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shodson's Trading Journal
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shodson's Trading Journal

  #701 (permalink)
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Tuesday, October 4th, 2011 - The gaps were very favorable today so I set up to fade it in certain zones. I got an entry, then it almost stopped me out (2 ticks away), then turned around for a nice 9+pt winner in the ES. The first hour guides were fairly mixed, but when a breakout occurred I was still in my gap trade, so I didn't do anything.

I SIM-traded CL for a while, price action trading highs and lows, pullbacks off of Donchain channels on the 377-tick chart, etc., trying something new, stopped at +1 but I was down as much as -34 ticks but I improved my experiment as the morning went on but I had to stop and get on with the day. I think I'm going to backtest this. I will track my SIM trades on a performance spreadsheet like I do with my real-money trades so I can track the performance of trading this in SIM. I did make a couple of errors in execution and not paying attention to something I should have, so that accounted for some small losses/missed profits. A computer wouldn't make those mistakes though.

ES: +37 ticks
CL (SIM): (20+5+20+20)+(-4-10-15-10-20-5) = +1 tick

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shodson's Trading Journal-gap-guides.png   shodson's Trading Journal-gap-emails.png   shodson's Trading Journal-cl-sim-trades.png  

Last edited by shodson; October 4th, 2011 at 08:28 PM.
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  #702 (permalink)
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AAPL supported

Wow, that's support! I didn't think it would get down there today, maybe in a few days, but it went straight down there and reversed almost immediately. I noticed it was around 355 while I was eating lunch. I was trying to eat as fast as I could so I could get a trade on but by the time I got on my computer it was already back up to 370-ish into the close. I actually thought about executing a trade on my phone or on my iPad but I wanted to research the strikes some more and it's too scary for me to try this on a mobile device. When I did get on a PC about 20-30mins later I put a limit order to buy a call spread but it didn't get filled. However, I did sell a 345/335 put spread to help pay for the call spread but at best it'll just put a little cash in my pocket if we stay above 342 into Nov expiry.

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Last edited by shodson; October 4th, 2011 at 05:15 PM.
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  #703 (permalink)
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Wednesday, October 5th, 2011 - The gap guides looked pretty good, but it opened 1 tick above where I wanted it to open so no trade was taken. That was unfortunate becaise it was a 6+pt winner that filled the gap very quickly and easily.

The FHGs were mixed but with a break-out bias, but with some conflicting setup in the correlated ETFs. So I went for a long breakout later in the morning but on a deep pullback, risking 30ticks to make 90 (in the TF). It filled me, made an MFE of 30 ticks so I reduced my stop to 20 ticks then it turned around and stopped me out.

TF: -20 ticks

Attached Thumbnails
shodson's Trading Journal-gap-notrade.png   shodson's Trading Journal-fhg.png   shodson's Trading Journal-0-tf-waiting.png   shodson's Trading Journal-1-tf-entry.png   shodson's Trading Journal-2-tf-stop-moved.png   shodson's Trading Journal-3-tf-stopped.png  
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  #704 (permalink)
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Thursday, October 6th, 2011 - The gap was 2 ticks too small so no gap trade was made. The 9-tick gap did easily and quickly fill.

NO TRADES

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  #705 (permalink)
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Friday, October 7th, 2011 - The market opened with favorable gap guides so I took the short entry at the open, but instead going for gap fill I went for the extended target because the profit factor was higher than the profit factor of just going for gap fill, which is rare. The zone was confirmed by multiple futures and ETFs so I felt this was an easy trade to take, even with all of the bullishness after the jobs report.

After such a nice winner I wanted to not trade anymore, but I thought I'd check the first hour guides (FHGs) for completeness sake and the low fade look very attractive. I noticed we had already made new lows but had not yet hit it's target or stop. While I wanted to not trade so I could take my money off the table, I think a disciplined quantitative trader needs to take every attractive setup, no matter how much money is made or lost during the day. But by cutting and running I am assuaging my psychology and not being systematic in my trading. So I decided to reduce my risk and go long below the lows with a <1.0 risk/reward. After entering the trade I checked TRIN and the market was definitely bearish and I wanted to re-think this trade and bail out. Internals is not something I usually use but I'm studying them more and how to incorporate internal readings with the statistical data that I use and, at this point, decided to get out of this trade. I was able to get out with a small 3pt loss and avoided what would have instead been an 8pt loss.

ES: +52 and -12 ticks = +40 ticks

Attached Thumbnails
shodson's Trading Journal-gap-guides.png   shodson's Trading Journal-gap-trade.png   shodson's Trading Journal-fhg.png   shodson's Trading Journal-fade-lows-plan.png   shodson's Trading Journal-bearish-internals.png   shodson's Trading Journal-bailed.png  

Last edited by shodson; October 8th, 2011 at 12:01 PM.
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  #706 (permalink)
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Monday's ES gap trade plan

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  #707 (permalink)
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Monday, October 10th, 2011 - We had large up gaps in a favorable D-H zone. These above highs/below lows are tough to trade because you have to think how large of a gap you want to allow yourself to trade, and I sometimes get a little greedy thinking I can get a huge win when the gaps are this large and the guides are that favorable. However studies show gaps > 40% of the previous day's range are riskier. In my guides spreadsheet I have a MIN and MAX levels that point these levels out to me. TMIN and TMAX are 40% of the ATR(5) instead of the previous day's range, which are usually a little looser and wider. (the "T" stands for "Tim", the name of the coach at MTG that uses this rule for min/max gap sizes). Even so, I still set up to fade gaps outside of those ranges because of the strong profit factor and because the big gap win I had on Friday felt so good and I wanted more. However, it cost me 10+ pts.

I saw a trade setting up and went into SIM mode, afraid I might revenge trade. The FHGs came out and there was a slight edge to fading a high break-out. I checked TRIN and it was still bullish, so the trend was in my favor. I then noticed TRIN getting more bullish as price was dropping, so there was a divergence between the futures price and the underlying stock market. Also, this chart looked like it was making a bull flag, so I put in a limit order 1pt below my signal bar close and got filled 1tick above the bottom of the bull flag with a stop of 2ATR and a target of 4ATR using the 3min chart. Price hit 50% of my target so I went BE+1 ("don't let a winning trade turn into a loser"). Price floundered around for quite a while but TRIN continued getting more bullish, which tells me either futures are underpriced or stocks are overpriced and are becoming exhausted. Price then moved up and came 1 tick from hitting my target, then turned lower. I tightened my stop to 50% of the target and was stopped out for +3pts

ES: -41 ticks
ES: +12 ticks (SIM)

Attached Thumbnails
shodson's Trading Journal-gap-guides.png   shodson's Trading Journal-gap-play.png   shodson's Trading Journal-gap-loser.png   shodson's Trading Journal-trin1.png   shodson's Trading Journal-es-entry.png   shodson's Trading Journal-es-tighten.png   shodson's Trading Journal-trin2.png   shodson's Trading Journal-es-1tick.png   shodson's Trading Journal-es-out.png  

Last edited by shodson; October 10th, 2011 at 02:39 PM.
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  #708 (permalink)
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Gap Gotcha

Nice bounce off of the 50 fib into the close. Also, this is what MTG calls a "gap gotcha", where, if the gap does not fill during the day, everybody that got short, going for gap fill, will be forced to cover into the close and so you can often get nice rallies like this into the close on unfilled gap days. I've never traded these, but many people at MTG do and they've been having good success with them.

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Descending channel broken to the upside, market looks bullish from here. We'll see if we get a golden cross while we're at it.

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TRIN divergence


Interesting how even during this bearish-looking pullback, TRIN remained, and even strengthened, it's bullish reading. So the prices were down, but the volume wasn't heavy enough to raise TRIN.

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