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hen322's ES MES Daytrading Skill Development cont. from Elite J
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hen322's ES MES Daytrading Skill Development cont. from Elite J

  #11 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Trading Experience: Advanced
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hen322 View Post
I agree, thanks. But my current strategy is to stay away from scalps, and to catch a swing intra-day trade in the morning. My stoploss is wide enough to take in slippages, and commission shouldn't be a problem because I will only be taking 1-2 trades a day. I use to use 10 ticks as stoploss for scalping trades, and taking over 5 trades a day is when I notice the commission eating profits away. The stoploss I use right now begins with 20 ticks.

The primary goal for this project is not to focus on making a profit, but to dig deeper into what is working for me and not. And hopefully, I'll get a different insight into creating a better strategy.

Just curious...what is your average $ per trade for the strategy you want to reverse? How much slippage are you assuming? Are you entering with limit orders or market orders?

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  #12 (permalink)
Santa Rosa CA
 
Trading Experience: Intermediate
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Tuesday Range Morning

(0 ticks).

1. No trades today

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2. My Brief Thoughts during Trades with 'Zoomed-In' Pictures (#of Trades: 0):

3. Afterthoughts.
I waited for the econ reports to come out, and observed how the market reacted to it. Once price tanked down, I waited to see what the follow through would be like. Since there was alot of activity going on, I assumed the algos dominated that area, so I stood aside. Once it created a small trading range, highlighted in blue, I decided to see which side broke out to enter the trade. But I remember the author say that most breakouts fail, so I didn't enter.

At 7:30, price was still under vwap, and the small trading range could have been a pull back before a 2nd leg down. But then I was also looking at the smaller timeframes, and how they were making micro 2 leg up moves. I did not know which direction would dominate today, so I stayed out.

"When the market reverses, it always does so at support and resistance levels; with practice, an individual trader can usually spot them." Al Brooks.
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  #13 (permalink)
Santa Rosa CA
 
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kevinkdog View Post
Just curious...what is your average $ per trade for the strategy you want to reverse? How much slippage are you assuming? Are you entering with limit orders or market orders?

I will alternate between market and limit orders, depending on the setup. Today, I was looking to do a market order on a breakout, after price tanked down from the econ report, and created a small range at the bottom.

I sometimes experience a 1 tick slippage on the MES. And one time last month, I had a 3 tick slippage on a market order. It didn't affect my trade, and it hasn't been so far, based on my methods.

Currently, my stoploss will be between 15 to 30 ticks, depending on the present volatility, with max day's drawdown at 30 ticks. (30x$1.25= $37.50). For my average $ per trade, if my risk is between $18.75 to $37.50, I would say an average would be $28.

That would give me around 7 losing days to hit my month's drawdown.

"When the market reverses, it always does so at support and resistance levels; with practice, an individual trader can usually spot them." Al Brooks.
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  #14 (permalink)
Market Wizard
Cleveland Ohio/United States
 
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hen322 View Post
I will alternate between market and limit orders, depending on the setup. Today, I was looking to do a market order on a breakout, after price tanked down from the econ report, and created a small range at the bottom.

I sometimes experience a 1 tick slippage on the MES. And one time last month, I had a 3 tick slippage on a market order. It didn't affect my trade, and it hasn't been so far, based on my methods.

Currently, my stoploss will be between 15 to 30 ticks, depending on the present volatility, with max day's drawdown at 30 ticks. (30x$1.25= $37.50). For my average $ per trade, if my risk is between $18.75 to $37.50, I would say an average would be $28.

That would give me around 7 losing days to hit my month's drawdown.

Sorry, I was not clear. I meant your average net P/L per trade. If it was positive $28, then there would be no need to reverse!

Why I asked:

Let's say your average net P/L per trade is -$5.25 for the MES (-$52.5 for ES). Let's assume $0.75 per RT (round turn) for commission, and 1.5 ticks slippage RT, or $1.88.

-5.25 with slippage and commission

-5.25 +.75+1.88 = -2.62 with no slippage and commissions

Reverse it: +2.62

Now add in slippage and commissions:
+2.62 -.75 - 1.88 =-.01

So, the original system was a loser, AND the reverse of it is a loser.

That is why just reversing your signals might not work.

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  #15 (permalink)
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kevinkdog View Post
Sorry, I was not clear. I meant your average net P/L per trade. If it was positive $28, then there would be no need to reverse!

Why I asked:

Let's say your average net P/L per trade is -$5.25 for the MES (-$52.5 for ES). Let's assume $0.75 per RT (round turn) for commission, and 1.5 ticks slippage RT, or $1.88.

-5.25 with slippage and commission

-5.25 +.75+1.88 = -2.62 with no slippage and commissions

Reverse it: +2.62

Now add in slippage and commissions:
+2.62 -.75 - 1.88 =-.01

So, the original system was a loser, AND the reverse of it is a loser.

That is why just reversing your signals might not work.

Thank you! The math does make sense, I will keep that in mind. I'm working on methods that are mainly for discretionary traders, so I work on having more tolerance to my entries and exits. I would definitely like more input of yours as my project progresses through this month.

"When the market reverses, it always does so at support and resistance levels; with practice, an individual trader can usually spot them." Al Brooks.
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  #16 (permalink)
Santa Rosa CA
 
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Wednesday Reversal after 730pst

(plus 19 ticks)

1. Three Longs

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2. My Brief Thoughts during the Trades with Zoomed-in Pictures (#of Trades: 3):
First Trade: There were no econ reports I had to worry about, but there were alot of speakers today. I just ignored them and focused on the chart. Since we gapped up at the open, I anticipated that price might try to close the gap, so I looked for a 5min breakout. Instead of shorting, I went long. After it reversed to the upside, I went about my normal money management to exit the trade. I thought there would be more resistance above that would lead to another downturn, so I exited. 10 tick profit.

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Second Trade: After the strong down move around 7:15, this looked like a 1st leg that could lead to a 2nd leg down, so I waited for a pullback, and looking at my 3.5 min chart, I decided to enter when it traded below its previous candle. Instead of going short, I went long. When price shot up, my stop loss was moved to breakeven, and was hit with a 1 tick profit.

Third Trade: I decided to re-enter again as soon as it traded below it's prev. candle, did my opposite trade, and ended up with an 8 tick profit.

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3. Afterthoughts in a Nutshell.
All my trades had 15 tick stoplosses, because I noticed that price was moving smoother than other days, plus, there was no reports.

"When the market reverses, it always does so at support and resistance levels; with practice, an individual trader can usually spot them." Al Brooks.
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  #17 (permalink)
Santa Rosa CA
 
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Thursday Possible Bull Flag

(0 ticks)

1. No Trades Today

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2. My Brief Thoughts during the Trades with Zoomed-in Pictures (#of Trades: 0):

Econ reports at 6:45 pmi, 7 ISM, 7:30 Nat Gas, 8 Crude oil.

3. Afterthoughts in a Nutshell.

Econ reports have been making price react violently. I feel it's too much of a gamble to bet which side would win. I also felt that the price moves between each release was unpredictable too. I thought that there would be a higher probability for the gap to close, but it just kept going up, even past the 2975 that some professionals thought would be resistance. Today was a good day to just watch and learn.

"When the market reverses, it always does so at support and resistance levels; with practice, an individual trader can usually spot them." Al Brooks.
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  #18 (permalink)
Santa Rosa CA
 
Trading Experience: Intermediate
Platform: NinjaTrader 8, TOS
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Posts: 65 since Apr 2019
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Friday Reversal around 6:45pst

(minus 14 ticks)

1. Long.

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2. My Brief Thoughts during the Trades with Zoomed-in Pictures (#of Trades: 1):

After moving down from the open, price shot back up to where it came from, and also hit the bottom channel line I drew from the premarket. My normal reaction would be to short, but went long instead, with a stoploss of 20 ticks. It lingered there for a little bit, so I moved up my stoploss just below the prev. day's close (RTH), making it 14 ticks from my entry. I got stopped out, cause it was too tight.

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3. Afterthoughts in a Nutshell.

I shouldn't be too aggressive with tightening my initial stoploss.

"When the market reverses, it always does so at support and resistance levels; with practice, an individual trader can usually spot them." Al Brooks.
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  #19 (permalink)
Santa Rosa CA
 
Trading Experience: Intermediate
Platform: NinjaTrader 8, TOS
Broker/Data: Dorman Trading
Favorite Futures: Emini ES, Micro ES
 
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Posts: 65 since Apr 2019
Thanks: 104 given, 117 received

Monday Reversal at 7pst

(0 ticks)

1. No Trades

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2. My Brief Thoughts during the Trades with Zoomed-in Pictures (#of Trades: 0):

Low volatility today. I was trying to catch a 2 legged move. Nothing met my criteria to enter.

3. Afterthoughts in a Nutshell.

Usually I wouldn't enter a trade during the last half hour of European close, but today looked good.

"When the market reverses, it always does so at support and resistance levels; with practice, an individual trader can usually spot them." Al Brooks.
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  #20 (permalink)
Santa Rosa CA
 
Trading Experience: Intermediate
Platform: NinjaTrader 8, TOS
Broker/Data: Dorman Trading
Favorite Futures: Emini ES, Micro ES
 
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Posts: 65 since Apr 2019
Thanks: 104 given, 117 received

Tuesday Range After Sell Off from Open


(minus 14 ticks)

1. Long

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2. My Brief Thoughts during the Trades with Zoomed-in Pictures (#of Trades: 1):

Normally, I would have entered short for a Range trade, but went long. It went 12 ticks in profit before it suddenly reversed.

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3. Afterthoughts in a Nutshell.

Still implementing my opposite trade project. The past months, I always began good at the start, before doing bad at the end of the month. So I am expecting the same, but in reverse, to start out somewhat bad before doing good later on.

Theory:

The main core of a Trader's strategy is to help them read the market. Once the strategy shows a losing streak, maybe the opposite trade will yield a profit. The best way to measure the progress is by month to month.

"When the market reverses, it always does so at support and resistance levels; with practice, an individual trader can usually spot them." Al Brooks.
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