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Deetee’s DAX Trading Journal (time based)


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Deetee’s DAX Trading Journal (time based)

 
 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,819
Thanks Received: 785

Wednesday

In the Wednesday files, when I add filters on IBL and on ‘Up gap & not closed’, then the long trades give better results (591pts 23win/16loss, 9:30-14:00 SL50) than the short trades.

After filtering down to prior day OC green and also 2 days ago OC green, the long trade results are not good and also. With these filters, the short trades look a bit better (183/11 7win/4loss, 11:30-15:30 SL60), but with this thin sample size and with an SL of 60 points I won’t take the trade.


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 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,819
Thanks Received: 785

Thursday

In the Thursday files, when I add filters on IBL, on ‘No gap’ and on Prior Day Hi/Lo, then the short trades give much better results (1037pts 51 win/21 loss) than the long trades.

After adding filters on prior day OC and the day before, the long trades are still not looking good (although long 9:30-10:00 with SL15 could make some points).
The short trade still looks good (301 pts 12 win/5 loss):

DAX Short trade
Entry 10:30 @ 14003
Exit 15:00 @ 14048 (SL)
SL 45 pts
Result -45 pts

Historical results with this setup:
1008 pts (50 win/22 loss)

Let's see



edit 17:14: Started nicely, ended at SL

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 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,819
Thanks Received: 785


Friday

In the Friday files, when I add filters on IBS, on ‘No gap’ and IB 9:30 position below prior day Hi/Lo, the short trades look much better. The win rate is not too good, but in recent years it looks better.

Also after adding filters on prior day OC and the day before, the short trade 9:30-12:30 still looks ok:

DAX Short trade
Entry 9:30 @ 13926
Exit 12:30 @ 13956 (SL)
SL 30 pts
Result - 30 pts

Historical results with this setup:
280 pts (13 win/9 loss)

Let's see


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 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,819
Thanks Received: 785

Results

This week, a profit of 42 pts, which is good.



With only 10 trades in this journal I'm curious to see how this will turn out on the longer term. Context is probably most important in trading and I'm not sure how to come up with context/bias based on numbers.

I don't have clear what the answers are to questions I am having. Questions like, is the sample size big enough to rely on these statistics? And if yes, to rely on the results, how many trades should be the minimum to take the trade?

I'm considering to look for higher level setups (I mean with less filtering down) which would be based on a bigger sample size.

Monday another day. Have a good weekend

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 GFIs1 
who cares
Legendary Market Wizard
 
Experience: None
Platform: nobody interested
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Trading: forget about it
Posts: 6,921 since Feb 2012
Thanks Given: 6,179
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Hello @Deetee

For sure you do have more questions than answers. So let's play some more cards:
First I want to give a precise answer on two events
• A GAP in my trading is defined as IB 30m hi/lo of cash hour is OUTSIDE of previous day range. Totally.
• A Range Cross (VTR) in my system is when the IB is crossing the hi/lo of yesterday's range. This can happen inside out or vice versa.
The second term had not been described as I read your journal. But this is far more often than a real gap.

More from my system here
I am using in my rule set a combination of above events in combine with the IB range plus the weekday. So it is not obvious how my time settings change as those rules are cascading and individual for a certain situation. To make it more difficult - this includes end of month, holiday (incl. US) and time of very important news to suppress risk during that volatility (stop loss setting etc.).
Of course I am watching where the price is in the chart 1d, 1h, 30m - using Ichimoku Kinko Hyo (which you see in all my charts). When the price is in the KUMO there is a good chance that we see no direction. But if it is far outside and turns direction, then you can see how FAR it may wander through the KUMO in the next period. That is also part of the trading system I am using to omit losses. So last Thursday I did not take a trade because of such a situation.

If you see my given trades of the last 10 days then you see a large difference to yours - yes?
Your goal must be to find such recurring patterns in timeline. With those you will enhance your guiding parts to add some more - and "zack!" you will have the door open!
The proof of my trades you can see in my journal when every trade is described while evolving. With a pre trade description of the actual situation as well as the description of some breaking events during a trade.

Good trades
GFIs1

PS: Most "systems" work only for a certain time and stop suddenly to be positive. If I watch my journal here since 2012 I had all years a positive result. That is for the GFIs1 trading system as well for the high vola "Walzer system that came later. Looks good as I had not to change my rules because of change in the economies.

Follow me on Twitter Visit my NexusFi Trade Journal
 
 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,819
Thanks Received: 785

Thank you @GFIs1 for your input.
I have been following your journal for >1,5 years, read all posts and made a small study of it. It is the base for this journal, so I really appreciate your input. Your ongoing results are what we all want I am far from there with this journal It’s a work in progress and time will tell.

I will look again at the gap/range cross, very clear now. Special treatment for holidays, last of month, triple witch, etc is clear (well, it’s clear to exclude them from the ‘normal’ days, not yet how to trade them). I also found some other details in your post above that gave some direction, great.

I have been looking at Ichimoku. From reading your thread/journal it became clear how predictable this sometimes can be; very impressive. Ichimoku is not taken into consideration in this journal (yet!?), but maybe in the future.

Thanks again
Deetee

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 GFIs1 
who cares
Legendary Market Wizard
 
Experience: None
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Trading: forget about it
Posts: 6,921 since Feb 2012
Thanks Given: 6,179
Thanks Received: 15,559

Great! looking forward to it.

There are many paths to a stable system - but it needs often some "mettre les mains dans la pâte" - aka dirty hands. You will find the way for sure - good luck!

GFIs1

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 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,819
Thanks Received: 785

Monday

In the Monday files, when I add filters on IBS, on ‘No gap’ and IB 9:30 position inside prior day Hi/Lo, the long trades look good (994 pts, 69 win/43 loss).

After adding filter on prior day HL range, the long trade gives 710 pts, 29 win/17 loss for the same entry/exit/SL.

DAX Long trade
Entry 12:00 @ 14089
Exit 14:00 @ 14103
SL 35 pts
Result 14 pts

Historical results with this setup:
710 pts (29 win/17 loss)

Let's see



edit 14:50: At 12:00, entering a long position didn't seem like a good idea, but it ended up with a small winner

Visit my NexusFi Trade Journal Started this thread
Thanked by:
 
 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,819
Thanks Received: 785

Tuesday

Yesterday’s range HL 433 pts is extreme and rare.
Combining this with IBS gives only 15 occurrences in 11 years (2010-2020), the best results are:
Long trade: 175 pts, 8 win/7 loss, 9:30-12:00 SL20
Short trade: 370 pts, 9 win/6 loss, 12:00-15:30 SL50

Yesterday’s range OC 380 pts is even more rare (5 occurrences). When adding this to the selection, only 4 occurrences remain. Best results are for the long trade 56 pts (3 win/1 loss) and for the short trade 49 pts (2 win/2 loss). I’ll be ignoring the prior day OC now.

Adding a range of IB HL to the filters, gives:
Long trade: 233 pts, 6win/2 loss, 9:30-12:00 SL20
Short trade: 211 pts, 6win/2 loss, 12:00-14:00 SL25

I’ll take both, even though with this volatility the SL is very low (so price should be running in the right direction once the trades start:

DAX Long trade
Entry 9:30 @ 14346
Exit 12:00 @ 14326 (SL, 4 pts too tight, otherwise 81 pts profit)
SL 20 pts
Result - 20 pts

Historical results with this setup:
233 pts (6 win/2 loss)


DAX Short trade
Entry 12:00 @ 14428
Exit 14:00 @ 14453 (SL, 6 pts too tight, otherwise 10 pts profit)
SL 25 pts
Result - 25 pts

Historical results with this setup:
211 pts (6 win/2 loss)

Let's see



edit 14:40: SL too tight. Happened before, will happen again

Visit my NexusFi Trade Journal Started this thread
Thanked by:
 
 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,819
Thanks Received: 785


Wednesday

The IB is thin. In the Wednesday files, when I add filters on IBL, on ‘No gap’, IB HL range and IB 9:30 position inside prior day Hi/Lo, on prior day OC range and the day before, short & long trade both look good.

DAX Short trade
Entry 9:30 @ 14445
Exit 11:00 @ 14490 (SL)
SL 45 pts
Result -45 pts

Historical results with this setup:
417 pts (20 win/5 loss)

>>

DAX Long trade
Entry 11:00 @ 14487
Exit 14:30 @ 11498
SL 35 pts
Result 11 pts

Historical results with this setup:
314 pts (18 win/7 loss)

Let's see


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Last Updated on December 17, 2022


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