Roller's Intraday futures journey

Roller_1 said:

Did/do you (or anyone else?) ever use any commercial journaling tools. There seems to be some good products out there but not sure if it'll be worth it. I've been doing my own but not as flash as commercial ones. They would give a deeper insight into stats i guess.

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I created a basic excel spreadsheet.
I think it gives me enough.

Contract rollover today on the Nikkei. It confuses me every time. Usually takes me a few days to get my bearings again.

i'm still here grinding away

Watching 27400 for longs

We ended up opening down below it. I thought that we were going to push up back through and tried to buy the breakout but obviously that did not work out. Wasn't fluid enough in my thinking to flip bias. Very choppy day

It was a public holiday in Japan on Monday so no market action.

Because of the public holiday we had a big gap up which pushed up into a supply area from the open, this allowed me to get in a nice short position following the overall trend. I had to leave the computer and had my target in a place where I thought some support may come in but we blasted through through that. So I could have got a bit more out of the trade but definitely not complaining!

I was tempted to leave one contract on with a stop at breakeven to see if we wanted to continue down but I didn't do it in the end. This may be something I look at in the future when we are moving like this. Really getting hold of those outsized winners will skew the results nicely.

This morning I was looking for a break to new recent lows. Unfortunately I got stopped out as it pushed back up into the range by a tick before the big dump!

If we get a spike back up into the range I may consider shorts but recently we have just had a morning move and then not much has happened in the afternoon. Especially with some news coming out in the US and the BOJ interest rate decision tomorrow, I actually thought it was just going to be a range day once I got stopped out as we were just chopping around. I think the BOJ announced a bond buy up which may have been the trigger.





I don't really see too much support below this area until around 26860. So if we can't reclaim these recent levels that we have broke it might be down for the remainder of the week

Some big moves overnight with some chitchat out of the US. We are down around that support level that I was looking at yesterday which may offer a chance for some longs if we can reclaim it early on. Not really that keen to short after such an impulsive move down overnight

Around 12:30 PM SA time there is a BOJ interest rate decisions so that will get things going no doubt.

I just thought I would post this here for my future reference and any commentary from anyone else. I'm seeing some accumulation going on on the smaller timeframe charts, well what I think is accumulation.

After the big push down overnight, there would probably need to be some kind of absorption going on to reverse this trend. On each push down you can see the high-volume bars, this is where I think the big boys are sucking up the breakout traders who are looking for lower prices. In order for them to build their position they would need to push the price down to be able to get the liquidity.

I've also noticed on a few occasions that this tends to happen under support that I have marked up, not sure if that means I have the support marked up wrong or possibly other people are watching these levels and accumulation is going on while the price may seem weak.
Anyhow, this could all be wrong and price may dump straight-back through but interested to hear others thoughts.

Price pushed back down not long after my initial post, but this looks like it wants to rip higher now. The BOJ announcement is due in 20 minutes. So just watching. Anything could happen

Got sucked into taking way too many pre-emptive trades early, so might not do any more trades today

How the day ended up for anyone following along.

If I fire off too many blanks early in the day then I lose the mental capital/resilience to be able to pull the trigger when needed. Something I need to work on

Focus should still be on the downside I think, I would like to see how price reacts around the blue line below current levels to see if it can be defended.

Otherwise a push up to around 27,000 will be a area to watch.

Don't really have a clear picture at the moment, just a few areas of interest

I haven't been able to trade consistently for a few weeks due to health reasons. Hopefully I can get some consistency at the charts over the next few weeks and try and get back into the swing of things. Might not have been a bad time to have a break anyway because I was in a bit of a rut, hopefully stepping away for a while will help clear my head

This is the current daily chart of the Nikkei. We are currently right in the middle of some resistance that has held up a few times over the last few months, while also acting as support previously.

I thought that we might push through this area on high-volume in the morning so I've been in a long for most of the day. But chopping around a little bit. In the past when we are broke through here there has been decent follow-through one way or the other. If we do get up through here then I think it my head all the way up to 27900. Which is around the green line. Maybe over the course of this week. But need to get up through here first.

I have really just been treading water or even going slightly backwards in my equity curve the last few months so I really need to knuckle down. My winning days so far are not much larger than my losing days.

When I enter I try to risk between 8 to 10 points, so they are pretty tight entries. I don't allow myself to have more than three full losses in a day.

The issue is when I do get onto a good trade, I rarely make more than 30 points. If I do get a good trade and I take profits at a place where I think the trend may reverse I am reluctant to either a) enter in the opposite direction or b) re-enter in the same direction. This is because I do not want to ruin a good day. I know that this is not right but it seems like the lesser of two evils with a low strike rate. So generally if I am trading in the correct direction I am only getting one good trade for the day. What this means is that my wins and losses end up about the same. Which obviously doesn't equate to a nice equity curve, especially if my win rate is not very high.

So I need to work out the best way to combat this. I guess there are a few options. Do I only give myself two trades, if I have two losses in a row just don't trade for the rest of the day. My thinking behind this is my best days I generally only have one trade, which is where I get onto a decent trade take profits at maybe around the 30 point mark and be satisfied with that.
This might help with a few issues, force me to be more selective while also limiting my losing days dollar wise. Sometimes I can be a bit impulsive and enter trades with no real setup.

Or I could try and improve my win rate by going for small wins points wise. Instead of letting trades get to 15 points and then get stopped out at breakeven or a loss just go for trades at say a 2-to-1 ratio. I might do some digging into the MFE stats on NT to see if this will help. Most of the time if I have a loss they are pretty quick. So this will not help in that situation.

or I go for outsized wins. Once price gets to say 2R move stop To breakeven and set a target in a logical spot more than 5R away.

Interested to hear thoughts from others on how to combat these issues

The screenshot below is just a basic Excel sheet of a good way to track your mistakes, I just highlight the cells if I feel like I have done well or messed up in a certain area. Obviously you can see in this subset that impulsive trades are an issue. I am getting better at rectifying this.

Hello @Roller_1

I'm not here to give advice, because my advice is quite often as good as my trading ability, and that's not very good. See numerous posts throughout this place, including this one. However, there are ways to fix the type of problems you are having.

I fixed most of my trading problems by going 100% systematic. All trades placed in my futures accounts are now placed automatically. Yes, it took time (many months) to set up the software, but in the long run it was a perfect solution for me. I no longer make any mistakes! If there are any mistakes, it is always a programming error.

There is a lot of literature on positive and negative skew systems (positive: lots of small losses, covered by fewer bigger wins) that make very good reading. There is also plenty of writing on systematic trading. Apart from the fact that I wanted to trade 24 hours, those two factors drove my systems design.

So, the first thing I had to do was to get my system written down, so that I knew what I was supposed to be doing, then made it work in spreadsheets that were making all the decisions, and then eventually transferred those spreadsheets to other software.

The system has been live about 18 months now, and still profitable (thank heavens).

KH

KevinBB said:

Hello @Roller_1

I'm not here to give advice, because my advice is quite often as good as my trading ability, and that's not very good. See numerous posts throughout this place, including this one. However, there are ways to fix the type of problems you are having.

I fixed most of my trading problems by going 100% systematic. All trades placed in my futures accounts are now placed automatically. Yes, it took time (many months) to set up the software, but in the long run it was a perfect solution for me. I no longer make any mistakes! If there are any mistakes, it is always a programming error.

There is a lot of literature on positive and negative skew systems (positive: lots of small losses, covered by fewer bigger wins) that make very good reading. There is also plenty of writing on systematic trading. Apart from the fact that I wanted to trade 24 hours, those two factors drove my systems design.

So, the first thing I had to do was to get my system written down, so that I knew what I was supposed to be doing, then made it work in spreadsheets that were making all the decisions, and then eventually transferred those spreadsheets to other software.

The system has been live about 18 months now, and still profitable (thank heavens).

KH

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Thanks Kevin,
I do currently run systematic systems. They are only on stocks though. I was looking to get into futures discretionary as a way of diversification I guess. It is also a itch that I have to scratch to see if I could make it work. I am definitely getting better at reading the markets, just trying to piece all the bits together is the tough part as we all know!

I can feel myself slowly getting sucked towards the systematic space though ha ha. I also have the charts running in Amibroker, and have done some basic scripts but nothing that will guide any decisions yet.

Out of interest what markets and timeframes are you trading?

@Roller_1 The system works on one bar of data each day, but that bar is continually updated throughout the trading day. Hence the need to systematise, because I really didn't want to stay up all night losing beauty sleep.

There are 19 instruments, mainly US mini and micro, in the portfolio, of which 15 are small enough for me to trade. List in this post. Add mini wheat and micro crude to that list. I am still looking for others, and have micro DAX, KOSDQ150, the micro interest rates, and Bloomberg Commodity (AIGCI) in a test account.

It is important to me to trade within risk limits, so I stick rigidly to the smaller instruments. Currently have 14 open positions.

KH

Thanks @KevinBB I just had a read over the thread. Nice work by the way. Do you have a background in programming? Or just got stuck into it!
I have briefly looked at python a few times and can see the power in it. What ide do you use to code your systems in out of interest, I have pycharm but I don't think it is the best environment for trading systems.

Have you looked at the Nikkei? Tick sizes are fairly small dollar wise so it might be worth looking into. Around $5.5, ¥500

@Roller_1 I started off by doing everything in a spreadsheet, using CFDs instead of futures contracts. The spreadsheet told me what trades to place. I just did what I was told.

However, I needed to systematise because of the odd hours, so set about learning Python. Yes, I have a background in programming, but my profession was as an accountant. It still took a long time to learn Python. It was a not-so-simple matter of converting spreadsheets to Python.

Incidently, I use PyCharm to create all my code. I find it very good because it will pick up errors in code (typos, not logic), even in related functions. It is also very good for testing, and stepping through code to find mistakes.

For trading I simply copy the Python files created by PyCharm to the trading computer, and then run the files via the standard terminal interface.

As far as the Nikkei goes, I've just started on KRW and EUR instruments after trading the US instruments for 15 or so months. That's enough for my limited capital for now.

KH

My suggestion for you @Roller_1 is to make your discretionary trading more structured. Define the types of setups you have, define the structure for each setup. If a setup shows that it needs a 15 point SL don't cramp it by using 8 - 10 pts. Define every trade risk and if a setup has too much risk then it's OK to pass on it.

You seem to like working from price levels. Levels are zones that define potential support or resistance. You've got to have at least four setups, support holds/fails, resistance holds/fails. If price is approaching a support zone, what do you need to see that indicates price has been supported and is ready to go higher (reversal off zone)? What do you need to see if the support zone fails and price may go much lower (trend continuation, break down)?

Price may not form one of your setups and you miss the trading opp. That's OK. As you gain experience you will recognise variations to your setups and you can be more adaptable. Until you're consistently profitable you don't have the license to be adaptable. Start with a small playbook that provides enough opportunities each day.

IMO each trader will develop a preference for systematic or discretionary trading styles. I think it would be very hard to be good at both.

peter2 said:

My suggestion for you @Roller_1 is to make your discretionary trading more structured. Define the types of setups you have, define the structure for each setup. If a setup shows that it needs a 15 point SL don't cramp it by using 8 - 10 pts. Define every trade risk and if a setup has too much risk then it's OK to pass on it.

You seem to like working from price levels. Levels are zones that define potential support or resistance. You've got to have at least four setups, support holds/fails, resistance holds/fails. If price is approaching a support zone, what do you need to see that indicates price has been supported and is ready to go higher (reversal off zone)? What do you need to see if the support zone fails and price may go much lower (trend continuation, break down)?

Price may not form one of your setups and you miss the trading opp. That's OK. As you gain experience you will recognise variations to your setups and you can be more adaptable. Until you're consistently profitable you don't have the license to be adaptable. Start with a small playbook that provides enough opportunities each day.

IMO each trader will develop a preference for systematic or discretionary trading styles. I think it would be very hard to be good at both.

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Thanks a lot Peter, and totally agree with everything here. The thing that I have found challenging coming from a more systematic style is defining a actual setup. It's all well and good to have a resistance area or support zone, but then once price gets there actually defining a setup I find the hard part, I often find myself getting FOMO and then wasting trades. Then when you sit in your hands the actual trade happens that you have been waiting for.

This is an area that I need to focus on, identifying the setup. I have an idea in each of these so now my job is to define this into a repeatable pattern.

Thanks for that.