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FM's Trade Log

  #271 (permalink)
 
FlyingMonkey's Avatar
 FlyingMonkey 
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Sunday 01 Oct 2017
==================

Thanks guys for your constructive comments on the summary data. Really appreciate it, and I will definitely be using some of that feedback in forming my go-forward strategy. More on that in Part 3. For now, see below, and please provide feedback if you have any...

As promised, here is some additional data. When I came back from my summer trips, I initiated some new metrics tracked for every trade. Inspired by Grimes, I started categorizing my entries. I also started categorizing the type of market action for the day, and tracking in a simplistic way how price moves after I exit the trade. This only represents a sample set of 37 trades, but still want to look at the data and see what there is to see. Here we go.

Below shows that Anti setups are working best. Pullback trades are not. Possible conclusions: Stop taking trend-continuation setups, especially pullbacks? Or figure out what's going on here and improve your selection process for pullback entries.




Below is the same PnL, broken out by "market action type". I am doing well on days were price is moving impulsively. I'm not doing well in ranging or diagonal price action. This confirms the general sentiment that chop is hard, or impossible to trade. Possible conclusions: If the market isn't moving Impulsively, do something else. Or, try to figure out a mode of trading that works in Diagonal / Ranging markets. For the record, my wife thinks I should do the former. My idiot internal ego thinks I should do the latter.




Another angle on the same data. This time I collapsed the setups into categories. Trend-continuation / Countertrend / Trend Reversal. Interesting to note: Those pull-back (Trend Continuation) trades aren't all bad. They seem to work on impulsive days. And on Range days, Trend-Reversal is working. Possible Conclusion: Maybe if I eliminate Trend-Continuation trades on Diagonal / Range days, there is some potential there?




This is an interesting one. Time of day: Before the pit open (6AM) is not profitable. Bizarre: Evenly split by count, but my long trades suck, and my short trades are good. Weird. Not drawing any conclusions from that yet. Need to keep an eye on it.




This is also interesting. Price action after I exit. The main takeaway below is that I am cutting my Trend-Continuation trades too early. The WINNERS stood to gain an additional 10 ticks more times than not.



There are a plenty of other angles to look at this data, and a few additional metrics I track that I didn't cover here, but I think these are the most interesting takeaways from this limited sample set. I think starting to capture this data was a good decision - it appears to be yielding some actionable information.

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  #272 (permalink)
 
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 bobarian 
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great stuff FM...on the PBs,i have seen you draw your channels.One thing i always thought about pbs for me, is that the 1st pb after the climax(capitulation with big volume) is the best.When I see those big vol spikes, many times ,with a doji or hammer,that could be a temporary top or bottom.So, the 1st pb is best,2nd is ok, 3rd is a maybe,etc.I think this goes for all time frames.A trader once told me his trading went to a whole new level when he started trading pbs.Lets face it, nailing tops and bottoms isnt easy.....Also, a big thing for me is trying to understand what type of day is developing.IMO, the overnight is extremely useful.But, just because the overnight trends doesnt mean the rth will.So,I look for areas of confluence to be careful at.The more stuff that is grouped together, the more traders are reacting.Lastly, if youre seeing a stat that is jumping out at you , definately use that.Just think, if you took zero pre market trades,not only would you lose a large negative, your p@l would be sweeter, and you can sleep later!

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  #273 (permalink)
 
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 FlyingMonkey 
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Monday 02 Oct 2017
==================

I will be taking at least a few days, maybe a few weeks, off from live trading. Going to work on some different ideas and I want to be able to freely experiment, so going to use sim to test out some ideas. Will not be posting much here until I have some structure in place.

As outlined in previous posts, the basic problem is I need to increase my expectancy. I need a higher win rate, or larger targets, or both. As @jackbravo pointed out, one way to open up larger wins is by using a runner. One thing I will be experimenting with is scaling in and/or scaling out. And as @bobarian pointed out, one way of improving my win rate is to be more strategic and selective with my entry types (timing, location). In the prior post I outlined some stats which have given me some ideas to experiment with in tuning selection and sizing of my trades. For example, using the "type of day" as @bobarian suggested, and making a little decision matrix that comes off of that as a starting point.

I am hesitant to change too much at once, but I will also be looking at different chart types, and longer hold times to try to get more meaty moves. Just going to use this break as a time to experiment with a less risk-averse mode. Maybe meet somewhere in the middle between some pure scalp and some bias-driven trades.

Last but not least, as @muttoez pointed out, my swing trading should benefit from more structure. I started out with swing trading as an experiment - and it has proven successful. So now it's time to stop messing around and approach it with the same rigour as I approach day trading. So I will be working on fleshing out my plan, my tracking spreadsheet, and establishing a rhythm and format for posting updates here on that front.

To cap off this I want to put up a little flash back all the way to May 14th 2017. Now, a stopped clock is right twice a day, and all that... but as we broke 2520 today, the point is not that I was right. Actually just after I posted it there was a huge shakeout. The real gutsy traders were the ones who bought that dip. But the point is how much money there was to be made by simply believing that the idea had a chance. If I had really committed to my idea... the potential to do better is something I can't ignore. Here it was:


FlyingMonkey View Post
Notice the parallel between AUG - DEC and MAR - MAY. Last year's pattern took longer to play out, and had a 200 handle reach. The current pattern is about 60% the size so maybe it has about 120 handles in it. Am I calling 2520 from here? Maybe I am.


This is something I'll be pondering as I put some structure around the capital I have allocated for swing trading and also for longer term investments.

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  #274 (permalink)
 
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 GruttePier 
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Good luck and looking forward to seeing what you come up with!

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  #275 (permalink)
 
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 FlyingMonkey 
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Sunday 10 Dec 2017
==================

I've returned from my walkabout and owe the journal a brief recap before going onto the next thing.

I went down a few rabbitholes on daytrading. I started mining CL data for edges, and I found some statistical bits and bobs that I thought were interesting. However I had to cut off my research because it would have never ended. Every tree on the branch goes off to another branch and I was losing my way back. I put a wrap on that effort. I traded in Sim a little bit, using some of the data I gathered to augment my morning bias. It ended up just confusing me. I did not stick to a rigid process, deliberately trying different things to see where I settled. I got impatient with trading in Sim, and went off half-cocked into live trading, and quickly went on a little streak of less than 10% wins and a few straight days of max-daily-losses. I cut the cord and went back to the drawing board.

One takeaway for me was that exploring data-based edges is an endless path that requires a strong understanding of statistics to help reduce dead ends and waste of time. In the end, the approach I took yielded data that generally re-affirmed tendencies I was already intuitively aware of and could not apply practically in any significant way. The other thing is how to use the data so that it doesn't preclude you from acting on your market read. If you believe one market feature is telling you there is a 60% chance that the market will break yesterday's high today, there may be another market feature telling you there is a 60% chance that the market will break yesterday's low. And your market read may be telling you something totally different.

When I decided to start back with Live trading it was pure impatience. Having a clear approach that remains consistent every day is critical for me. I need to take more time to re-groove myself before going back to trading with full size contracts. I'm currently re-setting myself using the M6E which is really good so far. I may end up switching to 6E later. It ticks a lot of the boxes for me in terms of liquidity and activity during the hours I am available, and it has M6E as a fallback for practicing live trading at a lot lower risk.

In the meantime I have completed an initial framework for my Swing trading. While I post my M6E trades over in the December group journal, I'll start posting my swing trading logs here every weekend. Here's a basic intro.

I'm following 8 markets. I've chosen these markets because either: they have liquid Micro futures contracts that I have access to and that allow me to swing trade them within my risk profile, or they have liquid leveraged ETFs that allow me to swing trade them within my risk profile. The also provide a decent swath of 4 categories of not-highly correlated assets. I intend to post my analysis using these reference charts for the markets:

NQ
YM
ES
CL
GC
6E
6B
TLT - the only market for which there is no suitable futures chart to use as reference: Twenty Yr Notes. For this I will use the 1x ETF, TLT, as my reference chart.

I intend to follow up with my first weekly prep later today.

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  #276 (permalink)
 
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 bobarian 
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Good stuff FM.I remember when you posted that you were taking a live trading break,to do some research.At that time, on cl ,were you consistently green each week?I remember you had some success.The reason I ask, is because if you are eeking out green each week, that is huge,imo.It is something to build on.And, it would be very easy to change things, and not get anywhere.Its so easy to lose in trading.Imo, if you have something to build a foundation on, stay with that ,and just be patient and watch every day/month/year.Its boring,yes, as long as its green.Also, I think each instrument has its own habits and quirks, and we need to be very aware of these.I found that watching too many makets distracted me.Unless, you are looking for a specific setup.Just my 2 cents
Bob

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  #277 (permalink)
 
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 JMP3 
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FlyingMonkey View Post
Sunday 10 Dec 2017
==================

I've returned from my walkabout and owe the journal a brief recap before going onto the next thing.

I went down a few rabbitholes on daytrading. I started mining CL data for edges, and I found some statistical bits and bobs that I thought were interesting. However I had to cut off my research because it would have never ended. Every tree on the branch goes off to another branch and I was losing my way back. I put a wrap on that effort. I traded in Sim a little bit, using some of the data I gathered to augment my morning bias. It ended up just confusing me. I did not stick to a rigid process, deliberately trying different things to see where I settled. I got impatient with trading in Sim, and went off half-cocked into live trading, and quickly went on a little streak of less than 10% wins and a few straight days of max-daily-losses. I cut the cord and went back to the drawing board.

One takeaway for me was that exploring data-based edges is an endless path that requires a strong understanding of statistics to help reduce dead ends and waste of time. In the end, the approach I took yielded data that generally re-affirmed tendencies I was already intuitively aware of and could not apply practically in any significant way. The other thing is how to use the data so that it doesn't preclude you from acting on your market read. If you believe one market feature is telling you there is a 60% chance that the market will break yesterday's high today, there may be another market feature telling you there is a 60% chance that the market will break yesterday's low. And your market read may be telling you something totally different.

When I decided to start back with Live trading it was pure impatience. Having a clear approach that remains consistent every day is critical for me. I need to take more time to re-groove myself before going back to trading with full size contracts. I'm currently re-setting myself using the M6E which is really good so far. I may end up switching to 6E later. It ticks a lot of the boxes for me in terms of liquidity and activity during the hours I am available, and it has M6E as a fallback for practicing live trading at a lot lower risk.

In the meantime I have completed an initial framework for my Swing trading. While I post my M6E trades over in the December group journal, I'll start posting my swing trading logs here every weekend. Here's a basic intro.

I'm following 8 markets. I've chosen these markets because either: they have liquid Micro futures contracts that I have access to and that allow me to swing trade them within my risk profile, or they have liquid leveraged ETFs that allow me to swing trade them within my risk profile. The also provide a decent swath of 4 categories of not-highly correlated assets. I intend to post my analysis using these reference charts for the markets:

NQ
YM
ES
CL
GC
6E
6B
TLT - the only market for which there is no suitable futures chart to use as reference: Twenty Yr Notes. For this I will use the 1x ETF, TLT, as my reference chart.

I intend to follow up with my first weekly prep later today.

Nice recap Flying Monkey. I usually stick to the YM during the year but I'm enjoying the M6E for now. I have 3 monitors which contain the ES, YM, NQ. My entry signals on the YM are derived from all 3 instruments when they are in sync. This gives me a perspective on market direction for my short term bias.

Just for the record I trade for fun on a real live account. Some people like video games, trading is my video game, looking forward to 2018... JP

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  #278 (permalink)
 
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 FlyingMonkey 
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bobarian View Post
Good stuff FM.I remember when you posted that you were taking a live trading break,to do some research.At that time, on cl ,were you consistently green each week?I remember you had some success.The reason I ask, is because if you are eeking out green each week, that is huge,imo.It is something to build on.And, it would be very easy to change things, and not get anywhere.Its so easy to lose in trading.Imo, if you have something to build a foundation on, stay with that ,and just be patient and watch every day/month/year.Its boring,yes, as long as its green.Also, I think each instrument has its own habits and quirks, and we need to be very aware of these.I found that watching too many makets distracted me.Unless, you are looking for a specific setup.Just my 2 cents
Bob

Thank you, Bob. Yes, I was a little on the fence whether to continue what I was doing with only minimal tweaks vs. a more substantial change. If you look back to my September 30 post you can see my 6 month equity curve including commissions. Basically I was break even and not entirely consistent week after week. My final conclusion was that if I didn't improve the size of my winnings relative to my commissions I was going to continue spinning my wheels.

What may not be clear from the charts I've been posting on the M6E thread, since I haven't really done a "mission statement" kind of a post, is that although I've done away with my old Volume bars and Volume data entirely, I really haven't completely demolished my old method. What I've done is strip away everything that was excess to the basic things that I felt were my strength during that 6 month period. I still look at multiple timeframes of price action relative to key levels and examine the patterns of higher highs and higher lows / vis-versa. And I have simplified my setups that I track in my journal trade by trade down to the key categories that were meaningful in my 6-month review. Namely: Does the market have a prevailing driver (bulls or bears) right now, and if so is my trade With it or Against it? Is my setup timeframe a Fade, a Pullback-with-trend, a reversal-pullback (anti), or a breakdown/breakout? Is my entry location anticipatory or reactionary? All of these criteria were incorporated into my method over that 6 month run, and I continue to use them.

So it's not a full disintegration. It's more of a distillation.

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  #279 (permalink)
 
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 bobarian 
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"Basically I was break even and not entirely consistent week after week. My final conclusion was that if I didn't improve the size of my winnings relative to my commissions I was going to continue spinning my wheels." Oh yes, i remember.Perhaps its something small that needs to be tweaked.Being break even after 6 months on cl,imo,is a good start! As with everything else in life, sometimes its the small things that make a difference....or don't.You could be 95% there .And a small adjustment could get you there.If we break it down , simply, we have to make more$than we lose...easy math.Risk vs reward ...I love this,weve all heard the standard desires 2:1...even 3:1.As simple as it sound, live its not.So, maybe execute trades that allow for a determined risk.Just pass if risk is too much.Always have a protective stop.I read about people who trade well for a month, a give it back in a day...tilting.This probably doesnt apply to you, but it definately happens.I struggle with the cl still.I have just come to terms with trying to find edges.This isnt easy , atleast for me, but i would rather do that than trade in the middle!

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  #280 (permalink)
 
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 FlyingMonkey 
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The purpose of my weekly market review is to:
1. Review open / closed trades from the prior week.
2. Review markets with no open positions to determine what prices are interesting to me in the coming week.

I look at a variety of timeframes, primarily weekly / daily / 4-hour. I'll try to pick one chart for each instrument that I feel shows the current scenario the best. I will note the levels I'm interested in, which means I'll be setting alerts to watch the market and notify me if the market reaches that area. If it does, I'll evaluate the action more closely and may or may not take a position.

NQ H4:



NQ was hit harder than the other indexes at the end of November, but it has responded nicely to support at 6260. At this point in the ongoing bull market I don't have much appetite for shorting the indexes. I'll be setting an alert if the market gets to the vacinity of this 6300 area to see about a possble Long.

YM Daily:



YM Daily:



YM is crazy hot, but I'll sit on the sidelines for now. I'm smacking myself for thinking it looks like it could set up short soon. I'll wait for the 23900 area to consider stepping in on the long side.

ES Daily:



Similar to YM. Again, only looking at the long side here until we show some serious topping. I might be tempted to take a long in the 2630 area if price gets there and it looks strong. Also interesting is the 2610 area.

CL Daily:



CL in a solid uptrend since June but getting to the challenging 60 area and subsequent 52W highs if it breaks. I'm not super enticed by the short side here but I'd take a stab around 58 if it looked like it was deflecting. More interesting is a long entry if it dips to 56.25 area.

GC Weekly:



Zooming way out here on GC to the multi-year weekly view. With 1266 broken last week, this market doesn't look so hot. Definitely interested in the short side on a retrace back to 1260+ area. Potential for a long around 1230.

6E Daily:



After a nice run up this year, Euro has been having some trouble with this 1.20 area. These levels go way back. The short side looks very interesting around 1870. Potential long interest around 1600.

6B Weekly:



What a pretty breakout it would be if 6B could pop 3600 and hold it. I'm interested in the long side if it gets there, and on a pullback to 3320.

TLT Weekly (20 yr Notes)




On TLT I'm interested in the short side on a failed test of 128 even. Possible long interest around 124.

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