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Snax's /ES & /CL Trading Journal


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Snax's /ES & /CL Trading Journal

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  #41 (permalink)
Legendary Market Wizard
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Day 20

7:05AM CST - /ESM9 flat around 2805.00, up about 8 points. Some small price oscillations.

7:57AM CST - testing YH, price is playing around. I have a couple thoughts of trying to grab one of these little waves but I am staying out for now, opening bell is coming.

8:30AM CST - Opening bell volatility. I am thinking short-move soon but there's not enough evidence, other than 2808.00 seems to resist. Evidence mounting, I open a short position for 2807.50 but I cancel, still not sure.

8:43AM CST - Again I look to go short @2808.50 thinking I'd just seen the move that usually gets me on my opening trade, but again I cancel, this time because I don't know if 2807.50 will become support. I see it move the way I thought but we are still oscillating back up so smart to stay out for now.




BTW, I took out the volume from these charts because it just adds noise, I don't really need it for what I'm working on this cycle.

8:54AM CST, we broke 2810.00, so looks like we are actually bullish for now, my earlier bear leanings weren't in tune with the market so I'm glad I waited out the early storm.

9:13AM CST, we settled into a pattern.




9:16AM we are filled on a long position @2812.00. I set a target for 2817.00, and a stop at 2810.00.

I almost adjust my stop to lock in a profit at 2813.00 but I wait, and I miss a chance to lock in 2814.00.

Lots of sideways rotation.

9:34AM - I adjust my stop to 2813.00 and price pulls back to fill. I'm out for a small 4-tick gain.




Final results:




What i liked:
- Sticking to my core strategy but trying some more patient timings which led to an easy small win.


What I did poorly:
- Last night I didn't get very far with my research due to being very tired after a run, but I did analyze some forum postings.

Goals for tomorrow:
Same as yesterday, try to accomplish at least 2 of:
- watch some videos on the futures.io youtube list.
- go over my trading journal and find areas to improve.
- work on some more areas in futures-trading where I can apply probability-theory.


expectancy & progress towards challenge goal
avg win = (8 + 7 + 8 + 12 + 5 + 16 + 16 + 10 + 2 + 8 + 32 + 32 + 16 + 16 + 4) / 15 = 12.80 ticks
avg loss = (8 + 8 + 8 + 8 + 8 + 8 + 8 + 8) / 8 = 8.00 ticks
% win = (15 / 23) = 0.6522
% loss = (8 / 23) = 0.3478
expectancy = (12.80 * 0.6522) - (8.00 * 0.3478) = 5.5658 ticks
$1500.00 profit goal.
$1600.00 achieved.
$100.00 surplus.

23 trades of 30 entered, 7 trades to go.
current expectancy is 5.5658 ticks, I need to stay aggressive and manage my trades to stay above my target.

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  #42 (permalink)
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I am enjoying reading your journal. You provide a lot of great detail into the mechanics and the psychological side of your trading. You're brave tackling the ES, I must say. ES has been on my to-do list for a while, but I have not been able to develop a system or strategy (yet) that can effectively and consistently return profits.

Keep up the good work!

~vmodus

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  #43 (permalink)
Legendary Market Wizard
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vmodus View Post
I am enjoying reading your journal. You provide a lot of great detail into the mechanics and the psychological side of your trading. You're brave tackling the ES, I must say. ES has been on my to-do list for a while, but I have not been able to develop a system or strategy (yet) that can effectively and consistently return profits.

Keep up the good work!

~vmodus

Thank you vmodus. When I became interested in futures I did some research and /ES just sounded like a solid nucleus, I soon added /NQ because of the correlation, I really enjoy the different dynamics between the two products. Then I started to watch /CL, /NG, and /GC as well. For this cycle and the foreseeable future though I am focusing on /ES because I have a lot on my plate now that I am becoming more serious. I am just trying to surround the "feel" of the product with sound mechanics and tooling bit by bit. Its pretty simple approach but nothing is really simple

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  #44 (permalink)
Legendary Market Wizard
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I don't usually get to trade during the mid-day but today was slow, 2 days in a row is becoming habit.

I got very lucky, I'm not proud of this trade because it was impulsive and I came within 2 ticks of getting stopped-out, though that is kind of common anyway.

I have been getting excited to place more trades and reach the end of my 30-trade cycle so I am taking every opportunity and this time the bullet missed (twice) thankfully.

Got filled for a long position @2821.00, thinking there was a nice gentle glider of an uptrend for the afternoon, due to the range being up wide. set a limit for 2829.00, never got there, adjusted my stop-loss to trap a profit of 16-ticks.





expectancy & progress towards challenge goal
avg win = (8 + 7 + 8 + 12 + 5 + 16 + 16 + 10 + 2 + 8 + 32 + 32 + 16 + 16 + 4 + 16) / 16 = 13.00 ticks
avg loss = (8 + 8 + 8 + 8 + 8 + 8 + 8 + 8) / 8 = 8.00 ticks
% win = (16 / 24) = 0.6667
% loss = (8 / 24) = 0.3333
expectancy = (13.00 * 0.6667) - (8.00 * 0.3333) = 6.0007 ticks
$1500.00 profit goal.
$1800.00 achieved.
$300.00 surplus.

24 trades of 30 entered, 6 trades to go.
current expectancy is 6.0007 ticks, I need to stay aggressive and manage my trades to stay above my target.

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  #45 (permalink)
Legendary Market Wizard
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Day 21

E-Mini S&Ps have been creeping up since a little before 6:00AM CST. Staying in a predictable range, bouncing off everybody's favorite ratio and stopping at midpoint between YH and that 76.4 mark.

Price moves slow, at 8:11AM CST we're re-testing that 2817.50 mark. I feel like this is a critical juncture, if we make a move we could get a big boost from opening bell volatility but that is a double-edged sword. Where are the bulls and bears going to be lurking?

8:30AM CST - Kind of a flat open.

12:00PM CST - Not sure what to do, there are small trading opportunities based on rotation/price-oscillations, but nothing really within the scope of my current strategy. I'm out.







What i liked:
- No silly impulsive trades.
- I am skeptical about trading books in general, but I found one that looks promising! "Mind over Markets" by Dalton. Taking it with a grain of salt but I like the preface already as it talks about the long road to actually becoming a proficient trader. I like that, its honest.


What I did poorly:
- I'm working pretty hard but still need to dedicate a little more time to the trading craft in the evenings.

Goals for tomorrow:
Same as yesterday, try to accomplish at least 2 of:
- watch some videos on the futures.io youtube list.
- go over my trading journal and find areas to improve.
- work on some more areas in futures-trading where I can apply probability-theory.
- Check out some mathematics books.
- Start keeping statistics on impulsive trades!!!! via https://www.youtube.com/watch?v=Y6Wykz1ySqA&t=5s
- Start thinking about getting all the statistical stuff into a spreadsheet of some kind.


expectancy & progress towards challenge goal
avg win = (8 + 7 + 8 + 12 + 5 + 16 + 16 + 10 + 2 + 8 + 32 + 32 + 16 + 16 + 4 + 16) / 16 = 13.00 ticks
avg loss = (8 + 8 + 8 + 8 + 8 + 8 + 8 + 8) / 8 = 8.00 ticks
% win = (16 / 24) = 0.6667
% loss = (8 / 24) = 0.3333
expectancy = (13.00 * 0.6667) - (8.00 * 0.3333) = 6.0007 ticks
$1500.00 profit goal.
$1800.00 achieved.
$300.00 surplus.

24 trades of 30 entered, 6 trades to go.
current expectancy is 6.0007 ticks, I need to stay aggressive and manage my trades to stay above my target.

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  #46 (permalink)
Legendary Market Wizard
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Day 22 - TGIF!

since about 6:00AM CST we have been oscillating around YH @2825.00.

Harmonic rotation of 8 ticks continues until about 7:42AM CST!




Then we have an hour-long 10-point rotation downward.

@8:16 AM we start a long rotation back up 10 points to 2825.00.

@8:44AM I am filled for a long-position at 2821.25.

I set a limit-order for 2826.25, just below ONH. We glide up past 2823.00, as high as 2824.25, so I adjust my stop to lock in 8-ticks since I am nearing the end of my 30-trade cycle and I am above my target so I want to lock in easy profits. Price pulls back to 2823.25 and I am closed-out with an 8-tick gain.




Now Beware the Ides of March, here comes a BIG MISTAKE. @8:56AM CST price bangs off of the YH of 2825.00, so I go to set a buy order for 2826.00, thinking that getting in 4-ticks above would still leave plenty of head-room for more profits. Except I enter a limit-order to buy at 2826.00 instead of a stop-buy. :face_palm: I am immediately filled at 2825.00 and price plunges to hit my stop at 2823.00 which I had to hurry to get in place so I could give my money to better traders.




Back to even on the day.

Now I am thinking short might be the move, if price is willing to search lower to 2815.00 again, but price rotates back up to 2821 and back down. Now its getting indecisive at 9:25AM, going to go get coffee.

@9:39AM I enter a limit order at 2818.75 to go long, but I don't get filled for a few seconds. Finally I'm filled.

I don't want to mess around for a huge profit because I can lock in my target for the cycle with any profit. I have my stop at 2816.75, I slide it up to 2819.75 to lock in a 4-tick profit, price turns back and hits it, closing me out with a 4 tick gain.




Now I have 3 trades left, I can get stopped-out on all 3 and still be above my target for the cycle so that I can create a more challenging cycle next.

I want to try and begin my next cycle next Friday, so I am saving my last 3 trades for next week. I feel victorious even with the silly execution-error on my second trade today.

Final results:





What i liked:
- First trade was good this time, behaved as planned.
- Did lots of research last night. Reading "Mind over Markets" I am discovering lots of terms people use here in the forum, POC is very easy to understand now.
- Also discovered xabcd-patterns kinda by accident messing around in my simulator last night. I think of them more as an engagement tool to learn how to recognize and siphon out tradeable behavior in choppy markets.
- Making note of impulsive trades in my journal has helped me avoid making them now.
- Starting to see price-action unfold a *tiny* bit more predictably, the hard work does start to help.
- making tiny steps forward with hard work.


What I did poorly:
- Huge trade-execution error entering a limit-order for 2826.00 instead of a stop-buy, thus getting filled at 2825.00 which acted as a resistance-level, getting me stopped-out for an 8-tick loss.
- expectancy will be slightly lower because of today's trading activity. One stupid mistake and locking in the target for 4 ticks will lower my expectancy unfortunately.

Goals for Monday:
- watch some videos on the futures.io youtube list.
- go over my trading journal and find areas to improve.
- work on some more areas in futures-trading where I can apply probability-theory.
- Read more.
- Do some math.
- Check out some mathematics books.


expectancy & progress towards challenge goal
avg win = (8 + 7 + 8 + 12 + 5 + 16 + 16 + 10 + 2 + 8 + 32 + 32 + 16 + 16 + 4 + 16 + 8 + 4) / 18 = 12.22 ticks
avg loss = (8 + 8 + 8 + 8 + 8 + 8 + 8 + 8 + 8) / 9 = 8.00 ticks
% win = (18 / 27) = 0.6667
% loss = (9 / 27) = 0.3333
expectancy = (12.22 * 0.6667) - (8.00 * 0.3333) = 5.4807 ticks
$1500.00 profit goal.
$1850.00 achieved.
$350.00 surplus.

27 trades of 30 entered, 3 trades to go.
current expectancy is 5.4807 ticks, I need to make a good first trade next week so that I can try to increase my size up to 2 contracts while still locking in my target. Stay aggressive.

p.s. i saw a very good trading opportunity while peaking at the charts after I was finished! do you see it too? did you take advantage of it? :-)

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Legendary Market Wizard
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Cyclic Trading Intervals

posting this here to make sure I follow up on this.

Cyclic trading intervals are based off of the material in this video The Holy Grail: Expectancy & Habits with some cusomization for what I want to get out of them for use with my journal.

Ultimately I would like to write a set of small programs or scripts for working with the data from each cycle, so I want them to be machine-readable.

Cycles are cadences of a set of trades in which a technique or set of techniques is isolated and focused on. Trading within the cycle can be sim or live, but must be one or the other for the duration of the cycle.

Cycles represent evolutionary processes in which trading strategies are refined, bad habits are removed, signals are tweaked, and skills are honed. Cycles are also accompanied by challenges and katas. The katas may be worked on or contemplated outside of trading, reviewed after the trading session, or deliberately integrated into the trading strategy. Challenges may involve meeting a certain goal in ticks, pips, money, or anything else by the end of the cycle. Challenges can be failed, for example, hitting a maximum drawdown.

Cycles are an engagement tool to keep aggressively moving forward in progress.

Theory

Markets continually evolve, so should our trading techniques.

Cycle Attributes

Cycles have the following attributes

Length or Cadence, basically the Number of Trades for the cycle.

Challenge: A monetary goal or a tick/pip goal. This goal should be just outside the trader's comfort zone.

Failure Condition: a maximum drawdown (daily, weekly, total), or a particular trading error committed too many times may cause the cycle to be exited early.

Expectancy: always tracked per cycle and accumulated overall as well. Expectancy = (average win in ticks * win %) - (average loss in ticks * loss %).

Bonuses: winning streaks that exceed a certain parameter can lead to bonus conditions such as increasing size (number of contracts per trade).

Katas: The purpose of katas is to sharpen a skill-set and to remove bad habits. They are items or skills to pay particular attention to during the cycle. Do you hurry to close out trades too soon? Maybe a kata that focuses on patience and commitment to a price-target is appropriate.

Liveness: live trading or sim?

Instruments: Which instruments will be traded during the cycle?

Nomenclature: (work-in-progress):
I want something that can be parsed by a program to retrieve cycles with certain criteria.

this is work in progress.
cycle naming format: cycle-{sequence_number}-{num_trades}-{attributes}-{name}

example: cycle-000001-30-100-000001-100000000000-bear_party

"cycle" - designates this as a cycle
"000000" - first cycle of the sequence
"30" - 30 trades in cycle (max cycle = 99 trades)
"100" - attributes:
1 - the goal was met (0 indicates goal was not met)
0 - there was no early exit (1 would indicate there was an early exit)
0 - sim-trading (1=live, 0=sim)

"000001" - the overall rank of this cycle based on goal achievement.

"100000000000" - instruments traded. this is a sequence of futures contracts. in this example the first slot is for /ES which was the only product traded this cycle

preliminary ordering:
ES, NQ, CL, NG, GC, SI, 6E, 6B, ZB, ZN, ZF, ZT, GE, Micro-1?, Micro-2?, ...

"bear_party" - some name that summarizes the cycle.

Data Representation of the file: yaml, json, or some other machine-readable format

Streaks: tracking longest streaks.

TODO: finalize all this stuff.

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  #48 (permalink)
Legendary Market Wizard
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Day 23 - cycle-000000

@7:20AM CST - S&Ps up 3.00, VIX at 13.07.

We are in the slow rotation-station. I am interested in how the market behaves around the 2830.75 to 2829.75 region if it attempts to move in that direction.

@7:58AM CST price bounces off one of my interesting levels and re-tries. I am hoping for some good price-action here. I open a working-order to sell at 2829.25.

@8:08AM CST price tests Friday's close but the level seems stable for now. I close out my working-order.

@8:13AM I open a working-order to buy at 2831.50, but we don't quite make it to getting filled. Now price is rotating away, but I hold on to my working-order for a few more minutes.

@8:19-8:20AM we are re-testing Friday close. Market seems to want to be bullish. I still like my working-order and I see no need to adjust it.

@Opening-Bell we are filled @2831.50. I have a passing thought to just forget about this trade and let my stop do the work. There is no worry, if I get stopped-out I am fine. The worst thing I can do is exit this trade too early if it really runs.

@8:45AM - Just can't help myself. I adjust my stop to lock in 12 ticks. I go to adjust my upper limit to prepare for a longer run but price pull back and hits my adjusted stop, out with a 12-tick gain.

This is perfect, now I can use the last 2 trades in my current cycle to scale up to 2 contracts per trade while still locking in my target goal for the cycle.




Final Results:




What i liked:
- First trade was good again, I am trusting my approach.
- Did lots of research over the weekend. Reading "Mind over Markets" slowly, trying to add small bits of knowledge without adding confusion.
- I am becoming more convinced I am on the correct path, regardless if temporary stumbling-blocks arise in my progress.


What I did poorly:
- In general stop feeling like I am such a noob, and keep pushing forward.
- I can't even think of anything else.

Goals for Tomorrow:
- Begin investigating POC a bit more
- watch some videos on the futures.io youtube list.
- go over my trading journal and find areas to improve.
- work on some more areas in futures-trading where I can apply probability theory & statistics.
- Read more.
- Do some math.
- Check out some mathematics books.
- Begin setting up cycle-000001 goals.
- Find out how to be more involved in futures trading community, etc.


expectancy & progress towards challenge goal
avg win = (8 + 7 + 8 + 12 + 5 + 16 + 16 + 10 + 2 + 8 + 32 + 32 + 16 + 16 + 4 + 16 + 8 + 4 + 12) / 19 = 12.21 ticks
avg loss = (8 + 8 + 8 + 8 + 8 + 8 + 8 + 8 + 8) / 9 = 8.00 ticks
% win = (19 / 28) = 0.6786
% loss = (9 / 28) = 0.3214
expectancy = (12.21 * 0.6786) - (8.00 * 0.3214) = 5.7145 ticks
$1500.00 profit goal.
$2000.00 achieved.
$500.00 surplus.

28 trades of 30 entered, 2 trades to go.
current expectancy is 5.7145 ticks, I want to finish strong. Last two trades for the cycle will be scaled-up to 2 contracts per trade, worst case I get stopped-out twice and finish at 1600.00, best-case has big upside.

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  #49 (permalink)
Legendary Market Hack
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Great journal entry as always, snax.

Question: are you trading sim/paper or are you trading real money yet? I wasn't sure if you are still in sim-mode.

~vmodus

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Legendary Market Wizard
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Trading: MES, MYM
 
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Posts: 1,409 since Feb 2019
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Hi @vmodus! All journal-entries thus far have been sim-traded. I have two trades left and I need to put together my plan for another 30-trade cycle to follow this one. I am open to attempting to go live again because I identified the three main contributors to pain in my first (brief) attempt at live-trading:

1) No plan other than watching price-action. There was no context, it just seemed to work in sim-land so why not in live-trading. Although naive, I think this hurt me less than 2 and 3.

2) multiple compounding "trade-emotion" issues I had to step back from and examine. I wasn't used to losing real money and it caused me to form bad habits of exiting trades with 1 or 2 ticks profit just so I didn't lose. It is easy to see how the risk/reward-ratio will not allow this to scale. Since I didn't have any experience to draw from, I attempted multiple "cures", fighting it out with 15 trades one morning, slowing down and really over-thinking...thought it would turn around quickly but once I saw the pattern wouldn't scale I went back to sim. This will be the hardest to solve because there were multiple effects here.

3) Easiest to fix: jumping out in front of a surging /NQH9 assuming it "had to pull back soon" and getting crushed instantly. I had an embarrassing number of these trades that I wouldn't even consider now. they were a bad habit I picked up in my original sim-practice.

I am curious to see what I've learned.

Cheers!

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June 26, 2019


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