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shodson's Trading Journal
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shodson's Trading Journal

  #131 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
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This week was a great week to fade gaps. Too bad MTG didn't post any gap guides so we could have taken some (maybe all) of them.

Happy New Year, and prosperous 2010 to all!

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  #132 (permalink)
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1/4 - Gap odds looked good but poor odds with seasonality scared away the MTG moderators and they decided to NOT fade the gap. I went ahead and faded it but only with 1 contract. The "no fade" call was the right one as it opened and run up right through my stop. Good thing I reduced my position size, though I'd rather have not traded at all. Oh well.

ES: 1 trade: -20 ticks

I turned on a new strategy which will trade the rest of the day for me while I'm at work. We'll see how it goes.

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  #133 (permalink)
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1/5 - Decent gap opportunity today. The actual gap was very small so I targeted the extended target for a 2pt win. Reduced my position size a bit though because of some risks. I took some heat ahead of the factory and housing news at 7am but it turned around nicely and hit my target.

ES: 1 trade, 3@+8 ticks

BOT2 didn't take any trades yesterday. It almost took a short in the early afternoon but the ATR was too small, and it would have been a losing trade as the market just slowly churned up all afternoon. I have found that strategies that only take trades when ATR is "big enough" increases performance.

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Last edited by shodson; January 5th, 2010 at 12:34 PM.
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  #134 (permalink)
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Playing with this system, which is explained here. Kind of interesting, anybody else seen this or played with something similar? I don't have every part of it up and running in NT yet, will have to load it into Metatrader and try to port it over, not sure how the slope line works. Just eyeballing some charts with it seems like it fires reliable signals. Seems to have a lot of similarities to the LogicalForex indicators I used to subscribe to, but their entry signals weren't as clearly defined, it was more like "Do you see it? Can you feel when you should get in?"

BOT2 didn't take any trades today, got close a few times.

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  #135 (permalink)
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1/6 - I strongly considered fading the gap today as the odds looked pretty good, but not stellar. Plus, there were mixed zones in other indices which made it less compelling, so I avoided it. While the gap did fill pretty quickly, I was OK with it as I'm trying to be more choosy about the setups I take in order to increase my profit factor. The MTG moderators didn't fade it either.

I also hung around the eminiaddict.com chat room for a while (Holy Fibonacci!) and noticed that thinkorswim has $TICK data. This is good as this was one of the main reasons I was still hanging on to Tradestation, even though I was being charged the platform fee. Last week though I closed my TS account because I needed to raise some cash for some end-of-year expenses. So now I can track the $TICK in ToS instead if I want to, for free, though I wish I could get it into NinjaTrader somehow.

ES was very choppy today so BOT2 didn't take any trades. I back tested BOT2 on the current CL contract. It works well with more cyclical instruments like commodities like I suspected, especially when taking reversals in the direction of the prevailing trend.

Regarding withdrawing funds, I also withdrew about 2/3rds of my Mirus account as well for the same reason, so my position sizes have gotten much smaller. They should probably be even smaller, but I don't want to trade if I'm only going make $50-100 a day, and if I blow out my account it's not a very big account right now and I'm confident I can replenish it later, so I'd rather trade it as if it was a bit larger to make it worth my time. Of course, I may look back and regret my decision if I do blow out my account, but for now I'm willing to take that risk. Basically, 10 consecutive losses (depending on loss size) would probably blow out my account at this point, so I guess I'm risking about 10% of my account on each trade. Hmm, maybe I should reconsider that

NO TRADES

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shodson's Trading Journal-gap-guide.png   shodson's Trading Journal-gap-play.png   shodson's Trading Journal-es1.png   shodson's Trading Journal-tick.png   shodson's Trading Journal-cl-backtest.png   shodson's Trading Journal-cl-good-day.png   shodson's Trading Journal-cl-bad-day.png   shodson's Trading Journal-cl-mixed-day.png  
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  #136 (permalink)
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1/7 - No gap play, odds were low, too many cross currents in the other indexes. The gap did successfully fill 1:20 into the session. Passed on another winning setup, as did the MTG moderator.

Later, $TICK was very low, went long at the price where it fired, targeted 2pts, stop 2pts. Kept going lower, then stopped me out, only to turn around and hit my target. I've seen this happen a number of times with $TICK trades so maybe I should either have larger stops (scary), or try to get better fills at lower prices (miss more entries), in the case of long entries. Perhaps more often than not these extreme TICK moves are the beginning of the end of a move and not the end itself.

Turned on BOT2 on the oil market, interested to see what happens.

ES: 1 trade: -8 ticks

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shodson's Trading Journal-gap-guide-jan7.png   shodson's Trading Journal-gap-play-jan7.png   shodson's Trading Journal-es1.png   shodson's Trading Journal-es2-ticktrade.png   shodson's Trading Journal-tick.png  

Last edited by shodson; January 7th, 2010 at 08:23 PM. Reason: Added link to MTG video
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  #137 (permalink)
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1/7 continued - BOT2 took a short on ES, lost 11 ticks. Could have been worse as it avoided 2 more trades a previous version would have taken. This doesn't work as well on trending days. I might want to consider avoiding reversals that are so quick and deep on the re-entry bar.

No CL trades were taken.

ES: 1 short trade: -11 ticks

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  #138 (permalink)
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Did it go back down on the second cross below bands after your loser (not shown on chart)?

I still think you might want to consider a slope condition, i.e. if the midline slope is too steep still in direction of trend, wait for it to flatten before entering, possibly a limit order at the outer band. Something like that. Otherwise you really are fighting the tape.

For example, at the 12.45 cross the slope is flattening finally for the first time, so a short at 1137.50 looks reasonable...

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  #139 (permalink)
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cclsys View Post
Did it go back down on the second cross below bands after your loser (not shown on chart)?

I still think you might want to consider a slope condition, i.e. if the midline slope is too steep still in direction of trend, wait for it to flatten before entering, possibly a limit order at the outer band. Something like that. Otherwise you really are fighting the tape.

For example, at the 12.45 cross the slope is flattening finally for the first time, so a short at 1137.50 looks reasonable...

Maybe, but if you look at the midline on that red entry bar, it was flat, for that bar. Bars before it though were steep, so probably need to look at a few bars of slope, or a slope average. Something to play with...

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  #140 (permalink)
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1/8 - Took the gap trade on the ES and YM. Odds were pretty good but not great, not too many risk factors but there were some so I reduced my position size a bit. On the YM I only traded 1 contract as I’m not familiar with trading YM and I just wanted to see how it went, especially since the market conditions were so good but not as great in other factors. I ended up stopping out early -10 because it just seemed YM was struggling more than ES and I didn’t feel good about it filling the gap, and I didn’t want to be in the trade all day. I actually adjusted my stops a lot higher on the ES like I did on YM but then realized I was breaking my plan and put my stop back down and let ATM handle the rest for me while I went about my morning. I later lowered my target 2 tick to where MTG had targeted it and got quickly filled because I got tired of it coming up to me then turning around. Seemed like I had my target above resistance so I brought it down and later hit my target.

I got 2000-2009 ES, 6E and CL minute data from cunparis yesterday and back tested my BOT2 on it to see how it performs over a longer time period (from 2000 to today). The results: I didn’t like what I saw. Though not horrific, it still was a loser, about 0.98 profit factor, 38% win rates. I think for now I will turn off this bot until I can get it to perform better over longer time frames. Thanks cunparis.

I'm not taking any TICK trades or any trades on any other systems until i get back tested confirmation that it is a solid system. For now, MTG is the one I trust the most because it gives me an edge. I just have to follow it in order to be successful. I actually want to write a strat that will trade the gaps for me using their data. I've talked to them about creating an automated feed of their data. In the meantime I'll just have to enter the nightly data in myself, or some HTML parser that will scrape the data out of their web-formatted data.

ES: 1 winner: 3 @ +11 ticks
YM: 1 loser: 1 @ -10 ticks

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