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Drinkurmilkshake's TopStep Combine - GomMPPro Trading


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Drinkurmilkshake's TopStep Combine - GomMPPro Trading

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TopStep (former TopStepTrader) Combine
Combine Level: $150k
Primary Indicators: Order Flow Volume Profile & DrawCators VWAP
Data Series: Tick Chart (987)

Over the past months I have investigated different tools that serve to model market structure and contain elements for potential trade signals. I began looking at VWAP (ETH session) configured with several SD bands that @JohnnyBoy presented in his thread https://futures.io/emini-emicro-index/46813-vwap-volume-weighted-average-price-stock-index-futures-trading.html

The VWAP and SD bands create a decent market structure, but seemed to be missing some of the key elements I was looking for: static zones of support/resistance and areas of relatively high/low volume. The SD levels and VWAP do serve as potential lines of support/resistance, but are constantly moving with price. I knew about order flow volume profile, but did not understand the various levels/zones it printed.

The below video does an excellent job explaining what volume/market profile is and how to trade/interpret the components

https://www.youtube.com/watch?v=7CZGVZU9Ifk&t=2483s

Trade/Entry Plan
Daily Profit Goal: $1000 (I user a profit target indicator that includes commissions in the target)
Maximum Daily Loss: $2900 (this is $100 less than the maximum permitted daily loss in the TopStep Combine.

My Biggest Problem/Fault Trading:

I have had severe issues sticking to a trading plan, hence the reason I'm posting this. I have a consistent tendency to overleverage and overtrade when I have lost a trade. I may plan on trading a 1 lot, and suddenly diverge and begin trading 3 or 5 lots. This failure to stick with a risk plan has led to blowing up several combines in the past. I will also divert from my standard trading plan, "perceiving" a change in price action that warrants a trade outside the scope of entries. The trading/risk plan does not account for this behavior, and the results are predictable.

Entry/Exit Plan

I tried using the Gomicator GomMpPro instead of Ninjatrader's native Order Flow Volume Profile indicator, however I've moved back to the native indicator. The required tick replay made it messy/unusable in replay and it calculated different start times for the 'n' bar ago values. The YouTube video I posted does a good job priming you how to interpret the volume profile plots and their significance. These plots serve as the basis for my entries. I'm looking for confluence with the ETH VWAP setups that @JohnnyBoy identified. I'm not going to go over all the entries, and they can be found in his thread. I'm also using Eveday's drawcator suite to plot VWAPs, but the native order flow VWAP will work as well

Order Flow Volume Profile values *if I don't specify, it's the default value*:
Calculate: On bar close
Profile Type: Volume
Profile period: Bars
Bars: 60
Resolution: Tick
Value area (%): 68
Profile opacity: 10
Show POC: checked
Show Value area: checked
Value area opacity: 80
Color for profile: Gainsboro

OFVP Observations

My trading philosophy revolves around how price is moving relative to the last 60 bar period's value area high and low My observations are at a novice level, but so far I've seen the following scenarios:

Price breaks through a period's VAL/VAH, with the subsequent period's price opening below/above the PVAL/PVAH. Price continues downward/upward into an area of previous ETH session volume outside the PVA or seeking new ETH session lows/highs.

Price breaks through a period's VAL/VAH, with the subsequent period's price opening below/above the PVAL/PVAH. Price action continues briefly in the direction of the break direction, however returns back into the PVA. Price oscillates within the PVA, likely breaking through the PVAL/PVAH once or several times (especially for relatively smaller PVA tick boxes).

A session's price action closes within the session value area, the subsequent session's price action explores the bounds of the PVA, with price breaking through PVAL/PVAH, but returning back into the PVA.

A session's price action closes within the session value area, the subsequent session's price action explores the bounds of the PVA, with price breaking through PVAL/PVAH and exploring previous ETH session volume areas or establishing new ETH session highs/lows.


I'm not going to list specific entries, as there's some variability in the analysis between the OFVP and ETH session VWAP/SD levels. Targets include SD levels, current session VAH/VAL and PVAH/PVAL.

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Hi, I just discovered your trading journal.
How is it going? Is it the first time you enrol in a combine?


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Disregard the attachment/image in my original post. This is an ideal screenshot/markup of what I'll be posting in this journal.

This is from 12/30/2020's NQ 3-21

I usually begin looking for trades around 8:00 AM EST, as this is convenient for me time zone-wise and affords the ETH session VWAP to have established somewhat. You'll notice that the OFVP carries from the previous ETH session. The 987 tick data series will often fail to establish VWAP/SD levels that are discernable, but in this case there's enough to trade from.

Price opens within the PVA and immediately begins a move to test/break the PVAH. If you look closely, I did trade this however they were more exploratory trades in sim to test this method. The initial break of the PVAH was coupled with price moving through +SD 0.75 past +SD 1.25. That was a decent move, and I scalped it for ~20 ticks. I anticipated price stalling or reversing around +SD 1.75. From there price retraces back through the PVAH into the PVA, and testing +SD 0.75. I took another trade when price bounced off +SD 0.75 and broke through the PVAH again. This time price once again broke through +SD 1.25 and tested +SD 1.75. My entry here was later, but so was my exit; closing the trade closer to +SD 1.75.

That was TWO tests and failures of price to break through +SD 1.75. If you've followed @JohnnyBoy's thread on how price behaves around these SD levels, that should be a strong indication that there are few offers up there and that bids are likely to take price back or through the session VWAP. This is precisely what happened, with price smashing back down through PVAH into the PVA; and through +SD 0.75 all the way down through the VWAP to test -SD 1. While I didn't trade it (I normally abstain from the market open), this move was good for ~160 ticks.

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The overnight session saw another beautiful setup with price breaking the PVAH and kissing +SD 1. There was a retracement back briefly into PVA and slightly past the ETH VWAP, however price rocketed back through PVAL, past +SD 1 and tested +SD 3. I saw this setup prior to going to bed, however don't feel comfortable leaving a position on without being able to actively manage it. I'm in the final stages of applying appropriate R-values to these trades to frame risk.

We're currently sitting high above the PVA (~190 ticks), so will likely need to wait until the next 60-bar period before a trade materializes.

With TopStep's $150k combine, your maximum daily loss is $3000, which is 2% of the account. I haven't traded/journaled this trading style long enough to establish any type of expectancy, so I'd prefer to be more conservative than not. I think an appropriate level of risk per trade is $600, or R = $600. I strongly believe that managed properly, many of the trades that fail to work out can be closed well prior to the $600 mark; and some at break even. This is trading a 2 lot of NQ @ $10/tick. This is bit under 60 ticks with commissions factored in.

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Todays trades. Profit target hit (accounting for commissions).

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After reviewing the TopStep $150k parameters/rules and this trading system/framework, i've devised the below R-values:



It's important to note that despite the combine's $150k "buying power" (their language), the max daily loss is only $3k or 2% of the provided margin/capital. My R-values are based off the $3,000, which is the true amount that technically is at risk for this combine. From a risk perspective, it would be folly to calculate R-values attached to the full $150k of "buying power". The same 3.5% risk per trade (1R or $105 ) I'm employing based off the $3k would be $5,250 off the $150k. This is $2,250 beyond the max allowed daily loss.

I have begun to question the efficacy and integrity of these combines, given their maintenance costs and available risk extended to the user. The $150k combine is ~$309/month (which includes 2 resets per month if you locked in their special pricing/deal). The true amount at risk is the same as trading $3,000 of your own capital (or less if you factor in margin requirements as you drawdown towards -$3,000).

In the second phase of the combine, and thereafter if funded, you are able to expand your lot sizes from 3 all the way to 15 as you become profitable. To trade the same risk that I'm trading with 1 lot with the available 15, you would need fifteen times the amount of "available risk margin" or $45,000; which is 30% of the $150k's buying power. This is a CRUCIAL part of potentially being successful for anyone trading the TopStep or similar combines. The "big number" that represents buying power is absolutely redundant. The only number that matters is the "small" number that represents the actual amount that may be risked and lost. As soon as you hit -$3,000 in these combines that $150,000 of buying power becomes $0 of buying power.

I would imagine that a very generous percentage of those trading these combines are completely oblivious to the almost 100% risk of ruin provided they extend their lot size beyond 1 when starting out, irrespective of their trading strategy. I have a complete excel sheet of risk from 1-5% of the provided $3,000 of risk and chose 3.5% with 1 lot as it appears to be the most optimal for my win/loss ratio so far. I have considered bumping up to 2 lots, but will likely only do so when I've hit $3000 of profit which extends my risk from $3,000 to $6,0000. That being said, the maximum allowed trailing drawdown is $4,500 (calculated at end of day).

I would appreciate anyone and everyone's insight into the above. This doesn't so much concern my trading strategy as it does the nature of these combines. I'm going to review my trades at the end of next week to determine whether I might reduce my 3.5% risk per trade to 2.5%.

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I forgot to include in my previous post that the R-value of 3.5% is adjusted to the amount of available risk. In the event of a $1000 drawdown for instance, that same 1R of $105/21 ticks becomes a 1R of $70/14 ticks. The risk resets daily (it's a $3000 max DAILY loss) all the way down to what is the initial minimum account balance of $145,500.

This is where the $150k buying power comes into play, as it is the basis to which your profits and losses are calculated against for the value of your maximum drawdown. It will never go below the $145.5k because at that time you will have failed the combine. Once it has increased however (in the event of a profitable day) it can never decrease. Even if you have a losing day and do not break any rules (resulting in a lower account balance than the day previous) the maximum drawdown will still reflect the padded account balance. This is up until the maximum drawdown hits the initial balance of $150k. At that point the maximum drawndown stays at $150 and doesn't increase as profits are accrued. However the maximum daily loss does NOT increase which is counterintuitive from a risk perspective.

If you were to hit the profit objective for stage 1 or 2 ($9000), you would never have at anytime in that run-up more than $3000 of available risk. You might think that if you were to have $9000, you could drawdown all the back to just above the initial balance of $150k but you would be mistaken. This is an extremely risk adverse approach from TopStep, and doesn't empower the trader with any sense of accomplishment or encouragement when they are profitable. The reasoning is to lock in and protect profits in the funded account, but that means a trader can never go above 1-2 lots without exposing themselves to tremendous risk of ruin.

After a profit of $9000, with an updated cash balance of $159,000 (this includes commissions), it would make sense to be able to scale the risk up using profits to pad the available risk. The $3,000 of available risk should become $9,000. Using my model of 3.5%, 1R should adjust to $315/63 ticks trading 1 contract. What would make more sense would be to scale the contracts traded up from 1 contract to 3 contracts to achieve the same 21 ticks. This is invalid as you would be trading using 10.5% risk, not 3.5% in real TopStep rules/parameters.

I would think that TopStep might accommodate/negotiate available daily risk with their profitable traders that achieve funded combines however, as there would not be a ton of incentive to remain trading through their prop firm otherwise. Once you achieved $9000 or more of redeemable profit (the first $5000 of profit goes to the trader 100%, the rest in an 80/20 split), it would behoove you to cash out and trade independently so that you could better scale risk. This doesn't even begin to go into the tax incentives of trading outside TopStep through an owned LLC/etc under section 1256 and the ability to claim deductions. All withdrawals from TopStep are considered standard income and taxed accordingly.

I'm not discouraging anyone from starting a combine with TopStep, however it's hard to see how they would maintain anyone serious in the long term given the structure. In my opinion it is a great place to establish a foundation of capital to trade independently in the market; but not necessarily as a long term commitment. Would I'd love to know if exactly how many active funded accounts TopStep has versus their customer base. They disclose the amount of NEW traders in 2020 and that year's withdrawals. There is a recent article claiming over 6,000 trading accounts funded (total, not just from 2020) and $2m in total withdrawals from that year. If you crunch the numbers, that's an average of $333 per funded account (assuming the active number in 2020 was around that). Their spotlights on profitable traders reveal individuals who have withdrawn several magnitudes larger, but the average isn't compelling.

TopStep is not obligated to share this information, but they do frame some of it in a way to inspire would-be combine purchasers. Is it unethical? I would say no, but the majority of retail traders are highly susceptible to risk of ruin regardless of which path they take; whether it is trading their own capital or trading through a funded or simulated combine balance. Futures, options, etc. is a siren call for legions of aspiring millionaires, even more so than real estate in today's age. Profitable day traders make up a small proportion of all traders - 1.6% in the average year (Barber, Lee, Odean (2010): Do Day Traders Rationally Learn About Their Ability?). This isn't an attack against TopStep, but more so on trading as a whole.

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I keep forgetting things in these posts, and would rather post new replies than go back and edit past entries.

The available DAILY risk can change provided that you reach an appreciable amount of intraday (6 PM EST to 4:10 PM EST the subsequent day) profit. While you start the day with $3000 of available max risk, intraday profits extend the available risk.

If you were to make $1,500 in intraday profits you would have $4,500 in available risk which could increase your R value. My example would take you from $105/21 ticks @ 1 contract using 3.5% to $157/31 ticks. You would not yet be profitable enough to increase your contracts traded from 1 to 2 however to maintain at least a 21 tick value however. You would need to profit $3,000 to bring your available risk up to $6,000 in order to enjoy trading 2 contracts for $210/21 ticks using 3.5% risk.

To continue to remain risk adverse, it would be best to remain at or under 3.5% until the $3,000 of intraday profit is reached. So instead of continuing on with 3.5% ($157/31) in the event of $1,500 of intraday profit for an available risk of $4,500, you might continue with the original $risk/ticks of $105/21 ticks but have that become 2.33%. $3000 in intraday profits using only 1 contract is difficult (600 ticks of net profit).

Once you consider a realistic daily profit target (I originally started with $1,000 but have since lowered that to $500), one need not concern themselves with scaling from 1-2 contracts intraday. The $500 is ~4.76R, which is likely still high. A daily goal of 1-2R would be ideal, however that doesn't fit well into the framework of this combine where a profit target of $9,000 is required for EACH combine step to progress. My fear is that the necessary time/trades @ 1R/3.5% to get to $1k will very quickly result in overtrading/burn-out/tilt/etc. You take what the market gives you, but $1k is a bit less than 10R. At the moment it seems to be a lofty goal.

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drinkurmilkshake View Post
After reviewing the TopStep $150k parameters/rules and this trading system/framework, i've devised the below R-values:



It's important to note that despite the combine's $150k "buying power" (their language), the max daily loss is only $3k or 2% of the provided margin/capital. My R-values are based off the $3,000, which is the true amount that technically is at risk for this combine. From a risk perspective, it would be folly to calculate R-values attached to the full $150k of "buying power". The same 3.5% risk per trade (1R or $105 ) I'm employing based off the $3k would be $5,250 off the $150k. This is $2,250 beyond the max allowed daily loss.

I have begun to question the efficacy and integrity of these combines, given their maintenance costs and available risk extended to the user. The $150k combine is ~$309/month (which includes 2 resets per month if you locked in their special pricing/deal). The true amount at risk is the same as trading $3,000 of your own capital (or less if you factor in margin requirements as you drawdown towards -$3,000).

In the second phase of the combine, and thereafter if funded, you are able to expand your lot sizes from 3 all the way to 15 as you become profitable. To trade the same risk that I'm trading with 1 lot with the available 15, you would need fifteen times the amount of "available risk margin" or $45,000; which is 30% of the $150k's buying power. This is a CRUCIAL part of potentially being successful for anyone trading the TopStep or similar combines. The "big number" that represents buying power is absolutely redundant. The only number that matters is the "small" number that represents the actual amount that may be risked and lost. As soon as you hit -$3,000 in these combines that $150,000 of buying power becomes $0 of buying power.

I would imagine that a very generous percentage of those trading these combines are completely oblivious to the almost 100% risk of ruin provided they extend their lot size beyond 1 when starting out, irrespective of their trading strategy. I have a complete excel sheet of risk from 1-5% of the provided $3,000 of risk and chose 3.5% with 1 lot as it appears to be the most optimal for my win/loss ratio so far. I have considered bumping up to 2 lots, but will likely only do so when I've hit $3000 of profit which extends my risk from $3,000 to $6,0000. That being said, the maximum allowed trailing drawdown is $4,500 (calculated at end of day).

I would appreciate anyone and everyone's insight into the above. This doesn't so much concern my trading strategy as it does the nature of these combines. I'm going to review my trades at the end of next week to determine whether I might reduce my 3.5% risk per trade to 2.5%.

I agree with you on the fact that too little focus in placed on the risk of ruin. That is actually all the TST is really about. If you can make money with their parameters that are set to leave them with basically zero risk, then they will give you money.
However for my experience in any case you are far better off by taking a combine and save your own money that to start trading your own money from day one. If you want to see some "real numbers" look at the analysis of my combines in my journal (https://futures.io/elite-trading-journals/56225-sbtrader82-s-trading-journal-4.html#post829206,
you will see that if I add up all the virtual money that I lost in the combines in one and half year it adds up to more than 90.000 USD. This is a lot more than the cost of being enrolled in a combine in the same amount of time.

Also the reality is that trading is a "fully scalable business", this implies that it doesn't matter if you have 3.000 USD or 3 millions, because you can risk as much as you want in both cases, so the risk of ruin is basically the same.
If you make some simulation with a program that simulates random betting, you will see that the first part of the equity curve is the "volatile one", basically if you increase your risk linearly until your equity starts to "get going" you are basically going up and down and not gaining much, them suddenly the equity starts to skyrocket. Basically, during the initial phase of their equity curve, most traders will lose their combine and TST will make money out of fee. Then there will be a few traders who reach a 50K or 100K gain and then TST will make money out of a 20% cut on their gains.

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SBtrader82 View Post
Also the reality is that trading is a "fully scalable business", this implies that it doesn't matter if you have 3.000 USD or 3 millions, because you can risk as much as you want in both cases, so the risk of ruin is basically the same.
If you make some simulation with a program that simulates random betting, you will see that the first part of the equity curve is the "volatile one", basically if you increase your risk linearly until your equity starts to "get going" you are basically going up and down and not gaining much, them suddenly the equity starts to skyrocket. Basically, during the initial phase of their equity curve, most traders will lose their combine and TST will make money out of fee. Then there will be a few traders who reach a 50K or 100K gain and then TST will make money out of a 20% cut on their gains.

This makes sense since so many retail traders, TST traders included, completely fail to manage risk in their accounts. The equity curve is ideally built from several hundreds if not thousands of trades. TST gives you the ability to unfortunately go to $0 after just one trade if you over leverage in Step 1 (it can easily happen in Step 2 as well, but not initially without immediately failing the combine). The "skyrocketing" effect you might see is the law of averages applied to the positive expectancy of a system. The higher the positive expectancy, the steeper the curve.

The trick with any system is to find the optimal amount of risk for each trade based off both the accepted risk and the expectancy of the system. 3.5% is higher than ideal (0.5-1%), however I don't see a realistic path towards completing the combine with such small margins (plus my current system demands 15-21 ticks of breathing room.) I hope after a large quantity of trades to get a better handle on the average MAE and MFE to ideally lower risk slightly to 2.5-3%.

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Yes it is difficult but not impossible, I passed the combine around 5 times. Last time I passed both steps in exactly 15 days.

Consider that you can also trade micros. For instance if you trade micro /ES and you risk 5 points contracts (which is a decent risk) you are risking 25USD per contract so you can do 3000/25=125 losing trades in a row before losing 3000 usd.
I think you are over rationalizing it, there are hundreds of good trades in a day. If you trade well there are days in which you can make 4000 usd in a day.
From my experience it's not easy but it's doable. However to get to a level of market understanding and risk management that allow you to pass a combine it takes at least 3years of experience.

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Today was an interesting day, and my cumulative net profit looks nothing short of a roller coaster. I resisted the urge to deviate from my risk profile which was the day's biggest win alongside the $169.60 in net profit. I re-entered what were several failed trades several times, and left a ton of money on the table (MFE) on others that either turned into scratch trades or were closed for a sliver of a % of the MFE. The biggest discovery when reviewing today's trades was the MAE for the real winners. The winning trades that were 1R or more averaged an MAE of about $28, and the worst MAE was only $75. This is only 30 trades, and far more are needed, but I think I have enough data to move my risk from 3.5% down to 2.67% (from 21 to 16 ticks). The big winners may have sputtered shortly a bit after entry, but certainly took off shortly thereafter.



The "big winners" over 1R are highlighted in yellow.

There are two trades that are cause for concern. Not because they broke any of my risk parameters, but because the MFE values were 2.47R and 4.5R respectfully. Were I to have minimized the ETD for these trades, I would have likely been done and at the $500 profit target much earlier in the trading session. My current ATM strategy's stop strategy only has an auto breakeven to add 3 ticks to BE after a 21 tick (1R) profit trigger. In light of these ridiculous ETD values, I think I need to reconfigure the stop strategy to be an auto trail instead. Continuing to frame it in R-values, I'm thinking the below to lock in profits and hopefully never again see such a high ETD



It's a continuation of the auto breakeven to move the stop up after every 1R of profit is reached.

@ 1R (21 ticks) it's breakeven +3 ticks
@ 2R (42 ticks) it's +24 ticks of profit or 1.14R
@ 3R (63 ticks) it's +45 ticks of profit or 2.14R

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SBtrader82 View Post
Yes it is difficult but not impossible, I passed the combine around 5 times. Last time I passed both steps in exactly 15 days.

Consider that you can also trade micros. For instance if you trade micro /ES and you risk 5 points contracts (which is a decent risk) you are risking 25USD per contract so you can do 3000/25=125 losing trades in a row before losing 3000 usd.
I think you are over rationalizing it, there are hundreds of good trades in a day. If you trade well there are days in which you can make 4000 usd in a day.
From my experience it's not easy but it's doable. However to get to a level of market understanding and risk management that allow you to pass a combine it takes at least 3years of experience.

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Depending on how my progression goes with my current system trading NQ, I may pivot to MNQ solely for the enhanced risk management possibilities. With NQ I'm stuck at 1 contract minimum for $5 a tick. Each contract of MNQ is 10% of that or $0.50 a tick. Ideally I'd like to stick with NQ, but I have that very much at the forefront of my mind looking at the risk benefits. The primary issue with TST is that despite the fractional tick and margin sizes of the micro products, they still only allow you to trade 15 contracts max.

What that unfortunately means is that if you were to profit intradaily and get to a point where you were trading 15 micro lots of MNQ ($7.50/tick) , you could no longer scale up. For me this would be at approximately $500 of profit or $3500 of available daily risk. Since I'm likely going to stop each day at $500, this might be redundant. There is a pretty large gap between $3500 and $6000 which is where I could move from 1 to 2 contracts of NQ. I have emailed TST about this in the past, and they replied that while they were aware of the logic and massive risk differential, their current systems simply could not support differentiating between the micro and mini lots in respect to their 15 max contract parameter in their ruleset. Hopefully one day they change this, but it likely won't be anytime soon. If they did, I would be more than happy to move to MNQ.

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  #14 (permalink)
Rovigo (ITALY)
 
Experience: Intermediate
Platform: SierraChart, MotiveWave
Broker: Rithmic, Dorman, Interactive Brokers
Trading: Emini, Nasdaq, DAX, Bund, IBEX
 
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drinkurmilkshake View Post
Depending on how my progression goes with my current system trading NQ, I may pivot to MNQ solely for the enhanced risk management possibilities. With NQ I'm stuck at 1 contract minimum for $5 a tick. Each contract of MNQ is 10% of that or $0.50 a tick. Ideally I'd like to stick with NQ, but I have that very much at the forefront of my mind looking at the risk benefits. The primary issue with TST is that despite the fractional tick and margin sizes of the micro products, they still only allow you to trade 15 contracts max.

What that unfortunately means is that if you were to profit intradaily and get to a point where you were trading 15 micro lots of MNQ ($7.50/tick) , you could no longer scale up. For me this would be at approximately $500 of profit or $3500 of available daily risk. Since I'm likely going to stop each day at $500, this might be redundant. There is a pretty large gap between $3500 and $6000 which is where I could move from 1 to 2 contracts of NQ. I have emailed TST about this in the past, and they replied that while they were aware of the logic and massive risk differential, their current systems simply could not support differentiating between the micro and mini lots in respect to their 15 max contract parameter in their ruleset. Hopefully one day they change this, but it likely won't be anytime soon. If they did, I would be more than happy to move to MNQ.

yes, I know that a lot of people have this same issue with using micros in TST. I think a solution might be to use a combination of micros and minis. Also I think that the "trick" to pass the combines is to push when you are up for the day. You mentioned that you want to stop at +500 for the day, if you trade micros that is probably a nice amount but I suggest you to keep trading when the day goes well, because that is when you have the smallest possibility of breaking a rule.

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VA/USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Trading: NQ, YM, RTY, ES
 
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This morning has been rough, and I'm nearly $1k in drawdown. I've determined at this point that what's worse than breaking a system's rules, is breaking rules that weren't properly defined at the onset. To simplify this system, I'm now ONLY buying at PVAL and selling at PVAH. Rather than reviewing cumulative deltas, wave One or two of these successful trades is consistently 10R or more, and that value will increase as I've modified risk from 3.5% (21 ticks) down to 2.83% (ticks) for the day's starting risk ($3000). The winners' MAE values are consistently less than 10-17 ticks. I'm giving away 4-10 ticks in every loss that's completely unnecessary.

I'm definitely overtrading this system, and today's drawdown confirms that fear.

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VA/USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Trading: NQ, YM, RTY, ES
 
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Posts: 40 since May 2019
Thanks: 26 given, 61 received

To showcase this banal reality, here's a screenshot of the most recent NQ action through the PVAs that I have defined in my dataset.



While this move isn't typical, I'm pretty sure a single 20-25R move will quickly erase any drawdown and get me to my daily profit target. Simplifying this system is going to remove much of the consternation and drawdown I've experienced so far.

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VA/USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Trading: NQ, YM, RTY, ES
 
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Posts: 40 since May 2019
Thanks: 26 given, 61 received

My goal during today's trading session is to execute as few trades as possible adhereing to the new entry conditions. I see potential stop outs and re-entries likely for some of the PVAL/PVAH entries depending on market chop, but at least the variability descerning trade direction has been resolved. I "missed' the first entry opportunity @ ~5:30 AM EST this morning, but was of course asleep. That move alone was good for 90 ticks within the bounds of the PVA box and a total of 295 ticks breaking throught he PVAL to establish the current session low. This trade could have potentially been input and left to execute sans monitoring, but that isn't my trading style. It initially explored the bounds of the PVA box, and would have only experienced about 9 ticks or $45 of MAE, a textbook successful trade in this system. One item that I'm struggling to deal with is what to do when price extends through a PVA box and reaches the other side. My current rules would have me take the opposite position, however I think if I'm already in the opposing trade, to remain in the position until price reveals whether it will continue through the box or bounce back into it.

The chart shows ~267 ticks of profit from trading just within the PVA box. Holding the last sell position through the box was worth an extra 208 ticks.


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VA/USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Trading: NQ, YM, RTY, ES
 
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Posts: 40 since May 2019
Thanks: 26 given, 61 received

So far, so good. The only mistake I've made is closing the trade early. I took a failed buy position at PVAL and had it stopped out. Price rebounded ~40 ticks below the PVAL once triggered, which would have quickly hit my previous 21 tick SL. The new 17 tick SL saved me almost 20% of loss. The problem is that I left a tremendous amount of profit on the table. I anticipated a strong rejection at the last period's VWAP and the session VWAP, and closed the trade there. Here are the trades so far:




1R is now $85/17 ticks or 2.84% of the starting $3,000 daily risk. The first trade was a -1R loss, however the second was a +2.95R gain. This is the type of profit factor I'm trying to maintain throughout a day of trading this system. Of course if I was still in this trade as of this post (and closed it), it would have been a +6.23R gain. I need to establish how I'm going to hold these trades in a box. Yet to be determined.

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