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Profitpilgrim's Blend of CT Scalps & Trend Trailing (free ATMs)


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Profitpilgrim's Blend of CT Scalps & Trend Trailing (free ATMs)

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 profitpilgrim   is a Vendor
 
Posts: 51 since Mar 2015
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If you haven't downloaded the last necessary ATM stop template below or the other 11 ATM strategy templates and stop templates posted HERE on my FIO Journal Challenge entry do so now and place the four ATM strategies (ES Trend, ES CTrend, NQ Trend, NQ CTrend) in your Documents\NinjaTrader 8\templates\AtmStrategy folder. Then place all 12 remaining stop strategies in your Documents\NinjaTrader 8\templates\StopStrategy folder. You may need to restart Ninjatrader to see them. Once installed you'll only be choosing 1 of the ATM strategies, which already have their 3 respective stop levels attached to each strategy.

I'll be using these ATM strategies to trade off of proprietary support and resistance levels I identify on all 3 major indices futures (ES, NQ, and YM). When S/R levels occur simultaneously across 2 or 3 futures the signal is stronger and faster. I've learned that when countertrend scalping its advisable to take instant action the second levels are hit, which improves the odds that one can catch 3 to 5 ticks of reversion. If the 5 minute zig zag with a deviation value of 1.5 on the ES is making higher highs and lows then at S/R levels I use the ES Trend ATM to go long and the ES CTrend to go short (and vica versa when the trend is down.)

I'll be posting daily and cumulative P&L with occasional screen shots of performance metrics and commentary on my successes and failures, expectations and discoveries and self-psychoanalysis.

(Don't forget to include the 1 last template below, which joins the 15 on my Journal Challenge thread contest entry for 2017. All told there are 4 ATM strategies and 12 stop strategies, comprising 3 stop strategies per ATM strategy.

Prosper with discipline and calm cheer!
(Thanks for the Thanks)

Attached Files
Elite Membership required to download: 10 NQ CTrend 3rd Stop.xml
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  #3 (permalink)
 profitpilgrim   is a Vendor
 
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Because the volatility on entry is not as wild as shortly after the open I look carefully for setups during the pre-market hour, with special attention to S/R (support/resistance) levels that price may tag shortly after 8:30 ET economic announcements. Overnight highs and lows are among the fresh S/R levels to watch, not just after the open but the hour before. This morning I went long using ATM strategy 5 ES Trend at 2292.50 at 8:36:43 ET. That enters 5 contracts taking profit on 1 at 3 ticks, on 3 at 5 ticks, and trails the last contract. The 1lot was stopped, the 3 lot hit target, the trailer awaits the open. The campaign is profitable regardless.

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2-8-17 Net P/L = ($2507.82)
Cum P/L = ($287.56)

Today offered a promising though sobering revelation. I went from $922 net profit by 10:45 ET to $2507.82 net loss by EOD closing. So why "promising?"

1) The relentless climb from 2292.25 with scarcely a 2 point pullback until late in the day provided a rigorous environment to test the Blend of CT scalps & Trend Trailing engineered into the uploaded ATM's, designed to survive such a day.

2) Discretionary intervention to "improve my trades" resulted in closing out 5 long 1 lot trailers from 5 different trades that would have been far more profitable had my "cognitive bias" not told me it would be better to take the profits than let them ride, though by 10 a.m. backtested "statistical bias" indicated a 58% chance the market would close above 95.75 and that EOD would probably close above 2303.25 (actual close was 2304).

The result of the apparent reality distortion from my "cognitive bias" was that I forfeited sizeable EOD profit from prematurely closed trailers that if left alone would have profited 36.75 total more points in ES and 1 more point in NQ a total lost profit of $1857.50, taking my account from a 4 day profit of $2220 to a 1 day loss of $2507.82, now $287 below initial account value. Post session analysis revealed that $1857.50 of profit had been forfeited by my discretionary intervention, taking small profits or losses on the trailing 1 lots from the shared ATM strategies, though all the way to the close none of them would have been stopped out by their initial 5 tick stops had a waited.

A scrutiny of cognitive bias and its treacherous effect


I've been told by a very successful hedge fund trader that if you roll dice 30 times looking for sevens, with no money at stake, you will still have a negatively charged emotional response by the 30th roll. In other words, wanting to have something happen that doesn't happen, induces a negative emotional load. Imagine how much more true that is in a live trading environment. But it's not just true of negative emotional response to prices fluctuating against you and back several times. Conversely a streak of wins like I had today when I was up over $800 creates a positive emotional load that can be misconstrued as being "in the zone," or being intuitively correct, that is being confident in your "cognitive bias" regarding price expectations when statistics do not agree.

While I had access to bullish real time statistics that emerged as early as 10 am today as mentioned above, that "statistical bias" failed to prevent my cognitive bias from thinking to improve on the ATM trailing stops by taking early profits (or even an unnecessary loss in one case).

Like Shakespeare's "To be or not to be, that is the question," I ask "To believe one's cognitive bias or not to believe it, that is the question." Could it be that in addition to our natural reaction to price fluctuation, the highly refined bankster algos' intend such psychological manipulations by purposely pushing price back and forth, provoking the all but inescapable emotional loads that build up from constant price fluctuations, causing us to become more averse to risk in a way that causes us to depart from our trading plan, to tighten our profit targets and widen our stops, thus insuring smaller profits, larger losses and a trade profile skewed toward losing?

Take Away
While it did not break the TopStepTrader daily drawdown limit of $3000, by my placing over confidence in my cognitive bias, given my $922 net profit an hour and 15 minutes after the open, I allowed too much discretionary judgment to muddle my ATM strategies trade management. I'll be gone most of tomorrow but Monday I will purposely disregard my cognitive bias of where "it feels" like the market is going to go, and see how well my ATM's perform without discretionary trade management intervention at all. For now, discretion will only determine when to enter and what ATM to use. In the future perhaps rules for intervention can be established that can temper cognitive bias.

One other strong cognitive bias from scalping is expecting reversions as usual on days when larger timeframe players are so strongly influencing the market that it pays small regard to conventional scalping support and resistance levels. An awareness of when larger time frame traders are active can save a scalper's hide on a trending day like today. Both my hide and pride were duly wounded today but "the wounds of a friend are faithful" so I'll regard todays hard lesson as a promising revelation that gives me less confidence in my intuitions and more in my statistical observations.

Prosper with discipline and calm cheer!
(Thanks for your thanks)

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  #5 (permalink)
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In my last post I generally contrasted "cognitive bias" with known "statistical bias" and how they compete in discretionary trading decisions. I traced cognitive bias to positive and negative emotional loads from a streak of wins and price fluctuation respectively, both of which compromise trading. I'm aware of three other judgment compromising impulses.

1) My trading has suffered from another source of "cognitive bias" associated with intuitively viewing price action as if markets were vertically mounted, as on a wall mounted chart, rather than lying on a flat surface where gravity favors neither directions, both being equally affected by mild tipping of the surface either way. I've wondered whether my mind is subtly transferring properties of gravity to market price action.

2) I having a strong aversion to closing the day at a loss. If profits are strong for the day, I must purposefully intend to overcome becoming over-confident and careless, or I'll enter prematurely or at lower probability inflections. If down considerably for the day I have strong impulses to recover it, and must consciously resist impulses to become very aggressive, entering trades more frequently and holding them beyond normal scalping targets in order to regain losses and end the day positive.

3) I am aware I have long had mental pleasure centers associated with shorting the market more than when going long. When considering whether to go long or short, I remind myself not to emotionally favor the short direction.


Decisive decision


Tomorrow, to guard against cognitive biases, known aversions and impulses, in addition to not discretionarily managing the shared ATM's after entry (as mentioned in my last post,) I'll also take this precaution. If I take three losses in a row I will preempt impulses to "revenge trade" or reach for larger profit targets in order to recover when the account is drawn down. Specifically, I'll set a 5 minute timeout from entering any new trades, get up and walk away from my computer to allow any perceptive faculties and subtle emotional loads to neutralize, while reminding myself consciously that net P & L has no worthy relationship to EOD results, entry standards should remain constant and disciplined, and that I should view the market as if on a tipping table, not on a wall subject to gravity.

Prosper with discipline and calm cheer.
(Thanks for the thanks)

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  #6 (permalink)
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2-13-17 Net P/L = $1066.77
Cum P/L = 150,779.21
Max drawdown ($363.26)
Sharpe ratio 4.73
Ulcer index 0.00
9 trades.

Download the new attached 5 lot (not 10) NQ YM ATM's, and the newly modified "ES Trend +" ATM which combines the 1st and second targets at 5 ticks, instead of taking 1 contract off at 3 ticks. See all other ATM's HERE if you haven't downloaded them yet. They do not include these new ATM's.

Unlike last week's sobering trend-day loss where I discretionarily (and usually prematurely) closed all of the trailers, today's similar hard trend, during which I left all trailers alone reveals that the 4 trailers that survived all the way until TopStepTrader exit time at 4:10 (3 longs and 1 short) accounted for $737.50 of the 1066.77 profit!

Today, as previously journaled, the only discretion I exercised was determining entry time and price and selecting the appropriate ATM strategy. The 5 lot ES and the 10 lot NQ YM ATM strategies respectively leave 1 or 2 trailing contract, never wider than the original tight stop of 5 or 10 ticks respectively. If its a with-the-trend ATM rather than a counter trend ATM it allows twice the trailing stop size in order to leave plenty of room to stay in the trend. The ES Trend ATM uses 22 ticks to trail, but only a trailer of 13 for the ES CTrend ATM. NQ and YM use 44 ticks with the trend and 22 for the countertrend ATM.

Attached find the new 5 lot NQ YM ATM's. They replace the original 10 lot which I've concluded is over leveraged except for major strongly expected reversal levels.

Strategem

The strategem of using small, tight scalps to build large swing or trend trades is admittedly unconventional but reasonably based on these assumptions.

1) Using multiple contracts it is assumed the trader is skilled enough at scalping to secure positive scalping profits such that even if the remaining trailing contracts are eventually stopped the total of all 5 contracts in the trade set will still be profitable.

2) Both long and short successful scalps will leave trailers that cancel each other out until the market starts to trend and stops out one all stops in one direction, leaving a net long or short multi-contract position in the direction of the trend without the scalper's needing to chase it or wait for a pullback to get in.

3) Accordingly, the end of a trending day almost all remaining unstopped positions are almost all in the direction of the trend and will have accumulated more profit than if no contracts were left to trail from each winning scalp.

The key to the success of this strategem is the trader's ability to profitably scalp a majority of trades, (seeking 3 and 5 ticks in the ES or 6 and 10 in NQ or YM), so whether the market trends or not the trading day will be profitable. If it trends the trailers catch the trend while shorts get stopped and longs run, or vica versa. It worked beautifully today with 9 trades in the ES and 2 in the NQ, gaining $1066 in profit.

On Close Scrutiny -- A Discovery

I examined all ES trades to see how close to the perfect pivot price my entries occurred and how often prices hit the first target without hitting the second. Curiously in the ES all winners that hit their first target also hit their second target! Only one trade, a net loser, hit the 1st target then was stopped out on the other two. None of the ES winners took a loss on the trailing stop and only one hit its trailing stop before EOD. That suggests that if the ATM is with the trend I should modify it to do away with the 1st target since reaching the 1st target all but assures hitting the second. I've therefore tonight modified the ES Trend ATM by moving the contract(s) from the 1st target of 3 ticks to join those at the 2nd target of 5 ticks. Because the NQ imoves like a squirrel I've left it unchanged.

Here are some telling ES stats in a table showing how close my won and lost trade set entries were to the nearest pivot. For example, the 3 under the 1 tick column means 3 of the wins entered 1 tick from a perfect reversal price.

From Pivot 0 Ticks 1 tick 2 ticks 3 ticks 4 ticks 5 ticks
Won 3 1 1 1
Lost 1 2


I also looked to see how often I was stopped before price reverted to my entry. You'll notice that even my best loss was entered early 3 ticks from the actual pivot price and it went 3 ticks against me immediately. The other 2 losses were worst case, not giving me any ticks but immediately going 5 ticks against me to stop out, raising a worthy question -- "Why on winning trades am I much more right about the ideal pivot price than when I'm wrong, as even my best loser was 3 ticks from the pivot and the other two didn't give me any favorable excursion before being stoped out?" Any ideas? I'm looking for clues that could have warned me not to take the losers, perhaps clues from something other than the price chart.

Another telling observation is that in the ES only 1 one of the losers profitably filled at the 1st target then was stopped before executing the other contracts at the 2nd target. No other losers even gave me the 1st target. That's more reason to extend the 1st target to the second targets price level. That way if its a winner it will gain two more points but if its a loser it won't know the difference since it rarely reaches the 1st target if an eventual loss.

Both of these observations about ES losing scalps indicate that whatever combination of conditions that make my winners so painless do not exist for my losers, all but one of which suffered only adverse excursions on their way to stop out before giving me any favorable ticks.

On my 2 NQ trades today, each gave me partial profit and partial loss. Because they were both countertrend ATM's the stops were tighter than in the NQ Trend ATM's and I netted $128.48.

I realize that 9 trades in ES and 2 trades in NQ are not statistically significant but because the ES makes more orderly excursions than the more thinly trade NQ and YM, I'm going to go ahead and do away with the 1st target in the ES Trend ATM and run the original ES trend as a Shadow trade, eventually comparing them after I get a statistically significant number of instances.

Download the attached, modified "ES Trend +" ATM which combines the 1st and second targets at 5 ticks, instead of taking off 1 at 3 ticks. Also download the less leveraged 5 lot (not 10) NQ YM ATM's

Take Away

Allowing a well designed ATM to manage trades after entry was compellingly successful today. I plan to do the same tomorrow. Perhaps we'll see how they perform in a range market. At best this is a way for scalpers not to get burned when markets trend but still make money when they range. I noticed many times today that my "cognitive bias" begged to interfer with the trade management but I stayed disciplined as planned and reaped a rich reward. We'll see how consistently that proves to be the case. Emotionally it was much more pleasant as it minimized my discretionary attention to making precise entries.

Profit with discipline and calm cheer.
(Thanks for the thanks!)

Attached Thumbnails
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Name:	NQ 03-17 (150 Tick) 2017_02_13.png
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Attached Files
Elite Membership required to download: 5 ES Trend +.xml
Elite Membership required to download: 5 NQ YM Trend.xml
Elite Membership required to download: 5 NQ YM CTrend.xml
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  #7 (permalink)
 profitpilgrim   is a Vendor
 
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The winner's of the topsteptrader $150K contest are determined by the number of readers when enter thanks, but only if that Thanks appears in the journal challenge thread HERE. If you posted a thank or wish to for this thread and your appreciate the advanced ATM's I've uploaded for conservatively scalping your way into a trend please go HERE and re-enter your thanks so it will count for my contest.

If all of you who have already submitted Thanks do that I'll be in the running for the top three journals that win the Combine! I'm also going to start posting pre-open orientations in the morning at about 9:15 ET indicating any biases for the day and price levels I'm watching.

Thanks for posting your voting thanks HERE

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After 3 days of opening gaps up the market is due for a correction. With Fed Chair Yellen is speaking today markets are vulnerable to spikes following quiet price action. I'll be favoring entering short signals but will respect whether theES 5 min zigzag (set to 1.5 point swings) is trending up or down. If we arrive at a major S/R level with a good setup I may use ES trend to give more room for the trailer than ES CTrend provides.

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2-14-17 Net P/L = ($2043.70)
Cum P/L = $48735.51


Today's Preopen bias

Markets are overextended into 4a days of new high all time highs. A 20 to 30 point pullback is likely now that the FOMC news is past. ("Buy the rumor sell the news")

Today was another eye opener upon close technical analysis that reveals why journaling can be so valuable (at which this is my first serious attempt). Before sharing the details of my current discovery, it is worth repeating that when the Fed Chair, Yellen, spoke (for 3 hours today), the possibility she might slip and say something distinctly positive or negative that had not already been factored into the market can causes cautious, thin trading, threatened with spiking news shocks as the listening market hangs on every word. When she finished speaking the market put in its 4th record high day in a row. In the last few several fed days I have been burned by hard rallies that drawdown my scalping reversions as they don't occur in a hard trending market.

As you know if you've been following this journal, in order to avoid emotional reality distortion induced by "cognitive bias" that leads to misguided discretionary intervention, I am studiously refining in Ninjatrader both Trend and Counter Trend (CTTrend) ATM strategies for managing reversionary scalping at intraday support and resistance levels with the intent of continuing to do reversionary scalping while profitably surviving hard trending days, which are the nemesis of reversionary scalpers. You can download my original ATM stratgies for Ninjatrader 8 from my Journal challenge entry page HERE (thank me while you're there!), with further uploaded revisions available in this journal thread. Yesterday was a grand success. Today drove me determinedly back to the drawing board.

On Close Study - Another revelation
I combed through all losing trades today and discovered valuable insights that resulted in modifying my ATM's as follows:

1) All but 3 of 9 losers' initial stops would not have been touched before reverting to the entry price had they been 3 ticks wider. 2 of those 3 exceptions were CTrend ATM strategies. The average Trend ATM was safe with 2 more ticks. I've accordingly modified ES Trend with an initial 7 (not 5) tick stop but if price goes against me 5 ticks or more I'll tighten stops discretionarily as price reverts toward the entry price, depending on momentum. I may also close and reevaluate. The ES CTrend ATM now has an 8 tick stops and if price initially goes 5 ticks against my CTrend trades I'll religiously close the trade at -1 or -2 from entry since 2 of the 3 losers that did not revert to entry reverted to within 1 tick of entry.

2)6 of 9 loses where Shorts, while long were net profitable $697. Shorts lost net $2740. 5 of 6 short losses would have been closed near even with the above adjustments to strategy. That means I would have taken only 20 ticks total loss on the 1 short that hit stops because it also reached target first on 1 contract. Neither of the Long losses would have occurred. So total certain loss would be 20 ticks ($250) with small additional losses taken when price reverted from adverse excursions to be exited or managed with 2 ticks of even.

We'll apply these changes to strategy today which could be summarized as widening initial stops to 7 ticks on Trend ATM's and 8 ticks on CTrend ATM's while tightly managing or exiting reversions to the entry if the trade had an adverse excursion.

Prosper with Disciplined Cheer
(thanks for thanks HERE)

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  #10 (permalink)
 profitpilgrim   is a Vendor
 
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2-14-17 Net P/L = ($3023.02)
Cum P/L = $45712.49

No Preopen comments this morning.


The 14th was another great hard trending market well suited to refine reversionary scalping ATM's intended to survive such days. On top of that Fed Chair Yellen was addressing another congressional committee, the net effect of which was to assure then the Fed's plans had not changed, which give the market confidence to continue its climb.

My revised ATMs, using 8 tick stops on the ES CTrend ATMs and 7 tick on the ES Trend version suffered the greatest loss thus far and would have exceeded the max TopStepTrader drawdown by 23.02. I've accordingly reset my Sim account to $150,000.
[B]
Lingering Psychological Foibles[B]
Today's huge loss following yesterday's hard loss evoked the recurring psychological impulse to become more aggressive in order not to have another large losing today. As a result near the end of the day I took concurrent countertrend setups and was leveraged 3 times more heavily (15 contracts) than my normal 5 contract and suffered accelerated loses. In order to escape my "hate to lose" aggression I'm imposing a limitation that if I am $1000 down I cannot carry anymore than my standard 5 contract position.

I'm seeing that in hard trending markets countertrend scalps of 5 ticks require astute entries, and if the initial adverse excursion is 5 ticks or more its better to exit at Breakeven or breakeven minus one. Market orders can be sloppy. Today I'll use Ask orders on Sell signals and Bid orders on buy signals when my S/R levels are hit and just the opposite when making an early exits.

I considered modifying ATM's to reverse at stop but examination of price action suggests the reversal should not occur until after a small pull back. So as a test today, if stopped out at 8 ticks I'll enter the direction of the stop after a 4 tick pullback from whatever high (or low) was put in after the stop. The exception would be if I were hitting a contradicting S/R level. This will force me to get with the trend without waiting for pull backs to S/R levels that don't occur in hard trending markets.

Take Away
1) Every tick counts when aggressively trading bounces off of S/R levels. market orders are disrecommened.
2) Rules must be invented and obeyed to withstand the power of cognitive biases and fighting impulses that threaten calm disciplined, cheerful action with precision.
3) The profit or loss of a day should not be allowed to influence any single trade unless as in item 2 one has protectively placed oneself under disciplinary limitations

Prosper with Disciplined Cheer!
(post thanks HERE

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Last Updated on February 26, 2017


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