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shodson's Trading Journal

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  #271 (permalink)
 shodson 
OC, California, USA
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
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Friday, May 28th - The gap setup was interesting. I can't remember but I think I setup 1 zone only, the U-CO. The U-HC looked interesting but it was on a 2pt zone, very small and probably would open with a gap too small to take. In this case I would have targeted the extended target of 1096.50 but my strat doesn't support trading extended targets. The ES opened just in the U-HC with just a 1 tick gap, too small for a gap trade, but nicely hit the extended target.

NO TRADES

That is the 2nd winning extended target trade I would have liked to take recently that I passed on because of my strat not supporting extended target trades so tonight I worked on adding support for extended target trading.

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  #272 (permalink)
 shodson 
OC, California, USA
 
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Monday, May 31st - NO TRADES, Memorial Day

Tuesday, June 1st
- NO TRADES, didn't get an open that I wanted.

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  #273 (permalink)
 shodson 
OC, California, USA
 
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Got an initial iteration of my HH/LL strategy that uses the indicator I've been working on. It just enters on with-trend reversals and and counter-trend reversal failures, and exits when a counter-trend signal is fired. Just tested CL 06-10. A 15-min time frame with a (6x) 90-min HTF for trend detection seems to work better than the slower time frames. Not sure I want to endure this type of portfolio volatility though.

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  #274 (permalink)
 shodson 
OC, California, USA
 
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Wednesday, June 2nd - Set up a couple of gap zones I liked and went to bed. The next morning I noticed I didn't get a gap fader email. The strategy was running and ES opened in one of my zones but it didn't send an email nor did it take the trade I thought it would. I checked the "Log" tab in Control Center and didn't find anything unusual. Then I checked the log files and didn't find anything in there unusual either. I still haven't figured out what happened. I was fortunate, though, as it went towards gap fill and got within 1pt of filling the gap but then turned around for what would have been an 8pt loser. The YM and NQ did fill their gaps though, but barely.

NO TRADES

Thursday, June 3rd - Indexes opened above yesterday's highs which didn't have good gap guide numbers, but it did fill the gap without hitting what would have been its stop loss. So go figure. The NQ had good gap fill numbers for that zone but not ES. NQ and TF seem relatively strong, which seems to indicate we are entering a new bull phase when small caps and technology are outpacing larger-cap Dow and S&P stocks.

NO TRADES

I spent some time looking at market closes, looking for patterns. I noticed that when the market spends most of the day above the previous day's highs, then after 2pm Eastern it starts making new highs it sucks in new buyers into the close as shorts start covering so as to not hold their shorts over night, or, they are getting stopped out. Same for days that trade below the previous day's low. I'm just not sure how you form a trading plan around that yet. But if you treat 9:30 - 2:00 as one big range, you can look for into-the-close breakouts, and they seem to work best above/below yesterday's highs/lows.

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  #275 (permalink)
 shodson 
OC, California, USA
 
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Friday, June 4th - I set up 2 small gap zones to trade but it opened way below yesterday's low due to the poor jobs report an hour before the open.

NO TRADES

Got my May statement from RCG. This is the first month where I solely did gap trades. My account increased 7% in the month.

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  #276 (permalink)
 shodson 
OC, California, USA
 
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Wrote an indicator that writes bar data to SQL Server so I can do some data-mining in SQL instead of having to write strategies. Doing it in SQL is easier for simple tests or research for discovering patterns, but writing a strat is better when you need to throw executions and money management into the mix.

Ran across a PDF on scalps strategies. I think I've seen this one before. Has anybody tried these? The breakout strategy is similar to other ones I've seem: identify a time of day where price can take off, take a breakout trade, scalp a trade or exit after a certain amount of time if still in the trade. See attached PDF.

The MT4 strat is doing OK, especially considering since there is a bug with it (MB trading doesn't like it setting up simultaneous buy stop and sell stop orders). It's being tracked on Zulutrade, results screen shot attached.

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  #277 (permalink)
 Big Mike 
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shodson View Post
Got my May statement from RCG. This is the first month where I solely did gap trades. My account increased 7% in the month.

Congratulations! Awesome job Scott!

Mike

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  #278 (permalink)
 shodson 
OC, California, USA
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
 
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Posts: 1,971 since Jun 2009
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Playing with acceleration bands for options trades. When I get a signal this tends to work best with slightly out of the money options 30-45 days before expiration because of their low delta. If you are wrong (market closes back inside the bands) your losses are fairly limited but your gains can be exponentially large. I'm working on an indie that I can use in Market Analyzer on a basket of stocks that will alert me and color code the cell green if I get 2 consecutive closes outside of the bands 30mins before the market closes so I can make my options trade before the market closes for the day. It would also alert me and color code the cell red if it is about to close back within the bands after being outside the bands for 2 or more days. Of course this trade was an enormously profitable, cherry-picked trade on one of the best trading stocks of our time. I need to back test some of the losers as well, but it's always fun to start with the positive and it's a time-consuming, manual process in thinkorswim. I with I could get historical options data into Ninja but getting historical tick data on options is typically very expensive.

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  #279 (permalink)
 shodson 
OC, California, USA
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
 
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Posts: 1,971 since Jun 2009
Thanks: 533 given, 3,694 received

Monday, June 7th - I set up 1 zone (D-OC, usually a high probability zone) with a 77% win rate and a profit factor (PF) of 1.74, and the gap opened in there but the gap was too small (0.75pts) so the strat didn't take a gap trade. Last night I considered targeting the extended target, (win rate 64.8%, PF 1.75) for that zone as well because the setup looked good, but I chickened out. One reason was that I thought the zone was so large that it probably wouldn't open up in such a small range but it did. Also, I don't have it clear how to sometimes fade the extended target and not also fade the gap. I don't want 2 cars with different targets because that's too large of a position size for me now. I later realized that to prevent that I should set up a gap zone of A-B and a extended target zone of C-D where the prices in A-B are not in the prices in C-D (two sets of prices that don't intersect). Furthermore, Friday's gap wrap video showed fading an up-gap on a day following an unfilled BLUD (below the low of an up day) gap (Friday's gap) was also more risky, so I didn't want to push my luck.

The MTG gap play did just that (go for the extended target) and it hit it's target in the first 15mins for a nice 4.5pt winner.

NO TRADES

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  #280 (permalink)
 shodson 
OC, California, USA
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
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Posts: 1,971 since Jun 2009
Thanks: 533 given, 3,694 received


While listening to the live blogging of Steve Job's iPhone WWDC keynote (the "Stevenote") I was watching Apple's stock, an old favorite option trading stock of mine, and how it reacted to the news. I also had CL on there as well. I saw some nice failed breakouts, which is quickly becoming one of my favorite setups. Needless to say the AAPL traders were underwhelmed with the new iPhone release. The fact that the market as whole was down also didn't help.

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