# Diary of a Madman



## saiter (14 January 2010)

Welcome to the madman's diary!

For the past year, I've been trying to develop indicators/systems that would fit into a larger, automated trading system. Whilst backtesting, I found that these systems would only work during certain periods during the market, and on many occasions, the returns were unsatisfactory. In fact, it would have been better if I had just taken punts with trailing stops! 
Furthermore, the amount of time required to maintain/adjust these systems, and the time associated with learning the scripting languages needed to write them e.g. AFL, is just too great and IMO too boring.

As a result, I've decided to delve into discretionary trading. 
The first step is to figure out if I've got positive expectancy using a simulator. I've been using Interactive Brokers' paper trading account but it's just tooooooooo sloooooooooooow (I'm limited to cash trades & ASX stocks as I'm 20 years old) and again, boring. So I've jumped onto ninjatrader, and have started using the simulated data to trade intraday, which is actually quite "fun" (it's that instant dopamine hit when you get something right!  )...

Anywho, I'll try and keep this diary so that other newbs can get some ideas and learn from my mistakes.


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## saiter (14 January 2010)

So most of the "trading time" for today involved setting up NinjaTrader and trying to get some replay data for the simulator. Fortunately, pre-recorded data for the E-mini S&P 500 (and other futures contracts) can be found on another forum. Unfortunately, I've been banned from said forum .
Thus, for the first few days, I'll just be using NinjaTrader's own simulated data feed.

For the first session, I tried to keep everything simple and focus on reading the DOM (numbers keep flying up and down the ladder reaaallly quickly!)

Total trading time: 30 minutes
Contract traded: ES 03-10
# Contracts per trade: 1 
Type of trade: These were all long. Again, trying to keep it simple for the first few sessions.
Criteria for entering trade: I went long when the bid started moving up the ladder "violently" and the transactions were being made at the ask.
Criteria for exiting trade: I'd just use a stop loss that would be moved up.


*Results*

This shows where I entered/exited. Note that I used the DOM and not the chart to enter/exit. The chart was there to help me identify trends as I'd sometimes lose track of what was happening after staring at the DOM the whole time 




The first few trades were really crap. I was trying to adjust to the DOM and getting a feel for what the entry would be like. Friggin resistance @ 1250 REALLY annoyed me... I think I lost 3 trades because of it, although I did learn how to identify resistance from the DOM 




As you can see, many losers, not so many winners. However, the winners are pretty big.




Well... at least i'm down by only $45, right? :



That concludes the first entry. I'll try and get some videos posted onto youtube for next time. Stay tuned for the next one!


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## It's Snake Pliskin (14 January 2010)

Keep posting your journey as I am sure people will be interested to see your progress.


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## Wysiwyg (14 January 2010)

saiter said:


> (I'm limited to cash trades & ASX stocks as *I'm 20 years* *old*)



As a 20 year old, the stock market, let alone simulated trading of index contracts, mechanical system design and C++ computer programming language were far from my time and thoughts.


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## nunthewiser (14 January 2010)

Well done , nice thread 

thanks


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## saiter (14 January 2010)

Thanks for the support guys!


Day 2

So again, I've run the simulator for the ES 03-10 contract. I'm only going long and I'm setting stop losses 1 tick below entry.

*Results*

Time spent trading: 30 min




The trades plotted against a chart




I took fewer trades this time but had a higher proportion of winners than last time. Also, the winners were much larger.




My final position was ~ +$17.50  I'll be rich in no time!



And finally, here is an example of how I'm entering my trades and how I'm exiting them. This was the last trade for this session. I began tightening the stop towards the end because it was approaching resistance @ 1260 and I thought that it didn't have enough momentum to break through.


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## Trembling Hand (14 January 2010)

Nice one mate. What time was that trade? very thin order book for the ES.

With the DOM if you trade off it exclusively I don't thing chasing moves is the ideal use of a price ladder. During US cash hours the BOTs will cut you to bits.


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## saiter (14 January 2010)

Trembling Hand said:


> Nice one mate. What time was that trade? very thin order book for the ES.
> 
> With the DOM if you trade off it exclusively I don't thing chasing moves is the ideal use of a price ladder. During US cash hours the BOTs will cut you to bits.




Hey TH, I'm using the simulated data feed from NinjaTrader. I think the data is created using some sort of "simulation engine". I just got access to a demo zenfire account which will give me free ES data for the next month so I'll be using that later on.

I'm still new to the DOM so I'm just getting used to the interface for now. Hopefully I'll make some more strategies as I get better.


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## saiter (15 January 2010)

Thanks to the free futures data from IB, I decided to play the SPI this morning. Unfortunately, the results were pretty bad, and I lost alot of (fake) money.
Firstly, the SPI was so friggin slow. I missed out on some small up trends because it looked like it was going sideways the whole time 
Secondly, the tick value is $25, so when the big moves started to happen, I got smashed (I didn't set a tight stop because I thought it'd  be volatile).
Finally, I had to change my strategy half way through the session. The major trend was down, so I began shorting. I noticed that the price fell after bids started getting pulled, however, by the time I got in, the SPI had already fallen by 2-4 ticks and decided it was time to move back and hit my stop.

*Results*

Total trading time: 1 hour

The trades by chart. There was an up trend towards the end of my trading, but the SPI was moving up so slowly (+1 tick/min) that I thought it was going sideways:











Down, down, down!


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## Trembling Hand (15 January 2010)

I reckon the tricks with the SPI are,

1. Throw the DOM away, its full of BOTs and spoofers.

2. Scrach and fight 2 to 4 ticks on counter moves that the SPI spends 90% of the time doing or learn how to pick the days direction and be on it when it spends the 15 min going in that direction! 

Although it looks like a dog its probably a good starter.


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## IFocus (15 January 2010)

Good work Saiter 

BTW you should change thread name to "Diary of a Professional" as your approach is more inclined that way.

Good luck.


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## Wysiwyg (15 January 2010)

> Firstly, the SPI was so friggin slow. I missed out on some small up trends because it looked like it was going sideways the whole time



On review of your trades so far, are you buying on resistance and selling on support? I found this is a trap to easily fall into when reacting to price moves.


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## Trembling Hand (15 January 2010)

Wysiwyg said:


> On review of your trades so far, are you buying on resistance and selling on support? I found this is a trap to easily fall into when reacting to price moves.



 Yep thats the trap of looking at a DOM. Step up and do the opposite.


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## skyQuake (15 January 2010)

Had a few minutes near the end there to load up on the back of CBA guidance.

Banks helped us close GREEN lol.


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## nomore4s (15 January 2010)

skyQuake said:


> Had a few minutes near the end there to load up on the back of CBA guidance.
> 
> Banks helped us close GREEN lol.




Wondered what caused that spike, already long CBA so happy there but got shaken out of a long on the SPI before the rally and never got back in


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## skc (15 January 2010)

skyQuake said:


> Had a few minutes near the end there to load up on the back of CBA guidance.
> 
> Banks helped us close GREEN lol.




Yes that was a gimme (on hindsight). 

There are usually good opportunities when the SPI is open with one of the large caps in a halt or announcement.


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## saiter (15 January 2010)

Wysiwyg said:


> On review of your trades so far, are you buying on resistance and selling on support? I found this is a trap to easily fall into when reacting to price moves.




I try (or am trying) to get most of my entries between supports and exits. Basically, I'm trying to pick when the price is going to turn.
Also, I may go long depending on what is happening near support/resistance. If the price is rushing up to the resistance, and bids are increasing in size, then I'll enter. If the price is slowing as it approaches support and the ask size are getting smaller, then I'll enter.
I guess I'm pretty much following the trend, huh? 



Trembling Hand said:


> I reckon the tricks with the SPI are,
> 
> 1. Throw the DOM away, its full of BOTs and spoofers.
> 
> ...




Is it possible to beat the BOTs and spoofers?


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## ThingyMajiggy (15 January 2010)

Its interesting how different methods work, I've been finding the SPI not too bad, my curve in the review thread is just SPI trading. Scalping it would be a whole different world though, dunno how you guys do it 

Good thread, very interesting. Keep it up 

hurry up NT7


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## skyQuake (15 January 2010)

saiter said:


> If the price is rushing up to the resistance, and bids are increasing in size, then I'll enter. If the price is slowing as it approaches support and the ask size are getting smaller, then I'll enter.




And thats how they get you 




> Is it possible to beat the BOTs and spoofers?




Well you can fight fire with fire... or do ignore depth. Just see whats hitting.


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## saiter (15 January 2010)

skyQuake said:


> *And thats how they get you *
> 
> Well you can fight fire with fire... or do ignore depth. Just see whats hitting.




too predictable, huh? 




After this morning's poor performance on the SPI, I booked a one way ticket to Europe and landed in Germany. This time, I decided to play the DAX and boy was it fun!

*Results*

Total trading time: 40 min

Firstly, the price chart. As soon as I loaded up the DAX, it was going sideways. I was about to call it quits after it continued to move +/- 2 ticks for about 8 minutes.  I managed to pull a grand total of 2 ticks from this action before it became a bit more volatile and then started moving sideways again.
I was JUST about to move onto the simulator before it started to get fun  At ~20:58 the bids COLLAPSED and the DAX shot downwards. I was having trouble chasing the ask price down the price ladder to place my order : This lasted until ~21:10, where it crashed through its low of (i think) 5990... Unfortunately, I stuffed up the initial order (went long instead of short!) and then didn't manage the reverse order properly. Watch the youtube video, there is some "commentary" in there for you to see.






Ohhh yeaaaaaaah 






A healthier looking equity curve (should be in euro, not dollars)





In hindsight, I should have stayed on to trade the DAX some more as I'm sure it would have remained volatile for the next half hour (In fact, I just checked it and it ended up moving lower).


Some notes on the youtube video
Bear in mind that I'm "excited" (I know, sad) by the market moving my way, so there are cuss words in the clip.
My setup includes the price ladder (DOM), a 1 min chart (not shown, just has price + volume), and 2x time & sales windows. The larger, thinner T&S shows ALL orders coming through. The smaller, wider T&S that is above the price ladder shows all the "big" orders (subjective. for this I chose orders >=10 because when I started the session, the bid size for a price level was ~10)
Also, with the T&S windows, you'll notice different colours:

High (not shown in this clip)
Above current ask
Ask
Between Bid and Ask
Bid
Below Bid
Low

Summary of events in clip

00:00-00:40 The price keeps trying to break through 6020, but has no strength
00:53 Bids start to move below the current bid = Time to short!
5:55 Large bid sizes start appearing to slow the fall. They get pushed to the side as the bids begin to fall lower. I get in early on this one! 
8:20 Price hangs around the low and looks like it's going to go up but just doesn't have the bids to support
8:50 The low gets broken, stops are triggered, orders of all kinds start rushing in, the screen goes red, I go home




PS: I'm using the DOM for entering trades because that is what I'll be using with my broker (IB) when I'm eventually allowed to trade futures. I figured I'd try and simulate IB's BookTrader program in NinjaTrader so that I'd have little time adjusting to it.

PPS: I got the data for free from ZenFire. You can make a demo account which gives you free futures data for US and the EUREX for 30 days. Just create a new connection in NinjaTrader when you get one.


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## saiter (15 January 2010)

Also, does anyone know how to tell NinjaTrader to stop reminding about backing up the database?


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## Wysiwyg (16 January 2010)

What about relinquishing your short or long bias for one session (seven trades or something)? To do this you would have to look away from your chart or ladder for a couple of minutes before the trade and perform the trade executions without looking. From entry to exit without the use of any visual or auditory assistance.

The outcome would be that of random entries and exits. You could even set your stop loss and profit target before each trade so all you have to do is not be looking for a few minutes beforehand. Up or down he says.   

You would have to be honest with yourself for this experiment to be meaningful.

p.s. the longer the look away the less the bias.


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## Trembling Hand (16 January 2010)

Wysiwyg said:


> What about relinquishing your short or long bias for one session (seven trades or something)? To do this you would have to look away from your chart or ladder for a couple of minutes before the trade and perform the trade executions without looking. From entry to exit without the use of any visual or auditory assistance.
> 
> The outcome would be that of random entries and exits. You could even set your stop loss and profit target before each trade so all you have to do is not be looking for a few minutes beforehand. Up or down he says.
> 
> ...




What the hell are you talking about? What will that achieve


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## saiter (18 January 2010)

I decided to trade the DAX again, and will continue to do so (along with the SPI), mainly because it opens @ 6pm AEST. Unfortunately, I missed the open, so I didn't get a chance to see any of the early action.
Today's trades were from 7:40-9:10 PM AEST.

Total Trading time: 1 hr 30 min

As you can see from the chart, I got into the market while it was trending downwards. After crashing through today's low and yesterday's high, it reached support at ~19:57 before it shot upwards to today's high at ~20:42. At the moment, it has dropped back a bit, albeit slowly.




More trades during a longer session, although I'm still getting some "big" losers. I should probably tighten my stop to prevent them from happening.




Finally, the equity curve





*Problems with today's trading*

I entered during a down trend and my bias towards shorting grew as the price kept breaking through support levels. I DID expect a bounce to occur after the price fell through yesterday's high (became biased to longs), but I did not expect it to move back up to today's high. As it was moving upwards, I kept expecting it to fall (kept taking losing short trades) but it didn't eventuate.
The graph below is a comparison of today's price action versus yesterday's. The days are separated by the thick, vertical, white line.





Today's price was a lot more "jerky" (perhaps volatile is the correct word) compared to the last time I traded the DAX. For example, the bid/ask would easily jump up/down 2-3 ticks whereas previously, 1 tick moves were more normal. 
Furthermore, these 2-3 tick jumps would occur in a specific range, before the price broke through to another, higher range. A good example of this is at ~20:20 till ~20:26. The price moves between 5900 and 5903 before it shoots off to 5905 and continues to move between 5904 and 5908.
This had me really annoyed because I saw this "jerky" movement as weakness, which turned out to be wrong, and because the "jerks" would move down to hit my stop and then continue in the correct direction! 
In hindsight, I should have probably taken a scalping approach during these periods (I actually gave this a shot towards the end, with some success) and I should have tightened my stops.
I took too long to enter some trades


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## Trembling Hand (18 January 2010)

saiter couple of points from my perspective. Put your P&L charts in points not dollars. Its a game of tick collecting.

Use NT to keep track of your stats, Especially Win rate and avg size of wins & avg size of losers. That's what you have to work on during the day. Controlling down side while_ aiming _to get runners.

As something to compare to here's my HSI trades for the day. I'm showing you this because anything less than stats like this even you will be down with brokerage. It was profitable but I know today was very thin as far as stats. Any less win rate or smaller avg win after brokerage it would of been a waste.

Win rate 50%, Avg win 14 Avg loss -9. As I trade different amount of contracts this is just the average outcome if 1 was traded per trade,


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## skyQuake (18 January 2010)

Trembling Hand said:


> As I trade different amount of contracts this is just the average outcome if 1 was traded per trade,




When doing stats do you consider pyramiding trades one 'big trade' or each an unique trade. Also, why do you look at the adjusted 1 contract trade instead of aggregate?

Cheers.


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## saiter (19 January 2010)

Trembling Hand said:


> saiter couple of points from my perspective. Put your P&L charts in points not dollars. Its a game of tick collecting.
> 
> Use NT to keep track of your stats, Especially Win rate and avg size of wins & avg size of losers. That's what you have to work on during the day. Controlling down side while_ aiming _to get runners.




Yup, NT already has my stats. Hopefully practice improves the average win size.



Trembling Hand said:


> As something to compare to here's my HSI trades for the day. I'm showing you this because anything less than stats like this even you will be down with brokerage. It was profitable but I know today was very thin as far as stats. *Any less win rate or smaller avg win after brokerage it would of been a waste.
> 
> Win rate 50%, Avg win 14 Avg loss -9.* As I trade different amount of contracts this is just the average outcome if 1 was traded per trade,




This triggered my curiosity so I decided to crunch some numbers. Below is a table showing the average win required to gain a 5 EUR profit + brokerage (4 EUR round trip) per trade, when you consider different win rates and different average losses.




All the cells highlighted in green are average wins that I see as "achievable" along with acceptable average losses & win rates.
My aim for the next few months will be to try and achieve a win rate of 40% with an average loss of 1.5 and an average win of 3.15 points.


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## Trembling Hand (19 January 2010)

skyQuake said:


> When doing stats do you consider pyramiding trades one 'big trade' or each an unique trade.



 One big trade. From the time I open a position until I'm flat again I consider it 1 trade. Thou I rarely add to trades. I will try and take full size on the first entry and take profit either as soon as possible or If I think its a runner drop a few contracts as it moves my way.



skyQuake said:


> Also, why do you look at the adjusted 1 contract trade instead of aggregate?



 Just for that graph. So its easy to understand other wise it looks like a dogs breakfast. 


and I don't have to reveal how I'm manipulating the market with 100 lots.


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## saiter (20 January 2010)

I wasn't able to trade yesterday as I was having some trouble with NinjaTrader's ATM feature. Fortunately, it has been fixed and am now able to trade with automated stop loss and profit targets.

Today's performance was so bad that I've decided to go back to the simulator. I was chasing a lot of the trades, and by the time I caught up, the moves had finished and the price was reversing. Bad mistake.
I also changed my strategy many times. I started out trying to catch some of the "big" moves, but ended up trying to capitalize on the smaller moves instead (I think this is scalping). You can see from the chart below that I took many more trades than I had before.

Time spent trading: 1 hr 30 min




As I said, I entered the market trying to catch big moves. For these, I used 5 tick stop loss with a 7 tick profit target. I would also move the stop forwards closer to the entry price. Foolishly, I didn't wait for the price to actually move in my direction, and I ended up getting stopped out too early; not at the original 5 ticks, but rather at 2, 3 or 4 ticks.





I somehow managed to get a 50% win rate, however, the average win was 1 point whereas the average loss was 2 points... negative expectancy... and a negative equity curve...





Clearly, I need ALOT more practice, so I'm going back to the simulator.


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## Wysiwyg (20 January 2010)

saiter said:


> Clearly, I need ALOT more practice, so I'm going back to the simulator.




A lot more practice at what? Trading? You don't even have a tried and proven trade plan!


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## Trembling Hand (20 January 2010)

saiter said:


> Clearly, I need ALOT more practice, so I'm going back to the simulator.




*Are you serious?? *

Mate you have not shown a glimpse of being able to scalp. What made you think that you would magically gain the knowledge with real money.


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## saiter (20 January 2010)

Wysiwyg said:


> A lot more practice at what? Trading? You don't even have a tried and proven trade plan!




True, I should start making one.



Trembling Hand said:


> *Are you serious?? *
> 
> Mate you have not shown a glimpse of being able to scalp. What made you think that you would magically gain the knowledge with real money.




How else am I meant to learn?
BTW, I'm not doing this with real money, I'm doing this on sim.

EDIT: What I should have said is that I'll be trading against NinjaTrader instead of the DAX, whilst on the sim.


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## Trembling Hand (20 January 2010)

saiter said:


> How else am I meant to learn?
> BTW, I'm not doing this with real money, I'm doing this on sim.




What do you meant then about " I'm going back to the simulator" what was todays trades?


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## saiter (20 January 2010)

Trembling Hand said:


> What do you meant then about " I'm going back to the simulator" what was todays trades?




See the EDIT.


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## Trembling Hand (20 January 2010)

sorry still doesn't make sense.

Or are you talking about the free data that NT makes from some Algorithm. If so, from what I've seen of that vid you made, its rubbish and you are probably wasting your time using that.


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## saiter (20 January 2010)

Trembling Hand said:


> sorry still doesn't make sense.
> 
> Or are you talking about the free data that NT makes from some Algorithm. If so, from what I've seen of that vid you made, its rubbish and you are probably wasting your time using that.




Thats the one that I'm talking about, the algorithm  Is it crap because the bids/asks come in too fast or crap because it is not a real market or just crap?


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## Trembling Hand (21 January 2010)

saiter said:


> Thats the one that I'm talking about, the algorithm  Is it crap because the bids/asks come in too fast or crap because it is not a real market or just crap?




Because the idea is so crap I cannot be bothered to list everything thats wrong with it. But here's a quick list,

Trading and certainly intraday cannot be done without context. Where are we in the daily trend, in relation to yesterday, in relation to overnight, is there a 5 day pattern playing out, what did OS markets do, what is moving in commodities and FX. On and on.

What patterns have you seen and are trying to profit from when they repeat? The idea that some made up data is going to relate to the real market feel is well - laughable!

What are the underlying stocks attached to the index doing? Whats the A/D look like. Oh thats right there is no underlying market, its pretend data!!


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## MRC & Co (21 January 2010)

Trembling Hand said:


> Where are we in the daily trend, in relation to yesterday, in relation to overnight, is there a 5 day pattern playing out, what did OS markets do, what is moving in commodities and FX. On and on.
> 
> What patterns have you seen and are trying to profit from when they repeat?
> 
> What are the underlying stocks attached to the index doing?




No comments on these 3 points?

Does anyone understand what is meant by these?  

If you really want to put in the years of effort, these are a good place to start for a very solid grounding I think........


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## saiter (21 January 2010)

Trembling Hand said:


> Because the idea is so crap I cannot be bothered to list everything thats wrong with it. But here's a quick list,
> 
> Trading and certainly intraday cannot be done without context. Where are we in the daily trend, in relation to yesterday, in relation to overnight, is there a 5 day pattern playing out, what did OS markets do, what is moving in commodities and FX. On and on.
> 
> ...




Very convincing. I'll stick to the DAX then.


*DAX 6:40 PM - 9:15 PM*

It may be early (and possibly a fluke) but I think I'm noticing a (VERY VERY SMALL) improvement : I'm waiting for trades now and I can start to predict (perhaps guess is a better word) what will happen at key price levels. Unfortunately, when something does happen, I take too long to enter, the price moves in the predicted direction, after which I chase it and enter when the move is over or almost over. However, this isn't becoming a habit and I've started to forget about trades which I think I have missed.

*Results*

Total trading Time: 2 hours

The trades for today. After the first 30 minutes of trading, I guessed that the DAX would move sideways but I was wrong. By the time I left, the DAX ended up falling by ~1%. I also read elsewhere that the DAX correlates with the DJI, so I'm going to check this out.




Although the average winner was slightly greater than the average loser (2.04 v. 2.00), I still ended up in the red as the % of losers was greater than the % of winners (55.32% v. 44.68%). According to the table in post #27, to gain a profit of 5 EUR/trade, I need to either:

Keep the win% the same but have an average win/loss of 4/2
Keep the avg win/loss the same but have a win% of 60%
Also, I think that I may need to tighten my initial stop. Perhaps a 6-tick stop loss is just too great for intraday trading?

On a lighter note, this is the first time that I've had some good runners, mainly because of how I've managed the trade after it has started to move in my direction. During previous sessions, I would move the stop close to the current ask/bid, even though the trade was moving in my direction. I would eventually get stopped out due to the volatility. This time, I've given the ask/bid some more room to move, however, as soon as I think that the trade may reverse, I begin to tighten the stop.




Finally, the equity curve. If you look at all the equity curves that I've posted, they start to decline rapidly as the trade # increases i.e. I lose more money towards the end of the session. I've got two explanations:

I'm making something out of nothing (and I'm a really crap trader)
I'm losing concentration towards the end of the session
If this pattern continues, I'll try trading for an hour instead of 1.5 or 2 hours.
I should also mention that during the first few trades of this session, I screwed up using the SuperDOM in NinjaTrader. I exited a couple of trades prematurely, and at a loss, because I accidentally clicked the bid/ask column when I shouldn't have.





*Closing Comments*
I have some questions after today's session.

What is the point of spoofing? Who are "they" trying to target? Spoof orders don't show on the price charts and you can see if a spoof order is filled or not by looking at the Time & Sales. I did notice that SOMETIMES, after a spoof order, the price reverses e.g. spoofs on the bid causes it to fall rather than increase.
Virtually all of the big movements in today's session were separated by sideways movements. Is this because the buyers/sellers are trying to agree on a price before moving? or have they agreed? Is this just how markets move... Large move up, small move back down, to the side, Large move up etc.....? Also, I've noticed that these sideways movements have a large price range. Is it humanely possible to trade these, given that they're occuring in the space of 20-30 seconds?


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## saiter (21 January 2010)

MRC & Co said:


> No comments on these 3 points?
> 
> Does anyone understand what is meant by these?
> 
> If you really want to put in the years of effort, these are a good place to start for a very solid grounding I think........




Yes, although I don't understand what 5 day patterns are... As in, surge on monday, dump on friday?


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## saiter (22 January 2010)

****, ****ty, ****, ****. That was the best way to describe today's trading.

*DAX 6 PM - 8:40 PM*

Before trading, I decided to check out the world news, commodities, FX etc. The EUR was up against the USD, oil was down (I thought this was irrelevant to the DAX because AFAIK the index isn't composed of any primary resource companies), Obama decided to regulate the banks (I thought this would affect the German banks in the index because of credit flow or something) and most of the markets were in the red. I concluded that the DAX would be following the world's lead and would be heading downwards too, so I entered with a short bias. This was not meant to be. The DAX went up, almost breaking through its high and then fell back down slowly.
Most of my early trades were against the trend and I have no clue what happened halfway in the session, but everything fell apart and it went to ****. Towards the end, frustration and desperation got the better of me, and I tried anything to get a point (I think I was begging at one point lol . I was almost too embarrassed to post the results.

*Results*

Today's action




Outcome of trades. The first few were against the trend. I thought the DAX was going to plummet but it didn't and my short entries got stopped out.




****





I don't know when I'll be back, but in the mean time, I'm going to "study" what's happening to the DAX whilst it's going sideways. Perhaps it'd help with picking the trend.


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## skc (23 January 2010)

Madman, thanks for posting... it is indeed quite terrible results but it is highly commendable that you are sharing them for all to see.

I noticed that your no. of trades have vastly increased since the beginning. I also noticed that you have not ever mentioned what exactly made you hit buy or sell. What does discretionary mean to you? Are you scalping or picking directions? Are you using fundamental market news or looking at technical levels? Will you get better equity from tossing a coin?

Your thread has good interest from some best forum traders and unless you initiate more discussion, you are not going to get more feedback!

Good luck.


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## saiter (23 January 2010)

skc said:


> Madman, thanks for posting... it is indeed quite terrible results but it is highly commendable that you are sharing them for all to see.
> 
> I noticed that your no. of trades have vastly increased since the beginning. I also noticed that you have not ever mentioned what exactly made you hit buy or sell. What does discretionary mean to you? Are you scalping or picking directions? Are you using fundamental market news or looking at technical levels? Will you get better equity from tossing a coin?
> 
> ...





Skc, it's true that the number of trades have increased.. I guess I've become too trigger happy. My main method for entry is to go long/short around support resistance. I try and pick the direction through the DOM. If the bid keeps chasing the ask and there is an increasing amount of bidders, then I go long. The opposite applies for short.
I could be failing because I'm using the wrong strategy for the wrong market condition. 
For example, yesterday's market may have been better traded on pullbacks. I could have waited for the price to move backwards after a big decline and then shorted when I thought that there were enough sellers to prevent the price from going higher.
Perhaps this isn't even the case, and the fault lies with my trade management or just lack of experience. Note that I've only been day trading since I started this thread.
I will keep on pushing along though, and will try to learn more about the DAX.


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## nomore4s (23 January 2010)

saiter said:


> Perhaps this isn't even the case, and the fault lies with my trade management or just lack of experience. Note that I've only been day trading since I started this thread.
> I will keep on pushing along though, and will try to learn more about the DAX.




Saiter,

It seems to me you haven't got specific set ups for entries and exits and are relying on "feeling" to enter or exit each trade, so in effect each trade is an impulse trade - imo you will never be successful trading like that.
The way you are using the DOM is obviously not working, you are getting sucked into the trades at the wrong times - either too late or too soon, and then spat out the other end. Maybe try the opposite just to see what happens?

I would suggest reading Mastering the Trade by John Carter, I found this book extremely helpful in understanding what day trading is all about. I don't use any of his set ups and some of the book is irrelevant due to it being US based, but the core of the book about common mistakes of day traders is very good and opened my eyes to a lot of the mistakes I was making.

I think it is fair to say what you are doing now isn't working and you need to find a different way of doing things or you'll just keep getting the same results.


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## saiter (23 January 2010)

nomore4s said:


> Saiter,
> 
> It seems to me you haven't got specific set ups for entries and exits and are relying on "feeling" to enter or exit each trade, so in effect each trade is an impulse trade - imo you will never be successful trading like that.




True, true. I don't have a definitive, objective description of my entries/exits and most of the time I feel that I'm rushing things as I'm missing out on the trades.



nomore4s said:


> The way you are using the DOM is obviously not working, you are getting sucked into the trades at the wrong times - either too late or too soon, and then spat out the other end. Maybe try the opposite just to see what happens?





Yup, the plan from now on is to find out what the DOM looked like when the DAX was about to turn or when it approached resistance/support. I'll then try to identify the same "DOM Patterns" in real-time and act on them. 



nomore4s said:


> I would suggest reading Mastering the Trade by John Carter, I found this book extremely helpful in understanding what day trading is all about. I don't use any of his set ups and some of the book is irrelevant due to it being US based, but the core of the book about common mistakes of day traders is very good and opened my eyes to a lot of the mistakes I was making.




Thank-you for the suggestion, but I'll be honest and say that I won't have time to read a book on trading in the next few months. If that ends up being my downfall then perhaps trading isn't for me at this point in time.


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## skc (24 January 2010)

saiter said:


> Thank-you for the suggestion, but I'll be honest and say that I won't have time to read a book on trading in the next few months. If that ends up being my downfall then perhaps trading isn't for me at this point in time.




LOL. You are spending 1.5-2 hrs paper trading and prob 15-30 minutes writing on this forum, but you won't have time to read a book? Come on...

And you are willing to let that be your downfall! Clearly your passion for trading success is not surpassed by your passion to not read a book. You are living up to the stereo typical image of a gen Y'er... :shake:

(Making myself sound old in the process).


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## saiter (24 January 2010)

skc said:


> LOL. You are spending 1.5-2 hrs paper trading and prob 15-30 minutes writing on this forum, but you won't have time to read a book? Come on...
> 
> And you are willing to let that be your downfall! Clearly your passion for trading success is not surpassed by your passion to not read a book. *You are living up to the stereo typical image of a gen Y'er... *:shake:
> 
> (Making myself sound old in the process).




Haha, between uni, work and family/friends/down-time, I literally just don't have the time for it. Besides, I have read a few books on trading and I had trouble absorbing some of the information because they were so boring and I wasn't paying much attention.


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## nomore4s (24 January 2010)

Alright Saiter I'm going to be pretty blunt here.



saiter said:


> Skc, it's true that the number of trades have increased.. I guess I've become too trigger happy.



The number of trades have increased because you make some bad trades and then start what-if scenarios which then cause you to jump at anything that moves trying to make it up - again caused because you have no method or system.
This is *over-trading* - over-trading is trading for the sake of trading, if your system triggers 500 trades in a day and you take them all that is not over-trading but if your system triggers 10 trades in a day but you take 50 trades what is that saying? The problem is on any given day you have no idea about how many signals your trading is generating.



saiter said:


> True, true. I don't have a definitive, objective description of my entries/exits and most of the time I feel that I'm rushing things as I'm missing out on the trades.



Of course you feel like you are missing out on trades, because you don't have any idea of when to enter or exit a trade. Price starts moving in one direction so you jump on thinking your missing out but you've got no idea about whether it is a move you can actually trade because you've got no method.
Because you are entering whenever you "feel" like it you are not getting any decent feed back on your trading because you've got nothing structured to give you feedback on your results.



> Yup, the plan from now on is to find out what the DOM looked like when the DAX was about to turn or when it approached resistance/support. I'll then try to identify the same "DOM Patterns" in real-time and act on them.



How are you going to do this?
It appears to me you have no understanding of the workings of the DOM and how it relates with price movements and more importantly how to turn that into a trading system that works. So do you think that by just watching the DOM all day without any sort of structured learning & review system that all of a sudden you are going to magically understand when & how to trade?
Practice is fine but unless it is deliberative practice you are wasting your time. 



> Thank-you for the suggestion, but I'll be honest and say that I won't have time to read a book on trading in the next few months. If that ends up being my downfall then perhaps trading isn't for me at this point in time.



You are willing to waste 2 hours a day trading repeating the same mistakes over & over again with no idea of -

why & where you are going wrong
no plan or method in place to establish the reasons above
But you don't have 30min a day to read a book which might give you the info to rectify the above problems?
Until you implement a method or set ups that you can later review and then understand why they are or are not working you are wasting your time trading on the sim anyway imo.
The reason for practicing on the sim is to perfect your execution of the set ups you are going to use in trading. If you are just on sim for 2 hours a day entering trades willy-nilly how do you expect to improve or gain any knowledge on how to be profitable?


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## nomore4s (24 January 2010)

saiter said:


> My main method for entry is to go long/short around support resistance. I try and pick the direction through the DOM.




How do you identify support & resistance?
Why do you use the DOM?

Is it just because you've read on some forums that a few gun traders use the DOM as part of their trading strategies you think that it is the answer to becoming a competent day trader?

What do these gun traders use the DOM in conjunction with?
How do they use it?
What are the actual patterns they are looking for in the DOM?
Do they look for confirmation of these patterns on the charts?
What other info and/or indicators do they use with the DOM?
etc etc


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## ThingyMajiggy (24 January 2010)

Saiter, its all these "boring" bits that will make you profitable, not which indicators, lines, tools people use. Trading isn't a get rich quick while you're doing uni/work and socialising imo. 

If you really want to do it, you will. You won't find excuses about how you can't do this or can't do that, I think its a matter of you HAVE to do this and HAVE to do that, review, read, study, practice, screen time etc.....that is, if you want to become more profitable. If not, then I suggest you keep doing what you're doing. 

But thats just me right, I'm certainly no expert. Hope it works out for you, if you really want it.


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## MRC & Co (24 January 2010)

I would say nomore has hit a few points on the head there.

Though I used to love "Mastering the trade", I actually think the only useful information is using multiple timeframes, gaps and particularly market internals.  The rest is a lot of junk.

DOM patterns are just one more useful edge you can find, but you have to use them in conjunction with the charts.  That being said, the way you are using it is completely wrong.  You seem to be great at jumping at the wrong shadows and being tricked by the order flow, so just do the opposite!


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## nomore4s (24 January 2010)

MRC & Co said:


> Though I used to love "Mastering the trade", I actually think the only useful information is using multiple timeframes, gaps and particularly market internals.  The rest is a lot of junk.




lol fair enough. This probably highlights the difference in our experience and expertise at day-trading, as I'm still a novice in this area.

The bit I found useful from this book was the mindset needed to day-trade. Nearly all the beginners mistakes he had in his book I was making, once I addressed and dealt with these issues I became profitable using the same methods I was using, I just cut down on the amount of bad (impulse) trades I was making.

I think Saiter is making a lot of those same mistakes..


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## MRC & Co (24 January 2010)

Yeah, I guess the trouble here is, Saiter doesn't know how to trade less and pick his trades, because he has no idea what works.  The only way to find that out, is to trade like a madman, try everything and anything and remember what works and what doesn't.  

As far as trading DAX, as a scalper, I would say it is close to impossible to do from Australia let alone for a newb, never met a successful DAX trader here and I know of some great ones (used to be one of the biggest DAX traders in Europe), who tried.  It's tough with the speed from here from what I hear, considering how fast the DAX is known to move.

On order flow, funnily enough, there is one guy who uses simply DOM and market internals (just watches all the major stocks with a simple price ticker of each one one screen and SPI DOM on another).  No charts.  He was the biggest pit trader of the SPI I believe when the open outcry pit was open.  Still a large local.  

Anyways, as far as tips on DOM, I've talked about some things to look for before, but here are a few, they are very simple, there is no magic in this:

1)  Look for big size at a level, if price comes into that size extremelly quick, it is more likely to bounce away (yes, you would think the quicker it comes in, the more likely it would break, but no, those on the move into the size are looking for a place to cover).  

2)  Look for refreshing orders, probably will hold price, you may be able to frontrun it and just take flicks on the other side of the spread, cheap ticks.  If it's refreshing at a major level, it may be an area being defended.

3)  Look for times where there is size away from market, but nobody goes up and clips it, probably means there is a lack of pressure that way and is more likely to trade away from it.  Say for example there is a big buyer and the trend is up, now there is size 5 ticks away from market on the ask, price sees it, but doesn't move towards it to take it, the buyer probably doesn't have that many orders to do and it is more likely to move back down.  This works better in times when cash is shut and it's only the futures open, as cash bots are now turned off and you can rely purely on the futures order flow.

4)  Look for big size that just appears at market, or moves closer to market, i.e. say it's 4 ticks away on the ask, but they drag the order to market, it's probably someone who is getting desperate to get their fill, but you don't know who is on the other size to clip them, so wait until they actually start hitting market and hit quickly infront of them, if it's just one order, you can then cut and reverse into the size once it starts getting chewed and get a scalp both ways.  There is a market where they do the same with icebergs, and drag them at market so you can easily frontrun them and they generally occur at a certain time, but I'm not giving that little secret away.    This market has a few great little tricks, but you will have to find it and the tricks yourself.

5)  Other times it is just apparent if there is a big buyer or seller in the order flow, you get used to seeing how the order flow looks when a big buyer or seller comes in, so on pullbacks, you have more conviction to get on board.  On these moments though, it is probably a bad idea to hit tops and bottoms, be patient and wait for the pullbacks.  But it will take you a long time of watching to realise what these situations look like and how the big guys in your market execute their orders.  They of course, 99.9% of the time try to hide it so us bottom feeders don't frontrun them and make them pay up higher prices.

There's just a few to get you started.  Others I'm not giving away as I use them and want to keep my fills!  ha ha.  Hope this helps.


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## saiter (24 January 2010)

MRC & Co said:


> Yeah, I guess the trouble here is, Saiter doesn't know how to trade less and pick his trades, *because he has no idea what works.  The only way to find that out, is to trade like a madman, try everything and anything and remember what works and what doesn't.  *




Cha-Ching! There is a method to this madness... I hope 



MRC & Co said:


> Anyways, as far as tips on DOM, I've talked about some things to look for before, but here are a few, they are very simple, there is no magic in this:
> 
> 1)  Look for big size at a level, if price comes into that size extremelly quick, it is more likely to bounce away (yes, you would think the quicker it comes in, the more likely it would break, but no, those on the move into the size are looking for a place to cover).  Are you talking about large bids/asks being flashed?
> 
> ...




Also, I've over the past 2 sessions there is sometimes a "stalemate" between bidder and asker when there is a 1 tick gap between the bid and ask. Tiny orders (~1-3) jump ahead of the current bid to meet fill the gap and meet the ask. Once these orders get filled, the bid falls back and the 1 tick gap opens up again.
I guess I could trade that but it only has an R:R of 1 and I don't know how frequently it will occur.


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## Trembling Hand (26 January 2010)

Its quite clear reading Mr C setups to using the DOM that a retailer has no hope of using that as their main tool for trading.

Why?

Size. We are talking small moves here, really small. A retailer hasn't the size to throw around nor the cheap brokerage to make the small moves profitable. Then they also haven't the risk manager standing over their shoulder stopping you wiping out 2 weeks of good work with one day of madness.


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## saiter (26 January 2010)

*DAX 6:45 PM - 9:30 PM*

This time I decided to trade without focusing on the price ladder. My set up includes three charts: 60 min (to see the trend over the day), 1 min (I might change this to 15 min) and 15 sec. I mostly look at the 15 sec chart to see what the immediate trend is.
My entries and exits are now based off of the T&S. My aim is to still try and find out when there will be an up/down trend, but I'm now using a different tool.
_How do you know when there is buying pressure?_ When there are a lot of orders being filled at the ask, some orders being filled above the ask and few orders being filled at the bid. I don't expect orders to be filled underneath the bid, but if they do, sirens start going off and I begin to anticipate a reversal, HOWEVER, I'm assuming this depends on the market conditions. For example, if there's a strong uptrend I don't expect much action below the bid and I expect it to be very small (~1-3 contracts). If there's a strong downtrend, I expect more action below the bid. I still expect this to be small (~1-3) but they will occur within 1-3 seconds of each other.


Pre-Market: FDAX seemed to be trending upwards from pre-open, but the DAX was in the red the previous day. Commodities were down, the asian markets were down, and the DOW just made it upwards. 
I also remembered the day that I lost a LOT on the sim. The FDAX ended in the red but the pre-open was suggesting it'd go upwards. It didn't begin turning until after some time. With this in mind, I expected an uptrend in the first few minutes followed by some sideways action and then a downtrend. I kinda got it right...
I went in with a bias towards the short side.


Results

The price chart. It looks like it went sideways but trading is still going on. I still think it'd end in the red. Notice that I've also taken fewer trades.




Outcome of Trades. This time, I decided to work out the money management prior to trading. I have $10K starting capital which goes to $20K after margin. The max I want to lose is $150 in a day (probably a bit steep now that I think of it), so if each tick is $12.50 (it's actually in EUR but for simplicities sake...) I have to stop trading once I hit -12 ticks. If I place a stop loss @ 4 ticks, I'll be out if I get 3 losers in a row before turning a profit.
I guess this time I was lucky and didn't get those 3 losers in a row.




Equity curve. Firstly, IT'S POSIIIIIIITIIIIIIIIIIVEEEEEEE    ****, about time! Secondly, massive draw downs. I suspect that this is because I'm entering during sideways action and I'm getting stopped out. I'll have to look back on this.





*Questions*

How do the institutional traders try to bluff everyone into a move? Do they just make an "artificial" price chart so that certain indicators go off and fibonacci levels are met? Do they change their tactics whilst trading e.g. they sweep for shorts and then they'll try to make moving averages cross?

If this is the case, does that mean the tactics of an institutional trader will change for each market because each market's participants trade differently?


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## saiter (26 January 2010)

Trembling Hand said:


> Its quite clear reading Mr C setups to using the DOM that a retailer has no hope of using that as their main tool for trading.
> 
> Why?
> 
> Size. We are talking small moves here, really small. A retailer hasn't the size to throw around nor the cheap brokerage to make the small moves profitable. Then they also haven't the risk manager standing over their shoulder stopping you wiping out 2 weeks of good work with one day of madness.




Does that mean the only option is to follow them and the aim becomes to workout their next move?


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## Trembling Hand (27 January 2010)

saiter said:


> *Questions*
> 
> How do the institutional traders try to bluff everyone into a move? Do they just make an "artificial" price chart so that certain indicators go off and fibonacci levels are met? Do they change their tactics whilst trading e.g. they sweep for shorts and then they'll try to make moving averages cross?
> 
> If this is the case, does that mean the tactics of an institutional trader will change for each market because each market's participants trade differently?



 "artificial price chart"  



saiter said:


> Does that mean the only option is to follow them and the aim becomes to workout their next move?




No the only option *ever *is to find a pattern that repeats often enough and with tasty enough R:R that you can make money from. The BS you have in the above quote just leaves me ........ well, I should be polite for once, speechless.


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## saiter (1 February 2010)

It's been a week since I last updated this diary and a lot has changed since then. Uni has started (for me at least) and the workload is increasing, so I will not be able to dedicate as much time to intraday trading. As a result, I've shifted back to a longer term approach: Trading over  2 days 




Trembling Hand said:


> "artificial price chart"
> 
> 
> 
> No the only option *ever *is to find a pattern that repeats often enough and with tasty enough R:R that you can make money from. The BS you have in the above quote just leaves me ........ well, I should be polite for once, speechless.




This quote did a lot for me. I ditched the DOM and went back to the charts. I found a few patterns that occurred over 3 bars in a 10 tick chart and 2 bars in a 30 second chart. I ditched the former as it was too hard to exploit (I couldn't get my order filled before the 10 ticks were over!). The latter could have been profitable, however, it needed a lot more testing, and as I am unfamiliar with C# (and don't have the time to learn it), I modified it to a 2 day period.

Thankfully, the pattern still occurs on a daily chart, with an occurrence of 75%.
I am currently trying to work out entry strategies. The first strategy was time based, that is, enter on a particular bar in a group of 5. I've pushed this over to the side as there does not seem to be an advantage to entering on a particular day AND because the code still needs some work. The second strategy is based on statistics, that is, enter at a particular price given its previous behaviour.
The exit strategy will be a profit target/trailing stop.


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