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Rich's ES intraday strategy


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Rich's ES intraday strategy

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RichJamo
Cape Town, South Africa
 
 
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

OK so my strategy is based almost entirely on that used by jwdixon, posted in a journal competition a few years back called 'my ES Scalping Strategy, 2+ pts/day'.

My aim with this journal is exactly as Big Mike described the purpose of journaling - to try to force myself to be as honest with myself as possible. I've not been trading this system for long, but have already had one 'meltdown' day, where I abandoned the rules of the system after a few losing trades and attempted to get back to profitability by swinging for the fences

Today I traded the system on sim and was up $358 by the end of the day, so a great day for me, just wish it was a real money day

Look forward to sharing and getting feedback from the community.

RJ

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Nice job journaling @RichJamo.

I want to let you and all your readers know that in October futures.io (formerly BMT) has a Trading Journal contest w/prizes. The contest runs October 1 to October 31, and the three best journals (as decided by futures.io (formerly BMT) members) will receive a 150K combine from TopstepTrader.

The contest thread is here:



That thread will be open for posting starting Wednesday, October 1. As the author of your journal, you need to make a post in that thread linking to your journal, and then ask users to press the "Thanks" button on that post if they want to vote for your journal to win the contest.

Members can vote for as many different journals as they want. Votes are cast in the Contest thread only, and only on the first post made by the author of the journal that contains a link to their journal. This is done so I can easily count the "Thanks Received" by author/journal, and award the three prizes.

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RichJamo
Cape Town, South Africa
 
 
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Here are the basics of the trading strategy that I have been looking to employ:

"For my set up, I tend to FAVOR the FIRST pullback after a TREND CHANGE. Depending on how the day is shaping up helps me decide if I will take the 2nd or 3rd set up in that trend. Please REMEMBER when I am Scalping, a TREND might last only 5 minutes, so don't get married to any 1 trade.

Money management: I hate to teach this, that is up to you, I will give you the guide lines that I tend to follow. I like to get in and out fast, I like to take money off the table when I have profit. I tend to exit 2/3 to 3/4 of my trade at 2-3 ticks, hold the rest for 6 ticks after a BE stop....That's me, as you get a feel for this you need to see what works for you.

Charts: "Trend Chart", I use a Renko 2 tick size box
"Trading/Entry Chart", I like the 350 Tick

Trend: If the Renko Bars are Above the the Dark Brown 21 Donchian Channel "Mean" line = UP TREND
If the Renko Bars are Below the the Dark Brown 21 Donchian Channel "Mean" line = DN TREND
You should be able to "SEE" this, when bars are trading around the line, be careful, just wait, the trade WILL come!

Pull Back = Renko price bars are trading back near the orange 10 DC Mean line and the 21 Mean line

Long Entry = When the Renko chart breaks out from below the line to above the line, then shows a pullback to towards the lines look at your 350 tick chart......IF the upper Donchian Channel (DC) has moved up, AND you can SEE SPACE between the price bars and the DC mean line then enter your trade entry at or a tick above the 21 Mean line for your entry. Picture are worth 100 words so I will try and teach off the charts.

Short Entry = When the Renko chart breaks out from above the line to below the line, then shows a pullback to towards the lines look at your 350 tick chart......IF the lower Donchian Channel (DC) has moved down, AND you can SEE SPACE between the price bars and the DC mean line then enter your trade entry at or a tick below the 21 Mean line for your entry."


Credit to jwdixon, here is the link to his stuff:

I have mostly stayed faithful to Dixon's original explanation of his strategy, although I also keep an eye on a 3 min chart, and at the moment use my discretion to judge whether enough of a trend is in play to justify a trade.

I am in the process of writing this strategy up in a more detailed format, but I thought it appropriate to give Dixon's original thread, partly as a way to pay homage to him for his work.

More to follow soon...

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RichJamo
Cape Town, South Africa
 
 
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

I am trying to build a habit of preparing for every trading session in a systematic, disciplined way.

One of the things I check is any scheduled news releases likely to affect the US markets. I do this on Forex Factory's Calendar. I only look to trade between 10am and 12pm CET, so the news items relevant to me for Wed 1 Oct were:
9.45am Final Manufacturing PMI
10.00am ISM Manufacturing PMI, Construction Spending m/m, ISM Manufacturing Prices
10.30am Crude Oil Inventories

Please note that I'm not looking to predict what effect the news will have on the markets, it's just good to know that if I'm in a trade at 9.59am and there's news coming at 10.00am I should close out my position or at least tighten my stops because the price might spike.

The other thing that I like to check is the average daily range of the S&P500 index over the last 30 days, as well as the standard deviation: Av Range = 14, std dev = 6.

I use this to give me a sense of how much movement I can expect in price today. I find it a very useful guide.

Finally, my preparation for trading should also involve a few moments to ground and centre myself so that I see the market as clearly as possible and make the best decisions possible. (I say should because I don't always get around to this part)

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RichJamo
Cape Town, South Africa
 
 
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Wed 1 October I traded on Market Replay as I had to unfortunately be at a meeting during the time I usually trade.

I obviously didn't look at any market info ahead of trading this, as that would defeat the point of the learning exercise.

I took three trades in total, each time 2 contracts. The first contract I look to get a quick 3 ticks, the second contract I look to run with a breakeven stop and see how much I can get out of it. At the moment I'm trying to get 21 ticks out of it, and moving a 6 tick trailing stop behind it as it moves.

The four things I look for before entering a trade are (per the strategy detailed in an earlier post):
  1. a recent trend change
  2. Donchian Channel upper line moving up (or vice versa for short trade)
  3. "space" between candles and DC mean line
  4. An entry 1-2 ticks above the DC mean line

As mentioned in the strategy post, I do also keep a 3 min chart open to get a different view of whether the market is trending, and this informs whether I take a particular trade or not. Also, I sometimes 'chase' price if it touches my entry point without filling me. I have to watch this, though, as I sometimes get too aggressive and chase unnecessarily, only to see price drop to my original entry point.

As you can see in the attachment below, on trade 1 I made 3 ticks on the first contract, 0 ticks on the second. I actually failed to notice that one of the news items was coming up (the 10am one), although it wouldn't have made much difference as my stop was at breakeven anyway.
On trade 2 I made 3 ticks on both contracts, which was actually a mistake, as my intention was to let the 2nd contract run. However, I put in a limit order for 2 exits at 3 ticks instead of for 1, and the market was moving fast so I was out before I knew what hit me.
On trade 3 I made my 3 ticks on the first contract and managed to get 6 ticks out of the 2nd contract.

So, combined I was able to extract 18 ticks, in just over half an hour. This was enough for me so I ended my trading day there.

Trading Results Wed 1 Oct 14.xls

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RichJamo
Cape Town, South Africa
 
 
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

So, here's the news for Thursday:

Since I trade from 10am-12pm, the two items that affect me are at 10am and 10.30am.

S&P500 average range is 14.4 and std dev is 6.3.

I had to rush home to be in time to start trading, so I didn't have time to ground and centre.

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RichJamo
Cape Town, South Africa
 
 
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Here are my trading results for Thursday. I was trading real time, but still on SIM at the moment. I was trading this system with real money last month, but took a few knocks, so have decided to go back to SIM for a while.




Overall, I managed to end the day up 3.50 points, so happy with that, especially after going down 4 points on my first trade of the day. I made a lot of trades (20 contracts in total), so commissions would have eaten into my profits. I made some execution errors, and also took a couple of 'experimental' trades where I started thinking too much instead of just following my system.

Here are my comments:
Trade 1 - I didn't put in my stop (sometimes I'm a bit careless about that, thinking I can just close if it drops). In addition, this was possibly still a bit too early to trade as the market was showing that it was very undecided about what direction it would go in. I should have trusted my gut and stayed out until it started to settle and show a direction.
So, those two factors combined meant I made a bigger loss than I should have - would normally limit the loss to 3, but it was 4.

Trades 4 & 5 were my 'experimental' trades, i.e. outside the parameters of my strategy. I thought I had noticed that price would often pull back by 3 ticks very early on in a directional move, so I thought I'd try and enter on those 3 tick pullbacks with a single contract and look to make 3 ticks. It worked once and it went against me once, and then I regained my focus and decided to stick to my strategy.

Trade 7 was a runner, and I got 2.25 ticks out of it. Was wondering whether I should have held on for more, but it turned out not to run much further.

Trade 11 was also a runner, and I exited at +1 tick because it made a higher low and I looked at the stochastic and thought it was going to go against me. A case of thinking too much. If I'd just trusted my stop and let it run I could have made around +12 ticks!!

Trades 12 & 13 I was a little bit nervous going into, as the upward trend was definitely a counter trend in the context of the day. Perhaps I should have just gone for 1 contract and 3 ticks.

Trade 14 was another loser for me. In retrospect the renko bars were probably still too close to the DC midline, meaning that I was still very much in 'chop' territory.

Trades 15 & 16 got me + 3ticks and a breakeven on the runner. I was very close to hitting the daily low here, so in framing the trade I perhaps should have noticed that and exited the runner at +6 ticks when it hit the daily low. Then again, sometimes price goes through daily low and keeps going, so...

Trade 17 was an execution error - when I exited trade 16 my stop was still for 2 contracts even though I only had 1 in play, so I ended up with one contract long that I didn't really want - closed it out for -2 ticks.

Trade 18 I just took 1 contract and went for the 3 ticks, as I was close to the daily low. However, if I'd taken a runner I would have made money, and worse case broken even on the runner, so...

Trades 19 & 20 were a great way to end the day, got +3 on the one and +12 on the other. However, it turns out that I could have ridden the runner MUCH further, easily to my 21 tick profit target. I exited because there was a pullback of 6 ticks, but after that it went smoothly down again. I have to give more thought to how and when to exit the runner...

OK, so that was Thursday. It might also be useful if I post some pics here of the charts that I'm using and how I'm identifying the setups, entries and exits. Will look at doing that...

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RichJamo
Cape Town, South Africa
 
 
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

OK, so here's the upcoming news for today that might affect my trading:



I sometimes start trading just before 10am, so will have to watch that incoming news item at 10, especially since it's in red (high impact). Interestingly, the news coming in earlier in the day is also in red and looks like major news for the US economy, so will be interesting to see what unfolds today.

Average range for S&P 500 is at 15 now, and std dev is 6.6.

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RichJamo
Cape Town, South Africa
 
 
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received


OK, so here are my results for Friday:


Overall, finished with +1.75 points, so relatively happy with that. Had several opportunities during the session to close out one of my runners and hit +2 points for the day, but I tried for more and on almost every occasion saw the runner come back to breakeven. After a while I started to see that the price had become somewhat range-bound, so I'm thinking hard about how I can spot that in future and let it inform my exits in some way.

See below for the two charts I look at (with entries and exits shown):




Trade 1: Once again, my first trade of the day is an outright loser (both contracts stopped out at -6 ticks). This has happened to me a few times now, and it makes the session feel like hard work because I have to claw my way back to profitability for the rest of the session. I'm not sure what to do about this, other than perhaps to wait until 4.15 pm before I start trading, or perhaps have some way of determining that the volatility of the market opening has subsided sufficiently to start applying my system.

Ignore what I just said, I've had a look back at it now, and I see that there was no real trend change to speak of. There was a pullback from a big move up, then a resumption of that move up, and I took the trade at the 2nd pullback of that second move up. Which then went against me. (I did actually try and get in on the 1st pullback, and was touched but not filled ) In addition, there was stochastic divergence ahead of my entry on the 2nd pullback, which should have been enough to convince me to keep my powder dry...

Trade 2/3: 1st contract got 3 ticks, 2nd contract got stopped out at breakeven. Lesson: Don't be too quick to move stop on second contract to breakeven, rather move it to -1 or -2 ticks. (which is still better than breakeven on the trade as a whole, given that we've already got +3 in the bag - even taking costs into account)

Trade 4/5: Taking a bit of a chance here, as this was the 4th pullback of this down move. However I managed to get +3 on the 1st contract, and then the second one got stopped out at +3 (I was trailing by 6 ticks).

Trade 6: Execution mistake: I didn't change my stop from 2 contracts to 1 contract when the first contract was exited. Cost me 3 ticks

Trade 7/8: Trade by the books, except I chased quite hard, ended up entering at 2.5 ticks above DC mean (on 350 tick chart). I do this often, only to watch price come back another tick or two, meaning that I needn't have chased. Got my +3 on the first contract, second contract went all the way up to 2.75, and then came back down again and I eventually stopped out for +3. Should I have taken the +2.75 when I could have?

Trade 9/10: Got +3 on first contract, but -2 on second. Not much to say about this one, I think it was a fair trade to make, but they can't all go your way. The only thing I do notice is the double bottom formed when I took the profit on the first contract, with stochastic divergence suggesting that an up move was likely - I could have listened and exited the 2nd contract at breakeven or small profit. Then again, if it had reverted to the down move I would have felt silly.

Trade 11/12: Got in at +2 above DC on 350 tick chart, again could have waited at DC or DC + 1 and would probably have got filled. Fair trade, was just after a trend change. If I'd entered at the DC I might just have been able to ride out the reverse move and enjoy the big up move afterwards. It was at this point that I started to suspect that the price had become range bound.

Trade 13/14: A losing trade. This is where the range bound behaviour can hurt you on this strategy - just as you're getting in, price is not pulling back, it's actually bouncing off the bottom of the range and heading back up. My clue was that the BB30 mean on my 3 minute chart was flat at this point, so I'm going to keep an eye on that in future, and when it is the case, wait for price to break out of the range that's been established - see next trade.

Trade 15/16: Price broke through the range high, so I figured the long trade was on when it pulled back. I got +3 on the first contract and then +8 on the second contract. As it turns out I could have got more than +8 out of the runner, but I chose to exit 1 tick below the high of the day, which hadn't been touched since 4pm. I've been thinking about how else I could have played this. Perhaps put in a limit order to exit 1 tick above the HOD? Or move my stop up to 1 or 2 ticks below the HOD as soon as it gets breached? I've observed that when price reaches the HOD it usually goes through by 1 or 2 ticks, but then can be quite unpredictable - i.e. might come bouncing straight back down, might push up quickly. Any comments / suggestions / thoughts welcomed.

OK, that's all from me. I'm realising that this way of journaling is quite wordy, so perhaps I'll start making screencasts to talk through my trades. However, already feeling like this process is very beneficial to me, both because it bolsters my discipline to actually do the reviewing, and because I feel a level of accountability to this community, which keeps me a little bit more honest (i.e. more likely to stick to my strategy) when I'm trading.

Happy Trading

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RichJamo
Cape Town, South Africa
 
 
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Interestingly, there's not a single piece of news coming out today that's expected to affect the USD (this is the way I usually filter for news).

However, there is a Canadian announcement coming out at 10am, which is just as I start trading. I doubt that this will have much of an effect on ES futures, but will bear it in mind anyway...


Average range of S&P 500 index is sitting at 15.5, and the standard deviation at 6.7. This has been ticking steadily upwards over last week.

Using Ken Long & Van Tharp's terminology, the S&P 500 is 'bull, neutral' on a daily basis. I'm not sure how useful this is for intraday trading, so I may have to develop an intraday measure for this.

One thing that I'd like to add is 10 day high and low, but I think I'll do this on my charts.

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RichJamo
Cape Town, South Africa
 
 
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

OK, so overall not a great day for me today, went down $175. I have to be philosophical and say that down days will happen, and also I have to make sure that I glean whatever lessons there are to be learnt from today. More on that below.

First up, here are my actual trades:


And here are the two charts I use, with my entries and exits marked on them:




And here are my thoughts on each of the trades:
Trade 1: AGAIN, I start off with a full boat loser It was a 3rd pullback after the trend change, and it was the first time in the day that the market was really starting to show direction. All other conditions of the system were met, and stochastic divergence was not an issue. However, I was a bit aggressive on the entry (again), entering at 2 ticks below the DC mean on the 350 chart (as opposed to 1 tick or 0 ticks below). This could have made a difference, as I eventually got stopped out very close (1 tick) to the MAE.

Noticed that after this trade some feelings of 'it's not fair' came up, particularly around this 1st trade of the day phenomenon that seems to be plaguing me.

Trade 2/3: Pullback 2 after trend change, although it again wasn't a very convincing trend change. Made +3 on the first contract, and after some heat made +4 on the 2nd contract. Could have made +9 on the 2nd contract, and in a way I did get a signal to exit earlier, when there was a double bottom with a stochastic divergence - I'm still trying to decide whether I should take this as a signal to exit the 2nd contract - starting to think I should.

Trade 4/5: Missed a fill jut before this, and then got filled. All of the system conditions were met, it was a 2nd pullback, and I entered just 0.5 - 1 ticks above the DC mean. The trend on the 3min chart was still down, so this was a counter trend trade. I made +3 on the first contract and -2 on the second. Perhaps with these counter trend trades I just go for 1 contract and +3, and just on 1st pullback?

Trade 6/7: Met all the conditions of the system, pullback 1/2, with the trend, stochastic divergence not an issue. Made +3 on both contracts. The first one was standard exit at +3. I failed to notice how close we were to the LOD, and when we hit it and bounced back I decided to exit the second contract for +3, which turned out to be a good decision. I must stay aware of HOD/LOD and other support and resistance lines, especially when framing trades and setting exits. I also need to be aware of whether we're trading inside yesterday's range or outside it, and make trading decisions accordingly.

Trade 8/9: Met all the conditions of the system, pullback 2, but was a counter trend trade (on 3 min). Stochastics were fine. Made +3 easily on 1st contract, got stopped out for -2 on the second contract, which was a little unlucky (stopped to the tick, after which it went up). Again, I'm very tempted either not to take these counter trend trades, or to only go for 1 contract and 3 ticks on them.

Trade 10/11: Probably not such a great trade even though I made +3 on both contracts. It was counter trend, 3rd/4th pullback, and there was stochastic divergence. As it turned out I got lucky and just managed to make my +3's. (Might have been a possibility to go short as I exited this trade, but not really in my system's rules...)

At this point in the day had $112.50 (excl costs). I might have stopped here if my profit target was $100...

Trade 12/13: Met the conditions of the system, pullback 2, entered 0.5 ticks below DC mean, stochastics fine, and was with the 3 min trend. I made +3 on first contract, -2 on the second. Maybe a little unlucky, as I got stopped out to the tick on the second contract, before it dropped down again. However, I'm questioning the wisdom of trading so close to the LOD, as price seems to have a tendency to bounce quite sharply and stop me out. Need to keep this in mind, maybe rather wait until LOD has been properly broken through. (see what happens after 5.30 on this day, for example)

At this point, had $125 in profit, again an opportunity to call it a day, but I don't, and watch what happens...

Trade 14: Double loser! I sell on pullback 4/5, 1.5 ticks below DC mean, stochastics fine, but I get nailed by the bounce off the LOD (again) and both contracts get stopped out for the max -6 ticks. In my defense, it had pushed LOD down by 1 tick just before I entered, but I reckon that's not enough of a breakthrough to rule out the bounce. But also, 4th/5th pullback, that's not really right by the system rules...

Emotionally, I noticed I was feeling frustrated and a bit angry, having gone from $125 up and potentially a good day, to $25 down. This might have been a good time to at least take a break, as my emotionality could easily have affected my trading.

Trade 15: Another double loser. Now I bought the bounce, believing that maybe this was a turnaround. I should have waited for it to at least break the range of the previous bounces! It did technically meet the system rules, was a 2nd pullback, etc. I also entered quite aggressively, chasing from +1.5 to +2.5 ticks. And this was a counter trend trade by the 3 min chart. At least the stochastics were with me, but still, not a great trade (see emotionality comment above!). I trend putting both exits at +3, an almost got lucky, but it was not to be.

So, ended the day at -$175, having at one point been +$125

Lessons?
  • I made too many trades at the 3rd/4th pullback
  • I made too many counter trend trades
  • I was not very clever around the LOD, as it bounced a couple of times
  • I need to be very careful to flatten all orders after a trade
  • I need to be very rigid in my discipline around when to stop trading, as I quickly slip into an emotional rut when I have a few losers in a row, and sometimes start revenge trading

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RichJamo
Cape Town, South Africa
 
 
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Ok, so here's the news calendar for today:


It's only really the 10am news that will affect me, as I'm currently only trading the morning. It's yellow and orange, so I don't expect huge impact, but will probably wait till after 10am to enter my first trade (if I remember!)

Average daily range of S&P 500 index over last 30 days is 15.8 (still ticking up), and std deviation is 6.6 (staying the same). Market is still bull, neutral (neutral indicating neither volatile nor quiet, but somewhere in between).

Happy Trading!

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RichJamo
Cape Town, South Africa
 
 
Posts: 45 since Aug 2014
Thanks: 5 given, 64 received

Wow, not a great day for me again. Down $250.

Here are my actual results:


And here are the two chart I use to trade, with my entries and exits indicated:




Trade 1/2: I managed to break my run of losing money on my first trade of the day, but only because I exited both contracts at +1 I opted for this early exit because when I relooked at the Renko chart I realised that this was actually the sixth pullback since the trend change (if you don't count the brief dip below the DC as a trend change, which I really don't think I should). In addition there was stochastic divergence on the last two highs just before I entered. (I'm still trying to figure out whether I should take this into account). Note: If I'd stayed in I probably would have made +3 on first contract, -2 on second contract. Note 2: Trend on 3 min chart was still down, so this was technically counter-trend.


Trade 3/4: Made +3 on first contract, -2 on second. In my trading notes I've called this 1st pullback after trend change, but as with the trade above, that's only if I define a trend change as any time that the Renko crosses over the DC mean, however briefly. I'm really starting to think that I need to be a bit more discerning about this. In terms of 'real' trend changes, this is the 12th pullback since the trend change! Other elements of the system were fine, and I entered at +1 tick. Technically a counter-trend trade, as BB30 mean still downward sloping on 3 min chart. Note: I could have exited the 2nd contract slightly earlier if I'd listened to a stochastic divergence signal from the second top.

Trade 5/6: OK, a full boat loser, -6 on both contracts. To be honest, I think this was a good trade in that it followed the system rules better than the first two trades of the day. There was a genuine trend change (4 Renko bars past the DC mean), and then there was a first pullback which I looked to trade. Trend on 3 min chart was still down (although not by much, perhaps I should rather be looking at the 1 min chart?). No stochastic divergence. However, one thing I could have done differently was be less aggressive on the entry. I entered at -1.5 ticks, where I could easily have waited at -0.5 ticks. If I had, I would not have got stopped out on the reversal and could at the very least have made +3, -2.

Trade 7/8: Made +3, -2. System rules respected, entered on the DC mean. There was a stochastic divergence on the final little top just before I entered the trade, should I have respected that and not entered? (need to keep an eye on this) Not a terrible trade. Two thoughts: Was this a case of too far, too fast? (11 Renko bars in a row) Was the previous day's low (around 1950) acting as a resistance level?

Trade 9/10: Full boat loser again. -6 x 2. It's interesting to relook at this trade. When I made the trade I wrote in my notes that it was first pullback since trend change, and that there was no stochastic divergence. However, I now see that it was more like a 4th pullback (again, being careful not to count a one Renko crossover as a trend change, but rather as a pullback). Also, if I look at this high and the previous high on the Renko chart, there is definitely a case of stochastic divergence - I think when I originally looked at it on the 350 tick chart I didn't look back far enough at this earlier high.

So, what lessons from this day's trading?
(1) I need to check whether I'm defining 'trend change' and 'pullback' correctly. I remember looking back at Dixon's charts to see how he defines it, but I think what makes sense to me is that a trend change is at least 2 renko bars on the other side of the DC mean, possibly more.
(2) Very tempting after two losing days in a row to want to change the system or add additional constraints. However, I'm bearing in mind Big Mike's no 1 piece of advice, which is to first trade a system consistently before looking to make changes. Doing this review process makes me see mistakes that I didn't even realise I was making at the time, so I'm going to carry on with this system and see what results I generate as I start to reduce the number of mistakes I make.
(3) I think there's a link here to my ability to be patient, and to my FOMO. I hate the feeling of missing an opportunity, and also I get impatient when I haven't entered a trade in a while. I recognise my impatience, and that's why I trade such a short-term, scalping-type system. However, even with this system I need to have a degree of patience, and perhaps also need to shift my thinking around FOMO - as I read somewhere, it's better to miss a good trade than to take too many bad trades.

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RichJamo
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OK, so here's the upcoming news for today (filtered to only show news that affects USD):

(Credit: Forex Factory)

Since I trade 10am - 12pm, I will have to be aware of the news item at 10.30am. I often get so caught up with trading that I forget about news, so I think today I'll set a reminder on my phone...

Average range of S&P 500 index is now at 16.4, and std deviation is at 6.8, both of which are up from yesterday.

My intention for today's trading is to be more careful about the trades that I enter, to be patient instead of being anxious about missing an opportunity. The truth is that I only need one or two good trades to make target, so it's not the end of the day if I sit on the sidelines during good moves. As Buffet says, you don't have to swing until things line up exactly right for you. I know that sometimes I look for reasons to enter a trade, anxious that I might miss an opportunity - I need to turn that around.

A second (related) thing that I'm going to keep in mind today is to be clearer in distinguishing between a trend change and a pullback. I will define a trend change as a move of at least 2 renko bars on the other side of the DC mean. (At least 2, I might adjust this up to 3 or 4)

A third (again related) thing that I'm going to look out for is stochastic divergence when entering. I'm not sure whether this is a 100% reliable indicator, but in the spirit of the Buffet advice above, why enter when things are less than 100% in your favour?

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RichJamo
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OK, so quite a weird trading day for me, with some up and down results, and some interesting lessons at the end of it all.

Here are the actual results:


So, you can see, down 0.75 points at the end of the day.

Here are the two charts I trade off, with entries and exits shown:




Here is my thinking on each of the trades:
Trade 1: Again, a full boat loss at the start of the day, Grrr. Looking back at it now, I see that it was a 3rd pullback (not a great way to start the day). Other considerations: DC upper line was up, there was space, I entered on the DC mean, and there was no stochastic divergence to worry about. The longer trend on the 3 min chart was down, so maybe 3rd pullback was not a great idea. Framing-wise, it still had room to go up. Finally, it was a 10 Renko in a row move up, so perhaps it was also a case of too far, too fast - so that combined with it being counter trend and a 3rd pullback - not a great trade.

Question is, should I have taken pullback 1 or 2 before this 10 Renko move? My notes say that I didn't take it because there was stochastic divergence on the 350 tick chart. (Interestingly, the stochastics were fine on the renko chart...any comments on that?). The renko did make 2 bars above the DC mean before the first pullback, so from that point of view the trade would have been legit...

My notes also say that I was 'waiting for the trend change to confirm itself'. The danger of this is that I then take the 3rd pullback and it's too late. I think I have to set the standard as two renko bars above the DC to confirm the trend change, and then trade on that basis. I would have entered at 16.07 (first pullback), and possibly at 16.10 (second pullback, although stochastic divergence here).

Trade 2/3: By the book, took the first pullback after the trend change, entered 1 tick below the DC mean on the 350 tick chart, with the longer trend (3 min) being down and no stochastic divergence. I made my 3 ticks on the first contract, and the second contract went all the way out to +13 before it bounced from 1 tick above the LOD and when I got out it was for +3. So two possibilities here. Either I just take my profits at +6 or +9 or something, or I put my exit in at 1 tick above the LOD (might still have missed me as it only touched that price). Will say more on this below.

This trade really triggered feelings of excitement as it went all the way out to +13, and then feelings of anger and unfairness as it bounced all the way back up. Note that if I was running an ATM with a trailing stop of 6 I would have made +7...

16.28 didn't enter a trade because of stochastic divergence on the 350 tick chart... Turns out it would have been a good trade. Looking at this stochastic reasoning, I'm not so sure how to interpret it. There was stochastic divergence between a point at 16.26 and a slightly higher price point at 16.27, showing that price had moved slightly higher but momentum was not quite as high. But I'm trading pullback, so isn't there often going to be a slowing down of momentum just before I get in? I think I need to look at stochastic divergence between two price highs that are a bit further apart, like two distinct highs with a pullback in between.

Trade 4/5: This was a profitable trade for me. Made +3 on the first contract, +10 on the second. Trade was pretty much by the book, traded 1st pullback, entered 1 tick below DC mean (could actually have waited till it hit DC mean). It was in the direction of the 3 min trend. Stochastics was not an issue. Interestingly if I had stayed in with the runner (I exited on the first pullback, which turned out to be a 10 tick pullback, but didn't go back past +4), then I could have made much larger gains (+30 or more depending on trail). I chose to exit just to get profitable. Also, a 6 tick trailing stop would have stopped me out on the 10 tick reversal. But it does go back to the point of maybe just letting the runner run because at some stage in the day I'll hit a big winner?

The next interesting point is that I could potentially have traded the second pullback here (given the down trend on 3 min chart). All conditions were met, but I was obviously still focussed on my exit from the last trade... pity.

Between 16.43 and 16.56 there were a few trade signals that I didn't take. A couple of them were the Renko just popping above the DC mean in the middle of a big downward trend, which I took to be pullbacks rather than counter trends. I guess I could have different criteria for a trend change depending on whether it's with the 3 min trend or against it. Because a couple of times there were 2 renkos above the DC mean, but to me that looked like a pullback on the down trend, and I was proved right in this instance. So I think I will increase the limit to 2.5 renkos above/below the DC mean. In which case I should have taken a losing buy signal at about 16.53, but then a winning sell signal at 16.55. However, the LOD was also in play here, so maybe just leave the sell signal...

At 17.11 there was another buy signal that I didn't take because of too far, too fast, which turned out to be the right decision.

Trade 6/7: Another full boat loser! After having sat on the sidelines for a long time while it trended down, it finally came back above the DC mean by 2 renkos. But then it shot off for another 11 consecutive up renkos, and I (correctly) didn't take it because of too far, too fast. However, when it got back to the orange line on the renko chart I thought I'd buy. I think the lesson is not to take these trades until I understand this 'too far, too fast' trend a bit better.

Trade 8/9: This really wasn't a great trade, I wasn't thinking very clearly at this stage of the day. I think I was frustrated after losing out on the big down trend of the day and then having a full boat loser when I thought it was going to push up again (see above). This was pullback 1 after a trend change, BUT stochastic divergence was against me, and we'd just bounced off 1918, a long term low. Also, there was space, but the way it hesitated along the way to returning to the DC mean should have been a sign (supported by the Stochastics). Managed to breakeven.

Trade 10/11: The stochastics were against me on this trade, and it was pullback 3, but I managed to get +1 combined, and was unlucky not to be part of a big move up (stopped out by 1 tick on the runner). Probably not a great trade, given the stochastics, but would have been an ok trade if I'd got in just before this...

Trade 12/13: Made +4 combined. Traded the 4th pullback, which was maybe not so clever, and also entered +3 ticks above the DC mean, when I could have waited for it. Also, given that it was pullback 4, should have taken my +6 on the second contract when I had the chance... Stochastics interesting, but not completely against me...

Was feeling quite anxious and ungrounded at this stage in the trading day, should probably stopped or at least walked away for a while.

Trade 14/15: On the renko, not a bad trade, 1st pullback after a trend change. On the 350 tick, I entered at 2 ticks below the DC mean, could have waited. Made + 3 on the first contract and then exited the runner at +1 because I'd spotted the stochastic divergence.

Trade 16: By this time I was so fed up, I took this trade even though it didn't meet my system criteria. I thought this move up would continue, so I entered on a pullback before the renko had got back above the DC mean. Then I exited both contracts at -4 when I realized that I was trading outside my system rules. Ironically it then almost immediately went strongly up. But really I could have made a legitimate trade just after it crossed over on the renko.

So, quite an action packed day. One of the things that I'm taking out of this day is that I need a clearer daily profit goal and daily loss limit. I'm thinking of +3 points for both. And I'm thinking I need to be more consistent with what a trend change is - 2.5 renkos the other side of the DC mean. And I'm thinking about using a different initial stop: -3 and -6, instead of both contracts at -6.

But perhaps some more thoughts on this day later, or at the end of the week.

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RichJamo
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Ok, so here is the news for today:


So some news at 10 and some news at 10.30, both yellow flags though. As well as a G20 meeting that will be going on all day. Not much I can do about that last item.

Average range on S&P 500 index is 17.7, and the standard deviation is 8.4. Both of these numbers have jumped up quite significantly.

My intention for today: Trade for +3 points, and stop if I hit -4 points. Treat a trend change as anything which is 2.5 renko bars over the DC mean. And... stop trading 3rd / 4th pullbacks so much - be patient!

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RichJamo
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Jeez, not a great day for me. Started going badly and then I had a bit of a meltdown. But I guess this is why I'm still trading this system on sim and journalling - to learn and improve...

Here are the numbers (you can see it got pretty ugly at the end there):


And here are the two charts I use, with entries and exits indicated:




Trade 1/2: Getting so bored of this pattern - first trade of the day, full boat loser. Looking back at my notes, and at the charts, it was a first pullback, DC upper line up, there was a little bit of space but not that much, and I entered 1.5 ticks above the DC mean. Stochastics - NA on Renko, but on 350 tick they were mixed. I think, most importantly that the major trend for the morning up to that point was down, making new lows (for the day and the day before), and that if you look closely at the 350 tick charts you can see that there were two small pullbacks ahead of the one that I traded. So perhaps be careful of taking the counter-trend trade, especially when the trend is so strong. Also, take into consideration these smaller pullbacks, even if they don't show up on the Renko.

Trade 3/4: Went short this time, made +3 and +8. Call this the second pullback, DC was down, there was space, I entered on the DC mean, and with the 3 min trend. Stochastics on the 350 tick were fine, on the Renko they were not so great (how to understand this contradiction?). I was close to the LOD and wasn't sure how to play it when it got there, so I played safe and got out just above, which turned out to be a good decision.

16.11 Chose not to enter short on 4th pullback - stochastics weren't great, plus it was the fourth pullback, plus the LOD was close by. On the other hand, we were in a strong down trend..

Trade 5/6: Went long and made +3, +0. Was second pullback, DC up, space, entered on DC mean, stochastics good on Renko, bad on 350 tick (?), trend still very much down though. This was a risky trade, could be seen as 3rd pullback, counter trend... I exited runner at +0 due to bad stochastics, turned out to be a good decision.

16.24 Got touched, but not filled

Trade 7/8: Went short, made +3, -2. 2nd pullback, with the trend, DC down, space, 1 tick below, but stochastics on 350 tick chart not great. Not a bad trade.

16.29 & 16.31 was tempted to go short, but system rules not met. I think given the downward trend that it would have been ok to take at least the 16.31 trade (given that all rules were met on the 350 tick chart.

16.44 nearly went long - good decision not to - it was counter trend and there were only 1.5 renkos above the DC mean

16.51 & 16.54 tempted to go short. 16.51 not in accordance with rules, not 2.5 renkos below DC mean, and 350 tick chart conditions not met at all. 16.54 however looks like a good trade, except for the fact that it had just bounced off the LOD and my experience is that it can bounce quite a bit when it hits the LOD, which turned out to be the case - good decision.

16.57 tempted to go long, and it would have turned out well if I had. Something told me that after the consolidating period it would go up, and the shape on the 350 tick looked good. The only thing that stopped me is that it hadn't gone 2.5 renkos above the DC mean (it had gone 2.25...)

Trade 9/10: Went long, made +2 and -2. The +2 was actually an execution mistake when I was trying to set a stop, and then it all got very confusing so I closed out the other contract (was happening very quickly). If I look back at it on the 350 tick, it was essentially a 3rd pullback on a counter trend move. Not such a great one. Plus there was quite a lot of hesitation at the top just before I entered, also not a great sign (I don't think?). Not a great trade.

17.04 Tried to go short on first pullback, but didn't get filled... Would have been a profitable trade

Trade 11: Went short on 3rd pullback. Only 1 contract. DC down, some space, trend still down but stochastics against me (on Renko and 350 tick!). Full boat loser on one contract. I think I thought that it would finally break through the LOD... (thinking again!) Note - am I seeing a pattern here - the 2nd and 3rd pullbacks were very close together and so a sort of double bottom formed with stochastic divergence, then it went up...

Trade 12/13: Went long, made +3, +0. 1st pullback after trend change (maybe 2nd if you include one below the Renko mean). DC up, space, entered 0.5 ticks above mean. Stochastics fine on 350 tick and Renko. Trend definitely still down. A bit unlucky on the second contract - put my stop at BE and got stopped out to the tick. I normally put the stop at -2, and if I had would have captured a very nice upmove. Main lesson for me: inconsistency in application of method is what will drive you crazy, because you ask yourself why did I suddenly change my way of doing things there!?

Trade 14: Went long on 4th pullback (4th pullback counter trend! - I think by this point my frustration was really kicking in having missed all of the big moves of the day so far, and I started trading emotionally, trying to catch up, having hunches about which way price was going to go...) Dc was up and there was space, and I did enter on the DC, but the longer trend was still down and stochastics on the 350 tick were not looking great (in fact there was a very clear stochastic divergence between the two most recent highs!!) Lost almost full boat on this trade -5, -5.

Trade 15: Another full boat loser. Although I was quite emotional by this stage, and slightly out of control, this was not such a bad trade decision. The only problem was that I entered at 3 ticks below the DC mean. If I'd waited for it to come back to the DC mean, or even mean -1, I would have at least made breakeven!!

Trade 16: By this stage I was so annoyed that I was starting to trade on hunches. I went long on a hunch that 1950 was going to act like a support level and that price was now going to move up. I then moved my usual 6 tick stop because I wanted my hunch to be proved right. Which of course it wasn't. So a big loss to finish the day. Main lesson here: I need to find a way to STOP trading before things get this bad with my emotional state. As my trading coach puts it, I need to recognise the somatic markers (sensations in my body) that can tell me I've slipped out of a good state of mind for trading.

Lessons:
1 - I need to better recognise when I'm no longer in the right emotional state to trade, and have the discipline to STOP trading. Even if it means taking a walk around the block and coming back 10 mins later.
2 - I need to take the broader trend into account more, especially when the index is below it's low of yesterday and making new lows. Until a strong indication otherwise, this is a market that is in a downward trend, and counter trend trades should be entered with great caution. (I entered 6 long trades and 4 short trades on this downward trending day!)
3 - I need consistent trade management, otherwise I'm going to drive myself crazy. Set the runner's stop at -2 initially, because there's often a second little move back towards the DC mean after an initial push up.
4 - I got really down after this trading day, and seriously questioned the method. However, looking back at it, the edges are so small, and it so easily could have worked out differently. The trick is not to overreact when it doesn't go my way, and to STICK TO THE SYSTEM

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RichJamo
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OK, so here is the news for today:


So this G20 meeting was on yesterday as well. Reading a little bit more, it seems that these meetings can cause a bit of market volatility. There is a statement released at the end of the day, but there are also comments made to reporters throughout the day. It did seem to me that the market was a bit volatile yesterday, so perhaps if I find the same again today that's the reason why.

The conference is taking place in Brisbane, Australia, so if anything the end of day press release should come out before the market open in NY, I'm guessing...

I'd be interested to know how other traders trade on days when these types of meetings are taking place?

The S&P 500 index average range (30 day) is (to be updated, still waiting for spreadsheet to update)

My trading intentions for today:
1 - To go back to basics, to be calm and patient, and try to recognise if my frustration starts to build
2 - To be aware of the broader trend of the day, and try to broadly trade in line with that trend, only taking 1st pullback on counter trend trades, and going for smaller gains on these trades
3 - To be aware that not all pullbacks show up on the Renko chart, and to take these smaller pullbacks into account

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RichJamo
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OK, so I was really hoping to make it through this entire month trading just one system, because I really do take to heart Big Mike's number 1 piece of advice, which is to stop tweaking the system and first attempt to trade it consistently.

However, in my first 10 days of journalling, what's becoming increasingly clear to me is that I can't trade a system that I don't fully believe in. And a fundamental problem that I've had with the jwdixon method from the start is that you're risking 2R to make R, which means that you have to have a win ratio of 67% just to break even. Being a follower of some of van Tharp's work, and also Ken Long's work, this just didn't sit well with me. I think I only went with it for a while because I had a few good days, especially when capping my profit at a low limit and stopping trading at that point.

So, enough about the past, and on to the future I'm returning to a system called a Regression Line Crossover (RLCO) system, which was developed by Ken Long and some of his students. I hope it doesn't break forum rules to mention him here, but please do google him if you're curious, he's done some really cool work.

I like the robustness of Long's research into his systems and the way that he lays out all elements of the system in detail, including trade management, money management, etc.

So, from today I will be trading an RLCO system, and journalling on my results in the same way (more or less) as I have been up till now.

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RichJamo
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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)

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RichJamo
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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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RichJamo
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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

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  #24 (permalink)
RichJamo
Cape Town, South Africa
 
 
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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

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  #25 (permalink)
RichJamo
Cape Town, South Africa
 
 
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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

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  #26 (permalink)
RichJamo
Cape Town, South Africa
 
 
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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)
RichJamo
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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.

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  #28 (permalink)
RichJamo
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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)
RichJamo
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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!

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RichJamo
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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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  #31 (permalink)
RichJamo
Cape Town, South Africa
 
 
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OK, so here's the news coming out today:


In a nutshell, nothing major, but I will keep an eye on that 10am speech. Actually, I think I'll be in the air at that time, but might trade it on replay...

Here's the daily chart for the last few months of ES:


So, what I see there is that we started back up from the lows of approx 1813, but haven't broken back above 1900, and in pre-market trading today the market is slightly down.

The ave range for the S&P 500 index (last 30 days) is 23 and the std deviation is 11.3 (these are Friday's numbers, spreadsheet hasn't fully updated - I anticipate the actual numbers will be slightly higher) .

By the Van Tharp method, the market is currently bear volatile (spreadsheet hasn't fully updated yet, but I'm pretty confident, as SMA 200 is at around 1905 and market is still well below that).

My trading intention today is to trade the new system and see if I can get to 2 or 3 points for the day.

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RichJamo
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OK, so didn't have much time to trade today, had to do it on replay after a long flight to Europe. Here are my results:


Here is the chart I use to determine whether I have the correct setup to make a trade:


And here is the chart that I use to make my entries (look for a pullback):


Sorry, minimal comments again today, got a lot on the go.

Lessons learnt:
  • I did well to place fewer trades (not over trading)
  • I need to be less aggressive and more patient on my entries still
  • I need to be careful to distinquish between a continuation and a move towards consolidation (the start of a sideways channel) - this has caught me out a couple of times
  • Must wait for my set up chart to set up 100%, not be tempted to take trades on marginal setup conditions

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  #33 (permalink)
RichJamo
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OK, so here's the news coming out today:


Ave Daily range on S&P 500 index is now 24 points, std deviation is 11. Market state is still sideways volatile.

My trading intentions for today - to trade the system as consistently as possible.

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  #34 (permalink)
RichJamo
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Right, I'm done for the day so going to post these results now.

Here are the actual trades and outcomes thereof:


And here's my setup chart with entries and exits indicated:


And finally my entry chart, also with entries and exits indicated:


I stopped trading today once I hit 2 points. That's my intention going forward.

Lessons learnt today:
  • I'm still making the same execution error every now and then - I don't remove all limit or stop orders once I exit a trade, and sometimes the order gets hit later on
  • An insight I had today is that all I really need is one good trade a day
  • My patience was good today - I kept myself busy with other things, and resisted the temptation to enter the chop
  • It was a 'grinding up' market today, difficult to trade with my system - I need to give some thought to how to handle this going forward
  • I'm still missing important support or resistance lines - I don't always give thought to whether or not I can frame a potential trade - need to be more aware of this
  • Still learning to distinquish between a continuation of a move versus a consolidation towards a SQC - difficult to do in a grinding market like today
  • I lost confidence in a trade and exited at +1 tick, when it would have made me at least +4 - when to exit early and when to stick it out?
  • I became aware of some FOMO frustration when I chose not to enter and price made an upward surge. I felt a tightness in my chest and a desire to trade more aggressively. Luckily my next trade worked out, but when I get this feeling I should probably take a walk around the block.

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  #35 (permalink)
 matevisky 
Budapest, Hungary
 
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Sometimes I am consider the following on these kind of slow moving the market:

All your indicator says it is a trend up move. You are not really seeing any price action which would be below any moving avrage line or anything.

So question to ask: If there was no movement on the market, and if there is no news at all what could happen with a bigger probability:
- market is moving slowly up, or sideway
- a very quick downtrend forming, and going everything down
- very slowly the market turn, and starting to go down?

In the 1. scenario, the best play, is to wait for the 2 point, it will be painfull ofcourse, but wait for it wait for it and wait for it
In the 2. scenario smile!!! something is happening, and you will have a lots of time and space to trade
In the 3. scenario, you will see all the price action which was above the moving avrages, it is going below. So you can change your sentiment.

But, the worst thing what you can do is trying to spot the turn, days like this. I've done a lots of analysis around this topic, and there is more chance about that, the market will do nothing, than the market turning back (I am speaking about the 1st timeframe of the market meaning till lunch!)

But green day is a green day. This is my sidenote only

Máté
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  #36 (permalink)
RichJamo
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OK, so here is my trading prep for today, Wed 22 Oct. You'll see that I'm only posting this at lunch time (NY time). That's because I had to deliver some training today (day job), so I'm only getting to this now. My plan is to trade the morning session on replay, and then possibly trade some of the afternoon as well (although that might be a bit ambitious).

Here is the news coming out:


So, something at 10.30am, I will have to watch out for that.

Also the S&P 500 index ave daily range is at 24.7 and the std deviation is at 11.2. The market state is sideways volatile.

My intentions today, are to try and repeat yesterday - reach +2 points without too much drama.

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RichJamo
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Hi Matevisky,

First of all, thanks for posting on my thread - you're the first one! It's great to know that people out there are reading what I'm writing.

In response to your points, I totally agree with you, the key is to wait out the slow grinding action. The hard part is having the patience to do it!

On yesterday's morning session I entered a couple of trades where there was a slight pullback from the upward grind, hoping to make a few ticks with a pretty tight stop. I got lucky and was able to make my +2 points and close the day.

I was tempted several times to just enter a long trade with a wider stop and a longer time frame, looking to harvest 1R or 2R over the hour(s) before lunch. Whilst this might have worked this time, it would have been inconsistent with the rules of the system I'm trading. Perhaps when I've mastered this system and I'm consistently profitable, then I will look at having an alternative strategy for 'grinding' days - what do you think?

R

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RichJamo
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OK, so this is a really quick post, just the results and the charts, no time for commentary today I'm afraid. However, good news, made +2.5 points today, nice & easy. (On market replay, as had to work today)

Results:


Setup chart:


Entry chart:


Commentary to come soon, but I'm loving this new strategy.

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RichJamo
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While I'm at it, here are the news releases coming out tomorrow:


I may not get to trade tomorrow as I have to travel again, but here's hoping - I don't want to break this run of good form

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RichJamo
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Here's the news for Fri:


I didn't have time to trade on Friday as I was travelling, so I traded on replay and finished with +1 tick after 7 trades.

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RichJamo
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Here is the news for Monday:


Ave daily range is now at 25, and std deviation is at 10. This is the first time these numbers have come down in a while. The market state is now classified as volatile bull.

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RichJamo
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This was one of the days when I was trying to trade whilst working and travelling. This short trading session was done whilst sitting in a cafe in Florence airport.

Results:


Setup chart:


Entry chart:


Trade 1: breakeven. Price was in green territory, and there was a SQC breakout. All conditions were satisfied, with the framing OK up to the HOD.On the entry, all conditions of the Dixon were satisfied, and I entered at 2 ticks above the DC mean.
Trade management - I moved my stop to breakeven once I had +4 ticks, but then got stopped out. Perhaps I should have exited at +3 or +4, especially given the proximity of the HOD?

Note - at this point I noticed some frustration and impatience. Impatience seems to be quite a theme for me, I need to do some work to understand what underlies it.

Trade 2: - 3 ticks. I was calling this a 'support & continuation' trade, after the SQC above. However, it didn't actually make it back to the river, so perhaps it's premature to call that a support & continuation trade? There's a distinction I need to make between a Dixon pullback (usually just 6 ticks or so, to the DC mean on the 350 tick chart), and a pullback to the edge of the river on the 1 min chart (usually more than 6 ticks). Also, the HOD was very close, which raises questions about framing. And there was some stochastic divergence on the 350 tick.

Trade 3: +3 ticks. This was a case of finding support at the near side of the river. The HOD was close, so framing difficult. Also, momentum wasn't great, as there had just been a doji. Also, I entered +4 ticks up from the DC mean! (+2 up from the cloud)

Trade 4: +1 ticks. This was an SQC breakout. Not quite, technically speaking. I'm seeing with the SQC's that I'm getting in quite late, because I have to wait for a pullback - I'm thinking that I need to try an alternative approach to those trades - rather get in straight away. I entered 6 ticks away from the DC mean! If I'd waited for the pullback would have been a nice easy trade for 4-6 ticks.

Finished on +1 ticks.

Lessons learnt:
  • Stop entering so far away from the DC mean!
  • Only look at stochastic divergence when it's a double top / bottom
  • I might start entering the SQC before there's a pullback
  • I might start taking counter-trend RLCO trades, when they pullback, just for 3-4 ticks

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  #43 (permalink)
RichJamo
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I was travelling this day, so I traded it on replay the following Monday (yesterday). Results are OK, but it looks like even the off day on Friday and the weekend had made me rusty. Plus perhaps the lack of review blogs - these seem to really help me to focus my thinking and resolve.

Here are the results:


Setup chart:


Entry chart:


Looking back at the charts, I notice:

I didn't take a trade at 15.52 because it was a counter-trend RLCO trade. Also, it was still early (before 4pm). However, perhaps I can take these RLCO counter-trend trades, maybe just after price enters the river?

Did well not to take trades around 4pm as we were heading into a consolidation.

Trade 1 was a SQC breakout (except the river was by no means narrow!). It was actually more like a continuation trade. On my entry I chased too far and ended up entering 2.5 ticks below DC mean. It was completely unnecessary because price did come back.

Trade 2 I re-entered, this time on the DC mean. Turned out to be a much better trade. I took an exit at +4, but would easily have made my entire day's target with a simple trailing stop. Pity.

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  #44 (permalink)
RichJamo
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OK, so here is the news coming out today:


And here is the daily chart:

What's interesting is that today is already in 'green' territory - price is higher than yesterday's high.

Ave range for the last 30 days is 25.8 and the std deviation is 10.4. Market state is volatile bull.

My intentions for today:
  • To focus on process over results - really!
  • To be patient, to the point where zero trades in the day is OK
  • To be curious about what I can learn about myself from this trading day - to treat trading as my dojo

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  #45 (permalink)
 jackbravo 
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nice man. trying to focus on similar processes myself. how was the dojo today?

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  #46 (permalink)
 TheShrike 
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Rich,

May I ask what indicator that is that draws the horizontal line on the high of the bar on your setup chart? Thank you.

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  #47 (permalink)
RichJamo
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OK, here it is, my latest trading update, by youtube:


Let's see if this works as a format.

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  #48 (permalink)
RichJamo
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A couple of very important lessons tonight.

(1) Don't let greed get the better of you, and don't trade after your hours / when you can't fully focus:
Having had a mixed day, I finally left the office at 5pm with a $30 in the bag, just under half my current daily target. However, upon reaching home I switched my computer back on and looked at the screens. A few minutes later I found myself in a trade - which went my way for 5 minutes, but then turned on me and went horribly south, meaning that I ended the day $100 down instead of $40 up. It was not a great trade, rather it was a case of wanting to jump on to a trend that I might have traded into a bit earlier if I'd still been at my screens. I ended up trading well into the trend (in a high risk position, more on that in point two). It was pure greed and maybe a bit of regret for having missed this and one or two other nice moves that had played out in the time I'd been away from the screens. Plus I was trying to make the trade in between preparing dinner and helping my wife with the baby.

(2) I'm getting a better understanding of what a couple of traders have referred to in their books / notes as 'high risk' trades. This trade tonight fit that description. It could possibly have worked out, and for a while there it looked like it would. However, it was a high risk entry to a trading position. There was nothing about the price action to give me a relatively good idea that price wouldn't suddenly reverse on me, and (relatedly) no obvious place for my stop to go. I was trying to trade with a short term trend that had already been running for an hour or more, without even waiting for a pullback or some kind of support level to be formed. I guess that's why the consolidation range breakout and RLCO techniques are ways of making low risk entries - you have a recent level just under where you make the trade that serves as a support.

Finally, just as an afterthought (and perhaps an obvious one), I'm struck by the difference between trading equities and trading currencies, in the sense of how different the long and the short sides can be. I guess I must just guard against putting too much faith in the bias of stocks to move up rather than down

Final final thought - on the emotional impact of making bad decisions like this one tonight. (1) It was impacted by me knowing that I hadn't made my target for the day, and hoping that I could 'easily' 'sneak' in one last trade to make that profit. Wow, that went badly. And then straight away observing my internal dialogue - 'you're such an idiot', etc. , but with quite a wack of negative emotion. And I guess what I'm learning is (1) to just sit with that emotion, and not try to do anything with it - definitely don't revenge trade, and probably just get away from your screens for at least a few hours, if not till the next day. (2) Learning that there is no such thing as an 'easy' trade, at least not a low risk easy trade. Or perhaps, to put it differently, I should be looking for 'low-risk' entry points, not 'easy trades'!

OK, with that all said, time for bed...

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 George P 
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Experience: Intermediate
Platform: NinjaTrader
Trading: ES, 6E
 
Posts: 40 since Nov 2016


RichJamo View Post
OK, so here are my results for Friday:


Overall, finished with +1.75 points, so relatively happy with that. Had several opportunities during the session to close out one of my runners and hit +2 points for the day, but I tried for more and on almost every occasion saw the runner come back to breakeven. After a while I started to see that the price had become somewhat range-bound, so I'm thinking hard about how I can spot that in future and let it inform my exits in some way.

See below for the two charts I look at (with entries and exits shown):




Trade 1: Once again, my first trade of the day is an outright loser (both contracts stopped out at -6 ticks). This has happened to me a few times now, and it makes the session feel like hard work because I have to claw my way back to profitability for the rest of the session. I'm not sure what to do about this, other than perhaps to wait until 4.15 pm before I start trading, or perhaps have some way of determining that the volatility of the market opening has subsided sufficiently to start applying my system.

Ignore what I just said, I've had a look back at it now, and I see that there was no real trend change to speak of. There was a pullback from a big move up, then a resumption of that move up, and I took the trade at the 2nd pullback of that second move up. Which then went against me. (I did actually try and get in on the 1st pullback, and was touched but not filled ) In addition, there was stochastic divergence ahead of my entry on the 2nd pullback, which should have been enough to convince me to keep my powder dry...

Trade 2/3: 1st contract got 3 ticks, 2nd contract got stopped out at breakeven. Lesson: Don't be too quick to move stop on second contract to breakeven, rather move it to -1 or -2 ticks. (which is still better than breakeven on the trade as a whole, given that we've already got +3 in the bag - even taking costs into account)

Trade 4/5: Taking a bit of a chance here, as this was the 4th pullback of this down move. However I managed to get +3 on the 1st contract, and then the second one got stopped out at +3 (I was trailing by 6 ticks).

Trade 6: Execution mistake: I didn't change my stop from 2 contracts to 1 contract when the first contract was exited. Cost me 3 ticks

Trade 7/8: Trade by the books, except I chased quite hard, ended up entering at 2.5 ticks above DC mean (on 350 tick chart). I do this often, only to watch price come back another tick or two, meaning that I needn't have chased. Got my +3 on the first contract, second contract went all the way up to 2.75, and then came back down again and I eventually stopped out for +3. Should I have taken the +2.75 when I could have?

Trade 9/10: Got +3 on first contract, but -2 on second. Not much to say about this one, I think it was a fair trade to make, but they can't all go your way. The only thing I do notice is the double bottom formed when I took the profit on the first contract, with stochastic divergence suggesting that an up move was likely - I could have listened and exited the 2nd contract at breakeven or small profit. Then again, if it had reverted to the down move I would have felt silly.

Trade 11/12: Got in at +2 above DC on 350 tick chart, again could have waited at DC or DC + 1 and would probably have got filled. Fair trade, was just after a trend change. If I'd entered at the DC I might just have been able to ride out the reverse move and enjoy the big up move afterwards. It was at this point that I started to suspect that the price had become range bound.

Trade 13/14: A losing trade. This is where the range bound behaviour can hurt you on this strategy - just as you're getting in, price is not pulling back, it's actually bouncing off the bottom of the range and heading back up. My clue was that the BB30 mean on my 3 minute chart was flat at this point, so I'm going to keep an eye on that in future, and when it is the case, wait for price to break out of the range that's been established - see next trade.

Trade 15/16: Price broke through the range high, so I figured the long trade was on when it pulled back. I got +3 on the first contract and then +8 on the second contract. As it turns out I could have got more than +8 out of the runner, but I chose to exit 1 tick below the high of the day, which hadn't been touched since 4pm. I've been thinking about how else I could have played this. Perhaps put in a limit order to exit 1 tick above the HOD? Or move my stop up to 1 or 2 ticks below the HOD as soon as it gets breached? I've observed that when price reaches the HOD it usually goes through by 1 or 2 ticks, but then can be quite unpredictable - i.e. might come bouncing straight back down, might push up quickly. Any comments / suggestions / thoughts welcomed.

OK, that's all from me. I'm realising that this way of journaling is quite wordy, so perhaps I'll start making screencasts to talk through my trades. However, already feeling like this process is very beneficial to me, both because it bolsters my discipline to actually do the reviewing, and because I feel a level of accountability to this community, which keeps me a little bit more honest (i.e. more likely to stick to my strategy) when I'm trading.

Happy Trading

Why you dont try the same thing with HTF , eg. ES 12/4 (SiProRenko bars or any other Renko type bars) to have a better S/N ratio ? you will probably have better results.

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