Diary of a Madman

[saiter]

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

 

[Wysiwyg]

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.

 

[Trembling Hand]

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.

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

 

[saiter]

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

1. 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.
   
   
   
   
2. 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.
3. I took too long to enter some trades

 

[Trembling Hand]

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,

 

[skyQuake]

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.

 

[saiter]

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.

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.

 

[Trembling Hand]

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.

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.

 

[saiter]

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.

 

[Wysiwyg]

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!

 

[Trembling Hand]

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.

 

[saiter]

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

True, I should start making one.

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.

 

[Trembling Hand]

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?

 

[saiter]

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

See the EDIT.

 

[Trembling Hand]

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.

 

[saiter]

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?

 

[Trembling Hand]

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!!

 

[MRC & Co]

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........

 

[saiter]

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!!

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:

1. I'm making something out of nothing (and I'm a really crap trader)
2. 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.

1. 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.
2. 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?

 

[saiter]

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?