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I was doing my weekend wrap-up (which is a lot of different spreadsheet updating).
I noticed that there are an ERR on the best est selection on Wednesday which can happen if the actual is outside the selection range. I went back and looked at Wednesday and after some searching found an error in the auto Hend, Lend.
I don't know if this would have alerted me to the enormous melt-up in ES or not though it may have. The auto H and L estimates were much closer than what I settled on. I think the key clue was in the very strong mid change score which was +11 (this is a big number it is usually around +/- 4 )
I read an article that RBC thought the explosion to the upside was the unwinding of a large synthetic put, however the cascading of high stop-runs could have alerted me to this if I had of spotted it - which I should have.
The HLestprocess sheet relies on the Hend/Lend and when updated gives
2346.25
2333.75
With the first pt in the 2334-5 area (The best rec price is 2335.50 (and first est is 2335.25) The dir30 is down to 2334.00) then adding the range to this would give a good/much better estimate.
The resistance level was 2341.00 and the auto H was 2342.75 meaning the resistance should be run.
To do ==> make a signal for this condition.
New Guideline:
If a resistance/support level level is challenge by an auto est level - consider that that R/S will be run.
The point of the review above is to find mistakes in assessment that would help me stay on the correct side of the trade.
Journal Summary for trades on NT for the Journal Contest
Start=$25,000 (sim)
Day 1 - 1 Feb - FOMC Wednesday no trading.
Day 2 - 2 Feb - 3 trades all winners + 6.5 pts ============= $312.50 ===========$25,312.50 +2.17pts/trade
Day 3 - 3 Feb - 2 trades …
Strategy, Rules and Abbreviations for this journal:
Today was a partial day for ES and I did not trade it.
Each day I try to list accomplishments for the day. The idea is to encourage and remind oneself that one is indeed making progress.
I don't post these as most of them are not meaningful or useful to others but there was one today that might be of interest - it is the "Pro Gap".
Accomplishments:
Monday 10:47 AM 2/20/2017
1. Created a formula for if pro gap at purple in DD
----------------- The Pro Gap -------------
Quite a while ago I watched a video that spoke about the gap close and the "pro" gap. In the video, he explained that you fade the gap if it is a normal size and if it is very large you do not (fade the gap) but rather go with the gap.
The gap close concept that at some point during the day the gap will close (a certain percentage of the time e.g 66%). In a "pro gap", a very large gap the odds are that the gap will not close during the day.
for an upgap you would sell with the idea of closing your short after the gap closes and
for a downgap you would buy with the idea of closing your long after the gap closes.
You might ask - "Well what is a normal size gap and what is a "pro" gap? The answer will depend upon experience with the instrument you are trading and possibly the conditions around that day.
I hope it helps,
Add-on:
After posting this I say link to filling the gap at the wiki. For futures which trade nearly 24 hours, the o/n gap usually refers to the RTH close yesterday to today's RTH open. (So for ES this is from 16:00 (used to be 15:15CT) to 8:30am the following day.
Journal Summary for trades on NT for the Journal Contest
Start=$25,000 (sim)
Day 1 - 1 Feb - FOMC Wednesday no trading.
Day 2 - 2 Feb - 3 trades all winners + 6.5 pts ============= $312.50 ===========$25,312.50 +2.17pts/trade
Day 3 - 3 Feb - 2 trades …
Strategy, Rules and Abbreviations for this journal:
08:45 AM
February 21, 2017
The estimated to open is 2351.75
We should be going up first
The first point is estimated at 2352.25
We have a DD up signal
The estimated low end is 2346.75
The estimated main direction of the day is flat or unclear
We are expecting cabbage
The open is closer to the support at 3.00 points versus 5.00 points to the resistance
We will open are closer to the Hend
Journal Summary for trades on NT for the Journal Contest
Start=$25,000 (sim)
Day 1 - 1 Feb - FOMC Wednesday no trading.
Day 2 - 2 Feb - 3 trades all winners + 6.5 pts ============= $312.50 ===========$25,312.50 +2.17pts/trade
Day 3 - 3 Feb - 2 trades …
Strategy, Rules and Abbreviations for this journal:
I have been waiting for a day to short (cash trade). I expected today to be down but resolved before the opening not to trade cash yet, but rather wait for a 'dead cert' day.
When a friend came to join me at my table I was ready to put the trading aside. By the time the conversation had finished and I got the balance of my pre opening numbers most of the down move had gone.
One of my rules is to not trade days when the estimated rng <12pts. Today's default rng est was 9.25. Though I expected some range expansion at some point, I was not sure when, that is that it would be today (so far -13.75). To change this bull ramp will need more that one day I a few days ago I decided I wanted to see, at minimum, rth down, o/n down sequence.
Today so far is an outside day (labelled with H:H, L:L basis not C:C). So even if there is an o/n down, it is not yet the required minimum sequence and tomorrow, Friday is a notoriously bad day to trade 'crooks' day - with no clear trend.
All of this is to relax me about missing today as a cash trade.
---------------------------
I did some analysis this morning and the 30min ES chart is attached (temp.png). You will see that we need to go below 2351.75 (on a daily close) at minimum to start a downtrend. Notice also, the bounce of the body off of the 2355. This is normal as the tail is low stop running. This could well mean we have a LOD in place - or that the final LOD will be just below this on a bounce (e.g. 2349.25)
If there is a bounce AND FAILURE at that bounce there COULD be a sim trade to the downside, but as most of the work is done for the day it is a lower probably trade.
Good luck to all!!