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Watching Paint Dry (Bonds and Ninjascript video journal)
Today I worked on NOB spread and cumulative delta indicators. I'll be doing some studies to make sure I understand how to use them correctly. Hopefully this should lead me to some trades that will compliment what I see in the DOM. I'll post the indicators once I am confident there's no serious issues with them.
I also had a TST coaching call with Danny Hodgman today. He pointed out that my average profit is still twice my average loss, and we discussed some ways to help avoid those bad loss days. Part of that is avoiding the first little bit of trading until a trend is firmly established, and staying out if it's just a choppy day. He challenged me to pick a time during the session after the first bit of trading to make a trade on the market direction. At the end of the session I'll analyze the profit/risk I would make on that one trade if I had stayed in the entire time.
Shows the difference between two instruments. Particularly useful for treasury spreads like FYT, FOB, NOB, etc. You must specify the front and back leg and the ratios. The CME lists current ratios here: http://www.cmegroup.com/trading/interest-rat …
Watching cumulative delta we some some selling in ZN and buying in ZB. I thought this meant we would go higher, but it looks like afterwards we faded down 8 ticks. I'm going to spend more time trying to find these differences between the maturities, and try to predict direction based on these changes.
On range I felt like the opening was slow and we wouldn't see much movement. The opening range was only 8 ticks. However I did think long was the best course of action. I could have made 5 ticks and would have risked 5 ticks.
Today I did a little bit of cleanup in my workspace, and some work on a video for using github to manage your ninjascripts. I also tried stacking various indicators on my spread like Bollinger Bands. This seems to show me some areas that you should avoid trading, but I'll need to do a strategy analysis later.
first 30 minutes of trading: 4 tick range.
first 60 minutes of trading: 6 tick range.
For my directional trade I chose long and was wrong. Could have made 3 ticks on it (not enough to get filled on the 4th tick), but could have lost up to 8.
Looks like we may continue further. I think in this case the trend was really clear after it failed at 153'20. So I'm thinking I didn't have enough information when I made my choice, and I need to wait a tad longer.
Today I decided to go long at 153'25 for my long trade. I could have made 3 ticks, but I could have 5-10 depending on when you put the time cutoff. Lots of range bound days here. These are days that traditionally have given me trouble so I'm not surprised my directional trade is off. However, I'm getting a lot better at seeing them early. We're in rollover, and there's just not a lot of news. The opening ranges are small. Days to just sit out.
Today when I came in I immediately wanted to buy 06. Not sure what it is about this particular setup that felt so confident, but when I feel like this we often get a trend day and it came through.
If I had taken 06 I could have made up to 18 ticks with at most a 5 tick pullback on me.
However around the time that I usually make my directional call we were during that 5 tick pullback. Forced to make a call there I was kinda feeling short. Makes me think maybe the time I've been looking at has a tendency to be counter-trend.
I also had some good luck with my 1 tick setups. Basically signals based on prices that trade back and forth a lot, or prices that don't trade at all. Not enough data yet but some of them are 80% winners so maybe I'm a believer. They still need work though as I've already identified some spots where you'll get the signal but it's just a super bad idea to take.
Today for a directional trade I went short at 153'11 based largely on a big sell order that nobody wanted to trade against. I could have made up to 9 ticks, although if I had held through to my stopping time I would have just been flat. I also started testing some of the more successful trade setups I had been tracking on spreadsheet. I went 5/6 today so pretty happy about that. Looking at possibly recording soon.
Today we went long after the news at 154'01. My logic being that 154 was a significant point of control in the last contract, the news was really bad, and while the liquidity was still pulled after the release there was abortion at 154'01.
Could have made 27 ticks, but let's just say that we waited for that point of control to develop at 154'21. Biggest move we had against us was 12 ticks.
Today I went long at 154'10. I could have caught 8 ticks off it with not more than 3 ticks against me. I also tried placing my trade and a few 1 tick scalps on my defunct combine account. I may start recording again soon.
We've definitely entered into the summer months. Today's movement was almost entirely market making. This made me a little more confident to pick that 154'10 for a reversal. There's not much news this week. Things could get very slow.
