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shodson's Trading Journal
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shodson's Trading Journal

  #241 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
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Wednesday, 4/28 - I was up late again so I didn't get up early enough to take a gap trade, but I did set up my gap strategy to trade the two zones with double greens (70+% win rate, 1.3+ profit factor). It faded the up gap and got a nice 5pt winner...on SIM. Still, it was nice to know it did what it was supposed to do.

Didn't watch any other markets. I'm really swamped with work projects and most of my trading focus for a while will be automated strategy development and less screen time watching markets.

NO TRADES

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shodson's Trading Journal-20100428-gap-guide.png   shodson's Trading Journal-20100428-gap-strat-chart.png  
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  #242 (permalink)
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Where is a gap closed - at the close or 2 ticks above the close?

The statistics show you that there is an edge trading the gaps, the way you do. However I have one question rgarding today:

After the open ES traded down to 1181.75, which is 3 ticks above yesterday's close. There were two churn bars at 10:00 AM (Eastern Time) and 10:10 AM on the 5 min chart showing that buyers were stepping in before price stopped moving down. When this happened, I had a short position and tightened my stops and got stopped out at 1183.50 - which I expected. Price then made a higher low at 1182.00, which is 4 ticks above yesterday's close.

Watching how buyers stepped in, how price stopped first 3 ticks above, then again 4 ticks above yesterday's close (higher low) was a sign of strength, and I expected price to move up to the 1192's, which it later made after the FOMC release.

How did you now in advance that S&P was going to downgrade Spain? This came completely unexpected - although large traders happily used this to take out weak hands.

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  #243 (permalink)
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Fat Tails View Post
The statistics show you that there is an edge trading the gaps, the way you do. However I have one question rgarding today:

After the open ES traded down to 1181.75, which is 3 ticks above yesterday's close. There were two churn bars at 10:00 AM (Eastern Time) and 10:10 AM on the 5 min chart showing that buyers were stepping in before price stopped moving down. When this happened, I had a short position and tightened my stops and got stopped out at 1183.50 - which I expected. Price then made a higher low at 1182.00, which is 4 ticks above yesterday's close.

Watching how buyers stepped in, how price stopped first 3 ticks above, then again 4 ticks above yesterday's close (higher low) was a sign of strength, and I expected price to move up to the 1192's, which it later made after the FOMC release.

How did you now in advance that S&P was going to downgrade Spain? This came completely unexpected - although large traders happily used this to take out weak hands.

¡Yo tengo amigos poderosos que son fieles a mi viviendo en España!

Seriously though, I didn't know, and gap trading usually disregards news events, other than taking into account risks of trading on or before FOMC days and options expiration days.

With that said, gaps up on FOMC days are historically more risky so there was a chance it wouldn't fill. In fact, if I had considered today's gap play I probably would not have taken the trade, but I was trading the gap guides mechanically.

So I guess for today, Spain's misery is our fortune.

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  #244 (permalink)
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Thursday, 4/29 - None of the zones in the gap guides looked favorable, so I didn't even set up my gap fader the night before and got a good night sleep. The market opened above yesterday's highs and kept on going, never filled the gap.

NO TRADES

Friday, 4/30 - Set up the fader on 2 zones that looked decent, but price didn't open in them. Market opened with a 1.5pt gap, touched gap fill then rolled over for what would have been a full 5pt loss. So not taking the trade was the right choice as I probably would have not gotten filled at the gap fill target.

NO TRADES

Attached Thumbnails
shodson's Trading Journal-20100429-gap-guides.png   shodson's Trading Journal-20100430-gap-guides.png   shodson's Trading Journal-20100430-gap-strat-settings.png   shodson's Trading Journal-20100430-gap-signal-email.png  
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  #245 (permalink)
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Monday, May 3rd - There were no compelling gap setups so didn't even setup my trading strategy the night before. The D-OC zone looked almost interesting but Monday's are usually bullish and I don't like fading up-gaps on Mondays as much. The gap did not fill and I would have been stopped out so the guides saved me.

MTG released to the public the NinjaTrader indicators I developed for them. In full disclosure, they did not pay me any money for my work, nor do I get any future revenues of sales or referral fees for any new members that sign up with them paid to me, like an affiliate program, etc. I did, however, negotiate a certain number of free months of membership to their service in exchange for my work and that was the full extent of our business relationship to this point. We may do more together, maybe not, but that's all for now.

NO TRADES

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shodson's Trading Journal-20100503-gap-guide.png  

Last edited by shodson; May 3rd, 2010 at 09:20 PM.
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  #246 (permalink)
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Tuesday, May 4th - No compelling gap ranges at all. In fact, market opened in the "BLUD" (below the low of an up day) zone, which many times means go with the gap, which, if I had done was good for 20+ ES points as everybody that went long yesterday woke up below the lows of the day they bought and bailed out. I don't have a follow gap strat, only a gap fade strat, so no trades were taken.

NO TRADES

Wednesday, May 5th - No compelling gap ranges again, I only set up zones that show 70%+ win rate and 1.3+ profit factor.

NO TRADES

Lately

Been doing some indicator development. Coded the Elder Impulse system as a lower study indicator for giggles. I've uploaded it to the download section.

Also worked on a different reversal indicator I thought up. Below are charts for this weeks ES signals, just follow the arrows. Takes reversal bars that close below a look back period's recent HH's low or above a recent LL's high, and only if the an EMA is in front of it, but that is configurable. I want to add a volume component to it because I'm realizing more and more that price is what the market does, but volume tells you the market's attitude.

The dotted MA is my "cliff" (shCliff) which plots a dotted EMA(34) but the color coding is a combination of 5 EMAs and how steep their slopes are. I use it mainly on HTF to help identify HTF trend strength.

Read an interesting article from Ed Seykota about how the MACD is crap.

Bought 20yrs of CME daily data from EODData and am going to format and import in into Ninja since ZenFire doesn't provide daily data bars and EODData takes care of contract continuation. Also going to dump it into SQL Server for some data mining. I want to do day-to-day analysis on some ideas I have so my intraday strats can trade in the context of the day-day market context. Every day the market deals us a hand of cards at the open. Intraday we have to play our best with the hand we've been given and what shows up on the flop.

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shodson's Trading Journal-reverser-20100503.png   shodson's Trading Journal-reverser-20100504.png   shodson's Trading Journal-reverser-20100505.png   shodson's Trading Journal-cherry-picked-awesome-day.png  
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  #247 (permalink)
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Haven't seen any 70%+ and 1.3+ PF gap setups in a while, so haven't taken any gap trades in a while either. MTG posted some interesting stats on the result of simply following their gap guides YTD. See attached screenshot of their newsletter. Maybe I should consider some 60%+ win rate trades as well that have good PFs, but then again, maybe not. I get fewer signals but the end result is better profit factors. I think I'd rather focus on high profitability over signal frequency because when you want to scale up with big dollars you want your money-making machine to be as profit-efficient as possible.

Really focusing on combining my favorite setups across MTF and figuring out which combinations I like best. Attached is the one trade that would have considered taking today, winner, traded with that unlimited supply of unicorn money we all have of course.

Also been doing a lot of work with another trader on some MT4 EAs on EUR/JPY, USD/JPY and GBP/USD. We are running them on my server and posting signals to Zulutrade through MB Trading. We'll get them up in Rent-A-Signal as well as C2 eventually.

Attached Thumbnails
shodson's Trading Journal-mtf-short.png   shodson's Trading Journal-mtg-gap-summary-newsletter.png   shodson's Trading Journal-mt4-eas.png   shodson's Trading Journal-zulu.png  

Last edited by shodson; May 12th, 2010 at 06:30 PM.
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  #248 (permalink)
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Thursday, 5/13 - Got a couple of zones I liked in the gap guides. I set up to fade the U-CO zone, which was 11.75pts wide, and also the U-HC zone. It opened in the U-CO zone 3+pts below yesterday's close and my strat got me long but got bad slippage. I eventually hit my target. I was nervous to have a 12pt stop but I'm just following my plan. For larger periods of volatility like now I should expect larger gaps if I'm going to have stops that large. The gap today was large enough but with a 1pt min gap I was potentially risking 12 to make 1, but instead made 2.75.

BTW, this trade was with my live trading account. I'm comfortable with the strat in it's current condition, though I want to make some enhancements, it does basically what I want it to do: fade the gap at the open if price is within certain price ranges that I specify.

ES: 1 winner: +11 ticks

Attached Thumbnails
shodson's Trading Journal-20100513-gap-guide.png   shodson's Trading Journal-20100513-fader-settings.png   shodson's Trading Journal-20100513-fader-notice.png   shodson's Trading Journal-20100513-es-gap-fade-win.png  
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  #249 (permalink)
 Vendor: www.probabletrades.com 
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Friday, May 14th - I liked the D-OC zone and the D-CL zone looked interesting but I wasn't getting enough confirmation from the other index futures for that zone so I only set up to fade an open in the D-OC. Didn't matter, it opened in the D-L (below the low of a down day) and just ran lower.

NO TRADES

I've noticed that my trades happen about 15secs too late, meaning, a new bar will print about 15secs before 6:30 but my BarTimer indicator will still say there was about 15-20secs left before closing the previous bar. So I set it up to fade at 6:29 instead of 6:30. I later stumbled on this post about PC time vs. exchange time and set my NPD client to update every 5 minutes now. Hopefully that will keep me better in synch. I guess the other thing I could do if I want to fade at the open is to use Time[] instead of DateTime.Now as I think the Time DataSeries is based on the data feed's time, not system time, but I haven't confirmed that.

Still playing with my HHLL indicator across MTF. Did well yesterday, almost 150 ticks on CL. I'm starting to call it my HHoLLy grail . Going to automate and start back testing this over the weekend, just not sure about which MM strategies to use.

Attached Thumbnails
shodson's Trading Journal-20100514-gap-guides.png   shodson's Trading Journal-20100514-fader-notice.png   shodson's Trading Journal-20100514-es-gap.png   shodson's Trading Journal-20100514-hholly-grail.png  
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  #250 (permalink)
 Vendor: www.probabletrades.com 
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Monday, May 17th - Two zones had good gap setups. The D-OC also had good setups for hitting the extended target, but Mondays have been so historically bullish I'm not totally comfortable fading up gaps on a Monday morning.

The market opened in the D-OC for a gap barely large enough to trade, filled the gap and hit the extended target. If I was trading this manually I probably would have targeted the extended target (+4.25 pts more) because the gap was so small, but the fader strat doesn't handle that now. After looking at the MTG gap play, looks like he was looking to target the extended target no matter what size the gap up was.

ES: 1 win: +7 ticks

Updated the fader strat, now sends emails OnExecution() and OnPositionUpdate() , added a timestamp to the bottom. My time/clock issue seems to be fixed now with that registry setting changed. My clock is more in-sync with the market now.

Attached Thumbnails
shodson's Trading Journal-20100517-gap-guides.png   shodson's Trading Journal-20100517-fader-settings.png   shodson's Trading Journal-20100517-fader-msgs.png   shodson's Trading Journal-20100517-es-gap-fade-win.png   shodson's Trading Journal-20100517-gap-play.png  

Last edited by shodson; May 17th, 2010 at 12:18 PM.
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