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shodson's Trading Journal

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  #201 (permalink)
 shodson 
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Larger time frames...horizontal lines...range breakouts...avoid the noise...knowing the right time of day to trade...add some good MM...I'm liking it more and more. I'm just sayin'


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  #202 (permalink)
 shodson 
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3/17 - Great gap setup, good odds and profit factors, so I took a full-sized gap trade and...FAIL! It just never even came close to filling the gap. As I got close to stopping out the market felt really bullish as price kept bumping up against my resistance over and over again. I felt like reversing my position because I just didn't think the resistance could take that many hits but I stuck to my plan for a full loss. The reversal idea would have been a good one but I wasn't prepared to take it.

Once again, 1 loss wipes out 3-4 winning trades and I'm back to break-even. I'm thinking how my win rate on my trades has been high, but I seem to get a lot of small winners and large losers. I think my position sizing is reasonable, based on the strength of the signal, but in hindsight maybe I should just trade the same size every time.

I was watching 6E and CL as well. CL was pretty range-bound. I did see what I thought was going to be a wave 5 sell on 6E forming, but it didn't materialize and just went higher.

ES: 1 loser: 4 @ -21 ticks

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  #203 (permalink)
 shodson 
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3/18 - There were similar odds with gap trades today as yesterday, but there was no gap to speak of so no gap trade.

I took a 00s trade on the 6E. In retrospect, this was not an ideal entry as it tested that level earlier at 3:15 and failed, then didn't reset back below the 50-line like I think it should (need to backtest this). At any rate, the trade failed.

6E: 1 loser: -15 ticks

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  #204 (permalink)
 shodson 
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3/19 - The gap play did not look very favorable to me, as well as others in the chat room, but the moderator took a short trade right at the open. I'm not really sure why other than he thought the market was over-bought. It was a pretty discretionary call, and a good one as the market tanked 10+ point pretty early on, but he spent the rest of the morning in the chat room trying to explain why he took the trade even though the gap guides weren't very supportive of it.

I took a 00s trade on the 6E but got stopped out at the high (1.3530) just before it turned around and would have hit my break-even target. Funny, I opened up Ninja on another machine later in the day, same account and data provider, and on my chart it never got over 1.3529 at that time, so I really got screwed on some slippage shenanigans, or there's some data discrepancies.

6E: 1 loser: -15 ticks

I'm learning MetaTrader MQ4 now for another project/client. Very different from Ninja.

Got my DIBS "hot hand" indicator working now. Now I just have to bring it all together into a strategy.

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  #205 (permalink)
 Big Mike 
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Scott, when you have a few minutes I'd be interested in seeing some MT examples and MQL stuff, as you are learning it. Maybe a new thread like I did with MultiCharts.

Mike

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  #206 (permalink)
 shodson 
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You bet, we'll see where this takes me.

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  #207 (permalink)
 cory 
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MQL indicators by Waddah Attar look promising.

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  #208 (permalink)
 shodson 
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In the wrap-up video for Friday it is apparent that although the odds for the ES were weak for fading the gap in the D-H zone, they were great for all of the other indexes as well as the correlating ETFs. Doing your homework before the market open pays off. Unfortunately, I didn't even wake up early enough to fade it for being up too late working on some other things until 2am.

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  #209 (permalink)
 shodson 
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3/22 - Not very good odds for gap fading, and the gap was very large, so I avoided a trade. Of course, the approx 8pt gap filled nicely and quickly. This month has been very bizarre for gap fading. The MTG daily video is here. The MTG gap wrap video is here if you want more details.

I saw a DIBS setup and went short on the 6E, but then realized I was looking at the 6B on my chart and I quickly got out of the trade for a small loss. I was a little groggy still for being up late the night before. Sheesh, stupid execution, wake up man! in retrospect, it was a blessing as the market, both 6E and 6B, ran to the upside and getting out -5 was better than getting out at my stop loss level.

My account is at the lowest it has ever been, only having been at it's highest level just last week. This is depressing

6E: 1 loser: -5 ticks

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  #210 (permalink)
 shodson 
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3/23 - I slept in and missed a decent gap fade setup that was a 2.5pt winner. I could have used that to recover from the recent losses.

MTG 3/23 Gap Wrap Video

NO TRADES

3/24 - Pretty good gap fade setup materialized so I went for it with a full size position. As we got less than 1pt of getting gap fill I reduced my stop in half so it later came back down and stopped me out. I usually don't adjust my stops on gap trades because I know it decreases the win rates when you do that but I felt it was going to fill and I didn't want to suffer another full-sized loss. It never did come down to where my original stop was and it never filled the gap so staying in the trade all day would have had me down only 2 ticks instead of 2+ points.

I should have not moved my stop and have renewed my commitment to just follow my plan to trade this system more mechanically. If I can't stomach a full-sized loss then I shouldn't be in the trade in the first place. So I've reduced my position size to a level that won't tick me off for the rest of the day if I take a loss. However, it will take me a lot longer to recover from previous losses with the smaller size but I'll just have to chalk include that into my already-paid "tuition" amount.

I've also re-committed to automating this system. The technical challenge is getting the MTG gap guide data in a machine-readable format so I could automate it but I started working on it last night. I can't keep missing winning trades because I sleep in only to arise early enough to take the losers. It's very maddening! I could just say "just get up earlier every day you lazy bum" but getting up at 5:30-6:00am every morning is not compatible with my personality as I like to stay up late sometimes working on something that has caught my interest or trying to hit some deadline.

MTG 3/24 Gap Wrap video

ES: 1 loser: 4 @ -9 ticks

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  #211 (permalink)
 shodson 
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3/25 - UN. BE. LIEVE. ABLE.

Gap guides looked OK to good opening in the D-H zone. There was a lot of pre-market bullishness because of the better-than-expected jobs report. So I reduced my position size. The market opened with a 7pt gap, > 40% of the 5-day ATR which increases the risk of failure, so instead of risking 5pts to make 7pts I placed my entry 1pt above the open to risk 4pts to make 8pts. I actually picked the top of the market...for my stop...as it went right up to my stop to the tick, then turned around and and dropped 16pts, right through my gap fill target of 1164.50. I think someone up there really wants me to quit trading. This is getting ridiculous.

ES: 1 loser: -16 ticks

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  #212 (permalink)
 Big Mike 
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Hi Scott.

Can I ask you to run a NinjaTrader performance report for the last 2 to 4 weeks, and take a look at a few things?

What is your win percentage?

What is your win/loss dollar ratio?

If you look at your trading journal can you easily look to see if you are taking any non-gap trades? Isolate your gap and non-gap trades, now review each separately. Are there any discernible differences? Is one setup more fruitful than the other?

I know you really like MTG and recommend them. What about analyzing for these 2 to 4 weeks how many times you ignored MTG recommendation and what their result was vs. what your result was. Are you outperforming MTG, or are you underperforming them and therefor selectively choosing more losers than winners?

Last, if you do have non-gap setups, I would like to know if your trades are with the trend or against it, and how your trades stack up. If your journal keeps track of "with trend" and "counter trend" for each setup, it is easy to track. Otherwise, you need to first evaluate the dominate trend for each day/trade, then analyze if your trade was with or against it. The bottom line here is this: do you find that taking both with trend and counter trend trades to bear relatively the same performance values? The same win percentages and win/loss dollar ratio? Or do you find one vs the other to have a significant advantage?

I know that what I am proposing above is a couple hours of work. But it is my belief that you need to do this work and figure out where you stand. I've been there and recognize some of the comments and reactions. Psychology naturally plays a huge pat in this, but you also have to take ownership and responsibility for decisions you are making. The only way to know if those decisions are logic based or emotionally based are to analyze them like I've stated above, and let the numbers speak for themselves.

Enjoy your weekend!

Mike

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  #213 (permalink)
 shodson 
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3/26 - The market gapped up but the gap tightened into the open and the gap was very small at the open so I didn't take a trade.

NO TRADES

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  #214 (permalink)
 Hapster 
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FWIW, I didn't start doing a LOT better in my personal trading till I STOPPED listening to other traders and taking THEIR recommendations -- i.e., your reliance too much possibly on MTG in order to find a trade. Just an observance in reading prior posts in your journal.

Cheers... Hap

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  #215 (permalink)
 shodson 
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3/29 - Poor gap guide probabilities as the market opened in the D-HO zone so I didn't take a gap fill trade. The gap never did fill but the day never did move much away from the gap either.

NO TRADES

3/30 - I slept in a little late and rushed to my computer to see if there was a good gap setup and if I could get in it. There were pretty strong gap guide data, opening in the U-HC zone. I got filled a little after the open but just 1 tick lower than the open so I was virtually filled as if I shorted at the open. Since the gap was pretty small I went for an extended target. After taking some heat around consumer sentiment news at 7am I survived and got my target filled an hour later.

I'm trading much smaller sizes now, just 1 contract, to more conservatively preserve my capital and not take such an emotional hit when trades do fail. Unfortunately, that means it will take me longer to recover from previous losses but that's what I've decided to do and I guess I just have to add that to my tuition.

ES: 1 winner: +12 ticks

Got a nice winning DIBS signal on the 6E at 5am but wasn't up to take it, still need to automate this.

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  #216 (permalink)
 shodson 
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3/31 - Gap guide data was not compelling so didn't take a gap trade. Took some mental/SIM trades on ES, 6E and CL that all worked out, but of course it only makes pretend money. Still reading tape + volume confirmation. Some of my virtual trades are charted below.

NO TRADES

4/1 - Gap guides were worse than yesterday. Fading up-gaps on the first of the month are riskier as the first of the month is usually bullish due to mutual fund inflows being put to work.

Took a CL scalp based on a climax up bar, then a high volume churn, followed by a high climax down bar that was also a volume spike. Set my target to 20 ticks, moved my stop to break-even once it hit my target but didn't fill me. Market came back to my entry and then blasted through my initial target just after that. Nice April Fools trade I guess. This was my first real-money trade on CL after watching it for quite a while.

CL: 1 break-even trade

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  #217 (permalink)
 shodson 
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I wrote this over the weekend in a Word doc but never got it posted. I might as well do so now.
__________________________________________________

Thanks Mike and Hapster for the encouragement and advice.

I think Mike's advice is very good. It will take some time and I started tracking my trades more diligently in January but got behind since then so I will have to update my score keeping. At least I have all of my trades posted here to refer to. I think itís especially important to consider if youíre trading with-trend or counter-trend.

As for reliance on MTG, I don't take their signals blindly. In fact, the guys that run the site don't want people to rely on their go/no-go signals. They want people to use their gap guides in whatever way they are most comfortable with and they like to backtest various setups during the day as the market is progressing. The reason that I like MTG is that their gap guides and system are the most thoroughly and broadly back tested system I've ever encountered. The three categories of market behavior they test (market conditions, chart patterns, and seasonality) give the system a lot of breadth. And the fact that they test 12 years of data give it depth.

The last trade I took last week, that failed by just one tick, was a trade I decided to make on my own and MTG did not take it, so I don't just follow them blindly. And even if I did follow them, I still take full responsibility for my trades. Some people in their chat room are complaining and whining about their performance this month but the MTG guys are very transparent about their results and their weaknesses, which is another reason why they advise people not to follow them blindly.

I know we always hear "follow your plan" and "be disciplined" but if your system (setups and money management) isnít profitable, following your plan and being disciplined doesn't do you much good except follow your plan to ruin in a disciplined manner. Also, I like trading the gap because it's a system I can follow before work, which fits my lifestyle. I believe following the MTG gap guides is very beneficial. Up until this months, the last 24 months, they've only had 1 month where they lost money (July 2009). However, they ended this March down for the month. I guess I can take solace that I'm not the only one struggling this month.

I think I am doing OK at being disciplined and am pretty good at following my plan, but it's hard to do if I don't have confidence in my system. MTG is the system I have the most confidence in currently. Listening to their intraday market analysis of whose stuck long/short, where the swing traders probably have their stops at, the importance of trading WRT highs and lows of yesterday and two days ago, and many more things we look at acts as a mentoring session for me as well. We also talk a lot about psychology, money management, expectations, trading as a business and many other important topics in the chat room as well. With that said, I am currently exploring, experimenting and developing others systems and signals to add to my arsenal but I'm not as confident in any of them yet as I am with MTG.

I recently finished reading Outliers: The Story of Success, and one of the major points of the book is that while examining people that are exceptionally successful at a craft, trade or skill like professional athletes, musicians, programmers, lawyers, etc., it takes about 10,000 hours of practice to reach an extraordinary level of performance. To achieve that many hours you were usually brought up doing that thing at a very early age, or you came from a culture that cultivated the skills and values necessary to excel at your craft. So, with that in mind many mornings when I donít like the gap setup Iíll still watch and follow the market, sometimes taking other setups but with smaller size. "Putting in screen time" is very beneficial and part of my 10,000 hour investment. Iím aware that very few people are actually successful at trading and to be successful at it takes focus and practice of a professional athlete to consistently win at trading. With that said, think of the great athletes that had incredibly unique and edge-seeking practice regimens. People like Jerry Rice, Lance Armstrong, Peyton Manning, and Kobe Bryant come to mind for me. These guys kill themselves and study the game incessantly to get an edge above and beyond what their peers would commit to doing. While pondering that you have to be that good to be a consistently profitable trader is daunting, perhaps even depressing, I donít think you have to be that good or that much better than everybody else. However, it is motivational to think about what it can often require to achieve an edge in the markets. Just look at the recent NY Times article about day traders: day trading is really hard.

Since I canít put in 6-7 hours a day of screen time because of my current job I have been looking at trading larger time frames as well, starting with hourly and daily charts. I have been dusting off my old options trading skills and started following stocks again and some option volatility strategies, primarily from Jeff Augen's recent works which I really like. Once I start taking trades in that arena Iíll start posting them here as well, though, since this is a "day trading" site itíd probably be considered off-topic.

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 shodson 
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Friday 4/1 - Good Friday, decided not to trade

Monday 4/5 - Weak gap guides as the ES opened in the D-H zone so I didn't take a gap trade. Waited to see if anything interesting would happen with the home sales report at 7am but it was just like watching paint dry.

Oil had a big run-up pre-market. I saw a nice counter-trend reversal setup on CL due to large churn volume. The 6:10am bar was my signal to go short but I waited to get a little better fill at a higher price as I didn't think it would just run away to the short side. When my target was filled price was about 6-7 ticks away and suddenly jumped to my target then turned around. Freaky beast...

CL: 1 winner: +20 ticks

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Jugador
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Just look at the recent NY Times article about day traders: day trading is really hard.

Well, that was depressing...lol

80% of traders lose outright, and of the 20% that make money, only 1% actually sustain a livelihood after commissions and taxes. Good, I like a challenge!

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Hi Scott,

So if the gap guides were showing weak gap fill rates today, then I'm wondering why did they not recommend trading in the direction of the gap?

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 shodson 
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Hi Scott,

So if the gap guides were showing weak gap fill rates today, then I'm wondering why did they not recommend trading in the direction of the gap?

Thanks for the question.

Their system is entirely based on gap fill. 70% of the time the gap does fill, if you use no stops, so you want to take only the gap trades that have the highest percentage of filling that still allows you to use a decent sized stop without incurring catastrophic losses. Sometimes they take a day trade to go with the gap when the odds are very low, and if other factors are in play. Take today for example:
  1. The overall market trend has been bullish
  2. It's a Monday (usually bullish)
  3. The 1st, 5th, and 16th of the month are also usually more risky for fading up-gaps because of their tendency to be bullish. The 1st and 16th are bullish because of mutual fund inflows. We don't know why the 5th is usually bullish but it is.
However, the day trades they sometimes take are not what they have back tested and they don't encourage people to follow them, but it's educational to watch them take certain day trades and hear their rationale for taking them. With that said, their discretionary day trades use much smaller position sizes (10% or less) than the position sizes they use for their gap trading because they don't have the same statistical edge that they feel they have with fading the gap.

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 shodson 
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Tuesday 4/6 - Good gap guide probabilities today with the ES opening in the U-CO zone. NQ and TF were lined up similarly, providing further confirmation of a good setup. The YM was the only one that opened in a different zone (U-OL) but 3 of 4 was good enough for me. The fact that the target was at it's 52-week high was also concerning for me, but the trend is currently up so I received some comfort knowing I was going with the trend.

The gap filled almost 2 hours into the day but never took much heat as this bullish market melt-up continues.

Watched CL as well while waiting for the gap to fill. I didn't see any clear winning entries that I wanted to take.

ES: 1 winner: +16 ticks

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 shodson 
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Wednesday, 4/7 - Decent-ish gap guides today, enough to fade the gap. Got within 3 ticks of my target so I tightened my stop just below the Globex low. Market turned around and stopped me out for a loss, then turned back up without hitting my original target so moving my target may have been a bad decision. Tightening my stop decreases my win rate and changes the parameters of the original setup. Whatever happens here the rest of the day I think I just need to stick with my original stops and live with a full loss because it interferes with the statistical probabilities that got me into the trade in the first place.

At 7:30 we got the EIA petroleum status report, my favorite news event of the week, and I went short on the post-news breakdown.

Overall, I made enough to pay my commissions today with some lunch money leftover.

ES: 1 loser: -15 ticks
CL: 1 winner: +20 ticks

later...

Yep, the gap did eventually fill a few hours later without visiting my original stop. Mechanically following the gap guides would have given me a winner instead of a loser. The "1pt" rule (move your stop if you get within 1pt of gap fill) is something the MTG moderator does as a discretionary move for his own psychology but it throws off the probabilities and I think I'm better off just following the gap guides mechanically and he doesn't advise people do it. I need to decide if I want to use this rule or not, incorporate it into my plan and stick with it. So far the last few times he's done it it has cost him money but I've seen other months where it saves him too so I just need to decide what I want to do ahead of time and commit to it.

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 shodson 
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Thursday, April 8th - The gap guide setups weren't that compelling today, but we gapped down and the market has been so bullish I was anxious to pull the trigger. Then in the MTG chat room it was mentioned that the profit factors for going for the extended target were interesting so I took a look. While not astoundingly good, I thought I'd go for it if I could get in with a 2+pt retracement in the first few minutes, which I did. I took just a little heat, chopped around most of the morning then the market busted a move to the upside hitting my target for an 8pt win. This is the largest target I've ever hit in the ES.

Was watching CL but wasn't around to catch the high-volume swing high/low breakouts that were good for 20+ ticks each.

Watched price action for NG's inventory report, that thing went bonkers! Would like to study this market a little more.

ES: 1 winner: +32 ticks

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 shodson 
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Friday, April 9 Ė Good gap guide data made me go in at the open, though I wasnít excited about shorting this bull market. The gap was small so I went for the extended target which in and of itself had a decent setup. The gap did fill but then turned around and chopped around the rest of the day, until it went higher into the close.

On the 6E I saw an entry based on volume patterns so I went long, but after looking at the price action I realized that last near volume spike was following a long up trend and that there probably wouldnít be much continuation and that it was probably an exhaustion move, so I quickly got out for a small loss. As you can see on the chart I was right to get out when I did as the market shot hard to the downside through what would have been a full losing position. I guess I could have reversed but I wasnít convinced it would reverse, just that the odds of continuation were not what I thought.

I took a volume pattern signal for a short on CL as well, though I should have waited for more volume but I guess I was trigger happy. Turns out it was a winner. Luckily it worked out for a nice 20tick scalp but it ran lower for another 80+ ticks so it would have been nice to have a runner there, but Iím focusing on becoming confident with 1 target before introducing additional targets to manage.

I was hoping for a triple-double today, but my small mistake in 6E prevented that and my greed on ES left me empty-handed there as well.

ES: 1 loser: -20 ticks
CL: 1 winner: +20 ticks
6E: 1 loser: -4 ticks

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 shodson 
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Monday, April 12 - The gap was almost non-existent so wasn't worth fading.

Saw a breakout on the 6E but entered a bar too late because the volume wasn't there on the break-out bar. Got 2 ticks from my target then turned around for a loser. Didn't follow my rules, was trigger happy and hoping I'd get more follow-through. Shame on me.

6E: 1 loser: -12 ticks

Tuesday, April 13 - Gap odds were poor, so poor in fact I considered just taking a gap-and-go anti-fade trade but I haven't really done that before but that would have been a good idea as the market broke down hard in the 1st hour. I got a small scalp as ES made new lows on good volume.

Took a hi-vol breakout on CL but it was a head-fake and I got stopped out, but then made the move I was originally hoping for and then some.

Took another hi-vol breakout on 6E for a nice winner.

So the 6E and CL trades canceled themselves out and I'm left with a small gain on the day due to the ES scalp. I should be trading more contracts on ES since my targets and stops are much smaller, dollar-wise, than what I'm doing on CL and 6E.

CL: 1 loser: -20 ticks
6E: 1 winner: +16 ticks
ES: 1 winner: +6 ticks

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 shodson 
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Wednesday, April 14 - Great gap probabilities and profit factors so I had to take it, though I was worried as the market has been so bullish I never get excited about shorting ES these days. Turns out I was right and I go a loser. I also scaled in a 2nd car half way to stop loss as these can often go towards your stop then turn around and fill. I figured the 2nd car gave me a 1:3 risk:reward ratio so if I got filled the 2nd would be a nice kicker and my loss would only be half as normal as if I went short at the open. I'm still playing with this.

Missed the big post-news breakout on CL. I tell myself I would have taken this but I was a little tentative anyways since the news gap was so large, but if I had followed my rules and not been distracted by a family need it would have been a winner.

ES: 1 loser: -21 ticks and -10 ticks

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 shodson 
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Thursday, April 15 - Good gap setup again, but I felt better about this one since it was a down gap and the market has been bullish. I also heard that Rob Hanna published (sorry, no link) that the 15th and 16th of April (tax days) are usually bullish as people get in their IRA contributions before filing and the money is put to work. The gap was very small which I didn't like. The market chopped around ahead of the Philly Fed minutes at 7am, then after the news the market started looking more bullish so I increased my target to the extended target. Price continued upward and hit my target nicely.

Saw support violated on high volume so I went short for 20ticks. I wanted to increase my target to 30 or 40 ticks as I thought it would probably break or test the support level below it too, which it did, but I'm just keeping it simple on CL for now while I get used to it, just targeting 20 and risking 20 with 1 car when I think I see a good setup.

Natural gas had another day of huge moves on its inventory reports. Going to keep watching this one.

I couldn't find any good setups on forex so I didn't get a shot for the elusive triple double. I'll take a double-double any day though, especially protein style with fresh onions and a vanilla shake.

ES: 1 win: +11 ticks
CL: 1 win: +20 ticks

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  #229 (permalink)
 shodson 
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Friday, April 16 - Options expiration, usually a weird and unpredictable day. The gap guides for ES were not that compelling so I didn't take a gap trade, though I considered getting in at a lower price. I had a buy order in at 1200.00, price touched it but then immediately bounced up for 6 points like I thought it might. Bummer. I cancelled my order and just watched the market. Then the Goldman Sachs news hit and everybody lifted their bids. I thought about going short because it broke support with high volume but it kind of caught me off guard and I thought initially it was an over reaction to the news, as it started to recover from the initial spike down, but the market had a different opinion and pushed lower. Oil, gas, and forex all sold off. There was no rotation into safety, everybody was selling everything. Even gold got hammered.

So I didn't take any trades, maybe because of fear, maybe because of uncertainty in the face of so much new volatility. Once I saw the big red bar I turned on CNBC, which I usually don't do, to see what was going on. I kept it on, which distracted me as pundit after pundit kept coming on trying to dissect the news and the reaction to it.

At one point the DOM on CL just stopped, so I loaded it up on thinkorswim and it was stopped there as well. They later announced on CNBC that the CME shut down some electronic trading during the height of the Glodman news. That also freaked me out. I couldn't imagine what I'd do if I was in a position when that happened. That may have been the point where I decided it was too dangerous to play. So in the end, I protected my capital and kept my money on the sidelines.

Today was a good day to own VIX calls.

NO TRADES

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  #230 (permalink)
 shodson 
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Monday, April 19 - Was up late and watching Bloomberg TV and got the urge to trade the London open because I wanted to trade its reaction to the Goldman Sachs news. Everything quickly opened lower and the trend on MTFs was short, so I only looked for short entries. Got short ES and CL on pullbacks.

My first ES trade stopped out, perhaps my stop was too tight. Once it turned around and went below the EMA I put another short order at the EMA and got filled. I thought about having a larger target as it would probably re-test the lows but I kept it at 2pts. The 2nd trade did win so I was scratch on ES. It did re-test and make new lows like I suspected though.

On CL I went short on a pullback, targeting 20, stop at 20. Then I realized I wanted to put my stop above the recent swing high for a better shot to keep me out of trouble, so I also increased my expectancy to 30 ticks. I wanted to make it bigger as if it broke down to there it would probably get continuation lower, making new lows, but didn't want to get too greedy. If I had more than 1 car I could had done a runner but my plan doesn't allow more than 1 car right now.

Anyways, I went to bed with the CL and 2nd ES trade open and woke up to 2 winners. BTW, CL went +100 ticks lower from my entry, would have been a nice runner.

Looked at taking a gap trade. All 4 indexes opened in the D-CL with mediocre probabilities, so I didn't take a gap trade, especially after such a volatile OpEx day making the daily bar so large. The gap did fill nicely and quickly with little heat in the first half hour.

ES: 1 fail, 1 win: -8 and +8 ticks
CL: 1 win: +30 ticks

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 shodson 
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Tuesday, April 20 - Moderate to weak gap guides, didn't take a gap trade. In the chat room they did give a little preview of some additional setups they are working on WRT the gap guides, in particular, how an open range breakout strategy can work or fail depending on which gap zone it is in, and relative to the range's open and close. There's still a lot of work to do but it looks interesting. I've attached a preview of what they are for now calling "Mock zones" (Tim Mock is working on it).

Took a high-volume swing low penetration that was with-trend and it eventually failed. kept increasing my target as I slowly increased my stop above the big signal candle but never really got close to my target and stopped me out. It was interesting to watch how quickly it ran through my stop once it started heading up there. There must have been a lot of similar stops like mine up there.

Took another with-trend short on 6E for a nice eventual winner. Again, also increased my target as my original target was close to a swing low and if it would get there it would get some follow through even lower and this time I was right.

CL: 1 fail: -34 ticks
6E: 1 win: +24 ticks

Also, Mirus Futures called me yesterday warning to roll over into the June CL contract since I traded May on Monday. It was a nice gesture and I thank them as I may have forgotten, though when I pulled up my CL chart this morning and saw the really choppy price action and volume I remembered to not trade May anymore. I should just keep 2 months on contracts in my Market Analyzer for now on and watch the volume between the two in order to remind myself.

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 jinhar 
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Hey shodson,


To be honest i dont knw much abt the gap plays so i wont touch that regarding ur today's trade on Cl y dont u use trend to help you out .. For example if u are using your 5min chart as ur trading chart then y not confirm the trend with a higher timeframe 30 min chart ? and if u are using 5min as ur main analysis chart then y not use a lower timeframe chart to get better entries ??? if you look in the screen shot On 30 mins Trend was up u and even if we closed below we still dint test the 30 min break of the trendline .. and if u were taking a short from 5min then better entry would be around 80-75 region ..... Just one Cent buddy forgive me if i wrote something out of content .. .. Love your trades .. and your journal .. keep up the great work .. happy trading


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 shodson 
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jinhar View Post
Hey shodson,


To be honest i dont knw much abt the gap plays so i wont touch that regarding ur today's trade on Cl y dont u use trend to help you out .. For example if u are using your 5min chart as ur trading chart then y not confirm the trend with a higher timeframe 30 min chart ? and if u are using 5min as ur main analysis chart then y not use a lower timeframe chart to get better entries ??? if you look in the screen shot On 30 mins Trend was up u and even if we closed below we still dint test the 30 min break of the trendline .. and if u were taking a short from 5min then better entry would be around 80-75 region ..... Just one Cent buddy forgive me if i wrote something out of content .. .. Love your trades .. and your journal .. keep up the great work .. happy trading


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Thanks Jinhar,

Well, scrolling my charts back to when I entered, on my MTF charts (attached) I had the 15 min down, the 60 min flat-to-up and the 240 min down but rising. So it's not clear to me that the trend was up, but you could say it wasn't absolutely down. Since the trends were mixed in different time frames maybe I shouldn't have traded at all.

I'm still trying to get used to trading MTF and figuring out which intervals work best and which indicators to use to consistently gauge the trend across time frames. Any ideas? Also, what do you do if a trend if down in one level and down but rising in another? In other words, price is positioned correctly in both time frames, but momentum in one is diverging from the momentum in another, what do you do?

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 jinhar 
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Let say 30min is down and 5min is rising then the best thing to do is sit on ur hands if you dont trade counter trend thats what i would do... but if you must trade counter trend .. then the method which i would use or suggest is to add a smaller timeframe to ur trading chart like a min or a tick or volume chart and when 5min is in uptrend 30min in down trend take trade of ur smallest chart one min analysing trades on 5min ... But the problem with this method will be That u will be lookin for trend trades on 30mins and 5mins . while looking for counter trends on 5 and 1 .. Such methods dont work for me and makes a lotta stuff confusing as u may knw i like it as simple as possible .. But this method is very useful for such cases and gets lotta big runners when u practice it right ... hope it helps .. Happy trading

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 shodson 
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Wednesday, 4/21 - mediocre odds in the gap guides and a gap < 1pt kept me from a gap trade.

Watched CL and 6E. Saw some good setups on 6E but for some reason had trouble pulling the trigger. Not sure why. I guess the setups weren't overly convincing, or I wasn't focused, not sure why. Anybody suffer from the same thing sometimes? Any good explanations? I mean, I'm not in a draw down, maybe I was just tired.

NO TRADES

Instead of multiple charts I just took a screen shot of most of my desktop and annotated on it.

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 shodson 
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Made a new friend last night at our Meetup, he showed me a system he uses on stocks and teaches it to others. I couldn't remember all of the details but I put together something from what I can remember, looks like it could be worth something, I tried it out on CL(5 min)

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 shodson 
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Thursday, 4/22 - The gap setup was weak, considered a go-with gap trade but decided just to stay away. The market did open below yesterday's lows, ran another 5 points lower, which would have been a nice go-with gap trade.

For some reason I passed up on some nice high volume, swing low, with-trend break-downs. I'm not sure why, I must not be subconsciously comfortable or confident in this setup yet, perhaps damaged from some previous losses. I think the best way to (re)gain my confidence is to back-test this so I can feel I have a statistical edge with my entries. Still, I was disappointed that I let those go. Later took some trades that were pullbacks in the direction of higher time frame trends that revisited the lower time frame EMA. Unfortunately, the trend reversed on me in both cases and I got two losing trades.

CL: 1 fail: -20 ticks
ES: 1 fail: -18 ticks


Friday, 4/23 - Was sick on Thursday and didn't feel like waking up early on Friday morning to trade. I needed sleep to get better. The MTG gap guides had a nice, easy and profitable setup of course, which I missed out on.

NO TRADES

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  #238 (permalink)
 shodson 
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Monday, 4/26 - Tired of missing good gap trade setups because of sleep, and desiring to trade gaps more mechanically, I finally got around to coding a gap trading strat for myself. I was up until 2:30am on Sunday working on it and slept in, missing another successful gap trade, though it was just a 5 tick gap but I decided to skip this morning's trade for the better, long-term option of automating my gap trades. Did some more testing on it this morning and have it in a pretty good condition now. Going to test more and SIM trade for a week or so before putting real money on it.

In the sample screen shot, I ran a test on SIM. I had the previous session closing price at 1210.00, and told it to fade the gap at 9:00am if price opens between 1212.00 and 1216.00. This is not a typical, ES session or test, I was just testing entering at a specific time and if the session opens within a pre-defined zone. This is not completely 100% auto-trading, I have to manually intervene daily. After I analyze the gap guides the night before and decide on which price zones look favorable for gap trading I can set this up before I go to bed and not rush up early to fade a potential gap setup if it sets up in the zones I wanted it to.

It also looks for a minimum gap size, and closes out end of day if the gap has not filled and I have not yet been stopped out. It supports going for the extended target as well and supports MTG's "one point rule" for trade management, which he uses with discretion but many other subscribers don't (I usually don't).

More examples to come...

I finally got into the NT7 beta program, I'm liking what I see so far. The session templates are handy.

NO TRADES

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  #239 (permalink)
 Big Mike 
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Scott,

It looks like you're trading with trend on these last two posts and doing a good job of identifying the swing high/low for directional trades with trend (HH+HL, LH+LL).

I suggest trying out this Decision Matrix, it may help you when the psychological aspect. The example Bacon listed could be useful to you, of having two separate areas for when you decided to skip a trade (talk yourself out of it), vs when you did take it.

Mike

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  #240 (permalink)
 shodson 
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Tuesday, 4/27 - The gap setup was interesting, the odds were OK but the patterns number looked like an outlier and was skewing the score I thought. Plus the gap was pretty large, but the market favored bullish sentiment pre FOMC day. The gap came within 1 tick of filling, then turned around, so I did avoid a loser but many people in the trading room went for smaller targets and made money. No regrets. I had my gap fading strategy set to take the trade though but it didn't fire. I got it set up at 6:29 (got up late) instead of the night before, so maybe I didn't get it set up early enough ahead of the open. We'll see how it goes tomorrow.

Got breakdowns on all my markets around 8:30, probably something to do with the Goldman hearings. I entered in late on 6E and got a bad entry, which got me stopped out then a few ticks later it turned around for a big winner. On CL I tried to get short but it moved so fast I just put in a limit order hoping it'd pop back up for a second but once it hit what would have been my target I canceled the order. The move down was large and fruitful for those that took it.

I'm having trouble timing my entries. I use Ninja's BarTimer to give me a heads up as to when the bar is going to print so I get my order ready because I saw the bars breaking down on high volume. But the bar seems to print with 10-20secs left on the BarTimer, so I get caught unprepared and fumble my entries like today. Maybe I just need to enter with 15sec left on the timer, but more than anything it motivated me to automate this so I can reduce my execution risk.

6E: 1 fail: -15 ticks

Revived development and testing of a strat I worked on last year but got distracted from, and coded 2 new indicators WRT MTF trend following and mean reversion. I'll try to contribute this stuff to the Elite Group Trading Methods.

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 shodson 
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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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  #242 (permalink)
 Fat Tails 
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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)
 shodson 
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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 EspaŮa!

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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 shodson 
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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

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 shodson 
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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 
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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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  #247 (permalink)
 shodson 
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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.

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  #248 (permalink)
 shodson 
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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

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 shodson 
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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.

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 shodson 
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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.

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  #251 (permalink)
 shodson 
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Tuesday, May 18th and Wednesday May 19th - I set up some zones but price just never opened where I wanted. The gap did fill nicely on both days though.

NO TRADES

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  #252 (permalink)
 shodson 
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Just saw a nice short setup on ES in ToS here while working, I wonder how it'll play out. Looking at the 30min for trend, entering on the 5min, and using 3min TICK to as an indication to what the underlying NYSE stocks are doing.

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  #253 (permalink)
 shodson 
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Well, the ES trade didn't really go anywhere, it probably would have been a stop-out for me.

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  #254 (permalink)
 Big Mike 
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Scott, are you primarily using ToS for charting now? Still use NT DOM, or TOS?

Mike

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  #255 (permalink)
 shodson 
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Big Mike View Post
Scott, are you primarily using ToS for charting now? Still use NT DOM, or TOS?

Mike

I primarily use Ninja still. I use ToS for my IRA where I can trade stocks, options, futures and FX. I also can get market internals (TICK, TRIN, etc) as well from ToS. Also if Ninja is running strats on my server I don't want to connect to ZenFire on my laptop and kill the ZenFire connection on my server running the strats so I check into the markets when I'm away from my trading computer with ToS. I'm not doing any discretionary trading in Ninja anymore, only automated. In ToS the automated trading features aren't nearly as sophisticated so I'm looking to make swing trades in my IRA, but it's been all cash for a couple of years now as I've focused on day trading in Ninja since last summer.

If anybody else uses ToS this site has some cool indicators and tools.

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  #256 (permalink)
 shodson 
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Setting up my strat before I go to bed. I'm setting up to fade the gap in 2 trading zones.

...later...

Decided to not fade a gap up based on what I saw in the daily gap wrap video for today, which I just watched, which shows that fading up gaps (shorting) after 6 consecutive down days is a money losing setup, so I'm only set up to trade one zone now if it opens between the close and the low of yesterday's down day (D-CL zone).

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  #257 (permalink)
 shodson 
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Thursday, May20th - Opened at 1088.75, below yesterday's low, so no trade. Looks like it wants to re-test the low of the "flash crash" which was around 1066.

NO TRADES

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  #258 (permalink)
 shodson 
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Friday, May 21st - I set up some fadable zones but ES opened below yesterday's low and filled a large 16.25pt gap. Re-examining the numbers for that zone, the win rate was not as favorable (61.6%) as my expected 70%, but the profit factor (1.73) was much larger than my normal threshold of 1.3, so it was a very profitable setup. I'm wondering if I might want to consider taking trades with lower win rates if the profit factors are considerably higher like this one. It will probably bring more volatility to my account but overall more profit. For now and at least the rest of May I'm sticking with 70%+ win rate and 1.3 profit factor setups because I don't want to experience too much draw down.

NO TRADES

CL was a pretty up and down day so plenty of opportunity to get chopped around. This system I'm working on automating still had a good day. I'm still playing around with my MM strategies relative to ATR and the type of MTF analysis I'm comfortable with for this. All 3 of my higher time frames were bearish, so you could argue I would not have wanted to take that long trade on the 9:55am bar because while the 30min was bullish the other 2 were still bearish. But requiring many time frames to be lined up in the same direction trades much less frequently but probably will return a larger profit factor, but I won't know for sure until I'm done coding this up and after doing some testing.

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  #259 (permalink)
 Big Mike 
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shodson View Post
Re-examining the numbers for that zone, the win rate was not as favorable (61.6%) as my expected 70%, but the profit factor (1.73) was much larger than my normal threshold of 1.3, so it was a very profitable setup

Scott, when you say 61.6% and 70%, you are referring to values given to you by a third party, yes? So, how does your own trading compare -- for example, isolate these "70%" trades, do your own trades also show a 70% win rate and profit factor?

Mike

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  #260 (permalink)
 shodson 
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Big Mike View Post
Scott, when you say 61.6% and 70%, you are referring to values given to you by a third party, yes? So, how does your own trading compare -- for example, isolate these "70%" trades, do your own trades also show a 70% win rate and profit factor?

Mike

Yes and no. No, those are numbers I come up with. Yes, I use 3rd party number from MTG to come up with my numbers, which are a weighted average of market conditions, pattern risk and seasonality (40%, 40% ad 20%) of fading the gap at the open with a stop the size of 30% of the daily 5-day ATR, between 5 and 12.5pts for the ES.

I know I am profitable when I take MTG gap fades as I have been using their gap guide data since November. Initially I pretty much used them as a signal service but around January or February I would say is when I started customizing my own approach to gap fading, which is what the MTG owners want their members to do: create your own style of trading around the gap guide data. They don't want to be a signal service.

Unfortunately I can not say if I have the same results or not because there have been winning and losing setups that I would have taken that I didn't because, primarily, I couldn't wake up early enough to take the trade at the open. To truly know a system's performance you have to take every signal the system gives you and since I missed some I have to say I haven't truly tested the results of 70/1.3 for myself but my sense is that it works. After missing 3 winning setups in a row, I decided to automate my gap fading setups so I wouldn't miss them because I was up too late the night before. In it's current state, it doesn't 100% mimic the way I was manually fading gaps, so it's not a 100% accurate way of how I would trade gaps but it's a start.

I can always go back and look at those set-ups on a "what-if" basis but I didn't start archiving gap guide data until March and MTG doesn't provide historical gap guide data, though it's something they've been talking about.

I started gathering up all of my trades for 2010 from the 3 different computers I've placed trades on into my main trading computer so I can go through and do my homework assignment so after that I'll have a better grip on this and give you a more concrete answer, and treat these efforts more like a business and less like an interesting intellectual hobby.

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  #261 (permalink)
 Big Mike 
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Thanks Scott.

I agree with most of what you said. I think at the end you stated a plan to get you to where I was asking if you were -- can you run a report and find out if your actual (not what if, not woke up too late, but actual) trades are showing what your forecast model predicted they would.

I look forward to it!

Mike

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 shodson 
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On CL I see we're near a triple bottom on the weekly chart between 68 and 65. Jeff Macke would always say that there's no such thing as a triple bottom/top, meaning on the third test major levels usually don't hold. I guess we'll soon find out.

All 3 major MAs have been violated to the downside and we've had a huge bearish engulfing bar 2 weeks ago whose trend is still in tact. So if we get prints below 65 next week I think CL is in trouble. The rise in the dollar seems to be the major reason for oil's decline, so we'll need to watch the currencies as well and see if the correlation stays in place. I'd have a neutral to bearish bias for the week unless we see a major reversal in price action.

What do you guys think?

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  #263 (permalink)
 David_R 
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I would think that if we close below the prior swing low, or the low that made it a double bottom, that we should then see a 127.2-161.8 extension of the last swing up. I think the 127.2 would put that around the 65 level. On the other hand, I think there could be a bounce before that happens. I feel that CL is a strange animal and it can do anything above and beyond what any technical analysis can determine. Don't get me wrong. I'm not knocking the analysis, I just think for whatever reason CL does wacky stuff.

One other comment. The down trend on the weekly is nice and orderly. The last up move is sloppy. Some might say it looks corrective as opposed to impulsive, if one is an elliot wave type person which I'm certainly not. So, who knows.

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 shodson 
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Monday, May 24th - ES opened below Friday's close and Monday's are usually bullish so it's a good day to fade down gaps, but the setup didn't meet my criteria and the gap guide data was non-existent for some down-gap zones so we must be in a rare condition. Instead, I setup to fade a small up gap based on system criteria, which had a 65.8% win rate (less than my usual 70%) but it was mitigated by a profit factor of 1.45, larger than 1.3. Didn't matter anyways as it opened down, took about 5pts of heat which was survivable, then filled the gap.

NO TRADES

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  #265 (permalink)
 shodson 
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Sorry, my wife's been in the hospital this week for an emergency surgery since Monday. She's going to be OK but it's going be a week or so until they let her out of the hospital. Needless to say it hasn't left me much time for journaling. In short, I haven't taken any trades.

Tuesday, May 25th - Didn't like any gap zones.

Wednesday, May 26th - Liked 2 gap zones, didn't open where I wanted.

Thursday, May 27th - Liked 1 gap zone, didn't open where I wanted.

Still playing with HHoLLy grail, here's some charts and my thoughts. I'm discovering more ways to to use this thing, even in chop.

I hosted our Meetup last night on "Favorite Trade Setups", it was one of the best ones so far. I love learning about how other people trade.

Getting ready to see if I want to check out the LA Traders Expo next month. Is anybody here going? I went last year and really enjoyed it, though knowing what I know now I'm not sure I'd get much out of it. I'll have to check out the sessions. However, some of my favorite parts were just meeting other traders and chatting with them.

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 Big Mike 
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Sorry, my wife's been in the hospital this week for an emergency surgery since Monday. She's going to be OK but it's going be a week or so until they let her out of the hospital. Needless to say it hasn't left me much time for journaling. In short, I haven't taken any trades.

Glad she will be OK. Best wishes for a speedy recovery.

Mike

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 shodson 
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Did some more playing around with reversal failures. Enhanced the indie to draw yellow arrows where the directional arrows fail. The yellow line is where price must go to consider it a failure. If we get another directional reversal then it's considered a success and the failure line stops plotting. Wondering if the directional arrows work best or their failures. Something to test.

See attached chart. There's one "failed failure" which was resulted in a huge move. They are more rare but it's result here makes me wonder is this is something I want investigate more.

Created shBarATR (attached here) which is just ATR (green) and the size of a bar AbsoluteValue(High - Low) to see if the size of the reversal bar correlates to the success of the reversal signal. Looking at volume too.

Also, did some experiments on curve fitting and posted it in this thread.

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 ZTR 
 
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Hi Scott,

Best wishes to your wife, I've been there. Hope she is doing well.

As you know Mike has asked me to Moderate Downloads & Indicators. He would like to put all of the versions of indicators, templates, workspaces & educational material posted in threads if not truly beta. If it is beta then just leave it here if you are still actively working on it.

If this is a final version that you posted would you mind putting it in downloads just adding a link to the thread to bring everyone to that area. This will really help the efficiency of searching indicators. As well as putting it in a place where they can be tracked to minimize overlap and multiple postings.



Andy

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 shodson 
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Hi Scott,

As you know Mike has asked me to Moderate Downloads & Indicators. He would like to put all of the versions of indicators, templates, workspaces & educational material posted in threads if not truly beta. If it is beta then just leave it here if you are still actively working on it.

If this is a final version that you posted would you mind putting it in downloads just adding a link to the thread to bring everyone to that area. This will really help the efficiency of searching indicators. As well as putting it in a place where they can be tracked to minimize overlap and multiple postings.

Andy

Thanks, it's here.

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Hi Scott,

Best wishes to your wife, I've been there. Hope she is doing well.

As you know Mike has asked me to Moderate Downloads & Indicators. He would like to put all of the versions of indicators, templates, workspaces & educational material posted in threads if not truly beta. If it is beta then just leave it here if you are still actively working on it.

If this is a final version that you posted would you mind putting it in downloads just adding a link to the thread to bring everyone to that area. This will really help the efficiency of searching indicators. As well as putting it in a place where they can be tracked to minimize overlap and multiple postings.

Andy

She is home now, improving every day. Thanks for everyone's concern.

Last night for kicks I implemented the Elder Impulse system as a strategy and uploaded it to the downloads section. Check it out if you think it might be useful.

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 shodson 
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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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 shodson 
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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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 shodson 
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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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 shodson 
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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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 shodson 
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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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 shodson 
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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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 Big Mike 
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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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 shodson 
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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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 shodson 
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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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 shodson 
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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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 shodson 
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Tuesday, June 8th - Pick up a 2.5pt gap fade winner. Opened in the high probability D-OC zone for a small winner. If the gap had been much smaller I would have gone for the extended target, which it did eventually hit which would have been a 4.25 - 5.75pt winner.

ES: 1 win: +10 ticks

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 shodson 
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Wednesday, June 9th - Opened in the low probability U-H zone, not a zone I set up to trade. I only set up trades for the U-OL zone. I'm kind of glad I didn't get a trade also because two indexes were up yesterday and the other two were down. Having closes in mixed directions makes the gap guides less reliable if you look to other indexes to confirm your setup, which I do.

NO TRADES

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 shodson 
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Here's the MTG performance results for Q1, April, May and YTD


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 shodson 
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Thursday, June 10th - I set up to trade the D-OC but it opened in D-HO. The gap guides saved me from a loser. Also, the market gets a little riskier as we approach contract rollover volume starts to move into the newer contract.

NO TRADES

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 shodson 
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Friday, June 11th - Didn't like any of the gap setups, and the ES contract has split volume, so stayed away.

NO TRADES

Monday, June 14th - I set up 2 zones to trade but it didn't open in any of them. The gap guides prevented me from a losing trade as it would have been a loss.

NO TRADES

Learning about David Elliott and some of his setups, converting them to Ninjatrader strategies.

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 shodson 
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Tuesday, June 15th - Got really strong gap guide setups with openings in the D-OC zone. The guides were so strong I even thought about increasing my position size but reminded myself not to do that and to stick with my plan. In the back of my mind I remember that when I see setups so strong that they sometimes become utter failures for some reason. Today was another failure, where the market gapped up and just kept going up all day long.

ES: 1 fail: -27 ticks

Wednesday, June 16th - Weak setups in the gap guides so I didn't even bother setting up the strategy to fade any zones. The U-HC zone was attractive but was very small so it was not likely to give me a favorable open. Price opened in the U-CO zone which was neutral to positive and the MTG moderator faded it for additional reasons not expressed in the gap guides. We'll see if it works out for him.

...later...

It did, the gap filled nicely and easily.

NO TRADES

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 shodson 
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I've noticed when I get 2 uninterrupted directional arrows that it appears to be a very high probability trade. An uninterrupted set of directional arrows is where I get 2 cyan/magenta arrows with no opposite arrows between them. That makes sense as a new hi/lo is made and even later higher/lower values are achieved but because we don't get closes below the first arrow, which would print a failed arrow (yellow), price frequently will turn around as those levels are acting as S/R on a double top/bottom.

These don't happen very often so I need to look at more charts to find these and study these some more.

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 shodson 
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Found more of these of CL as it moves more violently. Maybe I should consider a faster chart like a 3min chart. I found more failures but most of them still seem to be winners. Need to figure out a trading plan around these.

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 shodson 
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Thursday, June 17th - Picked up a nice, easy gap fade winner with price opening in the high probability U-HC zone.

ES: 1 win: +14 ticks

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 shodson 
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Friday, June 18th - I set up one gap zone but price opened up 1 tick above it so it didn't take a trade. The 2+pt gap filled quickly and nicely without me.

NO TRADES

Started playing with filtering out HH/LL signals to only give a signal when an arrow is coming out of an overbought/oversold situation. Here's how the last 2 weeks of the CL cash session played out. I think I can make some money with this.


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 shodson 
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Monday, June 21st - I set up one gap zone but price opened way above it.

NO TRADES

I coded and backtested my HHLL system with an overbought/oversold oscillator and am liking initial results. Need to do more testing an do more sophisticated money management and have a more intelligent way to trail. I'm not sure I like having such low win rates even though my targets are 4-6x my stop loss. I don't do "scalp-and-runner", I'm just trading for big moves.

It gave 1 good signal on today's Aug contract at 6:25am.

I'm afraid that if the market goes sideways and volatility dries up this could be a real money loser. I also want to incorporate volume somehow to increase the quality of the signals and make my expectancy a function of the instrument's daily ATRs.

Works best with M15 on forex and M5 on CL. I don't know any successful forex traders that trade any charts slower than M15, do you?

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 shodson 
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Tuesday, June 22nd - I set up on area to gap fade but it opened below it (1109.75) so no trade.

NO TRADE

I was up early so I joined the MTG chat room. In the room they've been sharing some new research they've been working WRT the opening range (1st hr of trading). Today their research showed good setups for fading the the low of the range (1105.00) and for buying a breakout above the highs of the range (1114.50), each with a 4pt target and a 4.75pt stop. The market tested the low, bounced around there and then hit it's target for 4+ pts. They are having success with these open range trades and are still in forward testing mode.



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 shodson 
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Wednesday, June 23rd - Yesterday's daily gap wrap video warned against fading up gaps on FOMC day, but the probabilities looked good for gap and extended target trading that I went ahead and set up to trade the 2 zones around the close. The market did open open up with small gaps in a zone where I went for the extended target. With the help of a horrible housing report I hit my target for a nice winner. This is the first extended target trade my strategy has taken since I coded that capability and it seems to be working

ES: 1 win: +15 ticks



The HHLL reverserer threw some nice with-trend failure signals this morning. I'm really anxious to start using this once I find a way I'm really comfortable with. So far, I believe the following arrows work best
1) with trend failures (yellow), no more than 2 or 3 in the same trend move
2) directional arrows (magenta and cyan) arrows when there is no trend (cliff dots are gray)

I'm also experimenting with reversals in context of a linear regression line turning a corner.

I also want to code in failed failures (yellow arrows that fail before another arrow appears), they don't happen that often but when I do see them they seem to work well.

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 shodson 
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Thursday, June 24th - There were good gap setups and decent sized gaps. There was a warning to prevent down gaps on the day after FOMC meetings, but I figured that's all baked into the gap guides already. So I get a tradable down gap at the open and the market quickly moved down further and stopped me out.

ES: 1 fail: -20 ticks

An hour into the session MTG published their first hour breakout setup odds and fading a visit to the highs of the session looked interesting so I put in a short order one tick below the high of the first hour but price never got up that high and I was never filled.

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 shodson 
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Friday, June 25th - I set up some gap zones to trade the night before but the trades weren't taken. For some reason the chart that had my strategy on it wasn't updating and it was frozen with the price it was at the night before, even though I was still connected. Unfortunately, this caused me to miss a winning gap trade which closed it's 2pt gap and also hit it's 4.5pt extended target pretty easily and quickly. Grrrrr...NINJA!!!!!

NO TRADES

Monday, June 28th - The ES had 1 good zone but it wasn't confirmed by other indexes but the YM and NQ had similar looking setups so I set up to fade a down gap on the YM but it opened up so I didn't get a trade.

Over the weekend I built a strat and backtested inside bars explained at the THREE SETUPS thread. Feeling pretty good about it I set it up to run on live money but missed 2 winners in the morning because of a bug, which I fixed. I didn't get anymore inside bar setups after I fixed the bug so no trades on CL.

NO TRADES

At 7:30am the MTG chat room released their first hour setups and there was a high probability setup to fade the highs of the day. It did test the highs and turned around with a little heat and those that took the trade made a nice 4pts. This is explained in their daily video if you're interested ( see 6:00 into the video)


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 shodson 
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Tuesday, June 29th - The gap guides in the ES were weak. The D-OC zone seemed semi-interesting but it wasn't that great. However, the D-CL looked interesting in both the YM and NQ so I set up to fade the YM. However with bad numbers coming out of China the market opened way down and never looked back so I didn't get a gap trade.

At 7:30 they published their 1st hour numbers and the strongest play was to buy a breakdown of the morning's lows. I was set up with a sell-stop below the low of the first hour but then my Outlook reminded me that the power company was going to do maintenance on the power systems in our neighborhood and we might have some power outages so I canceled all orders, stopped all automated strategies and turned the computer off for the day. Turns out the 1st hour trade would have fired as price revisited the lows, making slightly lower lows on the day, but then turned around for what would have been at 5pt stop out, but I "missed" it.

I tried to get some inside bar trades on CL but my strat still wasn't firing trades for some reason still, so no trades there either. It would have had 2 winners and 1 loser.

NO TRADES

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 shodson 
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Working with a friend that's a full-time FX trader who often averages 200+ pips a day per lot, learning his setups, converting the indicators he uses on another platform to Ninja.


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 sharmas 
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Hi Shodson

Looks very interesting and promising...What indicators are being used. and how soon do you think you will be able to have them converted to NT 7

Sharmas

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 shodson 
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sharmas View Post
Hi Shodson

Looks very interesting and promising...What indicators are being used. and how soon do you think you will be able to have them converted to NT 7

Sharmas

These are custom-coded indicators. I'm not converting anything to NT7 until it comes out of beta.

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 shodson 
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Wednesday, June 30th - I set up some zones the trade but the gap wasn't large enough so it didn't take a trade, which would have been a winner. I just needed 1 more tick of gap to take a trade.

However, I got my CL "THREE SETUPS" strat going and picked up 3 nice scalps.

CL: 3 wins, +66 ticks

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