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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
Can you help answer these questions from other members on NexusFi?
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
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
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.
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.
