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shodson's Trading Journal

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  #301 (permalink)
 
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 shodson 
OC, California, USA
Quantoholic
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
Posts: 1,976 since Jun 2009
Thanks Given: 533
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Thursday July 1st - I set up a few tradable zones. The gaps were small but it opened in one of my extended target zones. It got long and touched my target but didn't get filled, then turned around for a full 6.75pt loser! I allowed my fader to break a cardinal rule: don't let a winner turn into a loser. I should have at least some money management logic in there that if it gets at least 90% of my target or at LEAST touches my target to at LEAST move my stop to break even, or cut it in half. I'll have to think about it. MTG discretionarily uses a "1pt" rule. I don't like a 1pt rule because it changes the probabilities of the gap guides, but at least do something on a target being touched.

To help pay for my mistake I got 1 nice scalp on CL.

ES: 1 fail: -29 ticks
CL: 1 win: +28 ticks

I got my end of month statement from RCG. I increased my acct by 13% in June.

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  #302 (permalink)
 sharmas 
Auckland
 
Experience: Advanced
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Trading: CL and ES
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Hi Shodson

Do you use pre defined Profit and stop ..I am finding your method really easy and something i would like to test in SIM and might adopt it.. if you dont mind

sharmas

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  #303 (permalink)
 
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 shodson 
OC, California, USA
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sharmas View Post
Hi Shodson

Do you use pre defined Profit and stop ..I am finding your method really easy and something i would like to test in SIM and might adopt it.. if you dont mind

sharmas

For which? The gap trades or the inside bar trades? I guess it doesn't matter because, yes, I used fixed profits targets and stop losses. The gap trades targets and stops vary each day, whereas the inside bar setups have fixed targets by dynamic stops depending on the size of the inside bar, but I want to make that a little more sophisticated, based on market volatility and other factors.

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  #304 (permalink)
 
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 shodson 
OC, California, USA
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Buy...Sell...FAIL or Sell...Buy...FAIL

These are capturing ABC patterns

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  #305 (permalink)
 
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 shodson 
OC, California, USA
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Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
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Friday, July 2nd - Out of town, NO TRADES

Monday, July 5th - Out of town, NO TRADES

Tuesday, July 6th - Out of town, NO TRADES

Wednesday, July 7th - There was a good-looking gap setup but it was too small of a small gap to risk 7.5 point for. My charts froze overnight anyways and my fader strat stopped working because of it, but my rules would have kept me out of it anyways. Luckily I was right and I prevented myself from a full loss as the gap never filled.

Scalping CL was a losing proposition. I missed the first 2 trades due to technical difficulties, both winners of course, but fixed the problem to get the last two trades. Without the technical problems I would have been +8 on the day.

ES: NO TRADES
CL: 1 win, 1 fail: -29 ticks (the first missed winners on the chart are back tested trades, not real-time trades)

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  #306 (permalink)
 
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 shodson 
OC, California, USA
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Thursday, July 8th - I was actually awake to watch the market open. After yesterday's very bullish day, the market went down overnight but then rallied up above yesterday's close in the pre-market after the jobless claims report. I felt like the market would mean revert and fill the gap, but the gap guides for the U-H zone were just a little too weak to take. The MTG moderator took the trade but with reduced position size. The gap ended up filling nicely for a nice 5pt win.

I got 4 nice IB scalps on CL, 3 wins and 1 loser. The wins were all with-trend and the loser was counter-trend. I need to seriously consider/research taking only with-trend IB breakouts, but I'll work on that this weekend. In the meantime, this strat is making money so I'm OK so far.

ES: NO TRADES
CL: 3 wins, 1 fail: + 30 ticks

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  #307 (permalink)
 
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 shodson 
OC, California, USA
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Friday, July 9th - There were several good setups in the gap guides, all zones with good profit factors except the U-CO zone, which is, of course, where it opened. And the gap was very small. So there was no gap trade for me.

Had a bad day trading IBs on CL. Spurred more debate about automated vs discretionary trading and caused me to look for better alternatives for this setup via lots of backtesting this weekend.

ES: no trades
CL: -74 4ticks

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  #308 (permalink)
 
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 ZTR 
 
Experience: Advanced
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I think these type of posts are fantastic, they bring together all of the combined knowledge on BigMike's.

R.I.P. Andy Zektzer (ZTR), 1960-2010.
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  #309 (permalink)
 
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 shodson 
OC, California, USA
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Monday, July 12th - I set up to trade the ES in U-HC zone but it opened in the U-CO so no gap trade. Plus, the gaps were small. Still, MTG took a trade with a smaller position size and some extended target for a win.

Traded IBs on the 6E but did it on SIM since it was my first time trying it on that instrument. Good thing as it picked up one losing trade.

Got 2 nice IB winners on CL, +24 each. The 2nd one just barely hit my target and then turned around.

ES: NO TRADES
CL: +48 ticks
6E: -8 ticks (on SIM)

MTG released their June gap wrap report, summarizing their Q2 results. I've attached it below in a screen shot.

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  #310 (permalink)
 
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 shodson 
OC, California, USA
Quantoholic
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
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Posts: 1,976 since Jun 2009
Thanks Given: 533
Thanks Received: 3,709


Tuesday, July 13th - I saw some good setups to fade an up-gap. I set up the U-HC and U-H zones. Anytime I set up a zone above yesterday's highs or below yesterday's lows I have to be more careful because those zones have no upper or lower boundary. Studies have shown that fading a gap > 40% of the 5-day ATR is riskier, so I took that in mind and set my upper bound for the U-H zone to not fade gapes more than 9pts (about 45% of 5-day ATR). The market opened up 10pts higher, canceling a trade. It was a good thing because it went through what would have been my stop loss level.

Took an IB loss on 6E after the London open. I should filter IBs after such large bars because you're almost guaranteed to get an IB after a large bar with large wicks like that, and I'm not convinced the probability of such IBs are that great, probably just a roll of the dice.

Got 2 wins and 1 loss on CL IBs but then realized later that my strat was setup to run on SIM and not real money, so it kept me from winning an extra 22 ticks I set up the strat late at night and must not have been paying attention. I stopped the strat and then set it back up on my live account but didn't get anymore trades.

So even with automated trading you are prone to make human errors. I should create a checklist when I set these up and make sure I've gone through all of my steps. Kind of like a pilot's checklist before taking off on a flight.

ES: no trades
6E: 1 loss: -20 ticks
CL: +20 ticks (on SIM)

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