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TimendaGain Trade Journal


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TimendaGain Trade Journal

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  #1 (permalink)
 timendaGain 
New York, NY
 
Experience: Beginner
Platform: NinjaTrader
Broker: NinjaTrader
Trading: ES MES
 
Posts: 784 since Nov 2010
Thanks: 148 given, 218 received

This is my second trade journal and will be used intended: posting trades and commentary. I'll continue the original one to record some trades from my automated systems.

Most of my trading has been systematic. I've written several automated trading systems. While overall this has been a success I'm at the point where I feel I need to go in a different direction.

To sum up the evolution of my trading beginning 2008:

* Break out trading stocks on the IBD 100 list. abject failure.
* Auto-trading ES opening Gap system . mixed results.
* Systematic stock portfolio system. initial success, then failure.
* Systematic trading IBD 50 and SnP500. some success.
* Swing trading ES end of day. some success but hesitated to take all signals.
* Auto trading ES end of day. <- success. consistent and good performance. only problem is it's slow. good signals take weeks.
* Auto systematic day trading ES. <- success, but recently has faded to mediocre.
* Auto systematic trading ES swing system. <- too new to determine success but presently in drawdown

I’ve avoided trading the ES manually for several reasons ( don’t trust myself, felt systematic is better, etc. ). But I may be prejudiced about it. The primary reason I’ve changed my mind about it is this site, futures.io (formerly BMT).

My challenge is what to do with my experience so far. Do I use it or suppress it? For example, in my day automated day trading I have not been able to generate consistent returns without using standard lagging indicators. Yet they’re shunned. Fair enough. I don’t like waiting for the ADX to hit 22 anyway. There can be days and days without a trade!

I’ve got a pretty good start and I’ll write about that in my next post.

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  #3 (permalink)
 timendaGain 
New York, NY
 
Experience: Beginner
Platform: NinjaTrader
Broker: NinjaTrader
Trading: ES MES
 
Posts: 784 since Nov 2010
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I’ll be trading the S&P 500 index using either the E-mini S&P 500 futures contract or an ETF such as the SPY, UPRO or SPXU. ETFs will be used early on to allow me to experience trading with real money, yet minimize the risk to a small pilot account.

I have been “tooling” my NInjaTrader platform with the mix of indicators that I want to use. The Ninja indicators I’m planning to use are as follows:

On ES time series data
200 ma on daily ETH bars for long term trend
ADXVMA(50) on range 10 RTH bars for medium long term trend

On any ES timeframe ETH chart ( as they work the same on all ):
  • VWAP weekly for a volume based look at medium term trend
  • VWAP daily for a volume based look at short term trend
  • Volume LadderMetroEdition 10 session for long term
  • Volume LadderMetroEdition 5 session for medium
  • Volume LadderMetroEdition one session for intra day
  • PriorDayOHLC
  • MovingMedian

I have not yet settled on my trading charts yet. I’m currently watching:
  • 100,000 volume ETH
  • 40,000 volume ETH
  • Range 10 ETH

Other data and indicators will be used and I’ll document them as I explain their use.

Some things that I’m missing is real time $VIX and having the $TICK in NinjaTrader ( I have it in TradeStation ). I'm running an "AdjustedTick" indicator there.

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  #4 (permalink)
 timendaGain 
New York, NY
 
Experience: Beginner
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Broker: NinjaTrader
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Posts: 784 since Nov 2010
Thanks: 148 given, 218 received

This trading experiment feels more risky to me than the systematic and automatic trading that I'm used to trading with. With systematic trading, the rules are concrete, durable, clear and testable. With discretionary trading all record of the impulse for trade initiation and management is vapor. I expect it to be near impossible to accurately capture a record of why trades I'll make were made.

I hope this journal will do something to help guide me through what will be an iterative process of trial and error.

To get started, I've written down, in English, a loose framework for candidate trading rules. It might be better to call them guidelines than rules.

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  #5 (permalink)
 timendaGain 
New York, NY
 
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Here is my main trading chart. E-mini S&P 500 futures contract ( ES ). Range 10, RTH



Indicators:
  • weekly VWAP ( white line )
  • daily VWAP ( red and blue )
  • anaADXVMA ( yellow line )
  • moving median ( blue dots )
  • PriceActionSwing ( red and green dots )
  • PriorDayOHLC ( series of horizontal lines )
  • VolumeLadderMetroEdition ( blue histograms on right, daily on left side, 5 day rolling on right )

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  #6 (permalink)
 timendaGain 
New York, NY
 
Experience: Beginner
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Broker: NinjaTrader
Trading: ES MES
 
Posts: 784 since Nov 2010
Thanks: 148 given, 218 received

One problem I face is that I work a full time job. I have enough time to watch the market most of the time. However, I'm watching it in a tiny window in the corner of my screen. I remote into my trading computer and the entire desktop is shrunk down on my work computer to about a 5x3 inch window. I use a magnification utility so that I can see parts of the screen.

Ridiculous!

Most people probably have 4 or 6 monitors with all kinds of information. Since I can't afford to spread out like that I'm confined in how much information I can put at my disposal. Part of me thinks this is a good thing. Too much information can create confusion.

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  #7 (permalink)
 timendaGain 
New York, NY
 
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Trading: ES MES
 
Posts: 784 since Nov 2010
Thanks: 148 given, 218 received

I'm going to try and gather as much feedback from my trading as possible. One thing I'm going to try early on is to trade 2 sim accounts simultaneously. In the primary account I'll take the trade as I think it should be taken. In the 2nd account I will take the opposite side of every trade I make.

For example:
primary account, long @ 2045, target 2051, stop 2041.
opposite account, short @2045, target 2041, stop 2051.

By doing this I'm hoping that the net gain/loss will be nearly the opposite of the primary account. I'm also hoping that my trading in my primary account is either very bad or very good and not simply treading water.

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 timendaGain 
New York, NY
 
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Current sim account balances:



DayTrade will be the primary account
DayTrade2 will be the opposite side account

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 timendaGain 
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Opening bell. Pre market is up but off it's highs after Draghi vows more QE if needed. This is daily ETH chart. Last candle shows the wick at the top.



The volatility ( > 19 ) has been high as evident on the daily chart. The intraday price action has had big swings.

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  #10 (permalink)
 timendaGain 
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Markets correlated with the SnP:
Crude, Jap Yen, Aussie Dollar and 10 2s US Treasury spread.
Lately crude has been volatile. It's near flat at the moment with a quiet session so far.


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  #11 (permalink)
 timendaGain 
New York, NY
 
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Looking to get long near a test of the open. Resting order there just above high volume node.

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 timendaGain 
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going to move this order down to a gap fill level. My reason for doing this is the high swing ( labeled 151 ticks ) is too close, hence not enough room to run up without being challenged by that level.


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 timendaGain 
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Market runs up without me and is now challenging the ONH @ 1968.75.



Prior to this move up and while dipping I noticed that crude oil had risen a bit. I didn't understand why equities didn't also rally with that given the correlation I pointed out at the beginning of the day. I dismissed the idea that equities and oil should travel in lock step fashion and instead decided that what the market was telling me is that small non-correlated moves can certainly exist ... I should not trade the ES as if it's crude.
Then crude rose more and equities followed. C'est lat vie!

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  #14 (permalink)
 timendaGain 
New York, NY
 
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Extended rally has marked a peak. Oil as well. I have not been able to catch the move with a limit order. With the rally as extended as it is and with the morning session nearing an end, I'm no longer trying to catch it.

If I could watch the market all day I would have no orders standing but since I can not, I've placed resting orders at a challenge of the open.

The 1962 area also looks good. higher volume on profile there.

Edit: we got down to the 62 area but did so in a slow and orderly fassion. That's not encouraging me that it will bounce. Maintaining resting orders near open for now.

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 timendaGain 
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just missed then bounced so i'm cancelling. Edit: there was a little bit of buying that created a bounce above my entry level.


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  #16 (permalink)
 timendaGain 
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entered long here on my limit @2049.75. I also entered short on my other sim account where the target and stop are reversed from this one.




Edit: took profits and closed the trade @ 1953.75

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  #17 (permalink)
 timendaGain 
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Now I'm seeing the volume that traded above us as resistance. I setup a short near the rth daily vwap. Also this level is the 2nd highest daily volume cluster.

Correlated USDYEN and Crude continue to trend downward this afternoon.
Uncorrelated EURUSD is reversing morning selloff and starting to go up.
All well for short side...


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  #18 (permalink)
 timendaGain 
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I'm resisting the temtation to short right here and now...


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  #19 (permalink)
 timendaGain 
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Price, Weeky VWAP and ONL all colliding here. The sell off into this level is too orderly and methodical for me to consider playing a bounce.... so far. But I'm watching.


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  #20 (permalink)
 timendaGain 
New York, NY
 
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Probably done for the day. Going to the gym.
I began the day with a long bias and held that bias throughout the pullback. My reason for not changing to a short bias was simply based on the price levels. I look at the W-VWAP, D-VWAP, 50 bar adxvma and PDay HLC. Market went below many of them but held above the W-VWAP, which I give the most weight to. I also don't like the idea of flipping my bias in the middle of the day.

Today was a day that demonstrated flipping bias would have worked in my favor. I hope that this is the exception and that it will, over time, prove to be better to not flip... but if not I may have to including flipping bias mid day as part of what I do.

I captured 4 points with a single one lot trade today while going against the afternoon trending pullback. In my view when I entered that trade, I thought I was going with the overall up trend. After I was in position I felt that the stall in the market action at the median price line could have been the end of the move. I exited there capturing the 4 points. Even though this worked out in my account's favor I don't like the way I arrived at the decision to exit. Maybe I'll learn over time that stalling at that median price line is a good 1st target and holding a 2nd lot for my original target will also be a good thing to do. At this point I don't know.

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 timendaGain 
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Closing this impulse trade. The reverse trade of course worked. I was in line at a store this morning at the cash open. I looked at my computer through my phone decided that the market was oversold. I didn't look at any other metrics. Just placed a market order and adjusted to stop and target levels.
Having arrived back home and saw the market going against me, and bouncing very near my stop I decided to exit on that little bit of strength....



I'm glad this trade didn't work out because I didn't use a predefined method such as looking markets first.. But it gave me an idea to continue impulse trades based on this kind of casual analysis and track that separately.

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  #22 (permalink)
 timendaGain 
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Bias today is to the short side. Thinking of taking a short here as market rallied and stalled at the cash session high. But there's a lot of volume near by below. Non correlated EURUSD is selling off ( bullish for SnP ), Correlated USDJPY and Crude not doing much but mildly off lows.


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 timendaGain 
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Entered long here. I know it's against what I was writing about. My bias is short and I don't want to flip my bias mid day.
My reason for taking this trade is I want to record taking this opportunity in my journal so I can develop my trading. I'm on sim after all. I'll just keep notes about why I took each trade.



What I was thinking is I was seeing a 2nd test of the cash high getting tested. My first thought was to wait for that level to be broken as confirmation. My 2nd thought was that the 2nd test followed soon after establishing the high and that could mean continued interest from the bulls putting on pressure. But how does that make the chances more likely of a breach than say waiting for a retrace and rechallenge later in the session? Anyway, I think it's probably better to wait for the breakout.

Now, breakout is not something I have in my plan nor is this counter bias trade so this is definately outside my plan.

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 timendaGain 
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Here's a view of the "counter trade". I shorted at the same level, different sim acocunt. Currently testing the VPOC and D-VWAP level. In hindsight this trade is a reasonable execution of my primary trading plan. Short bias, test and rejection of the cash session high....

One thing I have to work on is how to manage getting out of a trade that's not working. I have a stop set far away above the W-VWAP. For systematic trading that's probably too close but I want to try and avoid such drawdowns.


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  #25 (permalink)
 timendaGain 
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Continuing with the "counter trend" chart.. I moved my stop to just above that swing high. The market stalled around the D-VWAP and that level may have been a good place to take profits on a winning trade... or to take off a lot if I had multiple lots.

For the long position I would not want to close it at the the D-VWAP ( and now also VPOC ) but breaching it as it is doing now would worry me. Not much support on the volume ladder and the market could easily slip to session lows, I feel.


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  #26 (permalink)
 timendaGain 
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"counter trade" chart. I closed the positions on both charts. This is a little screwed up now and alerts me to a problem when managing both of these long/short practice trading. 1st, I took the primary long trade against my short bias. Instead I should have taken a short trade on that account at allowed my counter trade chart to demonstrate the opposite side. Next I started to focus on the winning trade, the short one. I closed the position at a good place for that one, a place to capture profits on the short. In keeping with my rule about mirroring each side, I closed the long as well.

On reflection, this short trade is in line with my established trading method and the trade one. It's just that my management of where the trade was executed and my thought process behind it's execution at the moment that was a little off.


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 timendaGain 
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12:40. I can see how having had stayed in the short trade longer would have paid. Or having 2 lots would have given me a 1st and 2nd target.
Presently, and in continuation of the short bias, I'm looking to get short at a retracement to the D-VWAP.

Non-correlated EURUSD has rebounded from it's selloff.
Correlated Oil continues to chop sideways below yesterday's close.
Correlated USDYEN continues trend down.

As I edit this post ES has breached the cash session low ( red line ) of the Wed session ( two days ago )

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 timendaGain 
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This is an important level ( 1913.50 ) as seen on this ETH 1440 min. chart.


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 timendaGain 
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Got back inside from doing yard work. Market is closed for the 3 day weekend. Found 2 lot entries filled. I would have wished to take profits on the 1st one near the session close. That was my idea... to use one lot for a near target. I will look for an exit for the 1st lot at the next open Sunday night ( yes, market is open even though Monday is Labor Day ).


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 timendaGain 
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Itís been noted that the long bond didnít rally as one would have expected during the US equity market 10% correction in late August. Has there been some large seller(s) keeping the price down or has there been a lack of buyers?

China is the largest foreign investor in US treasuries. Could they have taken the equity rout as an opportunity to peel off some of their bond exposure? They know that the Fed is strongly considering raising rates soon thereby putting downward pressure on bond prices. Wouldnít they want to start lightening up their holdings ahead of that?

WSJ blog

How can they get a good price? They recently devalued the Yuan to prop up their weakening economy. For some reason US equity markets didnít like that and sold off. The traditional risk off move is to sell equities and buy bonds. As the bond buyers stepped in it could have been the Chinse selling to them, keeping the price from rising.

If this is true it means that the Chinese engineered a way to prop up their economy while at the same time getting a large bid for the bonds they want to unload.

And, one more thing: They get to exchange the USD denominated proceeds from their bond sales back to Yuan at a more favorable rate. This then has the effect of Yuan appreciation versus the USD.

I wonder if, after the first round of this awesome trade someone over there had an ďah ha!Ē moment and said lets do this again!

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  #31 (permalink)
 timendaGain 
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2 Lot short trade on primary account, (opened Friday) got stopped out Sunday night. Here's the chart on the ETH template so you can see the overnight price action ( I'm not trading using the ETH ). Again, it was my intention to close 1 lot at a near target but I mismanaged that. I was not in front of my computer whent the entry was created and the atm strategy was not set to create a near target. I had been depending on myself to move the targets after getting filled. By the time I returned, market was closed. Would I do that if this was a real account? I hope not!


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 timendaGain 
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Overnight session view. Big trend up ( 32.50 points 1.69% at the cash open ). Obvious long bias.


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 timendaGain 
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Checking correlations. The story continues to be highly correlated USDJPY, US Bonds 10-2s spreads, crude oil. Un-correlated EURUSD, bonds and gold.


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  #34 (permalink)
 timendaGain 
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Got short. I began the day with a long bias on the strength at the open. Correlated markets were all in agreement at the time but now have turned mixed with crude oil selling off 2.74% and the EURUSD strengthing. The price action on the ES popped down under the D-VWAP and is following it gradually downward. I'm looking for a near gap fill.


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 timendaGain 
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If I had entered with 2 lots this wouldhave been a good place to peel off one and move my stop to break even.

Either way, one or 2 lots at this point I have a winner and I think I'm supposed to start looking to add to the position? Or is that only if it's planned to be a much bigger trade ( ie, swing trade with larger target??? ) @Big Mike can you give me advice on this?


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 timendaGain 
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Added one lot. Average price is 1948.50.
ES is trading with crude. Crude is up off it's lows now.


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 timendaGain 
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Took off the add. RE: price action was not convincing it was going lower. The question I asked myself was: if I had one lot would I add here? Answer: no because I didn't have enough profit in the trade.


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 timendaGain 
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Closed 1st lot. Flat. RE: Crude rally to near session highs ( large swing down and reversal up ).


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 timendaGain 
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Looking like a tight range day now with a downward skew. Yet crude rally continues and is now at session highs down only .3%. ES is not following it higher. Why? In the last few minutes the EURUSD rally stalled and USDJPY is melting. Finally now the ES is perking up a little as I write... backup up to D-VWAP @1951.

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 timendaGain 
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No ES follow through with the Crude, USDJPY rally and EURUSD sell off. Correlation can't be broken. Something else is holding it back.
Edit: My bad, the 6J contract for the yen is inverted to the USDJPY so that one is holding back the ES.



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 timendaGain 
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Mid session: crude, yen, ero dollar all renewing their support for the ES and the ES gets around to responding... finally!


I'm flat. Back to the long bias that I started the day with.


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 timendaGain 
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Even though I have a long bias I don't know how I can get long here with the session high 1959.25 so near. Overall the cash session remains sideways in a range.


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 timendaGain 
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Well I was right to exit the short and return to my long bias. I just didn't see any entry signal. In my defense I was not at my computer from 1:10 to 2:30. Regardless is the retracement to the vwap a compelling pilot entry? I think so!


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 timendaGain 
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Market correlations all supportive of the gap up open to come. Japan signaled desire to lower corporate tax rates causing their stock market to rally 7%. I'm looking to get long in the pre-market.

I should note that I have a very reliable swing system that went short overnight. I did not take the trade on my account for that system. I'm afraid to go short at this level because I don't see any turning points on the daily chart until we run up to the 200 day ma.


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 timendaGain 
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Short position taken overnight on systematic system.


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 timendaGain 
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choosing a level near some minor overnight consolidation about halfway in the opening gap. Other than the aforementioned corrleated markets, my long bias, there's no method to this execution.

I subsequently cancelled the order as price approached the order price. Misgivings about the entire process I'm using to place this trade. Misgivings about not following the high probability systematic short trade that's underway and winning.


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 timendaGain 
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got short here (on sim) on the retest of the d-vwap. May not have another chance.


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 timendaGain 
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Although I didn't take the overnight swing trade short on my real account at least I finished liquidating my long UPRO positions just before the cash open today. That was the remainder of a position started before the August crash. I ended up okay on that because I had added on dips and sold rallies throughout the "crisis".

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 timendaGain 
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Another reason I was favoring the short day trade was the spike in oil that started looking like a sickle.


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 timendaGain 
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Closed position on higher high bar.


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 timendaGain 
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coming into a support area (yesterday's session high). looking for a bounce here.


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 timendaGain 
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revised target and stop.


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 timendaGain 
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The overnight rejection of the 8/28 session bodes well for the short side. That level coincided with the short entry price from my swing system. I didn't take that trade. Damn it! I really hate it when I pass on a trade that's from a proven systematic system and the trade works out ( on sim ) as. well, the trade is not over but it has started out very good with no pain.


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 timendaGain 
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Closed the long. The premise to enter was bounce at yesterday's session highs. No bounce hence I exit. Also I had looked at correlated markets and the long bond is getting bought here.


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 timendaGain 
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Like I said, long bond getting bought here. Also the euro dollar is rallying. Both bad for the ES.


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 timendaGain 
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Not long after exit a little bit of re-trace. Have I learned nothing from 5 years of programming systematic systems? Wait for a favorable move before exiting!

Edit: monday morning qb: Why did I go long? Because I thought that the market SHOULD reverse when it reached a LEVEL I had on my chart. A random line.
Was my bias long or short? It should have been short. I'm not sure what my bias was as I didn't clarify that with myself.
TODO: create a checklist to go over before the open. Make sure that it has "establish bias" on it! Then stick with that bias and trade in the same direction. It's okay to change the bias mid day but make sure you establish reasons and confirm them before changing.



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 timendaGain 
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The gap up today with all correlated markets in agreement, would suggest a long bias. The ONH near the 8/28 session high cautions further gains. A break through above that level would likely have plenty of room to run a lot higher so the reward for going long would be great.
On the flip side, here in my intraday chart I see the morning session give plenty of signals for a down day. A long bias with a cautionary note ( as stated) should easily flip to short bias when the market shows weakness.
At midsession we have a price rejection at random line ( yesterday's close ) . Price appears trapped between that level below and the d-vwap above. Now what? I suggest waiting for a renewed bias confirmation at the breach of either level: below yesterday's close, short bias, above d-vwap, long bias. Presently just stay neutral and flat and go to lunch!


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 timendaGain 
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going to lunch with a buy stop limit 4 ticks. Can't preset the counter trade chart with opposite orrder so I'lll cover that one as a paper trade on REAL paper! ( having lunch is not something I'm simulating... but perhpas I should?)


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 timendaGain 
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back from lunch. I canceled the unfilled stop limit buy. I had not placed a stop limit sell. Reason, I was worried about the w-vwap level acting as support ( blue white line ). Blasted right through that. Now hesitating just above yesterday's cash open ( gold line ). That would have been a good target. Oh well.


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 timendaGain 
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it's sim


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 timendaGain 
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Entered market. This is a screen shot of the counter trade chart/account. I'm short there but my primary decision was on the primary chart to go long. Bias for the day is confirmed short. Taking a chance on a counter trend trade long based on price action around this level. I was watching the cumulative delta indicator ( bottom right corner ). This is part of PriceActionSwingPro... the indicator that's plotting the swings. The CD cycled through from 3000 negative to near zero and then jumped over 1000 very quickly. This behavior together with the price action up and down around this level and then breaking above the median line ( light blue dots ) for the 1st time in a while led me to take this trade.

Edit: monday morning qb: Where did this idea come from? Ridiculous. Thank you journal!


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 timendaGain 
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Here's the primary trade/chart long with revised price target.
Edit: I could have closed the trade for a 2 point gain but I want to learn to hold on longer for bigger moves.


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 timendaGain 
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DayTrade2 ( the counter trade ) wins again! This time it was in the direction of my short bias on this big trend down day. As stated previously my impulse was to go long and that trade failed.
At least I'm consistantly winning in the DayTrade2 account so far.

Edit See post 61. This trade was entered on criteria that had not been previously established. Use of the cumulative delta and chop around prior day levels.


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 timendaGain 
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I guess I haven't learned to hold to the end of the trend. Maybe I should get rid of the PriorDayOHLC indicator?


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 timendaGain 
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In summary of today's trading:
Things I did wrong:
  • Failed to execute systematic trading system on real account as planned.
  • Introduced new trading criteria without prior thought: cumulative delta and chop around prior day level ( see post 61 )
  • Failed to establish bias: long/short early enough in the session ( although I did identify this as a problem mid session )
  • Failed to continue to maintain trading in the direction of the bias ( post 61 ).
  • For trades that were going my way, left money on the table.

Things I did right:
  • Eventually identified lack of bias and then re-established.
  • Evaluated post-mortem many of my mistakes.
  • Used correlated markets to help identify bias

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 timendaGain 
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timendaGain View Post
Current sim account balances:



DayTrade will be the primary account
DayTrade2 will be the opposite side account



I'm not sure about the accounting of the account performance from NT. My manual tracking scores it this way:

DayTrade starting value: $9,537.50. Current value $7,200 = ($2,337)
Yet the account shows ($2,050).
And my accounting:
DayTrade: -28.62 points, ($1,425)

DayTrade2 starting value: $10,000. Current value $12,175 = $2,175
Yet the account shows $1,975
And my accounting:
DayTrade2: 25.12 points. $1,250

At the end of this week I'm resetting the accounts and starting over.

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 timendaGain 
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Initiated short trade. Day started with mixed bias. Price shot up quick and far and looks rejected at W-VWAP. Also 2 of my systematic systems are now short.


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 timendaGain 
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Closed trade here on retracement to the peak set at 9:40.


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 timendaGain 
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I reset the sim accounts and rolled over to the December contracts


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 timendaGain 
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Long here on a big bounce in Oil in last 15 minutes from 45 to 46.40. Also on d-vwap and a "hole" in the volume ladder above us.



I did not look at the other correlated markets before making this trade. I didn't have time to check on them due to distractions and my small screen size.
I think I still would have taken the trade even though they are broadcasting mixed signals.
The eruo dollar ( 6E ) is showing Euro strength... that's bearish for US stock ( usually ) due to the negative correlation of that. News out of Eurozone today is that governing council member Liikanen said they will continue asset purchases beyond Sept. 2016 if necessary.

6J ( Jap Yen ) is weakening against USD. Again, bearish for US stock.

The correlation with oil is strong and moves in oil are volatile and so I think using oil moves to confirm trigger for intra day trades makes sense right now.

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 timendaGain 
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Lots of fear in the market ahead of next weeks FOMC meeting at which they may annouce 1st rate hike in 9 years. I'm thinking that no matter what the market will rally on the announcement., what ever it is
1. Everyone that really wants to be long is selling now.
2. The fear is driven by the uncertainty of what the FOMC will do.
3. Once the event is over the fear is gone.
a. if they don't raise rates: market is happy to continue investing with easy monoey
b. if they raise rates a quarter point ( widely expected amount ) then:
i) the fear of what will happen is over
ii) it's finally over and there's no worry about a December hike
iii) it's only a quarter point so it's still cheap to borrow.

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 timendaGain 
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closing trade here in congestion




Choppy day confirmed.

Account:

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 timendaGain 
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Correlated Markets. Crude oil rally continues. 15 min chart.


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 timendaGain 
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I don't really know how / what conditions to look for to expect that a choppy day will continue to be choppy. Therefore, I will not try to expect it. Instead I see a lot of congestion on the volume ladder in the choppy area.
I see price under the w-vwap and 50 bar adxvma.
I think I need price to get above w-vwap to confirm a reversal or below yesterday low to confirm continuation of yesterday's rout.


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 timendaGain 
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daily chart. On the daily chart we sold off hard yesterday and today chopping above yesterday close. Is it bearish that we formed a lower low today then yesterday, but we're off that low now?


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 timendaGain 
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ZN ZT spreads
2nd panel is ZN / ZT
3rd panel is CME weighted PRICE 5*ZN - 9*ZT



3rd panel is more in line with the way I measure correlation of ES to spreads... but it's not based on returns like the correlation study is. Instead it's simply the weighted price.

This graph is the natural log returns of the weighted 5*ZN - 9*ZT



The correct way to do it, the graph above, shows spreads widening as well ( like the 3rd panel in the 1st screen shot ). But it's difficult to see a trend using logarithmic returns.

@Oysteryx can you comment on how you watch spreads in your system?

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 Oysteryx 
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timendaGain View Post
ZN ZT spreads
2nd panel is ZN / ZT
3rd panel is CME weighted PRICE 5*ZN - 9*ZT



3rd panel is more in line with the way I measure correlation of ES to spreads... but it's not based on returns like the correlation study is. Instead it's simply the weighted price.

This graph is the natural log returns of the weighted 5*ZN - 9*ZT



The correct way to do it, the graph above, shows spreads widening as well ( like the 3rd panel in the 1st screen shot ). But it's difficult to see a trend using logarithmic returns.

@Oysteryx can you comment on how you watch spreads in your system?

Just like any other asset. Keep the charts on.

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 Oysteryx 
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Gotta say, if not trading curve spreads, and given that ES correlation is weaker with spreads than with outright bonds (assuming here ES is your main instrument), maybe better keep it simple and take the spreads off your screens .... could just look at the 2-10 spread on the daily chart for reference on curve flattening/steepening.

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 timendaGain 
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could just look at the 2-10 spread on the daily chart for reference on curve flattening/steepening.

Thanks.
Such as this:
StockCharts.com - Free Charts - Dynamic Yield Curve

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 timendaGain 
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Bearish - Jap Yen trending weaker
Bearish - Euro Dollar strength
Bullish - Bonds weaker
Bullish - Oil stronger.
Mixed market suggests more chip for ES?


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 timendaGain 
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ES rose just above and is holding at the dividing line between long and short technical dividing line on my intra day range 10 chart. I would be more compelled to go long if the correlations I mentioned were more ini allignment to the long side. Since they are mixed I'm thinking more chop. We have a hole in the volume ladder below. A reasonalbe target could be the D-VWAP at 1940. That's 10 points away.
But we've been sitting at these levels. Market is quiet. Seems complacent. Doesn't seem like those who just bought want to sell.


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  #82 (permalink)
 timendaGain 
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10k volume bar study of the same price action. One bar up and flag form retells of the whole in the ladder and complacency at this thoroughly agreed upon ( w-vwap) price. I think I'm looking for disagreement on price to trade on.


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  #83 (permalink)
 timendaGain 
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Mental target reached.


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  #84 (permalink)
 timendaGain 
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15 min before cash open...Bias is short on correlations.
Edit: 11:12 I just was reminded that it's rollover day. I rolled over yesterday and I'm correctly trading the Dec contracts. But rollover day should be noted in my log. I don't know if it foretells greater volatility or not. Maybe should study that.


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  #85 (permalink)
 timendaGain 
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ETH session


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  #86 (permalink)
 timendaGain 
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resting an order for the open


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  #87 (permalink)
 timendaGain 
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Planning to short here. I had moved my original order to short up from the 1st price. RE: The initial motivation for that trade was to catch an imbalance at the open ( I have no way to view imbalances at the moment... just a guess ).
After not filled there I decided to use a new VIX divergence indicator I wrote last night to use as the trigger to enter short. I thought I made a mistake and entered in the wrong direction ( long ) . Acutally I was correct, I was short but thought I was long and as a result flipped making me long. I'm now about to flip back short.

I'm now short from 1933.50.


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  #88 (permalink)
 timendaGain 
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Everything continues to point to weakness.


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  #89 (permalink)
 timendaGain 
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Closed trade on end of VIX divergence



VIX divergence


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  #90 (permalink)
 timendaGain 
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Short on LL, LH rejection at adxvma and W-vwap



I'd like to see the relative VIX confirm by going green.
Edit: What am I saying?! Green would make ES go higher. I'm short! Red is good. I'm so confused by the introduction of this new indicator in my trading. Now I know why BigMike said to only introduce one change at a time and use it for 3 weeks before changing anything else.


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  #91 (permalink)
 timendaGain 
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Revised target on other side of hole in the volume ladder.


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  #92 (permalink)
 timendaGain 
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Closed trade on new VIX weakness as well as an end of the weak VIX correlation.


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  #93 (permalink)
 timendaGain 
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On the edge of a bias flip. Trade is at adxvma and w-vwap.
Correlated markets pointing to strength in ES except for euro dollar. But 3 out of 4 is not bad support for a long ES.
I'd just like to see it clear the w-vwap first before going long. It's Friday and next week is FOMC rate hike decision. Will market want to go long and stay that way into the weekend? I'd be surprised but I have to trade what's in front of me.


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  #94 (permalink)
 timendaGain 
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Trying the short side one more time. Struggling to go above w-vwap. Renewed VIX rally and divergence.


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  #95 (permalink)
 timendaGain 
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revised target


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  #96 (permalink)
 timendaGain 
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closed trade after price hovered just above my target for a while. I wanted to capture the profit this time after what happened this morning.


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  #97 (permalink)
 timendaGain 
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This chart tells the story of a traders plight.

Morning trade from 9:59 - 10:50 shows how the trade was in the money and ended up about break even. I was looking for a bigger move and was willing to tolerate the price to come back to the d-vwap, but no further after having been in the money. I would have been better off closing that trade at the prior day open line. However using those lines earlier in the week proved to be a mistake so i'm now not even paying attention to them.

Afternoon trade 12:47 shows how instead of waiting for my target to get hit, or even having a target at the D-vwap or better I closed the trade for fear of a repeat of the morning trade. But this time price moved further to the D-vwap.



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  #98 (permalink)
 timendaGain 
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Looks like found support at D-vwap.



And VIX looks good



Could we bounce? Not taking the trade because

1. Under the w-vwap and adxvma. No longs.
2. 10year T up.

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  #99 (permalink)
 timendaGain 
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This is what happens when you try to do something outside your trading plan. You get burned.
I tried to get cute and scalp a few ticks to the short side just before the market close. The market had been in barbwire chop for a while and I thought one more barb wire bar down would be a high probability. But with the close fast approaching market forces where actually likely to cause the pattern to discontinue.
More valuable lessons learned on sim.


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 timendaGain 
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lesson learned...


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