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shodson's Trading Journal
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shodson's Trading Journal

  #91 (permalink)
Elite Member
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shodson View Post
So, when the histogram hits a new lower horizontal line, what do you buy/sell? Do you buy HU and sell HO, or vice versa? Or do you just buy one, if so, which one?

This spread is HO over HU. So when long the spread it's buying HO and selling HU and when short the reverse. So the positions are always spread positions.

With rollover times (once a month in energies, not with most others) you can put in spread limit orders that can eliminate slippage because after rollover if the current spread at rollover time banked $250.00 in profits net of commissions, then the new spread has a $250 PT in order to make the full $500 no matter at what price it entered. Ergo: no slippage issue.

The complicated part programming wise is to adjust the scales, but maybe that isn't necessary. New positions are entered at the same scale prices as on the chart even if rolled over positions (could be many after a few months) have adjusted PT's because of rollover slippage.

That is very complicated to explain. But the data used on the chart is from CSI perpetual contracts which do not rollover suddenly on one day but gradually over time to smooth it out. No matter what, the bottom line is that the prices do oscillate around a determined mean (the trick) and wherever you enter a position you only exit with $500 profit (in this example). You could make the scales every $1000 or every $200. The smaller the scales, the deeper the pockets you have to have in case it goes against you for a long time, does not often retrace banking individual position profits, so you are holding 10-100 spreads for 3-12 months, rolling them over depending on how narrow the scale. The narrower the scale, though, the higher the probability that each individual position which exit fairly quickly at it's PT which is far closer to entry so even though you end up accumulating say 20 spreads, meanwhile you might have banked profits on over 10 of them - which have since re-entered again which is why you still have 20 - lessening the capital holding requirements. Margins for spreads are very low, so one could actually control mucho positions for very little upfront investment. A very intelligent way to use futures leverage.

To clarify the histo charts: the one showing the instruments is bi-scaled. The instruments have their price shown in the normal way. The histographs show oscillation around a 'zero' value that has been derived through genius (and 10-yr old level math). Basically sometimes HO is above HU and sometimes it's below and that's what's reflected in the histograph and that is what it traded on the horizontal 'scales'.

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  #92 (permalink)
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11/20 - Slept through my alarm so didn't make any trades.

Not a good day to fade the gap, though a 50% gap fill would have been a nice play.

Missed lots of nice pullback trades as well.

Attached Thumbnails
shodson's Trading Journal-gap.png   shodson's Trading Journal-pullbacks.png  
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  #93 (permalink)
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interessant merci
it's possible to print a small chart
exemple 6range?
thanks

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  #94 (permalink)
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mea109 View Post
interessant merci
it's possible to print a small chart
exemple 6range?
thanks

It seems to work better on tick charts, see attached. I tried a 4-range as well.

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shodson's Trading Journal-6range.png   shodson's Trading Journal-4range.png  
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  #95 (permalink)
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thank you
interessante your creation pullback detector
looks better on the charts big thank you and bravo

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  #96 (permalink)
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11/23 - No gap trade, < 50% win rates and < 1.0 profit factors, didn't want to touch it.

Increased my position size to 3 contracts.

With existing home sales coming out at 7am I wanted to try to get in a scalp before the report and make sure I was out 5 mins prior to the report. There were lots of good pullback signals today. The pre-market was so strong that I chickened out on the one that fired just before the open, which turned out to be a winner. I would have gotten a good fill after the open but since the signal fired pre-market I decided to avoid it. I considered that I was cherry-picking entries but I haven't decided what to do about pre-market signals so I think for now I'll stick with believing it was good to avoid them for now at least, but I'll have to think about it some more. After that though I re-affirmed to myself that I'd take any entry I got no matter what.

I got several entry opportunities and tried many times to get filled at the EMA and priced touched my bid a few times but didn't get filled. Then I got filled about 12mins before the report but it went sideways and I got out at break-even 5mins before because the report was coming. Looking back I think avoiding trades 15mins before significant news is what many other traders use in terms of a trading window for avoiding news so maybe next time I'll remember to do that.

Before the news I considered putting in a bracket order above bollinger band at 1109 but that wasn't in my plan so I let it go. The news came out positive and 8 bars printed immediately upon it, almost touching 1112. Who knows where I would have gotten filled.

After the news I finally got a fill after that for a winner. I was feeling maybe I got in too early while people were still digesting the news. I should probably wait 15mins after the news to resume trading, but I got lucky and ended up with a winner. It was interesting to watch how every time a CNBC commentator would say something positive, the market would rise, but if they mentioned a "but" that pointed out weakness in the report, the market got weaker. Once they said "all in all, it was a good report" the market resumed it's upward move and I hit my target. Just goes to show you need to give time for the news to get digested before entering a trade, otherwise you're at the whim of the talking heads and TV traders.

ES - 1 winner: +4 ticks

Attached Thumbnails
shodson's Trading Journal-es-premarket.png   shodson's Trading Journal-es.png  

Last edited by shodson; November 23rd, 2009 at 02:18 PM.
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  #97 (permalink)
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I use a news blackout of 15 minutes either side of major news

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  #98 (permalink)
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11/24 - I liked the odds in today's gap trade so I took it. I got a poor fill so when the gap filled I ended up with 5 ticks. I had 1 contract targeting 2 pts more down but I later exited out of the runner back at where gap filled. Interestingly, where I got filled was where I would normally take a pullback trade, which could have eeked out another point. But oh well, I wasn't watching my pullback chart at the time.

I hit my target so quickly that I wanted to trade more on the pullback chart but I held back because I met my daily goals and consumer confidence and housing reports were coming up at 7am so I called it a day after 7 mins of trading.

ES - 1 winner, +5 ticks

Attached Thumbnails
shodson's Trading Journal-gap-trade.png   shodson's Trading Journal-gap-guide.png  

Last edited by shodson; November 24th, 2009 at 07:21 PM. Reason: Added link to MTG daily summary
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  #99 (permalink)
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Re: "I got several entry opportunities and tried many times to get filled at the EMA and priced touched my bid a few times but didn't get filled."

Shodson: when I coded in some of those pullbacks, I usually put in a little band around the EMA, like 1 tick above below or even better a narrow Keltner or Bollinger (like .2 deviation). The default Bollinger indicator is configured around EMA if I remember correctly, so try throwing it up there with that deviation and see if you like it. Expands and contracts a little with market volatility. Makes it a little more flexible in approach.

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  #100 (permalink)
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11/25 - Gap fill odds were about 50% but 1.47 profit factor which was compelling but with pre-holiday light volume I decided not to fade it. it did touch the fill price the first 15mins.

I deviated from my plan and looked for longs on a breakout from consolidation but it was a short pullback which became a winner, against my long. I recovered on the next pullback trade but the one after that was a loser. After that I decided not to trade anymore coming into news and just thin pre-holiday volume. I missed a recovery and then a go-ahead trade just a few minutes after my last trade but I already called the day. I usually don't like to have losing trading days but today is too thin and my loss was less than 1 complete losing trade.

ES - 1 winner, 2 losers: 2@-4 ticks, 1@+1 tick

Attached Thumbnails
shodson's Trading Journal-es.png   shodson's Trading Journal-recovery.png   shodson's Trading Journal-gap.png  
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