see that if I had taken only those four trades I would have been up on all trades
  • I started seeing how the big movements in the market, particularly at the start of the day, got me really excited and affected my ability to trade consistently
  • I noticed how at around the 2 hour mark decision fatigue started to kick in and I placed some weird trades
  • My execution errors cost me a few ticks - I have to cut these out
  • I realised the importance of 'framing' my trades
  • The RL270 and the ave range + 1 std deviation lines are important in framing trades
  • I've seen that 2nd and 3rd continuation trades can be profitable
  • I've adapted my trade management approach, and am now setting iStop = 1.5 x ATR - this is an ongoing learning process

My intentions going forward are:
  • Start doing positive visualisation before I start trading
  • Blog about deliberate practice
  • Learn more about the Lazy W entry

Also,I need to have the discipline to stop trading after 2 hours, or at least take a break, or perhaps lots of mini breaks when the market is consolidating
Finally, I think it would be good to give myself something else to do while watching the markets, e.g. some online courses I can read through.

Other lessons:
  • A daily target is fine, but watch out that you don't take speculative trades because you are trying to 'steal' a couple of points to reach your target. Trade consistently by your system rules.
  • RLCO trades against the BBmean trend can be taken after a long, 3 phase move in the opposite direction
  • Am noticing that there is sometimes a 'false' SQC breakout just before the real breakout, and sometimes in the opposite direction
  • Noticing that sometimes SQC breakouts just go 2-2.5 points out and then come back to the river

Possible experiment - could look at using some of Dixon to improve my entries? e.g. on RLCO trades.

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  #27 (permalink)
Cape Town, South Africa
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Thurs 16 Oct Trading Prep

OK, so here is today's news:

So, some important news has just come out as I write this, and ES is spiking up off the back of that news. I've been very tempted to go long, but I've resisted so far, as this is not a time that I usually trade, and my system is not about trading off news-based moves.

There is further important news coming through this morning - at 10am and then at 10.30am. Yesterday I got so caught up in my trading that I totally forgot to watch out for the news release times. I'm going to set a couple of alarms on my phone today to remind me.

As far as daily market state goes, my model is now describing this as a volatile bear market, with ave daily range at 22.5 and std deviation at 10.8. My system is supposed to work in all but sideways quiet market states, so I will continue to trade.

Here is a daily chart for the last few months:

Interestingly yesterday turned out to be a near-doji, with really long tails. Today is down in pre-market action, so we'll see what happens when the US opens.

My intentions today - to place fewer trades, and to up my trade quality score. In particular, I need to keep an eye on framing conditions.

Last edited by RichJamo; October 17th, 2014 at 09:17 AM.
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  #28 (permalink)
Cape Town, South Africa
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Thurs 16 Oct Trading Results

OK, so another interesting day trading the ES today! Big volatility. Not my best day, but trying to focus on trading the system consistently, and not worry about the profitability for now...

Here are my results:

And here is a review of the 7 trades (remember I'm looking to get my Trade Quality Scores as high as possible):

What was good about today was that I was much more disciplined about checking whether I could frame a trade before taking that trade. I have a slight concern that this might stop me from taking certain good trades, especially if I include the RL90 and RL270 as possible lines of support / resistance.

What was also good was that I placed far fewer trades. I resisted entering certain times when I was very tempted too.

What was also good was that I set alarms for the 3 batches of news coming in, and the alarms reminded me to be wary of trading into news.

What wasn't so good was that I still entered a FOMO trade, when price went up 20 points in 2 mins!

I also could have trailed by 1R instead of 0.5R, given how volatile it was today.

I also made an execution error today - I guess on the bright side I only made 1!

Also, I missed an SQC right at the start of the day that would have been really profitable.

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  #29 (permalink)
Cape Town, South Africa
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Fri 17 Oct Trading Prep

OK, so here's today's news:

I'll have to set an alarm for 9.53...

And here's a daily chart of ES:

Notice that yesterday was an up day, and today is so far an up day too, with price currently just above yesterday's high, i.e. in green territory.

S&P 500 Ave range is at 23.2 and std deviation is at 11.3. The daily market state as of yesterday is volatile bear.

Happy Trading!

Last edited by RichJamo; October 17th, 2014 at 09:33 AM.
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  #30 (permalink)
Cape Town, South Africa
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Fri 17 Oct Trading Results

Sjo, OK, so another strange day in the markets for me. The prime factor (in retrospect) is that I was very tired - a stressful, emotional rollercoaster of a week - we bought a house that we'd been coveting for a while - and then an early morning on Friday morning to get to a meeting. I could sense how tired I was, but decided to trade anyway. My trading very quickly degenerated to a point where I was not following my system at all. However, perhaps something good did come out of it. I've started to look at combining the two systems I've been using this month - the one for the longer term (in my case hourly) sense of whether the market is in the midst of a sharp move back to a certain level, and in what direction - the second for the actual entries that I make (looking for the pullback on the 350 tick chart and then entering).

It's early days, but I've been testing this system on market replay and the results so far have been really impressive. This system wouldn't be for everyone, as I'm basically just scalping and looking to make 2-4 points a morning. It's just that I'm now looking to scalp in the middle of larger movements, to give my scalps a better chance of working.

For what it's worth, here are my results from Friday:

And here is my trading chart:

I'm not going to do an in-depth examination of these trades today, I'd rather focus my time on prep for the trading to be done this afternoon. This week is going to be a bit disrupted as I'm traveling to Italy to do some work for a client there (day-job).

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