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shodson's Trading Journal

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

High probability of gap fill tomorrow...




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  #732 (permalink)
 shodson 
OC, California, USA
 
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Tuesday, October 25th, 2011 - We had a nice gap down and the market just ran through my stop. It just didn't work out. Looking at the bearish pre-market action I was certainly going against the trend. I'm not sure if that is a filter I need to incorporate or not.

After yesterday's close I thought about going short the market because we had an unfilled up gap. This recently published study shows that selling the market at the end of a day of an unfilled up-gap can be a profitable strategy, though I didn't have a trade plan wrapped around this thesis nor had I researched it myself yet, so I stayed away. So far today it would have worked out nicely, at most for +16 ES points.

ES: -31 ticks

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  #733 (permalink)
 shodson 
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Posts: 1,971 since Jun 2009
Thanks: 533 given, 3,694 received


Wednesday, October 26th, 2011 - We opened (1238.50) with large (12.5pts) up-gaps beyond my acceptable size. Plus, the gap guides for that zone were not very strong. However, the extended target setup was mildly attractive and I did initially set up to take that but later changed it not to due to lack of confirmation from other instruments. When all was said and done, the gaps did fill (1225.50) rather quickly due to bearish reports coming out of Europe for a winning trade I didn't take, also hitting it's extended target (1222.00).

NO TRADES

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  #734 (permalink)
 shodson 
OC, California, USA
 
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Hey guys, looks like I'm in 10th place for the Thanks Contest, I don't know who is in 11th or how close they are so if you have found this journal useful or helpful drop me a thanks if you haven't done so already and maybe I'll get a book out of it. Thanks!


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  #735 (permalink)
 Big Mike 
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Looks like the race for 8th, 9th, 10th place will be a tight one

Mike

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  #736 (permalink)
 shodson 
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Big Mike View Post
Looks like the race for 8th, 9th, 10th place will be a tight one

Mike

If I fall off the list I'll go nuclear: I will upload a bunch of indicators with buy and sell arrows accompanied by cherry-picked screen shots

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 Big Mike 
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shodson View Post
If I fall off the list I'll go nuclear: I will upload a bunch of indicators with buy and sell arrows accompanied by cherry-picked screen shots

Go to the "Want your indicator created free" thread and tell people to send in their requests to you, knock a few out, and you'll likely get several thanks for that

Mike

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  #739 (permalink)
 shodson 
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Thursday, October 27th, 2011 - We had huge gaps to the upside into a favorable zone, but way beyond any sizable gap fade for me. Some MTG members took a partial gap fade for 8pts in the ES right before it turned back around to the upside for the rest of the day. However, that was not part of my plan.

NO TRADES

I've decided to abandon the MTG first hour guides. The gap trades make enough money for me, and are more easily automated. The FHG trades require more time, attention and discretion, which are not ideal for my situation. Also, they just add more volatility to my trading account and unnecessary market exposure and for the past 2 months have cost me money. I've had periods where I traded these more successfully, so it could just be a drawdown period, but I think for the other reasons mentioned it's hard to justify trading these setups for me. Also, I think they are somewhat flawed because they also don't consider the size of the first hour range, which I think is an important metric that is ignored currently in their guides.

I was up early and SIM traded for 90 minutes, trying different things, but lost SIM money. I've actually started a log of SIM trades so I can start tracking my discretionary trading like any other trading. SIM can't be considered just a playground, it has to be treated as much as a business like real-money trading is. I require 3 consecutive months of winning SIM trading before I discretionarily trade with live money so the log will measure my progress.

Also, using a papertrading account in Thinkorswim, I shorted the ES at the Globex open (intraday margin) because we had an up day with an unfilled up gap. The rules are to close the position at the end of tomorrow's cash session. It's an experiment of this.

I did more backtesting of the previously mentioned system, 3+ years back, studying best days and times of day to trade this, longs vs shorts, and also on other instruments like CL, NG, and GC. I have formalized my system research, more so than any time before. I used to test, change, test, change, test, then stop and come back to it later and I couldn't remember where I left off or what I found was working and not. Now, I take screenshots of results of every test, what was different about it, what I changed, my thoughts on the analysis and put it all in a single Word doc. It's a more scientific approach.

I'm finding fewer and fewer reasons why I shouldn't run this live. Seems to work best with short trades, especially when everybody goes "risk-off" and panics. Markets truly do move faster going down than up. It works on the long side, but not as well, and I'd rather have a more efficient system with less draw down to endure even if I can make more net profit with a less efficient system. Fridays perform worse. CL works best in the first 3hrs of RTH, gold works better during the London session, etc. CL has worked astonishingly well this month, this week especially. I'll go SIM next week. I have to write a new strategy that actually trades this, separate from the strategy that backtests, which has lots of code that works to overcome Ninjatrader's back testing weaknesses.

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  #740 (permalink)
 shodson 
OC, California, USA
 
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Posts: 1,971 since Jun 2009
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Friday, October 28th, 2011 - In light of yesterday's powerfull bull move, I felt the market was over-bought and was a little leary fading a down gap, especially into a Friday. The gap of the cash session filled pretty quickly, but the globex gap didn't fill until the end of the day. I watched it in the last 90 minutes, looking to tighten my stop but in the end I left the strategy alone and it all worked out.

ES: +33 ticks

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