Diary of a Madman

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.

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!

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

saiter said:

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

Click to expand...

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.

Well done , nice thread

thanks

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.

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.

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.

Click to expand...

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.

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!

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.

Good work Saiter

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

Good luck.

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

Click to expand...

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.

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.

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

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

Banks helped us close GREEN lol.

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.

Click to expand...

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

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.

Click to expand...

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.

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.

Click to expand...

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.

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.

Click to expand...

Is it possible to beat the BOTs and spoofers?

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

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.

Click to expand...

And thats how they get you

Is it possible to beat the BOTs and spoofers?

Click to expand...

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

skyQuake said:

And thats how they get you

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

Click to expand...

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

1. 00:00-00:40 The price keeps trying to break through 6020, but has no strength
2. 00:53 Bids start to move below the current bid = Time to short!
3. 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!
4. 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
5. 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.