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bund futures - intra day trading journal
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bund futures - intra day trading journal

  #221 (permalink)
Keab
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The volume is certainly lower but it's not as if it's dropped off entirely so am not so sure.
Either way, it's still an awful lot of people trapped on the wrong side...

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  #222 (permalink)
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bootsyjam View Post
The volume is certainly lower but it's not as if it's dropped off entirely so am not so sure.
Either way, it's still an awful lot of people trapped on the wrong side...

Hmm not entirely sure what you mean by people trapped? Arent people always trapped (assuming its trade entry and the total bid/offer amt is hit/lifted in one) as the only way to move the mkt is to exhaust sellers by buying (lifting the offer) to move price up and vv for down? All the delta is showing is that on way up or down when price has been taken at mkt (lifted offers for up/hitting bids for down) when that price flips eg from offer to bid, for example, is that price now hit greater or less than it was lifted, for that time period.......if less than then its positive delta. So the sellers in the offer are trapped short (assuming this was their entry, not hedging etc), unless they puke it and lift the next offer (assuming noone hits the bid they joined to scratch)........which means they are now flat, and not trapped.

In other words not as many ppl were as interested in selling that price once it went from offer to bid, when taken out by mkt orders. Nothing more, nor less.

Pls correct me if I am wrong, or have misunderstood you (esp the trapped bit).


Last edited by rosho01; April 2nd, 2015 at 03:37 PM.
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  #223 (permalink)
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Thoughts - entry & exits


Morning all,

eurex is closed so no trading bunds for me today. got up early though feel fresh & keen to do some analysis on last week.

in the meantime heres more detail about how i trade, what i look for in setups, how i plan the trade:

have mentioned on 1st page that my approx SL= 5 & TP = 10 -20 but these all depend on PA. How did i come up with those approx figs? well ATR on daily for 20 period is approx 75 atm, if its a trending day then its possible to get 20-30% of the trend move which is 20 odd ticks. if its ranging then limits can be 30-40 ticks & within these you have congested price consolidation & TPs are often not much more than 10-15 ticks for my way of trading. also on swing trades looking for reversals if PA is clean sometimes you can get a 20+tick reverse back into days range. So with these rough parameters & in the context of what i look for in PA entries for small swings / reversals (larger swings) / continuations may arise between 3-6 times a day. and from my albeit small sample size (also inc testing & screen time) that shld be enough number of trades to achieve >50% SR with rr approaching 1 (risk) to 2 (return), which is comfortably profitable stats. my aim is to build consistency, & then tweak (hard when its so discretionary) hopefully up to 60%.

as you may know i am not using any indicators - i am trading off the PA in the chart. in fact sometimes i need to remove the ladder - even prior to entry cos even the flow, which can be so choppy with algos can influence my decision making & more often than not detrimentally. i am looking at volume footprint delta but so far i am not basing any decisions on it. i also have other mkts up but so far they again have hindered more than not, except once this week when the bobl hit big resistance area (imo) & it helped support my decision to enter a fade in the bund (& be comfortable with my SL)....the trade wld have worked, but other irrelevant stuff (see nxt post) got me out for small loss.

entries
~ will be mainly determined by perceived strength/weakness appearing using v basic HH/HLs & LH/LLs, sometimes may only be using one of these (which cld in theory look like triangles if against DT&TTs et al). i look at patterns also, but not on their own, generally they can be a by product or not, imo.
~ confluence will be with support & resistance levels which i look for manually. this used to be a prerequisite but not necessarily now, esp with strong trending mkt i will be looking to jump in that train.
~rr needs to be reasonable - close to 1:2 but i may look for more 1:1 setups when PA is tight, which brings me onto exits/entries

exits
~ prev support & res levels (higher or same t/f) - generally a cpl of ticks prior to them
~ smaller price consolidation levels on intraday
~generally these are all areas where i wld look to enter opposite to what posn i am about to put on.

stops
~ these wld be below the areas i am entering AND indicating opposite / or conflicting evidence to the setup ie if i was going long on HLs & HHs near great support area i wld put SL in cpl of ticks below HL. ideally i wld want to be waiting for a close below that - but that is so arbitrary, & one for backtesting after i build up more trade history.

scaling in & out
~working on these, & have made a cpl of successful trades both averaging in & scaling out.

context
~ if setup is gd on higher t/f then i will enter using lower but i will stick to targets on the higher. if i enter using a 5min & exit using a 1min i am prob reacting to noise or v brief supp/res. i need to let the trade breathe.
~ try to avoid having bias but if i do have any it will be based on higher t/f PA, but the priority is to remain flexible. for instance the example trade in nxt post i didnt have bias til the developing PA showed its hand. obv if ecb have just announced they are buying bunds at that time i will have bias.

i am struggling putting a lot of this down in writing as my setups are not defined until the chart unfolds - & they all differ slightly, & even then a trade i entered last week was more intuition (& looking at order flow) than on clean PA.

i will try & post some charts over w/e to support the above, but my next post outlines a lot of it.

(not sure if this post shld be moved to the first in the journal).

R

(ah forgot to change the subject title - 'thoughts'?!)


Last edited by rosho01; April 3rd, 2015 at 06:15 AM. Reason: grammar
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  #224 (permalink)
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Trade example highlighting entry / exit / stops / targets...

....and poor execution!

this is from 1st april to demonstrate some of what is in the prev post with regards to trade setups & management (how not to), which includes psychology....

context:
i didnt have a bias going into this day but i knew that if certain PA developed then this cld be a poss play.
30th march price moved out of a few days range to upside but then it closed back down into the upper levels of that range;
31st march chopped around same levels 35-55 then broke higher & found value around 75 price.
1st april (trade day)
- price dropped on open from 78 to 56 quickly, into prev days res area level
- this area wld be gd entry for faders but not for me for 3 reasons 1). i dont catch knives 2). working limits around these sorts of levels can be dangerous & the area i had potential demand coming in was v broad so where wld i put my stop? 3). also this wld not have validated this swing trade as it wldnt have rejected this area yet.
-so i am looking for confirmation this area has been rejected, a decent swing away & then a retest into these lower levels & then to test the prev days highs. the quick drop on open meant plenty of room for decent rr on upside even at 1st resistance levels @ 78-83s.
-entry @ 65s; target 1- @78s; target 2- @85s (prev swing highs); target 3- late 90s (another prev swing high). why not take all 3 off at 1st resistance area? as mentioned this was move away from prev days ranging & had alr developed some value up there & this was a prev range area also up to 159.13s.
-SL 59s - haha - so circa 12 times return vs risk. even taking all off at TP1 - thats 2.5 return! i am more than happy with 2 so why so tight on the SL esp when PA was suggesting this.
-actual exit -61s - was actually trying to close out earlier as watching the ladder there was heavy selling icebergs - but i really shld just ignore them. however if i had got out at say 64s, i may have put the trade on again with clearer mind & less of a loss (why shld this matter!) when it didnt make new LLs. anyway, heres how i critique me:

why exit?
- spooked by noise, choppiness (& to be fair the lower volumes were gd reason to be more cautious)
-spooked by great reaction first then retrace completely ie left money on table - though it was yet to reach target anyway so this is moot
-spooked by not optimal entry - & price consolidating a little below
-spooked by upping size & didnt want to take a hit on 1st trade of the day with this size
-poor analysis re stop placement @59s (& i exited early) - it was based on PA but v poor prev swing low 1 tick below 61. my stop shld be at lod (-1/2) ticks eg @55s! but the 59s wld have been fine anyway, double sigh.
-one more mistake - no doubt due to the above i didnt reanalyse the situation - price hung around 63/64s but didnt threaten the swing low which stopped me out so this is HLs into support & where i wld again be looking to get long. was too busy beating myself up at this stage.

there are some classic mistakes here repeated the world over, it goes to show how muddled thinking can get in heat of battle. this def impacted my nxt trade (why though cos i was right on my 1st trade!) - which i also called right & the drawdown on that was max 2 ticks iirc, & target traded soon after i got out for small loss.

to be a little fair on myself the prev days PA leading up to this had been v jumpy & at time straight after entry it was quite volatile which i had not seen before, & i didnt like much. but all the above holds strong.

anyway, i am not dwelling on it, just hopefully learning from my mistakes. & if anyone else gets anything from this then thats a bonus.

chart summarises trade setup & price parameters:
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heres hourly chart for added context & why i thought this was a good long setup:
~price on 30th moved back into yellow zone of consolidation, but moved out to upside again on 31st closing near the highs.
~it hadnt made a new HH (>@89) but quick retrace into gd support area of prev range highs @55s then i wld look for long setup on 5min. pls see 5min chart for more info.
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Last edited by rosho01; April 3rd, 2015 at 07:42 AM. Reason: add hourly chart
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  #225 (permalink)
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Results to date

Results since journal started (inc comms):

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Not great considering my target is ~30 / day, but been some difficult trading last 2 weeks, & some very rookie mistakes by myself. I am just reviewing my mistakes now.

Hope everyone is enjoying the easter break.

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  #226 (permalink)
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Losing trades reviewed to date

This is a review of the losing trades to date, & underlines the importance of keeping a journal. My strength, or so i thought was reading PA but the majority of my losses are down to entries where PA confirmation is poor, & in hindsight it seems so obvious:

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I have done some tangible fixes alr to my setup procedures which shld reduce the probability of making the same mistakes again, though i need to do a thorough review of my winning trades & see which of those also were on the back of poor PA - in other words were any of them lucky (though i do review them anyway as i take them)? In my opinion about 70-80% of the reasons causing loss of 128 ticks can be remedied, time will tell though.

Got to go. Laters.

(I will do a full analysis after next week, but v glad I went back through this now journal now)


Last edited by rosho01; April 5th, 2015 at 12:35 PM.
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  #227 (permalink)
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Losing trades review - cont.......


rosho01 View Post
In my opinion about 70-80% of the reasons causing loss of 128 ticks can be remedied

(I will do a full analysis after next week, but v glad I went back through this now journal now)

I had 18 significant losing swing trades, & on further review 11 of these cld have been avoided with better PA awareness, costing me about 125 of the 196 ticks. It looks like sometimes I am marking a decent area to look for setup & then ignoring most recent PA (say over prev days) or not taking a step back to reevaluate. Also I need to be aware of this when drilling down to 1min charts - keep the bigger pic in perspective & most recent PA takes priority, imo.

Heres an example from 31st march where i faded in this area 3 times (with one winner - which was a little lucky):

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Despite the fact it was not yet a trend day it was certainly setting itself up to be one, the retest of the range & rejection; rising channel (flag) - finding value higher; no sign of a turn in the up move (no LLs/LHs).....shld have been enough of signal to look for long setups, & only look for fade setups when at least a clear LH has been printed.

Trading more than once in an area is fine, even if in quick succession but the PA really needs to be screaming out at you, & it def wasnt here.

I post a more thorough review after this week (4 weeks of the journal), which will include scratches & winners. This exercise has also shown that often my post reviews on losing trades are pretty weak - maybe i need to do them the following day when i can more objectively critique them.

have a gd day.

R


Last edited by rosho01; April 7th, 2015 at 04:37 AM.
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  #228 (permalink)
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Day preview

Morning all,

Heres some levels of interest on the hourly. I have 2 clear ID levels @ 65 & 85 ish.

Going to be cautious this morning as eurex has been closed fri/yest. Also will be trading with much tighter PA setups as per my analysis on losing trades (see prev posts), making sure i zoom out keeping the bigger picture as context.

Will post some intraday levels as the day unfolds.

g/l.

R.

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  #229 (permalink)
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short 78s

...with a one lot!

59 bid, with stop @ scratch. looking to add to this whilst it stays below 75s area. will post a chart in a bit with logic.

as soon as PA sets itself up for a long trade i will get out my short. kind of a slight change in style - albeit with a one lot, getting feel for market, then adding or reversing. not bad time to try out whilst its so slow going.

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  #230 (permalink)
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rosho01 View Post
...with a one lot!

59 bid, with stop @ scratch. looking to add to this whilst it stays below 75s area. will post a chart in a bit with logic.

as soon as PA sets itself up for a long trade i will get out my short. kind of a slight change in style - albeit with a one lot, getting feel for market, then adding or reversing. not bad time to try out whilst its so slow going.

scratched - no levels look great here.

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