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After nearly a year of devoting most my time to studying futures, it seems there is finally some light at the end of the tunnel.
SIM Performance (Since 21st June, last time I reset it. Includes an enormous loss I took during FOMC because I was goofing around, I don't know how to delete those trades...): Win rate: 52.8%
R/R: 1.17
Profit Factor: 1.33
For comparison, here's a sample of about 10 evals and 2 PA's I worked in from December 2022 to the end of March:
Win Rate: 66.7%
R/R: 0.42
Profit Factor: 0.84
It was the absolute bane of my life to figure out how to increase my R/R, as I was more or less just scalping back then, and had zero risk management. I would have a good streak of luck, only to have one bad day and undo a week or two worth of work. I loved cutting winners and holding losers straight to zero. The only real way I was making it to PA's was through going all in on earnings or news.
My ultimate goal is a win rate of 55-60%, with an R/R of 1.25-2. It seems that, finally, I am almost there. I really cannot understate how much work it took to get here, or how happy I am to be at this point. It seems the most development came from the times I would blow up an eval and be ready to quit...
Sizing way down, having a max loss per trade, and a max loss per day have been some of the greatest decisions I've ever made in my trading.
My current goal is to keep up this performance through August. If I can do so, I'm looking to fund a $2,000-3,000 account and go live.
I feel my last barrier is still holding my winners to target. If I could do so, I could certainly add 0.5+ to my R/R.
Lol I knew making that post would be bad luck. I told myself well if I do so well in SIM, I'll just trade live like I do in SIM and broke my rules and killed my second eval. Looks like I'm condemned to going back to 1 micro in the other one, which I kinda wanted to do anyways. I will have to earn moving back to 2-3 micros.
I wonder if this is the start of a new leg down. All the techniques I developed for going long since January have suddenly stopped working in August. Yikes.
Well I continued trading like I'm in SIM in my other account when I saw another setup forming and absolutely nailed it. Maybe this means that it's less about me being a bad trader and more about me not following my rule to never trade < 15-30 minutes after the open. The open is completely unpredictable and I can't trade it. I always botch the open and then look like a goof when I see perfect setups later.
Even if there's a statistical bias to the upside like there was this morning, I should never trade the open.
So far, this has been my best trading month ever, it is starting to concern me.
After I blew up that second eval, I went back to my first one and took it more seriously. I figured it would be good practice for going live with my own money. Here are the results so far...
...and after running up my 25k SIM account, I decided to make it more difficult by resetting it as a 3k SIM account and starting over. After a week, here's the results:
It's starting to make me wonder, did I figure it out? I don't feel like my trades have a "random" outcome anymore, and I don't feel like I'm getting "lucky". After a month I have fully incorporated cumulative delta into my trading and rely on it for entry and exit signals & reducing risk alongside my usual methods (statistically significant levels, previous settle, TPO/VP, etc.) I still make mistakes, but I have much, much less stress trading than I used to. I pick tops and bottoms quite often and scale into and out of a lot of my trades much easier than I used to. If I can keep this up for a month or two, then I believe I may have finally turned the corner towards consistency. I'm finding it hard to believe, and I've been expecting something to go catastrophically wrong, but it hasn't. I'm not sure what to think, has anyone ever experienced this before?
Here's some examples of the kinds of trades I've been able to take recently.
Eval (wish I held this one another 25pts like I originally planned to):
SIM:
also SIM:
...and it's not just once or twice, I've been taking trades like this over and over for the past few weeks. My static eval is currently at $1,200/$2,000. If I can pass that, I'll believe that consistent profitability is here. I will have basically turned a $625 account into a $2,625 account using 2-4 micros at a time. I've been looking to branch out and have had some success trading /NG with cumulative delta. It will require further testing.
"After a month I have fully incorporated cumulative delta into my trading and rely on it for entry and exit signals & reducing risk ....I still make mistakes, but I have much, much less stress trading than I used to."
@canadianpotato , @Dow Student how are you using cumulative delta? I recently stumbled on it ... I look for +/-500 move within overflow cumulative delta alongside price breakdown down/up in relation to the 55 ema/200 ema.
For NQ, I have been relying heavily on delta to look for divergences, watch the strength of buy/sell rotations, and to look for absorption and whether more orders are sitting on the bid or offer. Seems to only work on NQ and maybe NG. No idea why it doesn't work how I expect on ES, but I haven't touched ES in over 6 months so I'm unfamiliar with how it moves. Here's a couple from today:
I think your delta study does not work on the ES because there is a lot of spoofing in the ES. On the other hand I would say there is less spoofing in the NQ and a lot of the limit orders actually get executed. The volatility of the NQ makes spoofing by the algos almost impossible(at least that is my opinion which is not based on actual back testing).
Delta represents orders which have already been executed, so spoofing is not a concern. NQ is a very thin and IMO more daytrader-centric instrument, and that's why I think the delta is easier to read. If I spent 6+ months watching ES 4-8 hours a day like I do with NQ, I'd probably be able to pick out the patterns. But I don't see the point unless the Nasdaq disappears off the face of the Earth.
Today was very boring. I also feel like I missed out on an opportunity or two by revering to scalping instead of holding on this morning. My R/R has dropped to 0.9, which I really don't like, as I believe scalping strategies expose me to outsized losses. But that's something to work on. We are reaching the finish line, which is all that matters to me right now:
+$95 in eval, +$95 in SIM
$1,400 down, $600 left to go. I'll probably stop around $1,950 and fund my brokerage account. No point of grinding to $2.5k with a $625 drawdown again when I can just do it with my own money. The point of this account was to provide proof that I'm consistent enough to go live, and I believe I'm almost there.
Thoughts/ideas for tonight/tomorrow: I'm looking to fade moves away from this balance area/settle/vPOC overnight if they appear. If we end up significantly away from the settle by 9:30am tomorrow, I think a gap to settle (or at least an attempt) very much is in the books. These are very slow and boring conditions, I'm looking to take it one day at a time.
