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Analytic Trading Journal-MES Futures


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Analytic Trading Journal-MES Futures

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  #1 (permalink)
New York NY/United States
 
Experience: Advanced
Platform: TOS NinjaTrader Jigsaw
Trading: Futures, Options, Stocks
 
Analytic's Avatar
 
Posts: 25 since Dec 2013
Thanks: 1 given, 3 received

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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  #2 (permalink)
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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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  #3 (permalink)
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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)
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Experience: Advanced
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Analytic's Avatar
 
Posts: 25 since Dec 2013
Thanks: 1 given, 3 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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  #5 (permalink)
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Experience: Advanced
Platform: TOS NinjaTrader Jigsaw
Trading: Futures, Options, Stocks
 
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Posts: 25 since Dec 2013
Thanks: 1 given, 3 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)
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Posts: 25 since Dec 2013
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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)
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Experience: Advanced
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Posts: 25 since Dec 2013
Thanks: 1 given, 3 received

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)
New York NY/United States
 
Experience: Advanced
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Posts: 25 since Dec 2013
Thanks: 1 given, 3 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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  #9 (permalink)
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6-19-2020

Daily Review:

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

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  #10 (permalink)
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Posts: 25 since Dec 2013
Thanks: 1 given, 3 received


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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