Hey there. This is a branch-out of my regular journal Trading Fast Markets. I have been developing trading systems for futures markets for over 2.5 years now, passed two 150k TST combines, switched from GC to DAX, changed time frames. However I always been following order flow, liquidity and momentum. In my main journal I have come up to the point where I had finalized development and testing of a what I see as a well-rounded trading plan, however I have trouble to put it to a live trading test and start trading it consistently.
The purpose of this thread is to focus only on doing 10 days of live trading as per plan, focusing on discipline and accountability. I won't be talking much about market, reporting it, nor explaining my approach too much, this is what main thread is for. Here I want to focus on trading consistently, logging my trades and screen shots (play book), and keeping stats in a combine-inspired trading log.
I have selected my trading plan to resemble two TST Combines: 30 and 50k. This is due to the fact that my plan calls for trading from two time frames, 30s and 3m, switching up when volatility rises twice comparing to the long-term average. I use ATR(20) as a gauge. DAX futures I trade have a long-term average range on 30s about 3.5 points. When it rises past 6.5 I will stop trading this time frame. 3m has long term average of about 9 points, when it is past 17 points I will stop trading altogether. Once I have taken a trade on 3m I won't go back to 30s.
For taking 30s (or LTF) trades I will use 30k combine plan: 500 eur max DD per day, 3 consq. stops in a row, 2 consq. stops in same direction max, max DD 1500 eur, profit target 1500 eur.
On average stops on LTF are about 5 points.
For taking 3m (or HTF) trades I will use 50k combine plan: 1000 eur max DD per day, 3 consq. stops in a row, 2 consq. stops in same direction max, max DD 3000 eur, profit target 3000 eur.
On average stops on HTF are about 10 points.
My trading is simple: I trade from electronic EUREX open at 8 AM CET till 12 PM CET. I won't stop trading for low and average impact news, only for very stong ones, but in this time frame they are almost absent. I trade with momentum, betting on a continuation of existing move. I trade with an immediate trend. I determine trend using bollinger bands and a slope of both bands, that should be close to parallel to call it a trend channel. I take a trade near 20 EMA or near an opposite BB. To determine where I use momentum strength. This is simple - I look at distance between 20 and 50 EMA to gauge momentum. More momentum - EMA entry should be used, less momentum - BB entry should be used.
To increase odds I use cumulative delta analysis to judge when to enter and when to pass. Thanks a lot to gomi for his wonderful efforts. Basically CDHA can be used visually to see if a fast pullback turns into a reversal or a complex pullback (changing color), but I coded an indicator that does that algorithmic doing some number alchemy with pure GOM delta data.
To find out how far targets should be I use average session volume data. The period between now and a session open is added up volume-wise and compared to an average of 20 or 40 previous periods/days. This affects targets as 100% volume (meaning just an average volume) will correspond to a base target, 80% will correspond to 0.8 of a target, etc.
Base targets are 2.5 and 5 R, which is a risk in a current trade, or a stop loss size.
Exits should be done either on a target, or next round level, or bollinger that turns against a trade, on a consolidation around or past target 1.
Risk is determined by volatility only (not by volume) and for LTF it is 1.1 ATR, and for HTF it is 0.8 ATR.
I will be logging my trades into the spread sheet I used for keeping a tab on my trades in Combine days.
To round up this intro, I am starting with 7500 euro account and will trade 1 lot positions. After 10 days we will re-evaluate. Max risk for 10 days will be 3500 euro, in case both plans for LTF and HTF fail. Hitting 4500 euro …