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Snax's /ES & /CL Trading Journal
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Snax's /ES & /CL Trading Journal

  #121 (permalink)
Albufeira, Algarve, Portugal
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
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snax View Post
Agreed. I am ok with this loss because I am ahead for the week and I have been wanting to experiment with sort of "checkpointing" (I'm sure there's an actual term for this somewhere) or hitting a goal and then scaling up in such a way that a loss will still keep you profitable over some timeframe.

Our method, though it is probably pretty rudimentary, is to scale according to account size. When we reach a account size threshold, then we add a contract. If we dip below that threshold, we subtract a contract.

I suppose realistically we should be scaling according to a combination of account size and success probability for a given trade, particularly for our swing trades (CL). Be we are not that sophisticated yet.

~vmodus

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  #122 (permalink)
Chicago
 
Trading Experience: Beginner
Favorite Futures: (June 13, 2019): /MESM9 - current expectancy = (9.8025 * 0.7043) - (10.5588 * 0.2957) = 3.7817 ticks
 
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Posts: 362 since Feb 2019
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vmodus View Post
Our method, though it is probably pretty rudimentary, is to scale according to account size. When we reach a account size threshold, then we add a contract. If we dip below that threshold, we subtract a contract.

I suppose realistically we should be scaling according to a combination of account size and success probability for a given trade, particularly for our swing trades (CL). Be we are not that sophisticated yet.

~vmodus

Hey @vmodus! That makes sense! I have a scaling plan based on account size too, where my account-risk % would stay consistent always...that is separate from what I was talking about. The account size scaling would be considered my "base" entry size for all trades I guess, though I am so far from scaling my base to 2 contracts I don't really think about it much right now ha.

so like:
1X account size: 1 contract per trade, but if I do really well I can earn "bonus contracts" on some trades.
2X account size: 2 contracts per trade, same "bonus" rules apply, only scaled to fit the new base.

both of these account sizes are risking the same % for a basic trade, say 1% as an example.

A good increment example to imagine that makes sense to me would be $40K increments like:

Using Maximum Account Risk (in dollars) / (Trade Risk (in ticks) x Tick Value) = Position Size

You could risk a max of 0.025 per trade like so:

40K: 1 contract (100) / (8 * 12.50)
80K: 2 contracts (200) / (8 * 12.50)
120K: 3 contracts (300) / (8 * 12.50)
160K: 4 contracts (400) / (8 * 12.50)
200K: 5 contracts (500) / (8 * 12.50)

all those variables are subject to your plan, obviously i'm using really tight stops in that example and teensy 0.025 risk but that's my world these days ...and I obviously haven't tested this under any sort of realistic conditions, but the math works

Happy Friday!


Last edited by snax; April 12th, 2019 at 06:09 PM. Reason: give better example
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  #123 (permalink)
Chicago
 
Trading Experience: Beginner
Favorite Futures: (June 13, 2019): /MESM9 - current expectancy = (9.8025 * 0.7043) - (10.5588 * 0.2957) = 3.7817 ticks
 
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Posts: 362 since Feb 2019
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Day 42 - April 12, 2019 - cycle-000002


Day 42

TGIF! Bulls and Bears agree on this.

WFH Today so I slept in, missed most of the OC/OB/IB so I can recover from all this work/trading double-full-time job action.

@9:40AM CST - We're up almost 14.00 points already down from high of 2914.75. It is looking like there is good support around 2903.50. I enter a working order to go long at 2904.00 due to price action.

@10:00AM - I am filled on a limit-order to go long @2904.00, I don't hold for long, I adjust my stop to get closed for just 8-ticks.

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good start, up 8-ticks and I have a little bit more time to watch the market today so maybe I will make more trades.

@12:50PM - I am back looking at charts and I have a plan. I have been thinking about a theory of mine, tentatively labeled "TGIF-skew". Its like the opposite of volatility-skew, in which we recognize that markets tend to crash faster than they rally. In "TGIF-skew", a complacent market may tend to rally more often than it crashes due to "TGIF"-factor. I may trade this today. I have a target entry of long @2907.50 for a "TGIF-skew" trade, assuming the price-action makes it attractive.

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In scenario 2, maybe the market recognizes that we've double-bottomed at this level recently and decides to rally early, in which case one could enter long somewhere above 2909.50. I don't know how much resting orders are sitting ~@2911.25 or so though, so that may absorb many bulls' Friday wishes, so I am not as comfortable with a momentum-type trade at that location.

@1:02PM pinbar showing potential good opportunity.

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@1:50PM - Big pullback almost to my target-entry. I enter a working limit-order to go long 2 contracts @2907.50 because I want to test my idea and we are ahead for the week's goal. This may be some "TGIF-FOMO-YOLO"-trading...I hope not, I really think this is a smart trade.

@1:52PM I am filled for 2 contracts @2907.50. I enter my stop at 2905.50 and let the market do its thing.

From 1:52-2:08PM we are in "ZIPPER"-pattern. Finally we breakout, but I am too nervous to hold on after that zipper. We get above 2909.00 and I adjust my stop up to 2908.75 to prevent losing these gains. I get closed out at 2908.75 for a 5-tick gain before the market runs up to do what I'd hoped it would. Oh well, 5-ticks is good.

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A couple minutes later, yikes ok I'm happy I got out:

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But in the end I'm mad I didn't trust my instinct, I missed out on my "TGIF" move and now I have "FOMO" once again

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Summary:
8-ticks * 1 = 100.00
5-ticks * 2 = 125.00

What i liked:
- Good win % this week.
- Just need to practice, practice, practice.
- I am ahead of pace by a little bit, if I hit my bonus next week I can scale up with very little risk if I lose.


What I didn't like:
- Feeling Miserable "burning candle at both ends" but this is my lot in life for now. In order to reach my trading goals I have to grind away, there's really no other way.
- My stats-tracking has been pathetic, its the weekend finally so I can work on that.
- Not seeing any good opportunities to go join an "Other-Timeframe Buyer/Seller" to work in trading full-time and maybe find a mentor. Maybe the universe is saying "Hey Snax, you are clearly Day-Timeframe". That's where I'm at :shrug:


Goals for Monday:
- start using python3/jupyter-notebooks for trading research
- track all the stats!
- read
- actually do all this stuff


expectancy for current cycle
avg win = (20 + 16 + 13 + 8 + 5) / 5 = 12.4000 ticks
avg loss = (8) / 1 = 8.00 ticks
% win = (5 / 6) = 0.8333
% loss = (1 / 6) = 0.1667
current cycle expectancy = (12.4000 * 0.8333) - (8.00 * 0.1667) = 8.9993 ticks


accumulated expectancy
avg win = 11.7857 ticks
avg loss = 8.00 ticks
% win = (28 / 41) = 0.6829
% loss = (13 / 41) = 0.3171
expectancy = (11.7857 * 0.6829) - (8.00 * 0.3171) = 5.5117 ticks


progress towards challenge goal
$3000.00 profit goal.
$800.00 achieved.
$0.00 current drawdown
6 trades of 30 entered.
I need (2200.00/24) = $91.67 per trade to hit my target.
current expectancy for cycle is 8.9993 ticks

Back on track, need another good week starting Monday.

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  #124 (permalink)
Chicago
 
Trading Experience: Beginner
Favorite Futures: (June 13, 2019): /MESM9 - current expectancy = (9.8025 * 0.7043) - (10.5588 * 0.2957) = 3.7817 ticks
 
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Posts: 362 since Feb 2019
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cycle-000000 stats: longs vs shorts

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note: create per-cycle and accumulated stats just like expectancy, come up with list of stuff to track, graph, etc.
- track number of ticks gained on each day of the week, I am noticing I may start strong and then take smaller and smaller profits as week progresses. This is potential lack of "trading endurance" that I need to improve on.


Last edited by snax; April 14th, 2019 at 02:09 PM. Reason: added note
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  #125 (permalink)
Chicago
 
Trading Experience: Beginner
Favorite Futures: (June 13, 2019): /MESM9 - current expectancy = (9.8025 * 0.7043) - (10.5588 * 0.2957) = 3.7817 ticks
 
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Posts: 362 since Feb 2019
Thanks: 808 given, 651 received

Day 43 - April 15, 2019 - cycle-000002

Day 43

@6:55AM CST - Looks like FOMC member Charles Evans will speak this morning at 8:30AM CST - E-mini S&Ps are even. VIX at 12.36. No GAP at all yesterday evening, we just picked up where we left off on Friday. Opening looks like it will probably be OAIR, and we haven't moved with any conviction at all. We are even opening in value area of Friday I think

Volume seems pretty low as well. Hey "Higher-Timeframe Buyer/Seller" a little help please?

I have a couple of plans but we need some movement in order to execute them.

Opening Call was non-existent. Leading up to Opening-Bell now.

@9:00AM - Very narrow 5-point "A"-period. We should have a bracketed market this morning, looking for "B"-period to establish an extreme for the day, we get down to 2906.25 so I have a Limit-Order in to buy at 2905.50, I think there is enough volume below this area to support it, but since I don't have any volume-profile info I am going by my memory of recent market-profile/value-area "knowledge" to see if we can establish a low here and capitalize on whatever movement I can get.

Didn't get the move I was looking for, cancelling.

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Giving it one last chance before I have to go.

Not much to do this morning in the market, will try again tomorrow.

What i liked:
- didn't force anything


What I didn't like:
-


Goals for Tomorrow:
- Get back to doing Probability Theory Homework
- Price-Action/Market-Profile Homework
- Understand some terminology I've been meaning to look up
- #Stats - Track Maximum Favorable Excursion (MFE)(trade mgmt of winning trades) and Maximum Adverse Excursion (MAE)(stop-loss depth/volatility) for all trades
- Delta-Divergence


expectancy for current cycle
avg win = (20 + 16 + 13 + 8 + 5) / 5 = 12.4000 ticks
avg loss = (8) / 1 = 8.00 ticks
% win = (5 / 6) = 0.8333
% loss = (1 / 6) = 0.1667
current cycle expectancy = (12.4000 * 0.8333) - (8.00 * 0.1667) = 8.9993 ticks


accumulated expectancy
avg win = 11.7857 ticks
avg loss = 8.00 ticks
% win = (28 / 41) = 0.6829
% loss = (13 / 41) = 0.3171
expectancy = (11.7857 * 0.6829) - (8.00 * 0.3171) = 5.5117 ticks


progress towards challenge goal
$3000.00 profit goal.
$800.00 achieved.
$0.00 current drawdown
6 trades of 30 entered.
I need (2200.00/24) = $91.67 per trade to hit my target.
current expectancy for cycle is 8.9993 ticks

P.S. Even Goldman-Sachs is cutting compensation due to tougher trading/investing market recently so keep your chin up, you're not doing so bad!


Last edited by snax; April 15th, 2019 at 08:38 PM.
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  #126 (permalink)
Albufeira, Algarve, Portugal
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
vmodus's Avatar
 
Posts: 246 since Feb 2017
Thanks: 399 given, 387 received

Good no-move day for you. It is totally okay to sit on the sideline until you see your setup, and if if doesn't come along, live to trade another day. You should never trade just for trading sake. Keep up the good work!

~vmodus

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  #127 (permalink)
Chicago
 
Trading Experience: Beginner
Favorite Futures: (June 13, 2019): /MESM9 - current expectancy = (9.8025 * 0.7043) - (10.5588 * 0.2957) = 3.7817 ticks
 
snax's Avatar
 
Posts: 362 since Feb 2019
Thanks: 808 given, 651 received

Day 44 - April 16, 2019 - cycle-000002

Day 44

@7:10AM CST - E-mini S&Ps up 10.75, VIX down to 12.06. Some housing market news later today but nothing too major.

Last week I held off from making what would have been a momentum-based trade on Friday afternoon in a listless market. Just shows how different times of the day can have much different behavior. I am so used to trading in the morning that I saw a similar price-action pattern and almost jumped in. I should always be aware of the bigger picture. That was a nice insight to gain without having to pay for it with real money.

@7:41AM - more "wood-chipper pattern". ~2917.00 is an interesting price because if price drops to that level then it may either hang around and eventually rotate back up or drop further and re-test yesterday's high of 2914.50.

Opening-Bell approaching, looking at Open Auction Out of Range opening, I am wondering if there will be some responsive selling first to re-test lower prices before switching gears and driving higher. Otherwise maybe we grind around and chop some more.

@8:35AM limit-order in to buy @2917.75. stop set at 2915.75. I am setting a limit-order target of 2923.75 and now I just let the market do its thing. I may adjust my stop up if it rises above the 2921.75 level.

@8:51AM I am stopped-out at 2915.75 for an 8-tick loss. I could have closed this out for an 8-tick win but I wanted to hold for something better. Too bad.

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What i liked:
-


What I didn't like:
- Had an opportunity to close out with a win, wasn't even close in my read of the market.
- Haven't been keeping up with my trading 'homework' due to fatigue in the evenings.


Goals for Tomorrow:
- Get back to doing Probability Theory Homework
- Price-Action/Market-Profile Homework
- Understand some terminology I've been meaning to look up
- #Stats - Track Maximum Favorable Excursion (MFE)(trade mgmt of winning trades) and Maximum Adverse Excursion (MAE)(stop-loss depth/volatility)
- Delta-Divergence



expectancy for current cycle
avg win = (20 + 16 + 13 + 8 + 5) / 5 = 12.4000 ticks
avg loss = (8 + 8) / 2 = 8.00 ticks
% win = (5 / 7) = 0.7143
% loss = (2 / 7) = 0.2857
current cycle expectancy = (12.4000 * 0.7143) - (8.00 * 0.2857) = 6.5717 ticks


accumulated expectancy
avg win = 11.7857 ticks
avg loss = 8.00 ticks
% win = (28 / 42) = 0.6667
% loss = (14 / 42) = 0.3333
expectancy = (11.7857 * 0.6667) - (8.00 * 0.3333) = 5.1911 ticks


progress towards challenge goal
$3000.00 profit goal.
$700.00 achieved.
-$100.00 current drawdown
7 trades of 30 entered.
I need (2300.00/23) = $100.00 per trade to hit my target.
current expectancy for cycle is 6.5717 ticks

My theoretical average is only $82.15 per trade. I am behind now and need to get back on track.

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  #128 (permalink)
Albufeira, Algarve, Portugal
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
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Posts: 246 since Feb 2017
Thanks: 399 given, 387 received


snax View Post
Last week I held off from making what would have been a momentum-based trade on Friday afternoon in a listless market. Just shows how different times of the day can have much different behavior. I am so used to trading in the morning that I saw a similar price-action pattern and almost jumped in. I should always be aware of the bigger picture. That was a nice insight to gain without having to pay for it with real money.

My partner has some unwritten rules about trading times and dates, which are more guidelines based on her experience, and which may vary by market. For example:
  • Don't trade after noon on a Friday (i.e. what parents tell kids: 'nothing good happens after 2am')
  • Don't carry a trade over the weekend
  • Don't trade the day before/after a holiday
  • Don't trade a Friday before a holiday weekend
You probably will come up with your own list of time-based rules for how you trade. Treat it like an experiment: if you change a variable like the time of day you trade, then you are doing a new experiment.

Anyhow, you're showing good discipline and thinking throughout the process.

~vmodus

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  #129 (permalink)
Chicago
 
Trading Experience: Beginner
Favorite Futures: (June 13, 2019): /MESM9 - current expectancy = (9.8025 * 0.7043) - (10.5588 * 0.2957) = 3.7817 ticks
 
snax's Avatar
 
Posts: 362 since Feb 2019
Thanks: 808 given, 651 received


vmodus View Post
My partner has some unwritten rules about trading times and dates, which are more guidelines based on her experience, and which may vary by market. For example:
  • Don't trade after noon on a Friday (i.e. what parents tell kids: 'nothing good happens after 2am')
  • Don't carry a trade over the weekend
  • Don't trade the day before/after a holiday
  • Don't trade a Friday before a holiday weekend
You probably will come up with your own list of time-based rules for how you trade. Treat it like an experiment: if you change a variable like the time of day you trade, then you are doing a new experiment.

Anyhow, you're showing good discipline and thinking throughout the process.

~vmodus

Those are good rules! Although I stand by my "TGIF-skew" trade from Friday afternoon, it worked out, I will have to track them

I think I'm noticing a bit of "thought-creep" coming into my trading (for lack of a better term). Basically its the notion of having too-specific of an ideal outcome in your mind and trying to enter a trade based around these really specific circumstances. For me I've been sketching a lot of market-profiles and doing a bunch of reading, and this new idea that has crept into my mind is that of "often, the initial-balance establishes one of the price-extremes of the day". So if you think about it, here's this huge trading opportunity lurking even on the choppiest range-bound days for you to pick up a bunch of points.

So I looked through the profiles I'd sketched and I see there's 11 of them. Only on 5 of those 11 profiles was one of the day's extremes established within the initial-balance ("A"-bracket or 8:30-8:59AM CST or "B"-bracket - 9:00-9:29AM). So this is an admittedly small sample-size but you can say that this occurs on less than 50% (appr. 0.4545% of the time based on our small sample). So first we have to get through that probability, then we have to time our trade location just right so we "find the extreme" close enough so our stop doesn't get hit. My stops are easily within the natural ebb&flow of the /ESM9 so I am pre-disposed to a lot of stop-outs as it is.

Assuming we get this far, we have to get in and try to hold on as price moves against us hoping for one of those longer running trades. It just seems like a chain of probabilities I would have to successfully navigate in order to get this type of trade to work out. I'd call it a lower-probability trade.

I should have just taken the 8-ticks

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  #130 (permalink)
Legendary the coin hunter
virginia
 
Trading Experience: Intermediate
Platform: ninja
Favorite Futures: NQ
 
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vmodus View Post
My partner has some unwritten rules about trading times and dates, which are more guidelines based on her experience, and which may vary by market. For example:
  • Don't trade after noon on a Friday (i.e. what parents tell kids: 'nothing good happens after 2am')
  • Don't carry a trade over the weekend
  • Don't trade the day before/after a holiday
  • Don't trade a Friday before a holiday weekend
...

~vmodus

\
all those and also Don't trade before noon on a Monday

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