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  #1 (permalink)
montreal quebec/canada
 
Experience: Beginner
Platform: CQG/NT7
Broker: IB/AMP/CQG
Trading: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,464 received

Hi,

Sorry if this trading journal is also a kind of introduction and an open post for many question that I have.

Iíve chosen this forum because after having browsed the internet for a couple of months this is the place where Iíve found most value and what looks like a good ďatmosphereĒ. And Iím also here because I want your help and learn from you (and also Iím willing to provide some help if Iím asked in the fields I think I have a little experience).

Iíve been a floor trader for almost 10 years between 1994 and 2004. During that time Iíve only worked from a screen for less than 2 years and it was not a real trading job but what I like to call a technical one since I was marketing OTC options on soy and rapeseed (a boring but well paid jobÖ). Iíve stopped working and trading since 2004.

The only systems Iíve have an experience with are Thomson and Bloomberg, Iíve never touch something like NT or esignal or Sierra Chart (Iím currently testing Sierra and NT and I donít like them but itís another story), Iíve never shop for a data feed, nor worried about the API with the broker of if it accept or managed OCA orders, nor the quality of my internet line and a lot of technical but somewhat important things like that. I will have a lot of questions that I will post in the appropriated part of the forum later. And I must say after having done some research on all that subjects that the life of the retail trader is far from being easyÖ I miss the time when I want a line or the screen I just had to call or email a guy.

So as you can imagine if Iím here itís because I want to be ďback in businessĒ but at smaller scale and from home. After having read countless posts on many forums and after having tried many indicators (without faith since Iíve never found one of value in the past, apart the most basic ones) I came to the logical conclusion that I should try to use the available retail tools (Sierra, NT etcÖ) to recreate what Iíve learn and more importantly how Iíve learn to trade. And this is where I would really appreciate your help and comments and this is one of the reason of this trading journal.

Before posting trading result or strategy I think that the most valuable feature of a trading journal is to put in writting the rules you have chosen to live by.

Let start with the rules (to be continued).

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #3 (permalink)
montreal quebec/canada
 
Experience: Beginner
Platform: CQG/NT7
Broker: IB/AMP/CQG
Trading: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,464 received


How I trade: My rules (feel free to comment, critic, improve, that is why I post that).
  1. Iím not scalping since it is impossible for a retail trader. (You need an hedge to scalp. For electronic market the edge is called HFT, for outcry it is what I call human information, you know the brokers the locals, who works for who, you know their psychology their body language, you can hear and feel the noise etcÖ you have an edge. At home you have no edge.)
  2. But I like to sleep like a baby and since the only thing I know at 100% is that I donít know what the market will do I prefer to not have any positions when I stop working. So I play intraday trends (some may see that as scalping but it has nothing to do with real scalping). I consider a good day is when I can earn 2 times the max range of the day (and yes it is possible with discipline).
  3. Since Iím a very small player I always enter my stop in the market at each entry and at the same time (never later because I know that I canít trust me at 100% at that I may be lenient).
  4. I never put a target (because as I said I donít know what the market will do. Targets are so tempting but they are in my mind the quickest way to the poorhouse. Iíve always heard that retail are ruined because they donít have stop loss and pro are ruined because they have profit target. Itís exaggerated (for pro) but true Ė Iíve often read or ear retail saying I have a good strategy with an 80% win ratio and I put my stop at 20 ticks and my profit target at 10. In that case Iíve always want to tell them give me all your money now it will a less painful agony).
  5. My stop loss is always based on the same parameter: the size of my wallet (no funky thing like volat, or ATR or other, because my wallet has unfortunately a fixed size in the short term he is not bigger or smaller depending on the volatility of the market).
  6. My rule for risk per trade is 1% of 2 times the full margin per contract (ex: if the full margin is at 5k I maintain 10k per contract and put my stop loss at 100$ per contract) It may sound conservative but it means that my stop loss could be hit 50 times in the day before I have to reduce my size and so my potential gain for the day (I believe that reduced margins for intraday are criminal but it is another story).
  7. My size is always the max I could afford base on my max risk rule. I donít scale in or out. Not because I think it is bad but because the trends that I play donít give me this opportunity (they are too short in time). It is always full in or full out.
  8. I play all markets. In fact most of the time I really donít need to even know the name of the market (I just check the calendar for important news and avoid roll over time). But only 1 at a time. This is not a hard rule this is just for me a physical limitation. Maybe one day I will be fully automated and I could play 10 markets at the same time? My preferred one in crude oil at this moment (nice intraday trends).
  9. I never play on outcry markets (brokers and locals will screw youÖ). I never play markets that have a limit up/down that lock the market for the day (donít what to be stuck in limits for days: quickest way to poorhouse because when it happens it is always in the wrong way). I like globex, I can work 18 hours a day if I have fun and I hate to see a market closed.
  10. I never play options because I think that buying them is stupid but selling them does not fit with my hard rule about max risk (maintaining 2% of the notional value is too much in one hand and too short in the other for me) and also because it is a market maker market and they are here to screw you (Iíve been one for some time).

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #4 (permalink)
Legendary Capt. Johnny Jameson
Fort Lauderdale
 
Experience: None
Platform: Optimus Flow, NT8. TS
Broker: CQG, Rithmic
Trading: ES
 
Devil Man's Avatar
 
Posts: 811 since Oct 2009
Thanks: 3,055 given, 1,424 received

@Okina you've come to the right place...there a plenty of former floor traders around here who made the transition to retail screens, I'm sure someone will chime in.

two threads I find beneficial and should be mandatory reading are:

and:


hope this helps and wish you great trading


Johnny

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  #5 (permalink)
montreal quebec/canada
 
Experience: Beginner
Platform: CQG/NT7
Broker: IB/AMP/CQG
Trading: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,464 received

Trading:

Iíve try to replicate the way people behave on a trading floor. And of course itís by definition imperfect since it is an electronic market (so no sounds, no personal interaction, etcÖ).
Most traders on the floor are not brilliant people capable of making accurate long/medium term prediction about the market but they are very efficient and very well trained to react to the trend (Iíve almost always been wrong trying to predict a market).

My system is based on the simplest rule of the market: something that has started to rise tends to go higher; something that has started to decline tends to decline more.

I donít want to use indicators because I never see one really working and the more degree of freedom you introduce in your system the more it will be optimize to react to the past but the less it will be optimize to react to the future.

I donít want to use time-based chart because I think they donít tell the real story. They put emphasis on open and close prices. But honestly on the floor who care about a close or an open price. When you are trading you are not looking you watch and say: Ēhey, Iíve just traded the open price of the 1 min candleÖĒ.

I use range charts and I set my range for my primary graph at Ĺ R. I also use Renko has an indicator of congestion, support and resistance level (here again renko boxes set as Ĺ R). I donít take a trade based on renko but I use them to avoid some trades.

Range charts tell me 2 things: of course the direction of the market but also its pace (do I have 10 bars in 1 min or do I have 3 bars in 10 min).

The system has at this point only 2 degree of freedom (2 free parameters):
  1. Entry Long: buy if you have N highest high in range bars in the X time frame.
  2. Entry Short: sell if you have N lowest low in range bars in the X time frame.
  3. Exit Long: stop lose reached or entry short signal.
  4. Exit Short: stop lose reached or entry long signal.
  5. Ignore Entry when renko is on a congestion level or if it failed to brake support/resistance.
  6. When in congestion use entry short and entry long rules only has exit rules if you have an existing position at this point.
  7. Stop set at 1R (see above for R). No trailing stop, no profit targets.
  8. And the most important rule is of course no discretionary decisions : donít override a stop because you believe in your position, donít cut a position because you think it has reach a max profit. This is by far the most difficult one to follow.
  9. The other important rule is : be consistent. If you play what I call a session (since it has no real meaning in globex) play it till the end. If you play Asian close and Euro open stay in the market for the whole time, if you play US stay for the whole time. Donít be discourage if you have 4 or 6 loss in a row. Donít enter in the market if its for 1 or 2 hours, there is no part time job in this industry. The only mitigation for this rule is important economic news, play it or leave it but be consistent.
I will post more detailed results after and will comment them but in average this system generate 30 trades per day. The success ratio is around 55%. The average loss is at 0.8R, the average gain is at 2,5R.

This system seems to work on stocks but I think that the transaction cost will significantly reduce its interest. For futures my broker is IB the cost of a round trip is between 4$ up to 6$ per contract. Slippage is not a problem on very liquid contract with a bid ask spread of 1 tick (stop order always as market order, entry order could be market or limit depending on the pace of the market).

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #6 (permalink)
montreal quebec/canada
 
Experience: Beginner
Platform: CQG/NT7
Broker: IB/AMP/CQG
Trading: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,464 received

The below result are paper trading results. So far too optimistic. I've tried first to do market replay with NT7 but I've found that the results were too good to be true (since my order were always filled, with no delay) in order to have something more realistic I've redone all my test by hand adding 2 ticks slippage and 5s delays. It's a real pain in the ass.

For 09/17/15

Instrument : CL

Start time 9AM
End time 2PM

I've try to trade during the FED meeting but I'm far too slow with my current setup and I really need more training in mouse and keyboard manipulation (I now understand why some ex video games champion are good day traders...). Very frustrating.

Results :
Average loss 7 ticks
Average gain 17 ticks
P&L : + 222 ticks
Number of trade : 49
loss/win ratio 50%



It could have been an exceptional day if I had less "fat fingers". Stop testing at the beginning of FED meeting because I was unable to react to market moves despite very good signals.
After that I've bought a gamer mouse with 12 programmable buttons. This is a major weakness that I need to address by practicing action games. I hate to miss potential profits.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #7 (permalink)
montreal quebec/canada
 
Experience: Beginner
Platform: CQG/NT7
Broker: IB/AMP/CQG
Trading: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,464 received

What kind of delays I can expect with the below results of ping and trace between me and IB trade server ?

Thanks.



Microsoft Windows [Version 6.1.7601]
Copyright (c) 2009 Microsoft Corporation. All rights reserved.

C:\Users\Okina Tora>ping gw1.ibllc.com

Pinging gw1.ibllc.com [208.245.107.3] with 32 bytes of data:
Reply from 208.245.107.3: bytes=32 time=17ms TTL=243
Reply from 208.245.107.3: bytes=32 time=17ms TTL=243
Reply from 208.245.107.3: bytes=32 time=18ms TTL=243
Reply from 208.245.107.3: bytes=32 time=17ms TTL=243

Ping statistics for 208.245.107.3:
Packets: Sent = 4, Received = 4, Lost = 0 (0% loss),
Approximate round trip times in milli-seconds:
Minimum = 17ms, Maximum = 18ms, Average = 17ms

C:\Users\Okina Tora>tracert gw1.ibllc.com

Tracing route to gw1.ibllc.com [208.245.107.3]
over a maximum of 30 hops:

1 <1 ms <1 ms <1 ms 10.0.1.1
2 8 ms 7 ms 7 ms 10.251.19.193
3 7 ms 8 ms 6 ms 10.170.180.169
4 8 ms 7 ms 7 ms b2b2c-cable-ix-1255-2-129-21.cust.b2b2c.ca [66.1
58.129.21]
5 6 ms 12 ms 8 ms ix-4-154.tcore2.MTT-Montreal.as6453.net [64.86.2
26.1]
6 16 ms 17 ms 15 ms if-5-2.tcore2.NYY-New-York.as6453.net [216.6.99.
29]
7 15 ms 16 ms 15 ms if-11-2.tcore1.NYY-New-York.as6453.net [216.6.99
.2]
8 15 ms 16 ms 16 ms if-5-5.tcore1.NTO-New-York.as6453.net [216.6.90.
6]
9 16 ms 15 ms 15 ms 0.ae20.BR2.NYC4.ALTER.NET [204.255.168.173]
10 16 ms 15 ms 20 ms 0.ae3.XL3.NYC1.ALTER.NET [140.222.226.31]
11 15 ms 17 ms 17 ms 0.xe-10-0-1.GW13.NYC1.ALTER.NET [152.63.20.169]

12 17 ms 17 ms 17 ms interactivebrokers-gw.customer.alter.net [157.13
0.249.134]
13 18 ms 17 ms 17 ms gw1.ibllc.com [208.245.107.3]

Trace complete.

C:\Users\Okina Tora>

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  #8 (permalink)
montreal quebec/canada
 
Experience: Beginner
Platform: CQG/NT7
Broker: IB/AMP/CQG
Trading: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,464 received



R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #9 (permalink)
montreal quebec/canada
 
Experience: Beginner
Platform: CQG/NT7
Broker: IB/AMP/CQG
Trading: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,464 received

Nice and smooth.

Nice intraday trends today. Still struggling with my gamer mouse and how to program the 12 buttons.

What I donít like with NT7 chart trading is that there is no REVERSE button. It takes 2 clicks instead of one to reverse a position. The global crosshair gives me headaches. The more I use this platform the less I like it. Iíve downloaded Sierra for a 2 weeks trial and I will also give a look to eSignal 12 after.

Sierra GUI is frankly out dated but it seems more reliable and flexible. The negative points at this point : 1) the support (Iím not picky but the kind of answers that Iíve read in their forum from their helpdesk did not encourage me to be a client, they almost answer to clients : you are a fucking idiot Ė even if they are it is a least not appropriate Ė By reading this I have the feeling to speak to the IT guys of my previous companyÖ) 2) the learning curve seems to be long.

Today 09/19/2015.
Start time 9AM
End time 4:15PM

39 Round trades.
21 Lossers
18 Gains

Average loss : 8 ticks
Averag Gain : 26 ticks

5 consecutive losses between 14:17 and 14:27. (congestion after a very nice move)
Nice trade between 13:04 and 14:11.

P&L : 267 ticks

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #10 (permalink)
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 6,350 since Jan 2013
Thanks: 48,422 given, 21,262 received



Okina View Post
What I donít like with NT7 chart trading is that there is no REVERSE button. It takes 2 clicks instead of one to reverse a position. The global crosshair gives me headaches. The more I use this platform the less I like it. Iíve downloaded Sierra for a 2 weeks trial and I will also give a look to eSignal 12 after.

Hi, I'm enjoying your thread.

I was puzzled by the reverse button comment, though. Here it is:




Is this different from what you want?

I can't add to the the NT/Sierra question. Sierra does look to have more capabilities, but my charts tend to be kind of simple, and I have not felt much need to change.

I do hope you find something that suits you and that you like.

Bob.

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  #11 (permalink)
montreal quebec/canada
 
Experience: Beginner
Platform: CQG/NT7
Broker: IB/AMP/CQG
Trading: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,464 received

I've done so far 2 months of almost realtime testing and the biggest purpose of that what to re-develop reflexes and confidence. During the first 2 months the testing have been done with a Thomson terminal (so no renko or range bar just tick data and regular bar charts, I've start with NT and sierra only 1 week ago). I have a mountain of paper to enter in a spreadsheet since I've been stupid enough to do that by hand (old school tickets lol).

So far the results have been exceptionally consistent (much better for CL than for ES) but with no losing day in both.

My dilemma is that Iíve taken a commitment with a friend of mine who is a broker to help him for a project. In fact he is the only reason why after 10 years I fell the need to trade, before he offer me that ďjobĒ Iíve never though about trading again. But my commitment will prevent me to trade fulltime. I donít know what to doÖBut last Friday I have opened an IB account so I guess that deep in me I know what I will do. I feel bad but alive for the first time in 10 years. My wife who knows the drill (she is an ex interbank swap broker) is delighted to see me with that mood and she tell me the exact same thing : you are alive for the first time since you retire. So this post is almost what Iím going to say to my friendÖ I will trade part time for maybe the next 2 or 3 months to finish what Iíve commit to do. At the same time I feel angry about me and about what Iíve done during the last 10 years. Iíve be most stupid of all the stupid idiots to retire 10 years ago. Iíve retire at 34 and Iím now 45 and I fell like Iíve lost 10 year of our short life. The reason I retired is because I've started to love money above all. It has been my goal and once it has be fullfilled I have lost my purpose.

It is very personal and certainly unintresting but I write this statement in a public forum in order to have the courage to read it again and again if I fail to follow it.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #12 (permalink)
montreal quebec/canada
 
Experience: Beginner
Platform: CQG/NT7
Broker: IB/AMP/CQG
Trading: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,464 received


bobwest View Post
Hi, I'm enjoying your thread.

I was puzzled by the reverse button comment, though. Here it is:




Is this different from what you want?

I can't add to the the NT/Sierra question. Sierra does look to have more capabilities, but my charts tend to be kind of simple, and I have not felt much need to change.

I do hope you find something that suits you and that you like.

Bob.

I'm the most stupid guy in the world : many thanks !!!!

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #13 (permalink)
montreal quebec/canada
 
Experience: Beginner
Platform: CQG/NT7
Broker: IB/AMP/CQG
Trading: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,464 received

I have received private msg asking me details about my ďstrategyĒ. There are no secrets in that and itís certainly the most stupid strategy in the world and Iím sure that 80% of you can design a better one.
I called it ďshootíem allĒ and the only reason it has some success is because I follow it blindly and I can afford to be wrong most of the time. It is like throwing a coin but with the only difference that I throw it at the good time and consistently.

I have also 2 disclaimers:

1) never follow someone else strategy/idea. You can be inspired by other ideas of course but never just follow them. Also never pay a single cents to learn how to trade, keep your money for your own mistakes. In fact the best advice I could give you is : if you like trading, if you really like it, find a job in this industry, not only you won't have to pay but you will be paid. It is more easy said than done but if it is a real passion you have at least 1% chance to get a real job lol. Send 100 emails per day and if there are inspiring maybe a guy will give you a phone call.

2) Donít expect to be the biggest hedge fund manager with that lol. It works only with a minimal number of contracts it will never works with large/medium orders. The reason is simple. It is micro trends, you will maybe get a fill for half your size when your right about the trend and you will certainly get a fill for all your size when youíre wrong. Result at the end of the day: you will lose a lot of money. When you play large you have to increase your time frame at here it is a complete different story. And at this point I donít even know what is the max size I could play with that strategy (I will certainly pay to find it Ė and what I pay for I keep it for me ☺).

I will try to post that by the end of the week with screen shoot in order to be clear.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #14 (permalink)
montreal quebec/canada
 
Experience: Beginner
Platform: CQG/NT7
Broker: IB/AMP/CQG
Trading: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,464 received

Iím really idle this morning so I writeÖ

About job in the industry I will tell you my story it will maybe inspire some of you about what to do and what to not do.

When I was a teenager my parents always found me summer jobs and I hated that. One summer I told them stop unless you find me something interesting. My father had a friend who was a broker and he gave me an internship. At that time I had no idea of what I like but this internship was the best experience of my life. Of course I did nothing, just watching, asking questions etcÖThey send me to the floor (as a guest and since that I have kept my access card in my wallet ☺) They were also doing a lot of prop. trading (they collapsed in 1987 lol) and I remember as it was yesterday that the head of equity trading ask me one morning : give me an idea what should I buy this morning ? I did not hesitate a second because Iíve just read an article about bullish expectations for gold so I said gold mines. And this mother fucker just bought a lot of them ! I was about to collapse. I did not remember how the trade end, I did not know why he has done it but I was hooked.

After that Iíve done a B.A of science with a major in math and a master of finance. But during my university time I have created 2 small businesses (nothing to do with trading/finance) so my results were poor. When the time arrived to find a job all the big names wants to hire me but not as a trader (because of my average academic records) but as a sales (they though that a guy who create business is certainly a good sale person). I took the position but I hate it. I spent my day cold calling fund managers. I realize soon that I was a ďsecond classĒ citizen and that there is very little hope to become a first class one with them. But my plan was the following, a big name is good for your resume and after 6 months I've started sending BS resume to small names but this time for a trading position. A little BS + a lot of passion = success. After that every thing has been easy. People won't blame you for your BS if you have passion. They will forgive them and understand why you have done that (and in fact most of the time they will find out during the first interview but at least you had the chance to have the interview and it is what is important. Of course BS does not mean lies. At this time I wasn't sending resume saying I'm the best trader of XYZ but I wasn't saying on the other hand I'm a lousy sales...)

Good luck.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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  #15 (permalink)
Helsinki, Finland
 
Experience: Beginner
Platform: Sierra
 
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Okina View Post
Iím really idle this morning so I writeÖ

About job in the industry I will tell you my story it will maybe inspire some of you about what to do and what to not do.

When I was a teenager my parents always found me summer jobs and I hated that. One summer I told them stop unless you find me something interesting. My father had a friend who was a broker and he gave me an internship. At that time I had no idea of what I like but this internship was the best experience of my life. Of course I did nothing, just watching, asking questions etcÖThey send me to the floor (as a guest and since that I have kept my access card in my wallet ☺) They were also doing a lot of prop. trading (they collapsed in 1987 lol) and I remember as it was yesterday that the head of equity trading ask me one morning : give me an idea what should I buy this morning ? I did not hesitate a second because Iíve just read an article about bullish expectations for gold so I said gold mines. And this mother fucker just bought a lot of them ! I was about to collapse. I did not remember how the trade end, I did not know why he has done it but I was hooked.

After that Iíve done a B.A of science with a major in math and a master of finance. But during my university time I have created 2 small businesses (nothing to do with trading/finance) so my results were poor. When the time arrived to find a job all the big names wants to hire me but not as a trader (because of my average academic records) but as a sales (they though that a guy who create business is certainly a good sale person). I took the position but I hate it. I spent my day cold calling fund managers. I realize soon that I was a ďsecond classĒ citizen and that there is very little hope to become a first class one with them. But my plan was the following, a big name is good for your resume and after 6 months I've started sending BS resume to small names but this time for a trading position. A little BS + a lot of passion = success. After that every thing has been easy. People won't blame you for your BS if you have passion. They will forgive them and understand why you have done that (and in fact most of the time they will find out during the first interview but at least you had the chance to have the interview and it is what is important. Of course BS does not mean lies. At this time I wasn't sending resume saying I'm the best trader of XYZ but I wasn't saying on the other hand I'm a lousy sales...)

Good luck.

Hey Okina!

Please do continue! I feel glued to your beginnings story! And I'm sure there are more members interested as well.

What sort of BS did you write and what were the two businesses you mentioned?

-Sam

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  #16 (permalink)
montreal quebec/canada
 
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Next step of my career.

So after the little BS resume and a lot of goodwill from some friends who gave me great recommendations I ended up in another bank but this time on the floor. One good step in the right direction but not as a trader... The sale thing is sticky but at least I was in my element and I did not have to cold call potential clients. Actual clients will call me to give me direct orders and to have market commentaries. I was a floor broker on index options. After one month of training the great day is here. And believe or not but this first day was the biggest fuckup of all my career.

The day has started quietly like all those I have witnessed during my training. At 3 pm the phone rang and the guy at the end of the line was our biggest client a big shot edge fund manager. I've been already introduce to this guy but this is the first time I was doing business with him. No one around me seems excited (usually big orders awake the pit). I should have found this strange because this kind of client used to split their orders among different broker. But instead of being cautious I felt honored (stupid mistake). It was a fucking huge spread order if I fill it I can do in a day the commission of the week. If fact in believe now that all the floor had this spread in their books but they didn't pay it any attention because it was completely off the market. I think I was the last one he called just for fun... But instead of negotiated it like spread I've done the rookie big mistake : I've negotiated each leg separately and I called the client wit a big Its done Sir ! Lol by the time I hang up the phone I realized that I was off by 250k$...I immediately called my boss who immediately told me to drop my jacket and to go to the office. Fuck I worked hard and my first day will be my last day...I've been the star of the pit the time of a trade.

They don't fire me but it was worst in fact. I've been asigned to the back office for an unlimited probation period... Time to start sending resume again !

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Aldie virginia
 
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Okina View Post
Trading:

Iíve try to replicate the way people behave on a trading floor. And of course itís by definition imperfect since it is an electronic market (so no sounds, no personal interaction, etcÖ).
Most traders on the floor are not brilliant people capable of making accurate long/medium term prediction about the market but they are very efficient and very well trained to react to the trend (Iíve almost always been wrong trying to predict a market).

My system is based on the simplest rule of the market: something that has started to rise tends to go higher; something that has started to decline tends to decline more.

I donít want to use indicators because I never see one really working and the more degree of freedom you introduce in your system the more it will be optimize to react to the past but the less it will be optimize to react to the future.

I donít want to use time-based chart because I think they donít tell the real story. They put emphasis on open and close prices. But honestly on the floor who care about a close or an open price. When you are trading you are not looking you watch and say: Ēhey, Iíve just traded the open price of the 1 min candleÖĒ.

I use range charts and I set my range for my primary graph at Ĺ R. I also use Renko has an indicator of congestion, support and resistance level (here again renko boxes set as Ĺ R). I donít take a trade based on renko but I use them to avoid some trades.

Range charts tell me 2 things: of course the direction of the market but also its pace (do I have 10 bars in 1 min or do I have 3 bars in 10 min).

The system has at this point only 2 degree of freedom (2 free parameters):
  1. Entry Long: buy if you have N highest high in range bars in the X time frame.
  2. Entry Short: sell if you have N lowest low in range bars in the X time frame.
  3. Exit Long: stop lose reached or entry short signal.
  4. Exit Short: stop lose reached or entry long signal.
  5. Ignore Entry when renko is on a congestion level or if it failed to brake support/resistance.
  6. When in congestion use entry short and entry long rules only has exit rules if you have an existing position at this point.
  7. Stop set at 1R (see above for R). No trailing stop, no profit targets.
  8. And the most important rule is of course no discretionary decisions : donít override a stop because you believe in your position, donít cut a position because you think it has reach a max profit. This is by far the most difficult one to follow.
  9. The other important rule is : be consistent. If you play what I call a session (since it has no real meaning in globex) play it till the end. If you play Asian close and Euro open stay in the market for the whole time, if you play US stay for the whole time. Donít be discourage if you have 4 or 6 loss in a row. Donít enter in the market if its for 1 or 2 hours, there is no part time job in this industry. The only mitigation for this rule is important economic news, play it or leave it but be consistent.
I will post more detailed results after and will comment them but in average this system generate 30 trades per day. The success ratio is around 55%. The average loss is at 0.8R, the average gain is at 2,5R.

This system seems to work on stocks but I think that the transaction cost will significantly reduce its interest. For futures my broker is IB the cost of a round trip is between 4$ up to 6$ per contract. Slippage is not a problem on very liquid contract with a bid ask spread of 1 tick (stop order always as market order, entry order could be market or limit depending on the pace of the market).


I look forward to seeing more results of your strategy. Questions for you:

1. Does N mean consecutive bars must be all down/up for entry?
2. By X timeframe, what do you initially think on this parameter for a value?
3. Do you have a method for determining N and X?

Thanks,
MG

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  #18 (permalink)
montreal quebec/canada
 
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I will try to explain to process and the general idea first.

How does a trend start? I think the answer is obvious when price start to move in the same direction but since price are always changing how can we define a direction. So I've start looking at graph in many time frame for many different futures and I ''see'' that 3 bars in same direction (3 highest high, 3 lowest low) seems to be a good start. Of course it doesn't work but it's important I think to understand why. (Always be careful of what you see or I should say what you want to see..).

I find a good example today. Between the rectangles named Mov. 1 to Mov.6 you see a nice trend of 205 ticks (from 47 to 44.95).

Let apply this ''rule'' to this part of graph.


11:03 Long at 46.9 (Mov. 1)
11:12 Stop activated at 46.80 = loss 10 ticks (more realistically 12).
11:33 Short at 46.60 (Mov. 2)
11:29 Long at 46.30 Gain 30 (Mov. 3)
11: 30 Stop activated at 45.20 = loss 12
11:34 Short at 46.10 (Mov. 4)
11:48 Long at 45.65 = gain 45 (Mov. 45)
11:57 Stop activated at 45.55 = loss 12
12:03 Short at 45.45 (Mov 6.)
1217 Long at 45.25 = gain 20
12:20 Stop activated at 45.05 = loss 12
EtcÖ etcÖ

So as you see we have a very strong trend of 205 ticks but we only have ''capture'' 59 ticks. This is far from being fantastic and as you could imagine such a ''raw'' strategy will be catastrophic with small and less dynamic trend.

But even if this strategy is good for the trash can I've started to think that there is some value in it. So I've started to look at different time frame simultaneously. I avoid you the pain to go through that but I can tell you it doesn't work too (too long you miss the trend, to short you only capture noise). You can try with 2 bars, with 4 or 5 or whatever you want it does not work. You can add indicators it does not work and at the end it just becomes intellectual masturbation. It was very frustrating thinking I may have something but it doesn't work.

(to be continued)

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  #19 (permalink)
montreal quebec/canada
 
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I will take later another example because this one is ''too good'' and to exceptional to create a trading system. But we will continue with it for the moment.

How can we fix it ? The first answer could be ignore the counter trend. Great ! but how to I fucking know that they are just minor pullback in a great trend and not the start of a new one ? Of course when you know the result at the end of the move you're rich (of dreams but not $...). If we have a method (not a dream) to ''eliminate'' the Mov.3 and the Mov.4 instead of 59 ticks we could end with 165 ticks. Huge difference. Instead of capturing 20% of the trend we could have now 80%.

So I've started to work on that.

My first idea was Heikin Ashi. I must say that I don't like that since it is like cheating with the real price action in order to create and artificial bar. But let's have a look :



It looks good. But do not rejoice too much it only work here because it is a ''too good'' example. In the real word every day you won't make a cent on that. I will give you a counter example taken today too :




Good luck making money on this one

So fake/cheating bar are not the panacea. But I think we have find something at least : if we look at the pullback on the first graph (the thomson one) we can see something and we can measure it. the bar in the pullbacks are small very small compare the one in the main trend. There is something else to see and measure : those small movement last much longer in time than the big move that create the ''real'' trend. In fact they need a lot of time to create just a tiny move. All the movement in the trend are sharp, violent and fast. But seing that a bar is small means to wait and by waiting the trend could be finished ? So maybe it is time to evacuate the time from the equation ?

This is the reason why I've start looking at graph who are not based on time but on price action.

(to be continued)

(PS sorry guy if it is so fucking long - usually when I start explaining something people have forgotten the question by the time I finish... and again don't follow my ideas or at your own risks.)

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montreal quebec/canada
 
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I have promised to finish exposing my little system by the end of the weekend but I won't be the man of my wordÖ I will have a very busy weekend and will certainly finish that during next week.

By the way it is a very good exercise for me as it help me to reformulate all my ideas in a clear way (or what I hope is a clear way). A famous poet from the 17th century, Nicolas Boileau has said :

Avant donc que d'ťcrire, apprenez ŗ penser.
Selon que notre idťe est plus ou moins obscure,
L'expression la suit, ou moins nette, ou plus pure.
Ce que l'on conÁoit bien s'ťnonce clairement,
Et les mots pour le dire arrivent aisťment.


For those who do not speak French it basically says: you need first to clearly understand an idea before you can translate it in words.

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  #21 (permalink)
montreal quebec/canada
 
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As Iíve previously said there is no ďsecretĒ behind itís just a simple and naive trend following system.

My main screen is a range bar chart. On the other screen I have a renko (used mainly to spot easily support and resistance even if I donít trade them directly), and regular bar chart with different time frames: usually a 2 min and a 15 min.

I have usually 2 type of moving average on those charts. A VMA that I really appreciate for its capacity to be flat during non-trending period (but I donít use it to avoid ďchoppyĒ market, for that a longer time frame chart of real bar is much more useful), and a MAMA & FAMA who give me a good direction for the trend (I usually donít trade MA crossing even if I look at them).









My entry rule is very simple 3 consecutive trending range bars, this signal must be confirmed by : uptrend = price above VMA, VMA with a up slope, MAMA & FAMA with an up slope. The more away MAMA & FAMA are from each other and the more above the VMA the bar is the stronger the trend is. But during my first entry I do not take this too seriously (otherwise I would only enter at the end of the trendÖ) (reverse all of that for a short entry).

My stops are entered in the market (not just in my mind). They are my indicators to tell me if Iím right or wrong (that is reason why they are set at a small level of loss).

The first entry is always the most delicate operation of the day and most of the time Iím wrong so paradoxically I do not pay to much attention to all my rules for the first entry. That may seems weird but what Iíve often saw is people waiting for the perfect entry or the famous pull back that never come in a trend that they have missed. They sat in front of their screens all the day, and after several hours they enter in the market and of course at the worst point because they are frustrated. I prefer to lose a small amount than to miss the train.

Once Iím in, the real work begin. What I want to avoid is cutting a profit by leaving to early. At this point I pay a lot of attention to all the previous rules (slope of the VMA and MAMA, price above or below the VMA, look at the longer time frame chart etc..). I know that I will be wrong at least 50% of the time and that I canít do anything to prevent that (except shutting down my computer) so when Iím right and want to take a much as possible from the market. My first entry rule is very relaxed and lenient but the subsequent ones are very rigid.
  • I never used trailing stops because I consider them as the best way to cut our profit. If you need a trailing stop to be profitable it is because you are not in a ďrealĒ trend.
  • I do not have stress about choppy markets: I usually donít lose too much in them because I always have a look at the longer time frame graph. There is no indicators to avoid choppy market the only way is to increase your time horizon.
  • I really like the VMA. This moving average has this nice property to be flat during none trending period (I must say short non trending period). It really helps me to avoid cutting or reversing my positions during simple pullbacks or consolidations.
  • I donít play MA crossing (even if the MAMA and FAMA are not too bad) but I just use them as confirmations.
  • I always enter my stop in the market (for CL it is a 12 ticks one) and I never, NEVER, remove or move it.
  • I just use market orders.

Iíve tried to increase the complexity of this very simple system and it did not work. With more rules, more indicators the results have always been worst for me. In fact I could just trade it with 2 graphs and no indicators.

Examples of entry rules and how to stay in the trend :




Choppy ? Time frame is your friend :







What I strongly believe is that it is: the most important ďindicatorĒ in your trading system is your psychology and your system must reflect it. People who lose money lose it not because of their setups but because of their mind. Also some people have a mind that is not fit for trading. In that case they just should play poker, domino or tennis but not markets. It is as simple as that. You can improve your system but you canít change who you are.



My 2 cents about ďpsychologyĒ: thousands of times Iíve read or heard analogy between trading and for example poker. In my point view nothing is more false than this analogy. My analogy is trading is like boxing. To enter in the ring you must be crazy or hungry (you wonít fight well if you already think that you have all you need in your life, but in the other hand if you are just crazy there is nothing we can do for youÖ). You must enter this game only if you really feel the desire to win knowing that your opponents are going to do their best to hurt you (it is a zero sum game what I win, you lose it). But hunger is not enough, even if you are starving, even if you are the strongest guy in the world you will need technics, you will need to learn how to fight and real technics are only learn in the real arena (stop intellectual masturbation, stop paper trading, use it only to be familiar with your trading platform). This is the reason why so many people retire early from this job because when you win and the more you win you will certainly lose your hunger. The key is to be fool (just a little) and hungry (a lot). I trade to win, nothing more nothing less.

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  #22 (permalink)
montreal quebec/canada
 
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October 6 2015

Did not have the chicks for free... lol but clearly the money for nothing : most boring day but rewarding one.

Enter long at 46.14 at 7:46 Am
Close the position at 49.00 at 16:34 PM (no sell signal just bored)...

Not a single signal during the whole day just buy buy and buy

Maybe should have stay long.

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montreal quebec/canada
 
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I've made some important changes in my trading "strategy" during the last couple of weeks.

Maybe it is just plain luck and "special circumstances" but instead of 50 rounds per day I've greatly reduce that to just one some days.

I think we will have nice trends in CL in the following year. I personally believe that the collapse of oil price has been mainly driven by geopolitical reasons (cutting Russia and Iran main stream of revenues). Now that Iran starts to show compliance in terms of nuclear control and now that Russia start to be a major ally for fighting the ISIS I believe that we can see oil at much higher levels.

I've kept almost the same setup but I have introduced an important filter and also a lot of simplification :

1) entry short : 3 consecutive down range bar under the VMA(4,18) (range set at 5 ticks on CL)
2) exit short = entry long
3) entry long : 3 consecutive up range bar above the VMA(4,18) (range st at 5 ticks on CL)

bar must be at least 2 ticks above or below the VMA to start the counting.

no trailing stop, no profit target (just 1 stop loss a 12 ticks).


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  #24 (permalink)
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I'm not affiliated with Optimus and I do not have an account with them yet but I must say that I've been really impress by their services.

I've asked my wife this morning to make research and to see if it is possible to open an account with another broker (I have nothing special against IB Canada but they seem to don't care. I've contacted them to know how I can wire money since electronic transfer are limited to 100K$ per 7 business days and they just tell me to go the web site to find the information...). She has just sent 1 email to Optimus and less than 1 hour latter she has received an answer and during the evening they even called us to make a follow up (I've missed the call unfortunately).

I will fill the form tomorrow. Great job.

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montreal quebec/canada
 
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lots of trades today (at least compared to the other days) for a good result: 158 ticks per contract.


Started to work at 5 AM , finished early at 2:30 PM.

18 trades, 5 stops hit. Average loss 12 ticks, Average win 31 ticks.

I've started to test CQG IC and I find it far superior to NT in every aspects. NT is a very good platform and I can't say that CQG completely blast NT for this or that but it is a lot of small details here and here that make the difference between them. It is the same feeling when you start working with Bloomberg after having worked with Thomson.

(and also even it is completely stupid I really dont like the name of NT : NINJA TRADER... for me it is a name for a children video game and also the ninja word did not refer to something very positive at least for people who have some Japanese culture. For the small story the word ninja is only used in the West, and many Japanese synonyms for ninja are ruffian or macaque...and mostly refer to people from the lowest class of the society.It is of course totally subjective but would you like to drive a pink Porsche with green dots ? Maybe yes but not me lol).

Since I've started trading with IB I have only used 2 contracts even if I can afford a much higher size. Doing more than 100 ticks per contract per day in average is certainly a more than average result. Doing it with 10 or 50 contracts will be exceptional (at least for my standards) but I like to play during euro time and the liquidity is not always here. It is a dilemma : making 2 to 5k per day is great, making 20k is more than tempting but I have the feeling that it won't work. That is one of my great weakness : being to greedy and using to much leverage. For the moment I took the commitment to keep my profits and to stay with my poor 2 contracts.

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Today with my first day with CQG QTrader and I lose a little money...

The platform has nothing to do with my loses but my lack of training has. Sunday I was setting and programming my very simple indicator and soon after the market open I had an interesting sell signal. I did not take it because I did not want to spend the whole night in front of the screen (after having spend the day in front of the screen) and because I was not conformable placing an order with a trailing (I was not prepared and was not sure if my orders will work has expected) So I did nothing despite the strong sell signal. (see graph below).

I wake up this morning realizing that I have lost a very nice opportunity of more 120 ticks because I did not know how to place a trailing stop....


After that miss it was the most boring trading day I've seen this last month on CL. Only 2 signals validated during the day and all of them have been stopped a few minutes after. During all the day the market was in a range between 46.30 and 46.30 with a few attempt to exit that range. All was done during the night and I was not here...
Now I know how to place orders


Of course to finish in beauty the last valid signal seems to be a BUY a few minutes before market close...


I will go to the restaurant now and will not repeat the mistake of sunday night.




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About my trading system:

I have simplified it a lot during the last month of trading.

First I was fond of range bars thinking that they represent more the price action than time bars. But in my real trading they tend to give me more nuisances that support and often gave me false signal. So Iím back to time bars (2 min for CL).
I have only 1 indicator VMA based on the CMO with the following parameters : 4 for the VMA length and 18 for the CMO length.

During the night since movement is slow I only look at the time bars in 2 mins. During the day like a no trend day as today I look for a confirmation of the signal of the 2 min bar on the range 5 ticks bars.

The signal is quite simple : 3 up bars above the VMA = buy (up bars = open > close and higher high with high low for the 3 of them). 3 bars below the VMA = sell. In both case stop at 10 ticks and no trailing (unless I have to sleep or to leave the screen).

It looks maybe too simple but it works (at least until nowÖ) ☺.

I like CQG trade route, very fast not a single tick of slippage today. I like the platform simple robust efficient

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I was feed up to have such a bad day so tonight a play CL and CAD. Small gain in CL and large one in CAD
But i must definitely re read the manual I've made mistakes again with the manipulation of bracket orders that cost me a part of my profit.

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I moved from Ninja to QTrader 2 days ago. It should have made no differences ? In fact for the last 2 days it has been a disaster. In 2 day I've made only 5 trades and 4 have been losers !

The platform has nothing to do with that. It is my fault.

I've started to develop the worst behavior a trader could have. I start to have doubt about my system, it took me 2 minute to push a button instead of 1 second, I sell on the low and buy on the high. At the end of the day I looked at my screen had was afraid : I had 15 indicators on the screen lol.

I closed the screen, I took a walk, (and I bought a bottle...). I know that if I continue like that in one week I wont be able to trade.

I cant say that I was very used to Ninja but I took almost 1 month doing paper trade so I was confident in what I was doing. With QTrader I took 1 day and I start live: big mistake. Each time a take a trade it is like I have doubt that the platform will sell instead of buy and vis versa. I fear my tool. On top of that CL has not been easy to trade on the last 2 days (at least for my system) but when I look back I see lots of missed opportunities so the problem is me (as usual in trading). So tomorrow and for the rest of the week paper trade only with this platform.

You see the little rectangle with the down arrow (the down arrow is my system with a sell signal that of course I did not take. You see all the crap on the screen it is pure BS that I have added today
(terrible for a guy who spoke not long ago of simplicity....

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  #30 (permalink)
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I want to show you something because I also want me to remember it:

I have removed all the crap of my screen and put my screen in its original state. I have put red rectangle around the signal.

You see the difference ? large winner today instead of crappy trade. I hope you will remind this lesson and last I will

Cheers,




I must say something about my system: due to my lack of programming skills the system show different entries but my rule is if you miss the first stay away. It could be frustrating but I know by experience that the first is always the good one. After you may have 15 others but they wont be as good and if you catch the train after it start you will certainly catch it at the final station (murphy rule)

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I maybe though I was immune to most of the psychological short fall that you could encounter in trading. Obviously I was wrong. I have been greatly perturbed by just a change of trading platform. But after a good walk and a short night : back in business.

I found a way to paint my bar based on the condition of my indicator (i know it the basis for most of you but for me with no programming skills I was happy of that and I never managed to do it with NT)with the painting I did no longer need any indicators (it was my goal since the beginning).

I let you have a look. It is very exciting (at least for me....). As you can see it's not too bad for such a simple trading system.

In green BUY in purple SELL. Change of color equal reverse position.




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Same system on a longer time frame, as you can see it managed to capture most of the action with no too big loss but the price for that is of course to have to sacrifice a good part of the range of the trend.
It never buy at the low or sell at the high but instead buy around 80% of the low and sell around 80% of the high. Which is in my opinion already quite exciting.





I must add something very important : this system may look to good to be true but it works only under 1 condition and it is not a light one, to be profitable you must enter the market at the change of color. Of course if you look at it after you may find better entry point or avoid bad one but as you know there is no 'printing money' machine that works in any market. So it means lot and lot of work. It means managing you frustration of having missed a trend, it means avoid the temptation to enter after it start. It is not a system for everyone, it is not a system for someone who want to trade part-time. And in fact I believe that people who claim that they work 2 hours per day and make 100K a month are BS (or genius but I never encounter one...).

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If there is some people who works with QTrader or IC I can post the code. As you will see it is less than 10 line of code. It is the beauty of CQG platform for me. No need to learn a programming language. It is basically the same kind of formulas that you can find in excel.

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Okina, yes I am interested in seeing the code. Could you please post the code.

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rkost View Post
Okina, yes I am interested in seeing the code. Could you please post the code.

I know it is possible to export the file but I did not yet find so I will post the code here :

First indicator that you need is the CMO :

SU:= Sum( IF( Close(@) > Close(@)[-1], Close(@)- Close(@)[-1], 0) ,Psum);
SD:= Sum( IF( Close(@) < Close(@)[-1], Close(@)[-1]- Close(@), 0) ,Psum);
(SU-SD)/(SU+SD)*100

Psum is the Parameter for the lenght of the CMO.


After you need to create the VMA and to use the CMO inside :

PriceX:= If(Price=1, Open(@), If(Price=2, High(@), If(Price=3, Low(@), If(Price=4, Close(@), If(Price=5, Avg(@), If(Price=6, HLC3(@), If(Price=7, Mid(@),Close(@))))))));

alpha:=(2/(1+Period));
volat:=Abs(CMO.c1^(PriceX,CMOPeriod))/100;

VMA:=(alpha*volat*PriceX)+((1-(alpha*volat))*VMA[-1]);

(alpha*volat*PriceX)+((1-(alpha*volat))*VMA[-1])

Paremeters are Period for the period of the VMA, CMOPeriod for the period of the CMO and Price to setup if you want to calculate the VMA on the high low close etc...

After that you have to create 4 conditions :

First condition the buy signal :

High(@)>High(@)[-1]
AND
High(@)[-1]>High(@)[-2]
AND
Low(@)>Low(@)[-1]
AND
Low(@)[-1]>Low(@)[-2]
AND
Close(@)>Open(@)
AND
Low(@)[-2]>VMA.vma^(@[-2],Period,PeriodVol,4)
and
Close(@)[-1]>Open(@)[-1]
AND
Close(@)[-2]>Open(@)[-2]

Second condition the Sell signal :

High(@)<High(@)[-1]
AND
High(@)[-1]<High(@)[-2]
AND
Low(@)<Low(@)[-1]
AND
Low(@)[-1]<Low(@)[-2]
AND
Close(@)<Open(@)
and
Close(@)[-1]<Open(@)[-1]
and
Close(@)[-2]<Open(@)[-2]
AND
High(@)[-2]<VMA.vma^(@[-2],Period,PeriodVol,4)

for this condition the parameters are period for the period of the vma and periodvol for the period of the CMO.

With this 2 conditions you can now create 2 color bar conditions :

Color bar for buy signal

SetRst(B.VMA_3_BARS_UP(@,PERIOD,CMO_PERIOD),B.VMA_3_BARS_DOWN(@,PERIOD,CMO_PERIOD))

Color bar for sell signal

SetRst(B.VMA_3_BARS_DOWN(@,PERIOD,CMO_PERIOD),B.VMA_3_BARS_UP(@,PERIOD,CMO_PERIOD))

here the parameter are the same period for period of the vma and cmo_period for period of the cmo. VMA_3_BARS_UP and DOWN are the name of the first 2 conditions (the buy and the sell one) of course you can use any name you want.

That's it that's all. It took me 2 day to figure out how to do that but for the average programmer it will only take I think 10 min.

For those that have never used CQG this the beauty of the thing here you see 100% of the code. You want to plot something you just have to enter the formula that you want to plot in almost natural language (no variables to declare to check etc..) after you chose the color and type of curve just by right click on the chart. You want to plot a cmo you click on custom studies and you write in dialogue box : (SU-SD)/(SU+SD)*100 and it is finish it will plot the cmo. When you know what your are doing it takes you 10s. (I'm here to trade not to learn C and I have no background in programming)

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  #37 (permalink)
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you can also use this condition to create a market monitor of the different futures you are following and the conditions could be calculated on any time or range frame and be plotted in a kind a spreadsheet :

As you can see I check the validity of my condition on 5 and 2 range bar and 2 and 5 min but I can add as many has I want.

Green ligh means buy condition true, red light mean sell condition true.


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I would like to know if any of you have any prior experience with DeMark studies ?

I know they are widely used in the industry (I think 25K subscriber for bloomberg ?) and I start to look at them and I've liked this approach.

Thanks in advance for your insights or opinions.

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  #39 (permalink)
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Hi @Okina, how is your trading/journey going?

All the best,
Chris

sent from phone

Consistency over time
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chr1s View Post
Hi @Okina, how is your trading/journey going?

All the best,
Chris

sent from phone

Who can do bad with that kind of market




But on the other hand I'm not satisfied with my "system" in the sense that it is not a system. There is no real exit rules or trade management rules in its current form. What it does is just underlining strong impulses in the direction of the main trend but there is no quantification of the strength of the trend.
I've backtested it over long period and I wasn't surprised to see that without any exit rules other than the opposite entry rule the "system" is a consistent loser since such trend like the one above is more the exception than the rule. On the other hand I've run an other kind of tests and I may have something useful. I've notice that when I trade this "system" and when I do not have so strong trend I base my decisions not only on the signal but also on the slope of the trend. But I do it a complete discretionary manner so I'm working on quantifying this observation.

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  #41 (permalink)
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I'm reading Tomas DeMark work and I LOVE what I read.

This is the first time in my carrier that I read something that makes sense for me from A to Z. In the last 2 days I have read the book DeMark Indicator (Bloomberg Market Essentials) by Jason Perl 4 times. I'm now working in integrating this in my trading and
I frankly consider buying the monthly subscription for this set of indicators (it works on CQG IC, Bloomberg and Thonson One and TradeStation but I'm not sure for this one).

It only speaks of price action only, no esoterically formulas, no inappropriate maths but only quantitative rules (not another Eliot wave theory where any one could be right and wrong and the same time). Exactly my way of thinking.

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  #42 (permalink)
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Working 12 to 18h per day to finish this system for the last 2 weeks none stop (it is not a joke or a BS and I'm happy and not too exhausted - thanks to adrenaline). Almost done. Now I have 1 entry rules (as before) but now 4 exit rules. I've try a lot of ideas but I always sticks to the principle of price action (no esoteric maths or indicators). DeMark has been a great help not in the sense that it gave me directly useful trading rules (trading on range bars invalidate a lot of rules that have been created for time bars) but in the sense that it helps me greatly to create mine (even if I had used some of his but in a different way). I have tested this system on time bars and it is really not the same (really inefficient) but on the other hand it seems to work without almost any changes on many markets (tried on paper BZ NG ES EU6) but that will be for the next step.

I've tried them live yesterday with a single contract and I've been very pleased by the results: 1730$ on CL before comm.

Today I'm putting everything in place on CQG. I want to have only 1 graph with no indicators just painted bars for entry and exit. My purpose has always been to trade like a machine (before the machine actually trade for me) and I don't want to have anything to distract my eyes and my mind. If I do not have last minute (as usual. In my initial schedule the system should have been finished 2 days ago... ) programming problems it should be in place for tomorrow session (night will be long but I'm used to it).

Step 1 almost finished !

Cheers.

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  #43 (permalink)
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Just for the short story I completely fuck up my coding. I try it live this morning and after 30 min I have lost 250$ in 3 trades who should have given on paper more than 500$... I have made coding error and a some parameters where at the wrong place lol for example I see that I was using an overbought level of 80 for the period of of MA who is supposed to be 4 and of course the overbought level was at 4 ! (I'm stupid to use a system for the first time in live I should have done this in demo account, lot of overconfidence here...).

Now I just want to share how I set the parameter of my system (or at least how I should do it if I wasn't such a crappy coder).

First I take a 15 min graph and I read the average ATR for the last 2 days. It was around 30 ticks for last 2 day on CL.

After that I take a 30 tick range bar (average ATR) and look at the trend and more importantly how the trend is build. On the following graph we see that the longest up period was of 60 ticks and that in average up trend last less than 50 ticks. On the other hand the best short trend was at 128 ticks.

Based on that I use more strict rules to exit long trade than short trade. I that case I will apply all my exit rules on any long trade and only the weakest on the short trades.

Of course this method has it weakness since it is based on the past and that I some point market behavior will change. Based on my observations this kind of change is not made overnight (unless a special event occur) and we usually see 1 or 2 days in which up and down trend will be of the same amplitude. (as a side note I think we are not far from that).



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  #44 (permalink)
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here is an example to illustrate my previous post.

All the dots and squares are a kind of warning (in fact exit signals) as you can see on the up trend the first (highlighted) exit signal was the good one. On the other hand on the down trend all exit signals have been discarded and only the strongest one (more general one) have been followed (which is a signal of a complete trend reversal at 45.30).

As I write those lines we are in this up trend from 45.30 to now 45.50. As you can see I did not catch the low at 45.12. My system as any trend following one never catch low and high. But since market are in trend less than 30% of the time that is the reason why I think exit rules are much more important than entry rules.


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here another example on how my system was supposed to managed the rules :

On the up trend you see an exit signal at 46.30. This signal should be taken and the top was in fact near around 46.45

On the other hand the down trend start also at 46.30 after the top for my system (coincidence ?) and this down trend start by violating one of my first rule (you can see the retracement levels on the graph) but even after that it was valid and very strong.

At 46 a new up trend start to potentially appear (this is my strongest rule to exit) but 2 ticks after the start I have an exit rule activated (red square) so it was not taken, especially since I have taken the trend at 46.30 I have 30 ticks in the bank so I can afford to let my winner run and wait 3 bars to have a confirmation of the new trend. It was also a perfect time to sell more but my system is not designed to do that.

I also forget to mention that red and green represent the time where I'm long or short in the market. Black should also be here if my coding had worked and it will have represent time where I'm flat.

(of course this is only theoretical since my stupid f... system did not work today due to my coding errors and that what you see in my old manual system).


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If I write all of that this is first a way to evacuate my frustration of the day but also I want to underline what I think is a cardinal rule of any trading system that a lot of person tend to forget.

Entry rules are the less important rules. In fact you could even flip a coin (but if you chose this rule as entry you will have more work for the exit one...). Exit rule represents 90% of the profits or the loses.

If you look in the literature about systems that have been traded by professional (we dont find a lot of studies on them but you can find some on system traded by Paul Tudor for example at the beginning of this career) you will see that the entry rules are almost always dumb like donchian channel, moving average, price patterns etc. On the other hand if you read forums you will see that 99% of the focus is on entry rules or the last magical indicator.

I trow a suggestion : why not starting a thread on exit rules (other than my stop loss is hit of course or worst my system is so perfect that I don't need an exit rule lol...) ? I would be very interested in reading what other people have designed.

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I will start with the basis of my exit rules (it is a work in progress)

I have :
1) based on a percent of retracement at the beginning of the trade to invalidate the entry (and avoiding having my stop hit)
2) based on a home made version of the RSI. This version is made in order to not stay too long in OB or OS level by assigning 0 values to price difference in strong trend. It is also not calculated on close because I don't want to wait to exit. I also count the number of period in OB or OS level and used them in a none conventional way in that case instead of a trend reversal signal I take it as a trend confirmation signal when it stays a long time in OB or OS (in that case do not exit or do not take any opposite signal).
3) based on price patterns (inspired by DeMark works) this one is a counter trend rule it says basically if it is too good to believe don't believe it.
4) based on the slope of the VMA using an oscillator has a measure of the volatility of the price.
5) at the last but not the least is the entry signal in the other direction.
6) I'm working on a speed of the tape one. Since I'm working with range bar I can see the number of bar per minute. But now it's more a discretionary exit rule. It is more like: shit it moves fast I miss my exit...lol

I'm working on other one it is a never ending process but on the other hand I've never changed the entry one and it is a very basic one based on price patterns and MA.

In each cases I have developed an indicator or a reading that appears on the chart because I want to avoid as much as possible any discretionary (emotion) decision. The only discretionary rule is taken at the beginning of the work session based on the ATR of the previous as I show in the previous post. At that time I determine what rules will apply for down or up trend.

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  #48 (permalink)
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Okina View Post
I frankly consider buying the monthly subscription for this set of indicators (it works on CQG IC, Bloomberg and Thonson One and TradeStation but I'm not sure for this one).

It only speaks of price action only

I haven't read the Jason Perl book and am certainly not trying to debate it with you, but the wording there confuses me a little: I think of "price action only" as implying "no indicators"?


Okina View Post
no inappropriate maths but only quantitative rules

How are you distinguishing between "mathematical" and "quantitative"?

Aren't most indicators purely quantitative?

(I take your point about Elliott wave completely - that's totally interpretative and subjective, of course; but that's surely a "chart pattern", rather than an "indicator"?).

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Tymbeline View Post
I haven't read the Jason Perl book and am certainly not trying to debate it with you, but the wording there confuses me a little: I think of "price action only" as implying "no indicators"?



How are you distinguishing between "mathematical" and "quantitative"?

Aren't most indicators purely quantitative?

(I take your point about Elliott wave completely - that's totally interpretative and subjective, of course; but that's surely a "chart pattern", rather than an "indicator"?).

Maybe I have used inappropriate words : By price patterns only I mean that DeMarks work is only based on price patterns that can predict a trend reversal. In his books you can find some indicators but he mostly use them as confirmation of his price patterns and for market timing to enter in a trade after a price pattern.

By no esoteric math I just mean that : In DeMark works you will find a strong compulsion for Fibonacci number which is esoteric in my mind but on the other hand when he design an indicator (and as I say there are few) it is based not on a let try to find a new derivative of price attitude like many others. For example I have read many article where people used trigonometric function, or Hilbert Transformation or Fourier Transformation etc... but why, there is no other justification in their work other than price is a signal (which is true but it is not a wave) so I will used signal system derivative to analyse it. It was the case, considering all our knowledge in signal analysis we will have derived for a long time the perfect market indicator (and by the way there will be no more market...). So when I use an indicator the justification must be for me the following (and it is purely empirical): I have notice that this specific price patterns seems to occur in this specific market situation is there a way to put that in a signal given by an indicator since it is more comfortable to read ? This is what I mean by no "esoteric math".

Also my personal warning (also express by DeMark) is about what we can call a derivative of a price (it is the definition of any indicator). Derivative can give you a general view but can hide the truth. I will take a trivial example: I my country young men drive very fast and most of them have Honda Civic. Let say you dont know anything about car and you dive on my road. You will see 10 Honda at 180km/h and you will see 10 Porsche at 120km (because their owner are often more mature and comply with the law). You conclusion will be that Honda Civic are much more powerful and fast car than any Porsche or Ferrari. Why you conclusion is false: because you have look at 'derivative of car' in the sense you only have analyse how different people used them but you forger to really have a look at the car. It a trivial example but I think it illustrates the purpose.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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I haven't read the Jason Perl book and am certainly not trying to debate it with you, but the wording there confuses me a little: I think of "price action only" as implying "no indicators"?



How are you distinguishing between "mathematical" and "quantitative"?

Aren't most indicators purely quantitative?

(I take your point about Elliott wave completely - that's totally interpretative and subjective, of course; but that's surely a "chart pattern", rather than an "indicator"?).

you are perfectly true about Eliot waves. And it rings a bell inside me. Early in my career I had a boss that was a fan of Eliot waves and he made me read almost everything about them.

In the university I had very brilliant professors that had consistently repeat to me EMH EMH EMH (I made dream about it lol). So when I first see Eliot wave I though it is voodoo crap (and I still think that). But on the other hand let say you have a price pattern that say when you have x close meeting this condition and y high or low meeting this other condition you will have a drop in price. This is an "indicator" based on price patterns. This is no more voodoo this is testable. You may think it does not exist but some patterns statistically violate the EMH. Why every one is not a billionaire using them. Because they are infrequent, they are risky, and they need vast capital to exploit them (. If you are interested I can give you reference of university studies papers that have clearly demonstrated that the EMH even in is weak form is not valid when you test this patterns. But since finance is a "human science" and not a hard one and since the establishment protect their only interest, they are not wildly discussed. It is not a conspiration it is just human nature. If EMH was true there will be no hedge fund on the planet, and no traders. We live in a kind of schizophrenic word : we are trained in the university to think that the work we are doing or we are about to do is not even possible. Funny ? But on the other hand people (who also have been at the university) pay us to do it...

You will find attached an example. I'm not promoting anything but just the general idea that EMH is a vast intellectual error made by brilliant people (the one that have managed LTCM for example).

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
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montreal quebec/canada
 
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I've not updated this journal for a very long period of time. (And in fact this is not a journal but a bit of everything: system, personal thoughts etc...). But this does not mean that I have stop working. It is in fact quit the opposite. But the biggest work had been on myself.

I've work everyday during the last 5 month in order to design a trading system and I've succeeded in designing something that works beyond my expectations but until today I've traded it poorly. By poorly I mean making small gains everyday but missing all the potential all the time.

I've realized that even if I used (I use the past) to consider myself as experienced in trading in fact I was not. Most of my carrier I've been a market maker, taking small calculated risk for a small period of time with the money of my employer... That is has nothing to do with taking directional trades with my own limited financial means.

Of course the system I have designed is also a short term and very conservative one (doing the opposite based on my psychology would have been stupid) but on top of that I've put my ex MM psychology and habits which as lead to very depressing results compare to the raw potential of the system.

After many and many hours (days) of speeches with my best shrink (myself) I have finally be able to get rid of those habits

At the end I trade now only CL and I will start soon a new and real trading journal in the commodities section of this forum. I expect to start it by the beginning of March.

Cheers.
Okina Tora.

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