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I typically start at 10 after identifying a trend and then call it quits around 2:30. I used to trade 9:30 to 11, but since increasing my chart from 30s to 7500 vol I've found myself having significantly less opportunities so I've been forcing myself to trade into the late afternoon. I have to work on my focus though because when I give 100% focus I tend to overtrade due to a combination of overanalysis / confirmation bias and sheer boredom. I appreciate the advice- I think I'll cut an hour or two off.
Yeah the bars today were insane with some 7500 vol bars over 5 points each. Today was a rough day to trade, super choppy. I made way too many mistakes in 30s, and the scale was too small for my targets; my stops were so tight today because I knew I was going to get margin called. I typically do only trade one contract, but got a little too bold. How do you determine entry with the 30s?
My max fixed percentage is 5%- I've increased it as I am in five digit losses and am running out of expendable speculation capital. This is not including a little put away for when I become profitable. 5% is for my larger stop losses; typically it will be lower than that, probably around half. I try to only trade one contract nowadays but can get overconfident. Last week I did so well I just had to add one. My expectations have been stomped on enough times to the point where money and trading have separated for me and I don't expect anything but results.
I'll check out the other markets; but will likely stick to futures for the foreseeable future. I've decided that I'm shooting for home runs and am willing to take losses and BEs on the way. I also made the transition to 7500 volume charts which I feel are lengthy enough. As for ranges and key levels, I use a composite volume profile and draw in my own lines when necessary.
I'll be sure to check out the code; can you elaborate on how it can be utilized? If it helps, I'd be more than happy to send you 10k.
One year is not that long. Right, you need to understand the root cause of your losses in order to correctly address your problems. A few thoughts come to mind:
Regarding your risk level
While not advice, I would classify aggressive day trading as generally a max risk of 3% up to perhaps 5% of capital per day. Aggressive quantitative systems might be able to up to 8% per day but that is very high. With small accounts, it is obviously very difficult to stay within these parameters. Most methods will go through out and under performance periods.
Instrument selection
Why are you only trading ES? There has been good volatility recently. So, I think it is a good market to be trading. However, I think adding at least another market or two might help when conditions change.
Market cognition
One of my thesis is that most profits come from having higher levels of "market cognition". I think that working on that aspect may help you. Along these similar lines, you have described very mechanical trade entries which can be backtested. Generally as a discretionary trader, you should have a good feel for the market because that is where your edge is coming from. So, if you don't have a good feel for the market then that's a problem.
Quantitative and statistical tracking
I like that you are trading in sim. However, it sounds like you are not taking full advantage of that information because a lot of your questions can be answered by applying quantitative analysis to your sim results. This is an area where I may be able to offer more help in the future. But, Ninjatrader has a lot of stats that you can drill down into.
I sim trade until I am profitable for weeks, and then I switch and can't replicate the results.
Just an idea that might help is to sim trade on an "on going" basis instead of sim trading after until hitting a high water mark. So, for example, you might trade only the first 2-4 hours each day and then sim trade the previous 3 days until you pass a performance objective that you establish. You would do this process every single day: 4 hours live, sim trade previous 3 days until you hit your goals, 4 hours live, etc. But as part of this process, you journal your discoveries and try to refine them.
Now you need to wait for only the best of the best of the best. No longer do you take trades you "think" will work. Now you only take trades you "know" will work. No longer do you trade on days that are dull. You only trade on days that are alive and moving. This might mean going from four trades a day to four trades a month.
Over time you will recognize more good trades and your trade frequency will increase, but for now dial it back and slowly build both your account and your confidence.
Can you do this? Do you have the discipline to sit there day after day for hours at a time waiting for just the right moment?
Now you need to wait for only the best of the best of the best. No longer do you take trades you "think" will work. Now you only take trades you "know" will work. No longer do you trade on days that are dull. You only trade on days that are alive and moving. This might mean going from four trades a day to four trades a month.
Over time you will recognize more good trades and your trade frequency will increase, but for now dial it back and slowly build both your account and your confidence.
Can you do this? Do you have the discipline to sit there day after day for hours at a time waiting for just the right moment?
I hope so. I'm likely going to use a 2 point stop on most days but on days like yesterday I should have increased it with all the noise. I typically adjust my stops after entry, but i'll definitely add at least a few ticks to my base.
One year is not that long. Right, you need to understand the root cause of your losses in order to correctly address your problems. A few thoughts come to mind:
Regarding your risk level
While not advice, I would classify aggressive day trading as generally a max risk of 3% up to perhaps 5% of capital per day. Aggressive quantitative systems might be able to up to 8% per day but that is very high. With small accounts, it is obviously very difficult to stay within these parameters. Most methods will go through out and under performance periods.
Instrument selection
Why are you only trading ES? There has been good volatility recently. So, I think it is a good market to be trading. However, I think adding at least another market or two might help when conditions change.
Market cognition
One of my thesis is that most profits come from having higher levels of "market cognition". I think that working on that aspect may help you. Along these similar lines, you have described very mechanical trade entries which can be backtested. Generally as a discretionary trader, you should have a good feel for the market because that is where your edge is coming from. So, if you don't have a good feel for the market then that's a problem.
Quantitative and statistical tracking
I like that you are trading in sim. However, it sounds like you are not taking full advantage of that information because a lot of your questions can be answered by applying quantitative analysis to your sim results. This is an area where I may be able to offer more help in the future. But, Ninjatrader has a lot of stats that you can drill down into.
I sim trade until I am profitable for weeks, and then I switch and can't replicate the results.
Just an idea that might help is to sim trade on an "on going" basis instead of sim trading after until hitting a high water mark. So, for example, you might trade only the first 2-4 hours each day and then sim trade the previous 3 days until you pass a performance objective that you establish. You would do this process every single day: 4 hours live, sim trade previous 3 days until you hit your goals, 4 hours live, etc. But as part of this process, you journal your discoveries and try to refine them.
What other markets would you recommend? NQ? My market cognition needs work; its works well on "easy" days but some days are seemingly unpredictable to me. I will try out the sim trading strategy; I do often trade playback, especially days that I feel I could have done better. If you want to offer any help in the field of quant/stat tracking at any time, let me know, I always appreciate help.
Just as a follow-up, I made $1,167.24 today on 35 trades. LABD and UGAZ didn't trade because their inverse ETFs (LABU and DGAZ, respectively) went long shortly after the open and stayed long all day. TVIX (-3.50%) and MBOT (-10.82%) didn't trade because it wanted to go short but couldn't get a borrow from my broker (IB) otherwise it would have made more. I need to trade puts when the stock is not shortable, but the software's not there yet. The big winner of the day was shorting Pacific Gas & Electric (-23.37%), which is entering bankruptcy protection due to the huge liabilities incurred by the wildfires in Northern California over the last two years.
shodson
Here's a peek at which ones I will trade tomorrow.
I am personally more of a single market trader. But, anything that moves good, where you can control your risk reasonably, and where you can get an edge. While it is not quite to the level of a prediction, I think the Nikkei 225 could be a big mover this year but I am not sure how it trades as a future.
xevanchan
What other markets would you recommend? NQ? My market cognition needs work; its works well on "easy" days but some days are seemingly unpredictable to me. I will try out the sim trading strategy; I do often trade playback, especially days that I feel I could have done better. If you want to offer any help in the field of quant/stat tracking at any time, let me know, I always appreciate help.