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From memory I didn't notice too much prior. I think it hit most suddenly.
I was mostly trading FX at that time.
Obviously volatility increased and there where days where liquidity also dropped off.
It really started to get ugly when Lehman Brothers went down.
It was certainly good to experience a period like that.
That is what traders do, they survive and continue to adapt to market conditions that are constantly changing.
Can you help answer these questions from other members on NexusFi?
I figured I'd take the time to update my journal this morning while the ZN does absolutely nothing.
No trades so far for this week. My thesis for both Monday and Tuesday has been that everybody is waiting to see the FOMC minutes this afternoon and then Unemployment Claims tomorrow. This three tick range in ZN is pathetic! There's no reason to be risking your capital whatsoever.
I was watching some of John Grady's material last night and one thing that he said really stuck with me. One of the most pressing questions in trading, he argued, is "How many ticks can I not lose this week?". A consistent theme of my trading for the last month or so has been bad trades taken for bad reasons. How am I going to change this? I'm going to change this slowly and steadily, and by focusing on losing fewer ticks on dumb trades than before.
And in response to Kellys:
Did it feel like the crash we had on Monday/Tuesday a couple weeks ago? It really came out of nowhere; no North Korea news, no Greek default, and no mortgage market crash. It was as if a switch just flipped. Is that what it felt like during the crash? How long did that persist for? And do you think, based on your trading style, that type of volatility is easy or hard to trade?
For sure!
It starts normally, then as the sales come in, the downside gathers pace and speed. The lower it goes the more it worries longs. The limit book on both sides drops right off.
At this point, you need to check your MM and position sizing.
If you have a DOM (which you do), then that is where you can really see the difference.
The liquidity drops to ridiculous levels!
I do not like trading in conditions like that.
However, you can make quite some money if you know what is going on and move out of your comfort zone.
I prefer thicker markets to trade. Trading DAX or CL isn't for me.
I am quite a risk averse person. Under some conditions, I even get uncomfortable trading rates outright.
I much prefer spreading to be honest (only rates).
I love Colorado. There's something calming and peaceful about staring out across the snow while I speculate!
Was there any one aspect of recent trade which made you think "Just like the Credit Crisis", or is it moreso a contextual read? I find that pretty much all of my trading is becoming contextual as I get the feel for scalping. It's really hard to describe to the casual onlooker; sometimes the feel is there and the DOM is speaking to me, and sometimes I feel like I'm trying to read an alien language.
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Kellys, do you find yourself doing pure intraday spread speculation? Or is it part of a longer term portfolio? I know very little about the spread trade, so this might be a silly question, but I'll ask it anyway. Rather than outright speculators who will bet on the market direction for the next two minutes, aren't spreaders looking for a certain spread value? It seems to me that the spread would converge to the market's expectation on interest rates and other factors, making it difficult to squeeze a tick out of a trade. Where does an edge in spread trading appear? What platform do you use to execute your spreads?
No, all my spread trading is holding outside intraday. I don't spread trade intraday.
For me, when I trade spreads I am looking at fundamental factors.
So I will be looking at the Federal Reserve and where they are at and what they are looking to do.
I will also be tracking economic performance.
Then there are auctions, supply etc
I use Trading Technologies for execution. For charting spreads I use a combination of TT and CQG data with TV.
I mostly look at spreads on larger time frames.
I always trade the exchange spreads. I do not leg in/out manually.
When you're used to trading a very thick IR market like ED's or ZN etc....you're working bids and offers or trying to take a market on the turn and hopefully make a tick or so....when the volatility came on, combined with crazy volume, the result was a market that moved very freely. If you cut your size to allow more room for your trades, you should be able to put on more winners. Of course you can get roasted too. But if you are focused and quick you can clean up. Can't be afraid to take losers thought. Pre crisis my stats were maybe an average of 2-4 winners per day and maybe 0-2 losers. During the crisis both statistics probably doubled.
My trading went immensely better this week, although I still ended up down two ticks. I only took one trade all week (which was kind of absorption, but I misread the context and took the stop almost immediately). The most important thing about my trading was that I did not randomly blast away at stupid trades and lose stupid money! I'll be right back in things again this week, looking for my absorption edge and executing without hesitation when I see the market do its thing.
This week will hopefully see more tradable opportunities than last week did! My expectations are as follows: 1) Monday will be slow due to lack of news; 2) Tuesday will see plenty of volatility with Durable Goods numbers and Powell testifying at 6:30 AM MST; 3) Wednesday will be volatile, with Preliminary GDP q/q due at 6:30; 4) Thursday will be decent, with a few numbers out; 5) Friday will be slow. Next Friday, however, is NFP Friday. Plenty of volatility then!
My goal for this week is to continue the progress which I saw last week. That is, to not take the bad trades. I avoided dozens of bad trades this week and most importantly didn't give handfuls of ticks away to the market and commissions to my broker.
The spread steepened slightly this week. I'd bet that this is in anticipation of Powell speaking, as spread traders take a little off the table to see what he has to say. My assumption is that the flattening will continue like usual throughout this week and into the March Fed announcement as well.
My goal for February was to bring my overall expectancy (Jan-Feb) from -0.96 to -0.5. I haven't achieved this goal yet and I doubt that it will happen this week. After doing some math, I see that it would take ten trades this week each making ten ticks to hit my expectancy goal.
Either I shoot from the hip and spray large size trades everywhere, or I realize that I am not going to hit my goal this month. I have no intention of trading stupidly, so my expectancy goal will have to wait until next month.
I spent a ton of time this evening looking into expectancy and equity curve stuff. I'll post more as I generate the information in Matlab. It's taking a little while running through everything, but it seems that the theme is "Reduce Standard Deviation, Reduce Blowouts" to see gradual profits.
I realized that it was rollover week on Monday morning when the action was a little strange. The normal volume in ZN wasn't quite there, the size that usually pushes around markets wasn't there, and the trades weren't there.
I haven't traded at all this week and I expect that I will not take any trades going forward. Powell is testifying tomorrow outside of my trading time; I won't be in the chair for the volatility and the volatility beforehand will likely be poor.
February was better than January, but only slightly. My expectancy has moved to -0.5 compared to last month's -0.96. This number needs to get positive for me to see eventual profits hit my account. I need to review some of my earlier trades this month, but from what I can remember, there were quite a few poor trades made which likely cost me on the order of my monthly loss.
I'm down -7 ticks this month. Naturally, after commissions, I'm down more than just $15.625*7. On a tick-to-tick basis though, I could have EASILY dodged a couple of losing trades to get that number back to zero. I've also only lost 15.5% of what I lost last month, which is good. I had 14 trades this month, compared to 29 last month.
I think that the thing which defined the difference between Feb and Jan's performance is my own annoyance. I was sick of taking stupid trades and blowing out of them mere seconds after I had put them on. I became tremendously selective with which trades I took--and even then I was still taking bad ones!!
My winners were larger than my losers, but they were much less frequent. Therein lies the issue with my trading. I take bad trades which blow out very quickly. My winning:losing TiT is 2.57 for the month, suggesting that I do not marry losers and hold winners for more than twice as long as my losers. I expect that this number will change a bit as I become more selective with my absorption plays.
My goal for March is to get that expectancy even higher. I'm targeting +0.01 ticks per trade for March. I'll look over things later this evening when I can do some Matlab stuff, but I know that my current win rate of 28.57% is unacceptable. This number needs to be higher, and the RNG future trade simulation which I was working on is terribly dependent on that winning percentage. I want to get my winning percentage to 50%. I know that my understanding of any given absorption context is getting better; I have actually cancelled entries based on feel this week, and then watched the market blow right through what would have been my stop.
My feel for order flow is slowly improving. My need to trade remains there. I feel that I am wasting time some days when I don't take a trade, but then I tell myself over and over that I have to execute my edge, and if my edge isn't there, then the trade is most certainly not there.
1) Good Trades v. Bad Trades. Take the obvious ones with plenty of the type of action that I am looking for.
2) Not trading is okay! Not trading for a week is okay, as long as there were not any missed opportunities.
3) Lose less money than February.
I haven't taken any trades this week so far. The morning action has been odd and a tough read. Monday's trade was trash and then it trended after I had stepped away. Tuesday had a beautiful flip/offer pull trade that I didn't take (but will be watching closely in the future) and Wednesday didn't do a single thing until the equity open.
It seems that the theme is risk off whenever Trump breathes, and choppy trade until NFP hits on Friday. I was thinking about some stuff last night--when was the last time that the markets were this keyed in to what the President said or did? I've traded through part of Obama and now part of Trump, so I don't know what they feel like over a 10 or 20 year period. It just seems odd though. Why should the ES open twenty handles down because Cohn stepped aside?
I'm probably going to take Thursday off in preparation for NFP Friday. We have news on Thursday but my expectation is that the reaction is muted. NFP will, like always, see fireworks. I want to be mentally prepared for trading that day.
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I had three trades last Thursday and Friday. Two on Thursday cancelled each other out and then I had a 1 tick loser on Friday. I'm -1 for March so far.
