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bwolf's ES Daily Trading Journal

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bwolf's Avatar
 bwolf 
Los Angeles, CA
 
Experience: None
Platform: NT8, TOS, Tradingview, BH
Broker: Ninjatrader
Trading: ES
Posts: 258 since Aug 2019
Thanks Given: 682
Thanks Received: 564

Done for the day, two trades before FOMC. One purely ACD panned out, the next one was not ACD and although the setup is acceptable, it was taken early. Overall it's an expense day (I'm tracking my P&L but trying to re-orient myself around long-term probabilities vs the trade-by-trade approach that gets me in trouble, so I am booking it here as expense vs profit. I will update my P&L for myself weekly or so, and on here monthly). The expense was within my sought-after 5% of account daily max, a plus. My stop sizes reduce my allowable number of trades as I am essentially swinging not scalping (swinging for 10 - 20 pts). I can't have 6 losers. And if I use a win to venture another one it offsets the loss to the allowable amount but ends that day if the trade doesn't work out. On the flip side, I only have 2 or 3 conceivable setups per session if I stick to ACD and my two reversal inside variations (we'll see about those), so I stop at 3 profitable trades max.

P&L Profit (P) / Expense (E) / Neutral (N): E
Trades: 2
Round Turns: 16 (MES)
Errors: 1
Cost of Errors: 7.5 ES Pts
Risk Plan Adherence: Yes
Opportunities Available: Low
Event Day: Yes
Preparation: 8
Market Alignment: 6
Execution: 7



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bwolf's Avatar
 bwolf 
Los Angeles, CA
 
Experience: None
Platform: NT8, TOS, Tradingview, BH
Broker: Ninjatrader
Trading: ES
Posts: 258 since Aug 2019
Thanks Given: 682
Thanks Received: 564

P&L Profit (P) / Expense (E) / Neutral (N): P
Trades: 3
Round Turns: 20 (ES & MES)
Errors: 2
Cost of Errors: 0
Trading Rules Adherence: Yes
Risk Plan Adherence: No
Opportunities Available: Med
Event Day: No
Preparation: 7
Market Alignment: 6
Execution: 7




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bwolf's Avatar
 bwolf 
Los Angeles, CA
 
Experience: None
Platform: NT8, TOS, Tradingview, BH
Broker: Ninjatrader
Trading: ES
Posts: 258 since Aug 2019
Thanks Given: 682
Thanks Received: 564


Profitable day but that really comes last, literally, after dissecting the process for an hour post-trading. Made a few errors and still have risk management improvements to work on.

P&L Profit (P) / Expense (E) / Neutral (N): P
Trades: 6
Round Turns: 27 (ES & MES)
Errors: 3
Cost of Errors: 0
Trading Rules Adherence: Yes
Risk Plan Adherence: No
Opportunities Available: Med
Event Day: No
Preparation: 7
Market Alignment: 8
Execution: 7






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bwolf's Avatar
 bwolf 
Los Angeles, CA
 
Experience: None
Platform: NT8, TOS, Tradingview, BH
Broker: Ninjatrader
Trading: ES
Posts: 258 since Aug 2019
Thanks Given: 682
Thanks Received: 564

Weekend Thoughts On Risk

In my trading yesterday, I implemented a setup that is outside of my ACD setup, which I have been thinking about more recently and launched on one or two occasions in the last week. Yesterday I put it on 3x in different variations. It's basically a 5-lot ES 8-tick profit target setup in very high probability situations, such as the "last mile" to a gamma level that market makers will hedge around. I call it my Toll Trade (i.e, they pay a toll to get to the gamma level). I have been doing it without any stops in the market. As I wrote in my notes yesterday, my thinking on risk management here is as follows:

"The reason this trade size and configuration is outside of my risk parameters is that I don't have a stop on this setup yet. I do normally stay on the trade and ready to flatten, but with 5 lots I hate having a stop-loss in the market because I have not yet figured out the optimal configuration. If I put a stop loss I can live with it's too close to price given the price action of ES. In other words, it can easily stop me out and still be a valid trade that gets my profit target. That's just how it moves. If it does go against me too far, it also almost invariably gives me a rotation back to exit better than if I had a stop. Ultimately, I guess I have to settle on a disaster stop because it's disasters in these setups that take me out. Or do them smaller to start, which leads to doing them more often and taking more trades that are not really high probability. So these are the things I need to deal with."

As we know, however, the judgment call on when to flatten, in reality, can get very tricky and marred by entrapment issues (for a whole study of this, read: "Entrapment in Escalating Conflicts, A Social Psychological Analysis" by Brockner & Rubin). In reality, this is something I need to deal with. Yesterday I had no losers on any of the 5 ES trades. This doesn't mean they were good trades. My bi-monthly blow-ups are a direct result of lining up trades like these, which work 90% of the time. Even if I have a disaster stop, this can lead to self destruct all or nothing mode, depending how far into my $5000 drawdown limit the trade has gone.

So I am working on a potential Blackbird order set to deal with managing risk realistically. My idea is to scale the stops out gradually, so that as the trade goes against me I drop the number of contracts to limit the damage and simultaneously push out the profit targets on the remaining contracts to make up the losses, should the trade reverse and continue in the trade direction. So the scalps essentially become swings (swinging for the fences, lol). The probabilities are low, but at least the damage is contained and there is a possibility of further reducing losses on remaining contracts, even if it doesn't ultimately go to the profit target needed to be made whole on the ones that stopped out.

My baseline for where to take the stops is my MAE on the ones I did yesterday, which was $100 per contract on the 5 ES trades. So they went on average (pretty much exactly each time) 2 points against me before going 2 points into profit. So in my setup, I took 3 points as the first stop. I did this for 5 and 2-lot configurations. Now, based on the Adam Grimes research I showed here recently, taking a trade with a proven edge and subjecting it to 250 separate trades, with a 25% risk allocation per trade, a blow-up will happen 47% of the time. That's close to what I came up with for a remotely viable setup with stops for the 5-lot trade vs my drawdown limit. I am at 18% of my drawdown. However, if I limit it to 2 lots, then I reduce the potential profit per trade from $500 to $200 and meanwhile reduce the per trade percent of drawdown risk to 8%, which has a blow-up rate of 11% on average (for the exact same trades) or put another way, 89% success rate. This seems much more realistic for the occasional high-risk trades. These are not meant to be done all day long, just really when I see the ideal setup for it (i.e., strong trend, short distance to gamma level, no higher time frame or major headwinds, something strong to lean against, etc.). Of course, $500 is much more attractive, but a 47% chance of blowing up puts things in perspective.

Here are my calculations for setting up the Blackbird order sets. This is a work in progress.




(Later)... Tried it in market replay with 2 lots and (total fluke) it worked the first time. My first lot stopped out at 3pts, the profit target on 2nd one moved from 8 ticks to 24 ticks from the close of last bar and my second contract came within millimeters of the second stop but then moved up to the new profit target. I have to see if the close of the bar is the best place to measure from (5 min bar, or last price.. details). It's definitely more realistic with 2 lots for the new PT. This version is not meant to be the trade setup, just the best case scenario if it doesn't simply go into profit as it typically does / has done.




The other thing to consider is the ATR at the time of these trades and the SG index on the day (it has been elevated lately, with lower volatility spread). I'm always watching where VIX is relative to its daily expected range. I can change the parameters to ATR stops in Blackbird, so that will be next.

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 bwolf 
Los Angeles, CA
 
Experience: None
Platform: NT8, TOS, Tradingview, BH
Broker: Ninjatrader
Trading: ES
Posts: 258 since Aug 2019
Thanks Given: 682
Thanks Received: 564

Quiet chop day. Had one full stop-loss and the rest was just getting it back to breakeven on the day. Not 100% non-discretionary, but close.

P&L Profit (P) / Expense (E) / Neutral (N): N
Trades: 7
Round Turns: 51 (MES)
Errors: 4
Cost of Errors: 7.5 Pts
Trading Rules Adherence: 71%
Risk Plan Adherence: 86%
Opportunities Available: Low
Event Day: No
Preparation: 8
Market Alignment: 8
Execution: 7



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bwolf's Avatar
 bwolf 
Los Angeles, CA
 
Experience: None
Platform: NT8, TOS, Tradingview, BH
Broker: Ninjatrader
Trading: ES
Posts: 258 since Aug 2019
Thanks Given: 682
Thanks Received: 564

P&L Profit (P) / Expense (E) / Neutral (N): P
Trades: 6
Round Turns: 20 (ES & MES)
Errors: 4
Cost of Errors: 26 Pts
Trading Rules Adherence: 33%
Risk Plan Adherence: 58%
Opportunities Available: High
Event Day: Yes
Preparation: 8
Market Alignment: 9
Execution: 7





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bwolf's Avatar
 bwolf 
Los Angeles, CA
 
Experience: None
Platform: NT8, TOS, Tradingview, BH
Broker: Ninjatrader
Trading: ES
Posts: 258 since Aug 2019
Thanks Given: 682
Thanks Received: 564

P&L Profit (P) / Expense (E) / Neutral (N): P
Trades: 3
Round Turns: 14 (ES & MES)
Errors: 1
Cost of Errors: 15 Pts
Trading Rules Adherence: 33%
Risk Plan Adherence: 33%
Opportunities Available: Low
Event Day: No
Preparation: 8
Market Alignment: 7
Execution: 7




This was my pre-market thinking, with a lean towards retest, possibly lower and good chance of recapture back over the prior balance area below.






This is my thinking as I wrap it and only have a short premise, but not a big enough swing short. I was a bit hasty getting in at the start of the day, didn't wait for my setups to form, so for now I am not going to wait to see if we get a failed breakout, although if it goes back over 4150 decisively and holds or breaks down past 4098 I might get back in later. But I wouldn't be holding my breath for that today. Looks like it's digesting yesterday's move.



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 bwolf 
Los Angeles, CA
 
Experience: None
Platform: NT8, TOS, Tradingview, BH
Broker: Ninjatrader
Trading: ES
Posts: 258 since Aug 2019
Thanks Given: 682
Thanks Received: 564

P&L Profit (P) / Expense (E) / Neutral (N): P
Trades: 5
Round Turns: 24 (ES & MES)
Errors: 1
Cost of Errors: 4 Pts
Trading Rules Adherence: 80%
Risk Plan Adherence: 80%
Opportunities Available: Med-high
Event Day: No
Preparation: 8
Market Alignment: 9
Execution: 8







This was my pre-market take on the volume profile picture overnight. Was definitely leaning towards it going back down, but did not factor in the move below 4135 - or COY.




This is the long trade where I pulled my stop up and it scratched plus




This was the nice order flow setup at the ideal location for the short which I ended up scratching and it turned out to be the big push down from 4141.50 to 4114. The one below was the trade before I pulled the stop down below entry.



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 bwolf 
Los Angeles, CA
 
Experience: None
Platform: NT8, TOS, Tradingview, BH
Broker: Ninjatrader
Trading: ES
Posts: 258 since Aug 2019
Thanks Given: 682
Thanks Received: 564

Profitable in the end because I had to leave the house for a family commitment and wasn't there to fiddle around with the last trade.


P&L Profit (P) / Expense (E) / Neutral (N): P
Trades: p
Round Turns: 53 (ES & MES)
Errors: 6
Cost of Errors: -40 Pts
Trading Rules Adherence: 55%
Risk Plan Adherence: 77%
Opportunities Available: Low
Event Day: No
Preparation: 8
Market Alignment: 8
Execution: 6



(I update the matrix every hour or so)



Noted the bounce off weekly SPX options IV expected move during the overnight session




Premarket take on volume profile for yesterday and overnight (and weekly composite). This should have said ON inventory was 100% net short trading at 50% of range (mid).





The price rejector that got my long on the first trade at the bottom. This could have been the whole day's swing. It was the low of the day.




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 bwolf 
Los Angeles, CA
 
Experience: None
Platform: NT8, TOS, Tradingview, BH
Broker: Ninjatrader
Trading: ES
Posts: 258 since Aug 2019
Thanks Given: 682
Thanks Received: 564


Didn't get off to a great start. Some family stuff. No blow-up. Small loss day.

P&L Profit (P) / Expense (E) / Neutral (N): E
Trades: 20
Round Turns: 41 (ES & MES)
Errors: About half of them were errors today
Cost of Errors: -40 Pts
Trading Rules Adherence: 2%
Risk Plan Adherence: 45%
Opportunities Available: Med
Event Day: No
Preparation: 4
Market Alignment: 4
Execution: 6





I think I mostly had it right pre-market. This weekend, looking at everything, I was definitely leaning long for RTH today. My pre-market glance at the volume profile reaffirmed this. My notes for today were that 4118 was the level recapture of the Feb 9th drop and would trigger some short covering. I had 4160 as the target and it almost went there. But then I stepped in and everything changed It happens.






Tomorrow is another day. NEXT!



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