June 30 2023 Prep

ES is opening up @ 68. Almost 30 points up due to the inflation data apparently. (wink wink window dressing for month/quarter end)

Stats are mildly bearish but if I take month end into account then it's noticeably bearish.

Hence, I am NOT buying this gap up. I am not shorting either. Not yet.

EMA is strong and until now, i.e 4480, but I haven't seen the sell signal. Relative volume is also pretty low so far and I need to see them accelerate with down price moves before I enter Short.


There may NOT be a trade today but I'm tempted to short the 80s and cover it up in the 60s (if we end up having a deeper pullback) with assumed ATR or 30 pts. The odds of gap closure i.e 4440 is pretty low @ 30 percent. Hence not aiming for that lofty goal. However, price closing below 68 is a reasonable 45% odds. Likely to be my target.

Good job on your trading in recent weeks. It seems that you have improved quite a lot! Sometimes I see the time setting for the bars on your sceenshot and other times it is not visible. Also, I do not see any EMAs on your chart. Are you using multiple timeframes for trading decisions? Can you explain a little more about what you are looking for regarding entries?

Also, how do you determine the % probabilities that gaps will close, etc.?

HumbleTrader 

June 30 2023 Prep The odds of gap closure i.e 4440 is pretty low @ 30 percent. Hence not aiming for that lofty goal. However, price closing below 68 is a reasonable 45% odds. Likely to be my target.

richw 

... Sometimes I see the time setting for the bars on your sceenshot and other times it is not visible. Also, I do not see any EMAs on your chart. Are you using multiple timeframes for trading decisions? Can you explain a little more about what you are looking for regarding entries?

Thanks for the compliments.

The screenshot I post are from Tradervue.com jourrnal after importing my trade data from interactive brokers. It's not my charting software. I like the clean visuals of my entries and exits without any clutter and it's very educational for me in performance review.

I cuurrenlty use Sierrachart (after using investorRT for 5 years). I have 4 charts in my window. Daily, 30 mins, 3 or 5 mins (with relative volume) and 10000 volume bar with EMA and Delta. That's it. . Screenshot below.



Please note that I'm NOT a 5 mins bar PA trader. I use them like Bookmap or orderflow. I trade from my 13 inch mac air. In the past, I had 2-3 monitors, watched a long list of instruments for correlation but decided that simplicity and higher timeframe works best for me.

richw 

Also, how do you determine the % probabilities that gaps will close, etc.?

I am glad you asked. Often I wonder why no one is interested in stats. I was that person 2 years ago but investiquant.com changed that mindset dramatically and I try to make most of my trading decisions based on past stats of 20 years. It's an expensive subsription and I wrote about it in my journal and also in a vendor review thread. Most of what they offer can be obtained from tradingview with some basic coding skills. Infact, despite my medical background, I was able to learn pinescript and got some data but chose the easy and lazy path of this paid service.

My original trading execution method was simple. I entered the market @ open and exited @ close. Then I fine tuned with scaling in and out, based on intra day delta, volume, S/R but kept the core position intact. Now I no longer enter @ RTH open and focusing more on fine tuning my entries and exits. That's where gap stats and Y-L/ Y-H stats are handy. I will give more info soon but a couple of examples for now.

Stats suggested that bearish close was more likely yesterday but with higher odds of closing the gap. Hence, instead of shorting the open, I waited for the price to climb and then I initiated my short. The trigger signal is EMA 5 moving below 13.

Today also stats are bearish i.e price is more likely to close below than open. However, big gap up is quite bullish and EMA is strong. Hence, I waited for the bullish momentum to fade, which seems to be happening right now in the 80s as I'm typing. Now is the perfect time to INITIATE and execute my bearish bias. If we make new high of the day, then I will be conservative. I may even bailout for a small loss or decide to hold the small size till EOD, just to check my thesis. If I see down move with high RV, then I will try to scale in during subsequent bounces and target the opening print. I will try to dig my past posts where I have explained the criteria I use for stats.

Thank you for the detailed response. Your trading style seems to be more and more complementary to my own, and I can learn from what you are doing.

HumbleTrader 

Thanks for the compliments.

By the way, I am in a short in MYM looking for a move downward toward the 60" RTH MAs on my chart, as well as the R1 area.

End of the month stats below.

I start with bigger picture and then add specific criteria like current market condition, volatility, opening gap etc.





Though the stats seem favorable for short, I still need to see this chart of result distribution to remind me that bulls can still up a good fight.

Today is not only last day of the month it's also last day of the quarter. Do you have any stats regarding that?

Last time (on march) we had a big buying day taking out the most recent high, looks similar to today or atleast we came very close.

Harleking 

Today is not only last day of the month it's also last day of the quarter. Do you have any stats regarding that?

Yes, you are right about last quarter end bullish move. You can see that from the stats below.

I try NOT to fine tune too much as the trade count goes down and the results become less useful. For instance, the last 3 or 4 bullish results negated the bearish trend in this trade count of 22. I aim to see ideally 100+ events to have confidence.

I'm back in Canada now and the summer is gorgeous here. It's a tad too hot and sunny for me but nobody is complaining

I owe an explanation of my trading methodology to @richw and today is perhaps a good day as I executed my signal well.

It may sound convoluted but please stay with me till the end.

The MOST important part of my analysis is establishing BIAS for the day. I rely on the historical data since 2003 and want to know how ES behaved in the past in a similar market environment.

A) It starts with Pre-Market analysis of 6 conditions.

1. Yesterday's price move intensity = -0.2
2. Yesterday's gap behavior = Filled down gap
3. Yesterday's trend @ daily level = Lower Low
4. Season = day of the week
5. Volatility environment = <15
6. Overnight price action = Below Y-range

Opening Print is extremely important for my stats. Today, we opened a) with a big gap down and b) below Y-L .

Then I look at the 6 variables above for these 2 opening scenarios and came up with this table of bias. Looks bullish to me. What this means is that the daily bar is more likely to be bullish close.



It was hard to be bullish this AM after such a big down gap and negative news around FED rates etc but I had to buy according to my signal.

B) Then the EXECUTION part. This is where I struggled in the past but making huge improvements lately, thanks to EMA crossover system. When we opened @ 4444, EMA crossover (5/13) was negative and I was NOT allowed to buy yet. When eventually price reached a bottom of 4420, the stage was set for a turnaround as that would mean ATR of 30 pts to grab stops above the opening price for bullish close. EMA signal turned bullish @ 4427. That's my buy entry signal.

C) Then the question of EXITS. Where do I get out? First things first. Stops - If we make a new low, then my thesis is wrong. So that's 7 pts risk @ 4420.
Profit target - Ideally where shorts would keep their stops. That's above 4444. May be upto 4450. Nicely fit's with recent ATR of 30 pts.

D) Then the mother of all challenges. Where do I scale in/out. Still figuring out. Though I (almost) nailed it in terms of entry and exit, my expected retrace to 4430 did NOT happen and hence only 1/2 my size today. ughh.

Hope it makes (some) sense.

Very happy with my performance (except for the last unintentional trade).

Bullish bias, based on stats.

1st Long = + 9 pts. Showed patience before entry and used resistance for exit.

2nd Long = -2 pts. Big pullback made me nervous and hence got out on the bounce.

3rd Long = + 25 pts. Got in after seeing strenght and added more on further strength. That's good trading baby. Got out @ 30 ATR.

4th Long = -10 pts. I forgot to cancel my limit buy order and only realised towards the EOD. Ouch.

Overall +22 pts. Not bad. I'm particularly proud of the fact that I'm getting aggressive ONLY when my trade thesis is working and my position is green. Not adding to losers anymore (unless it's pre-planned at strategic location with a very very tight stop)

I could have done better with the ATR exit. I used the standard 30 pts but should have considered the jobs report volatility and perhaps could have bagged another 10 pts. Will remember that.