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Analytic Trading Journal-MES Futures


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Analytic Trading Journal-MES Futures

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  #1 (permalink)
 Analytic 
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Analytic Trading Journal: Contract: MES
Method: Momentum MicroTrend Following, Pullback Entry
Process Driven Trading
Platforms: NT8, Bookmap, Jigsaw, TOS


Conditions for Entry:

1) MFT Volume and MFT Order Flow in same direction.
2) Strong trend with strong pullback to statistically significant level
3) Pullback -> approx 50% retracement in ticks and volume from last swing

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 Analytic 
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6/15/2020

Nightly Analysis:

Looking for long trend continuation tomorrow

Pullback Entry Levels: 3100, 3050, 3030, 3000
(Level Adjustments will be based on Futures and Options movement)

Conditions: Positive MTF Volume, Positive MTF Order Flow
Pullback -> approx 50% retracement in ticks and volume




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 Analytic 
New York NY/United States
 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received


Daily Review 6/16/2020:

Market Condition: Long Conditions did NOT exist this morning for MES.

Action: Decided to only trade in Sim using momentum micro trend following with pullback entries in both directions.

Comments: Weird breakdown to yesterday's settlement level at 3062 with a bounce straight up. Almost as if someone was
angry they missed yesterday's rally and wanted to get long at a much better price.

I did well in the morning, the afternoon was a struggle but I held onto most of my gains.

Metrics:

Trading size: 1-4 MES

MAX DD in the morning was 18.50
MAX DD at the EOD was 163.75 (ugh!)

Average MFE/MAE = 1.75 -> a bit low but not too bad










2020-06-16 20_16_04-Chart - ES_PP_UNRENKO_2-2-35_Price_Action


2020-06-16 20_12_35-Trade Performance - Report


2020-06-16 20_13_07-Trade Performance - Report


2020-06-16 20_13_48-Trade Performance - Report


2020-06-16 20_14_11-Trade Performance - Report

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  #4 (permalink)
 Analytic 
New York NY/United States
 
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Platform: TOS NinjaTrader Jigsaw
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

Nightly Analysis 6-16-2020:

Looking for Longs tomorrow with same Long MTF Conditions.

Will be watching today's settlement level: 3118.25

Levels to Watch: 3120, 3100, 3091.75

If Long Conditions don't exist. Will switch to momentum micro-trend following in both directions with tight stops (6-8 ticks)

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 Analytic 
New York NY/United States
 
Experience: Advanced
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Trading: Futures, Options, Stocks
 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

6-17-2020

Daily Review:

Market Condition: No Long MTF Conditions, Cycle Mode
Action: Switch to short term momentum micro-trend following in Sim.
Comments: Expiration week contributing to sideways price action as gamma hedging may be less important now.
MAX DD still too high and Average MFE/MAE too low due to choppy market

Trade size: 1-5 MES

MAX DD Morning = $85.00
MAX DD EOD = $121.25

Average MFE/MAE = 1.22




2020-06-17 15_19_02-Chart - ES_PP_UNRENKO_2-2-35_Price_Action


2020-06-17 15_16_20-Trade Performance - Report


2020-06-17 15_15_56-Trade Performance - Report


2020-06-17 15_15_38-Trade Performance - Report

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  #6 (permalink)
 Analytic 
New York NY/United States
 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

6-17-2020

Nightly Analysis:

Market Condition: Going into Cycle Mode
Action: Will Look for MMTF (Momentum Micro-Trend Following) trades.
Levels to Watch: 3120, 3100, 3090, 3050
Settlement: 3107


2020-06-17 23_27_08-www.stockspotter.com_In_Analyzer.aspx_Sym=SPY

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  #7 (permalink)
 Analytic 
New York NY/United States
 
Experience: Advanced
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Posts: 43 since Dec 2013
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6-18-2020

Daily Review:

Market Condition: Short Cycle Mode, No Momentum.
Action: Traded MMTF and then switched to scalping off statistically significant levels. Traded in Sim only.
Comments: Sim trading was the right decision today.
Being one day away from Options expiration, there was no significant gamma hedging
affecting ES/MES futures therefore no real momentum. I expect more of the same behavior tomorrow.
It's not worth trading real money in Short Cycle Mode markets.

Trade Size: 1-8 MES

MAX DD Morning: $202.50
MAX DD EOD: $202.50

Average MFE/MAE = 1.34






2020-06-18 16_59_09-Chart - ES_PP_UNRENKO_2-2-35_Price_Action


2020-06-18 16_40_02-Trade Performance - Report


2020-06-18 16_39_34-Trade Performance - Report


2020-06-18 16_39_19-Trade Performance - Report


2020-06-18 16_38_42-Trade Performance - Report

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  #8 (permalink)
 Analytic 
New York NY/United States
 
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Platform: TOS NinjaTrader Jigsaw
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

6-18-2020

Nightly Analysis:

Market Condition: Short Cycle Mode, Very tight range, No Momentum

Action: Trade early 6 - 10 AM, Tight stops . Not trading if conditions are choppy

Comments: Options Expiration Day tomorrow, SPY Ex-Dividend

Levels to Watch: 3100

Settlement: 3098

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 Analytic 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

6-19-2020

Daily Review:

Deep Analysis of Friday's trading coming this weekend...stay tuned!

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 Analytic 
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6-19-2020

Daily Review

Market Condition: Underlying Daily Down Trend with some mean reversion to settlement.

Action: Traded as if this was a mean reverting cycle mode market. Discounting the underlying down trend was a mistake.
Sim trading only today was the correct decision.


Comments: Friday Expiration day was unusual in that there was a strong down trend component to this market.
It behaved like a standard expiration day in that there was mean reversion to the settlement price 3 times
Mid afternoon recovery on high volume and double bottom but price could NOT be maintained above
settlement and collapsed at 4 PM EDT.


Trade size: 1-6 MES

MAX DD Morning: $23.50
MAX DD EOD: $232.03

Average MFE/MAE: 1.32







2020-06-19 18_35_33-Trade Performance - Report






2020-06-19 18_34_45-Trade Performance - Report

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 Analytic 
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6-19-2020

Deep Analysis

Expiration Day Behavior: Mean reverting to settlement price (3098)
Down Trending Behavior: SGI IMP 1 SD High Level at 3045 hit but price could not get above it
SGI IMP 1 SD Low Level at 3105 hit and breached to the downside.
3105 level becomes overhead resistance
Afternoon up volume pushes price to re-test 3105 twice but not enough SPX puts got closed to
facilitate buying of ES futures.
The fact that price couldn't get above 3105 was warning, When price couldn't hold 3098, that
was the signal to get out of long positions.




UNIRenko-Price-6-19-2020

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 Analytic 
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Weekly Review:



2020-06-22 03_28_47-Trade Performance - Weekly

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 Analytic 
New York NY/United States
 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

6-22-2020

Daily Review:

Market Condition: Short Cycle Mode with slight uptrend, Not much Momentum.
Action: Stayed in Sim, Trade size: 1-2 MES
Comments: Risk/Reward was bad today. Friday's settlement price held during the Globex session which was the foundation for the globex and daily uptrend.

Timing Model: Out of sync today on the higher time frames (Daily, 135 min, 60 min, 30 min, 15 min)
Direction Model: Slight continuation of overnight trend. Not much Momentum.
Pull Back Model: There were a few semi-decent pullback entry opportunities

MAX DD EOD = $72.03

Profit/MAX DD = 0.22

Average MFE/MAE = 1.42


2020-06-22 16_12_36-settlement


2020-06-22 16_02_12-Chart - ES_PP_UNRENKO_2-2-35_Price_Action



2020-06-22 15_47_53-Trade Performance - Report


2020-06-22 15_47_22-Trade Performance - Report


2020-06-22 15_46_39-Trade Performance - Report

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 Analytic 
New York NY/United States
 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

6-23-2020

Daily Review

Market Condition: Weak NYSE Internals, uptrend lacked follow through
Action: Went long MES near daily gamma level SP IMP 1 SD Low of 3118.00
Comments: 3118.00 was my level to work with for longs. Overnight Price has reacted strongly to this level.

Timing Model: Daily Bias is Short till Friday, 3200 is a possible shorting level for Weds and Thurs
Intraday Bias is Long but limited until MES gets above and holds 3200.

Direction Model: Uptrend continuing with very low momentum. Downside Range expansion has happened on very low volume
with no follow through.

Pullback Model: 2 long pullback entries at 3132.25, and one short pullback entry at 3128.50, stop is 8 ticks.
Entries should only be taken in sync with timing and direction models. I did not take these trades
The upside target was 3144.00


Trade Size: 1-2 MES, Sim.

MAX DD EOD= 0.82
Profit/MAX DD = 153.54
Average MFE/MAE = 2.34




2020-06-23 18_19_21-PP


2020-06-23 18_16_37-Chart - ES_PP_UNRENKO_2-2-35_Price_Action


2020-06-23 18_38_27-relative volume


2020-06-23 15_58_16-Trade Performance - Report


2020-06-23 15_57_54-Trade Performance - Report


2020-06-23 15_57_11-Trade Performance - Report

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  #15 (permalink)
 Analytic 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

6-24-2020

Daily Review

Market Condition: Downtrend with momentum
Action: Took mostly long bounces off strong levels
Comments: Was planning on going long in a live account but the price breakdown convinced me to stay in sim.

Timing Model: Daily: Short Bias, Intraday: Short Bias
Direction Model: Downtrend with momentum, Daily sell volume is at 149% Daily Range at 150%
Daily momentum is neutral, Intraday momentum is down.

Pullback model: 3105 Volatility trigger tested as resistance twice and held which caused major price
breakdown to 3019.50


MAX DD EOD = 663.90

Profit/Max DD = .60

Average MFE/MAE = 1.05



2020-06-25 01_08_24-critical pullback level for downtrend


2020-06-25 01_04_10-Chart - ES_Daily_Momentum


2020-06-25 01_03_01-Chart - ES_FUll_Daily_AK


2020-06-24 17_10_23-Trade Performance - Report


2020-06-24 17_09_55-Trade Performance - Report

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  #16 (permalink)
futurestradermark
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Posts: 6 since Oct 2018
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I like your approach. I trade something similar. Do you wait for a particular set-up candle to enter or trade off of order flow?

Mark

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 Analytic 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

6-25-2020

Daily Review



Market Condition: Consolidation between 3020 low and 3051.75 high,
market broke the high after 3 PM EDT and held it
Action: Waiting for trading model to get into sync, Was looking to go live but opportunity did not present itself.
Comments: Looking for another uptrend to new highs next week
ending the day before July 4th. Model must confirm the uptrend.

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 Analytic 
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Thanks: 3 given, 20 received


futurestradermark View Post
I like your approach. I trade something similar. Do you wait for a particular set-up candle to enter or trade off of order flow?

Mark

Pullback Unirenko candle entry in the direction of the model. I use order flow as well.

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  #19 (permalink)
 Analytic 
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6-26-2020

Daily Review

Market broke out of a consolidation range that was between 3020 and 3055

It didn't hold 3075, so the downtrend was still in play

3053- 3055 was the critical range for a break lower

once 3053 was broken it was safe to put a stop at 3055

The entire consolidation structure (3020-3055) once broken from the top caused price
to retrace all the way through it to 3020.

Once price broke through 3020 a new leg of the downtrend started.





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  #20 (permalink)
 Analytic 
New York NY/United States
 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

Trading Stats from Friday 6-26-2020

Traded 1 MES Live:

MAX DD EOD = 10.82

Net Profit/MAX DD = 3.32

Average MFE/MAE = 1.33

2020-06-29 06_23_14-Trade Performance - Report


2020-06-29 06_23_57-Trade Performance - Report


2020-06-29 06_24_25-Trade Performance - Report



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  #21 (permalink)
 Analytic 
New York NY/United States
 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

6-29-2020

Daily Review:

Didn't trade live today. There was one great short setup on the open that I missed.

Market Condition: Daily Downtrend still fully in place, Seasonality is bullish but news in bearish.
The market is weak below 3075, Uptrend will re-establish after price holds 3100

Action: No live trading.

Comments: I don't like to trade live right on the open. Need to change that. Missed an excellent setup.

3000 level held Friday due I think to put option rolling. MES went down because of MM selling futures due to
new put buying and then up because some of MM hedges were not needed since weekly options expired.

Today the P/C Ratio went down in the afternoon so Puts closed -> MM hedges closed -> MM Futures buying goes up

Daily Momentum starting to turn down for MES and HYG






6-29-2020-Morning short trade setup








2020-06-29 15_45_01-Current Market Statistics


2020-06-29 16_45_55-Chart - ES_Daily_Momentum


2020-06-29 16_43_19-Chart - HYG_Daily_Momentum

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 Analytic 
New York NY/United States
 
Experience: Advanced
Platform: TOS NinjaTrader Jigsaw
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

6-30-2020

Daily Review

Market held 3150 and may be shifting to an uptrend
BO Price for the week is 3132, so if we can break and hold that level then ES has a good shot at 3200 either this week or next week.
For a solid uptrend to be in place ES needs to hold 3100.

ES Levels For 7-01-2020:

Above 3050: Long Bias
Above 3100: Long Trend
Above 3132: Long Momentum Trend
3000-3050: Neutral, Consolidation Zone
Below 3000: Short Bias
Below 2950: Short Trend

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  #23 (permalink)
 Analytic 
New York NY/United States
 
Experience: Advanced
Platform: TOS NinjaTrader Jigsaw
Trading: Futures, Options, Stocks
 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

7-01-2020

Daily Review:

Market Condition: Unstable uptrend. Could NOT hold 3100.

Action: Did not trade live. Traded in Sim only.

Comments: I did not find any positive expectancy trades today. Uptrend was unstable.
For learning purposes I traded sim. The stats show what happens when you take
trades that don't have a long term positive expectancy.

Trade size: 1- 400 MES


MAX DD EOD = 17,365.48

Net Profit/MAX DD = 0.44

Average MFE/MAE = 1.59



2020-07-01 21_30_08-Trade Performance - Report


2020-07-01 21_31_33-Trade Performance - Report

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  #24 (permalink)
 Analytic 
New York NY/United States
 
Experience: Advanced
Platform: TOS NinjaTrader Jigsaw
Trading: Futures, Options, Stocks
 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

Daily Review:

7-02-2020

Market Condition: Stable Uptrend (Held 3100). No Uptrend Momentum (Didn't hold 3132)

Action: Traded Sim in the morning. Traded Live in the afternoon on NT8 and TOS.

Comments: Missed the big non-farm payroll trade at 8:30 AM EDT in Live trading. Caught it in Sim.
Sometimes it's the one big trade that you catch that makes the biggest difference for the day's P&L






Trade Size: Sim 1-17 MES , Live 1-3 MES

Sim

MAX DD EOD = 19.06

Net Profit/MAX DD = 19.52

Average MFE/MAE = 1.45


Live

MAX DD EOD = 87.46

Net Profit/MAX DD = -0.00172

Average MFE/MAE = 1.03






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  #25 (permalink)
 Analytic 
New York NY/United States
 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

7-6-2020

Daily Review:

Market Condition: Uptrend with small amount of momentum (Price stayed above 3132 price level) , Kept above 3150
means a strong move to 3200 is very likely this week.

Actions: Traded Sim only. Reason: Market never got to lower optimal support levels (3133, 3148)

Comments: Reward:Risk was not good due to sim entry away from safe support levels.

Trading Size: 1-2 MES

MAX DD EOD: 0

Net Profit: $123.36

Average MFE/MAE: 4.08

Reward:Risk = 1.06 , Stop was 3148



2020-07-06 23_53_02-Trade Performance - Report


2020-07-06 23_53_26-Trade Performance - Report


2020-07-06 23_54_24-Trade Performance - Report


2020-07-07 00_57_22-Trade Performance - Report

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  #26 (permalink)
 Analytic 
New York NY/United States
 
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7-7-2020

Market Condition: Momentum Uptrend is intact (Price stayed above 3132).
Consolidation zone: 3132 - 3175

Action: Traded Sim and Live

Comments: Risk on Sim trades was too high due to entry timing problems

Trade Size 1-26 MES

MAX DD = 73.71
Net Profit/MAX DD = 35.22
Average MFE/MAE = 2.51

The above measures are not nearly as important as the one below that includes risk

Average Reward: Risk = 0.62 , Stop: 3176


2020-07-07 20_26_45-Trade Performance - Report


2020-07-07 20_27_03-Trade Performance - Report


2020-07-07 20_27_48-Trade Performance - Report

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  #27 (permalink)
 Analytic 
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7-8-2020

Daily Review

Market Condition: Uptrend getting weaker. No Momentum. Consolidation zone: 3125-3175

Action: 3125 level held, bought at 29.75 in Live trading but didn't hold past 35.50
because the market has been in a bit of an intraday choppy consolidation period
with the big moves happening in the Asian/European sessions.

Comments: bounces off key pullback levels tend to make more $$$ than looking for short term topping patterns in the current market environment.

Sim Trading

Trade Size 1-450 MES

MAX DD: 295.35

Net Profit/MAX DD: 85.20

Average MFE/MAE: 1.96

Reward: Risk = 1.16





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  #28 (permalink)
 Analytic 
New York NY/United States
 
Experience: Advanced
Platform: TOS NinjaTrader Jigsaw
Trading: Futures, Options, Stocks
 
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Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

7-8-2020

Live Trading Review

Trading Size: 1 MES

MAX DD = 0
Net Profit = 27.93
MFE/MAE = 9

Reward:Risk = 2.74 Stop: 3124


2020-07-09 00_43_19-Trade Performance - Report


2020-07-09 00_42_51-Trade Performance - Report




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 Analytic 
New York NY/United States
 
Experience: Advanced
Platform: TOS NinjaTrader Jigsaw
Trading: Futures, Options, Stocks
 
Analytic's Avatar
 
Posts: 43 since Dec 2013
Thanks: 3 given, 20 received

somewhat shocking but it seems the higher R trades have all been in the afternoon for the last 2 weeks.



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