OK, I'd like to make some comments that could help. But I am biased toward an extreme degree
of specialization; and also to custom coding of high performance algorithms; and toward the
higher cost data feeds which may contain the hidden signals to give you Real Signals for
Market direction.
My work is solely focussed on Futures day trading, or
Scalping; using
NinjaTrader 8 with
fully custom algorithmic indicators (nothing off the shelf is really good enough) and also the
use of a dedicated server, situated fairly near to the Chicago area, which also presupposes
that you either can system-manage, or you know somebody who can...
Given these constraints, and the nearly impossible goal of predicting with high probability
which direction the market will move in the near future.... given all of this, the only way
I can help is by giving general advice on the setup which is needed to achieve
consistent success. CONSISTENT success is the goal; so that, on a daily
basis, you
are profitable; and your Account Equity is not wildly gyrating from day to day, and you
are not overly leveraging your buying power, thus putting your survival at risk...
I am a Technical Trader, relying upon Real Time Technical Analysis. I don't do Swing Trades,
and I might be involved in many hundreds of individual trades, which form part of a
"Meta Trade" involving many Micro
contract positions, all working together to allow me
to be successful by controlling a couple of KEY FACTORS.
1) RISK CONTROL involves using multiple Low Risk positions, as a Group, so that both
Cost Basis (your Trade Break Even price) and Risk Levels can be "modulated" as the
trading action proceeds.
1a) ...essential to Risk Control is that you NOT be overly-leveraged; so you can add
to your position size, or reduce your position size; without fully Stopping Out during
Price Adversity, nor having to be
All In with a position size that puts you at high
risk. This may involve working with the Micro
contracts (which are 1/10th the size
of the Mini contracts) instead of the Mini contracts. By "spreading out" your Entry
Price levels, your Cost Basis is the Volume Weighted Average Position Price; and
also your Risk Level is your current number of outstanding positions which form a
Macro Position.
2) LIFO Accounting for Partial Profits as the Macro Position proceeds. Most brokerages
use a
FIFO accounting method; but this is not desirable in helping you to know how
much your Profit Taking is contributing to your Open Losses. A FIFO technique helps
you to say "OK, My Macro position is losing $100; but I've taken $75 already in partial
profits, so I'm really losing only $25 as I continue to 'work' the Trade".
3) You'll want to anticipate tolerating Price Adversity which may be in the
range of
50 market ticks or so; in the normal course of your trading. You may reduce a
portion of your position, but you must be ready to increase your aggregate position
size whenever possible; and that will be directed by your Trend Direction analysis.
The above observations are off-topic and don't address the usage of
Time and Sales
Analysis, nor
Depth of Market Analysis; I realize that. I've already said that although
Time and Sales (what I call "Inventory" Analysis) is valuable; it doesn't help you
Pin-Point precisely when Trending is favorable to you.
So we are left with what I regard as the best way to Identify "true trending" through usage
of the Depth of Market, and developing a "
bias" Indicator which will tell you when trend
is favorable to your position (so that you can add to your position) and when you
should possibly reduce your position size, or take individual Partial Profits to contribute
to your "in pocket" cash, which offsets your open losses as the aggregate position
proceeds.
You'll need a platform which is programmable, such as NinjaTrader 8 which uses compiled
very high performance C# code to develop Indicators. Also, you'll need access to a
Market Depth feed, which is likely to be Rithmic at NinjaTrader brokerage. If you have
a substantial account size, then you can tolerate the fact that your margin requirements
could be very much worse, than with the normal data feeds; but you'll need that Market
Depth from Rithmic to do analysis.
Using the LeeLoo proprietary trading service, you will have access to Rithmic Data, and you
may be able to qualify for paying performance accounts in that way.
IN ANY TRADING, you simply cannot "
flip a coin" and determine which direction to trade,
either "long" or "short" as they say; and have any hope at all of surviving. ANALYTICS
which are predictive of Market direction MUST BE the starting point for everything further
down the chain, where Execution is the least important.
Consider that Market Makers are NOT driven by "Retail
Buying and Selling pressure" but are,
instead, the prime drivers of all Market direction; where Retail players are simply followers.
You'll constantly be told things like "Buyers are in control of the market today, which is
why the price is rising." as though the Retail participants control Market direction. At least
in Futures markets, this is Absolutely NOT True. It is what I'd call a "Convenient Fiction".
Can you tell that I'm not going to give you a specific solution here, but simply to get you
thinking about where the Holy Grail may exist? lol
IF there is a Holy Grail for shorter term trading; or scalping day trading.... then that Holy
Grail is to be found in the analysis of The Order Book, or Depth of Market, abbreviated
as the
DOM. Analysis of the DOM will tell you where the market is moving on a short
term basis.
WHY? ...and here I'm just giving you some food for thought. Let's agree to stipulate one
assumption, for the purposes of argument. "Market Makers know where they want to move
the market; meaning that they have a Plan on any given day; and they use their own Bids
and Offers distributed on a constantly changing DOM, in order to maximiz(s)e their Profits,
as they use Retail Players to achieve their objectives."
When Market Maker wants to lift the Market Price, she simply removes her Offers, and also
then begins pushing her Bids, to simply "over-power, overwhelm" the Retail players'
buying and selling tendencies. When Prices rise, Retail players become Buyers; and when
the Price falls, Retail players become Sellers. Retail players are "followers" and Market
Maker is the Prime motive force for Price movement.
1) Time and Sales analysis. Here we see a Limited Value in looking at Buying and Selling
transactions. We can understand why all Markets move in a "sawtooth" fashion. It is because
Retail players BUY (from Market Maker) as the Price rises, and Retail players SELL (to Market
Maker) as the Price falls. Thus, some "Inventory Analysis" which involves tallying shorter term
"Net Market Maker estimated position against the Retail action" can help you to identify
the tops and the bottoms of the sawtooth movements. At the top, Retail players have been
(for the most part) Buying; so Market Maker has been selling to them; and thus Market Maker
becomes relatively "short"; and at the bottom, Market Maker has been buying from Selling Retail
players, and so has been shifted relatively "long" in Inventory.
SO TIME AND SALES ANALYSIS has a value in helping to provide what I would call a
"situational awareness" which may help us to measure a process responsible for the tops
and bottoms of the "sawtooth" micro movements in a Market.
....I'd better continue in another segment...
hyperscalper