The ASF Futures Playbook - A collection of plays to develop on your own

[CanOz]

This thread hopefully will serve as a repository of favorite plays for the various futures contracts we all trade. I have several file folders in different formats covering different instruments and time frames. As some of you know, we're onto our second son's early months now and i just don't have much time to spare for trading let alone posting, I've even taken a job on the weekends! However, I'll try and post a few of my plays each week with a little explanation of each including context and risk management. Understand these are a collection of stuff that I've developed over the last 5 years and thousands of hours of screen time. I'm hoping other such as Captain Black, Modest, Tech/A, Quant, Kid, Lone Wolf (maybe even TH?) and whomever else trades or has traded futures will post a favorite play. Also, its essential to remember that these are just ideas for trades based on what we've seen work in the past, by no means to they guarantee any success in the future and you should always research your own plays yourself before committing risk capital.

 

[captain black]

I'm still officially on holiday but traded the SPI today (need a rest from all that paddling!) so here's a couple of easy setups. I'm not much into drawing stuff on charts so hope a bar-by-bar explanation will suffice. Hopefully this will get the ball rolling and encourage some more contributions


This chart setup is on the 10:36 bar. (SA time). This is just after the start of the main Asian session. We've had a sideways consolidation leading into this setup and then a break lower at 10:34. This was rejected with high relative volume and a close on the high. Strong signal so I took the trade at market (hit the ASK price) 5635.

Manage the trade with a 3-bar countback line. Weakness signalled on the 10:56 bar. Move stop to break of low of that bar. Exit at 5643 on the 11:00 bar.


Next trade is a reversal signal at 5642 on the 11:06 bar. 4 down bars before, all closing on the low then a bar that breaks the high of the previous down bar. It's not a particularly strong signal but the SPI was swinging quite well today so I tend to take these trades if I'm feeling confident.

Manage it again with a 3-bar countback line. This is breached on the 11:22 bar. I had a bit of slippage here and got out at 5650.

A couple of 8 tick trades.

 

[CanOz]

I'll kick off my first post with my all time favorite and current bread and butter staple play, the "balance breakout retest". This play happens several time per week on the three main markets i watch, as they do in all markets in all time frames.

This would most likely be termed a pattern breakout throwback but i use the highest volume point traded as the entry point, the Point of Control. The consolidation may look like a triangle or a flag, regardless though there will be fat profile of volume on a volume at price indicator. The reason we wait for the throwback is 1.) it nearly always comes back and 2.) it is a more comfortable area to manage the risk and 3.) we usually take very little heat if it works so we know right away if it will work or not.

The context for this play is usually a gradually building up of volume or profile build. If a market has sold off recently or had a down trend day, or two, this makes a great play to jump on the short covering rally.

Stop losses can be on the other side of the pattern or balance area, but pretty safe outside the value area.

A rough target can be the width of the range it is breaking out from, but ideally would be to trail a stop.

 

[CanOz]

GAP Fills - This play has been around as long as there have been markets. In auction market theory, a gap is the end of one auction and the start of another, so it is a significant event and the levels this creates are also significant. It traps participants, they'll be "resistance" or "support" again in the future. I use these levels for reference on my trade plans, then i watch the order flow at these levels or even just place a limit order there and wait. It is rare for price to rocket through a gap fill. There must be traders there waiting to get out or in again....Risk can be very low and reward can be quite significant, even multi session.

 

[captain black]

I should add that I'm a very short term swing trader (20-30 trades per day in each instrument) so my setups and trade management is designed for purely short term swing trades. Although setups like "Stopping Volume" (1st trade) and Reversal bars (2nd trade) are just as easily spotted on longer term charts. I'm planning on adding a thread to the private members area that will go into more detail. Just gotta finish my paddling holiday first

Having a look at the Bund tonight. I'll post any setups I spot here.

CanOz, have you looked at the mini Nikkei? ( N225M on the Osaka Exchange). After your suggestion of the Bund I've been looking at a few others during the Asian session and the N225M looks interesting as well. Great volume, but it looks more of a trending type of market rather than a swinging type. I can't get it to fit into any of my current models but it looks like it may work with Market Profile? Interested to hear your thoughts.

 

[CanOz]

Nah, I can't get any historical data for the nk mini product, so it's of no use to me.

 

[kid hustlr]

Really good idea for a thread. I don't have time to read the thread now so apologies if this has already come up. Context - I (barely at the moment) trade the FTSE intraday.

I also can't get onto IB right now so apologies for the atrocious image.

False break out:

So often when futures markets are in a range they constantly run the highs and lows on each end trapping break out traders. This is a fact.

The next stage however is on occasion we get the slam dunk false break which in my experience leads to a push out of the range in the opposite direction - think along the lines of 'well the market won't auction lower so by definition it must go higher.

There was about twenty confirming factors which supported this trade (fundamental news, longer term market context, the market profile, the pre-open action on the STOXX) which I won't go into that were just as important however I just wanted to highlight 2 things:

1. when futures markets are in range it's pretty hard to play a break out, we are best looking for false breaks.

2. if we get a really obvious fake out in one direction, it is very likely the range will get broken on the other side.

I feel I'd want to sit down in person with someone for half an hour to discuss this trade - very hard to properly work through over an internet forum.

 

[captain black]

Nah, I can't get any historical data for the nk mini product, so it's of no use to me.

No probs, I've seen it mentioned a few times over at Big Mike's (futures.io) so I've been taking a look at it while I've had some free time. It doesn't fit well with the way I trade but it's so liquid I'm going to keep an eye on it and see if I can figure it out.

 

[captain black]

False break out:

It looks like we trade different time frames but the first chart/trade/setup I posted is a false breakout. With the SPI there's often a flurry at the open then a consolidation leading into the main Asian session (particularly during daylight savings when we're out of sync with the rest of Asia). The trade I took was a breakout of consolidation which was rejected on high volume ("stopping volume") and closed on the high.

Depending on how they're setup these are high probability trades on a shorter time frame.

 

[tech/a]

Just had a quick look at my Photo library.

I have over 170 screen shots of various setups and trades
taken and watched over a long period back about a year or so ago.
They are a record of a lot of setups and price action I look for while
discretionary trading the DAX and FTSE. I believe they are valid with any chart.
Most are on smaller time tick charts.

When I get some time Ill start putting them up.

Happy New year everyone and make 2017 a great year!

 

[captain black]

I have over 170 screen shots of various setups and trades
taken and watched over a long period back about a year or so ago.
They are a record of a lot of setups and price action I look for while
discretionary trading the DAX and FTSE. I believe they are valid with any chart.
Most are on smaller time tick charts.

When I get some time Ill start putting them up.

Brilliant stuff tech, looking forward to it

 

[Gringotts Bank]

Can someone please recommend a set up which works on the DAX?

 

[CanOz]

Those retests work well on the dax GB, in fact the Dax may consolidate prior to lunch and then breakout and throws back after lunch and before the US open....

 

[barney]

As some of you know, we're onto our second son's early months now and i just don't have much time to spare for trading let alone posting,

I've even taken a job on the weekends! However, I'll try and post a few of my plays each week with a little explanation of each including context and risk management.

Can,

Firstly, congrats on the second bub ..... Kids are great ... they keep you young at heart ..... and make you tear your hair out at the same time as they get older ... (sometimes)

Secondly, ... threads like this are the life blood of Forums where traders are prepared to share a little of their hard earned knowledge, so well done to you and all those who have already shared.

I love Futures and particularly Forex but my impulsive personality is better kept under control by trading in slow motion with Specs!! .... Looking forward to this thread evolving over time ... cheers.

 

[captain black]

Can someone please recommend a set up which works on the DAX?

I've tried to trade the DAX a few times but I've never reached a positive expectancy over a statistically significant number of trades. I'm sure others trade it successfully but it doesn't work with my style of trading.

I tend to rely on making the maths work over 20-30 swing trades rather than wait to make 2 or 3 big trades per session. I admire traders like Modest, CanOz, tech and others who can do that. Day trading futures is my "steady" income and swing trading has given me a smoother equity curve trading the instruments (SPI, Kospi, FESX, ES and hopefully the Bund) that I can make work with the model I use.

I rely on being able to place a trade in a position where I know very quickly if the trade is moving my way and if it isn't, then I cut my losses and keep them small. I sit around 50/50 win/loss but keeping the losses small has been my "edge". I haven't been able to do that on the DAX and I suspect the Hang Seng would be the same. Just my 2c

Tech mentioned he had some setups for the DAX so I'm interested to see how he manages each trade. Have you had a look at the Bund GB? I'm hoping to post some setups I've spotted in a week or two.

 

[tech/a]

Define "Works" GB?

 

[Gringotts Bank]

Just something you can code up and get a half reasonable equity curve out of it. Doesn't have to be perfect.

Cap I haven't got data for the Bund, but I'll keep a watch out for your post thanks.

 

[tech/a]

GB

I don't have that info from my discretionary trading.
Mind you it wont be that long and I intend answering
a whole heap of my own questions using python.
While its a work in progress for 18 mths we are very close.

But
T/H said it best once --- Its Like recognising your Mum in a crowd.
and it really is. Once you've seen the same "Type" of setup time and again
you start to pick out the face in the crowd. It may look familiar only to morph into something you don't recognise and then---failure. You may see a number of faces in quick succession.
You may see conflicting faces---all familiar.

The trick is to be able to read the crowd and the individual faces.
When its going in the direction your going hop on
If it alters get off quick. If it slows down and shows different conflicting or blank faces
then get out. Those familiar faces will return. The more faces you know the better you'll read
the crowd and the busier you'll be running in and out of it.---Of course this is discretionary trading.

Now like you I want to know perhaps different things than you. I know they "work" but I would like to know----

(1) How often they work
(2) How long they work for.
(3) Are the two inter connected.
(4) Where does time frame come in.
(5) How quick is it wrong
(6) What constitutes wrong

I have my own discretionary thoughts but nothing that I can definitively say I have studied the data and understand this or that. These answers would help me understand the crowd when certain faces appear---Disappear--- turn blank in all trading.

So many of the setups I trade you will be able to programme into Ami.
I welcome any results. Even so The way I trade them--my risk on each trade and entry and exit will (would) have a bearing on the out come---so the results will only have a meaning in their programmed context. Losing results may still be traded profitably if there are different parameters involved and risk management---not to mention Trade management and ticks gained / trade v ticks lost.

I also--- tend to rely on making the maths work
Combined with chart reading (my form of).
I'm very much
(1) If this happens do this
(2) If that happens do that.

and these things maybe multiple things that cause me to act with caution--do nothing--do something. Ill find some classic single type Entry setups to post next.

 

[tech/a]

But before I do I strongly suggest that if your trading ANYTHING you read the text below.

Sure there are some alterations to suit your situation (EG Holding longer than a day to perhaps a Bar in X timeframe).

Read My point is in Howards text and that's another question I want to answer in my data series.

 

[captain black]

Here's a currently open trade on the Bund. 2 minute chart. I've found the pre-open on the Bund is quite a good time to trade. 2 minute chart. Weakness at the open on the first few bars. Stopping volume on the 17:38 bar (more evident on the 1-minute chart but I'm pushed for time so only got the 2 minute saved). Managing the trade with a 5-tick stop or 3-bar Countback line (whichever is hit first). Also exit on any weakness signal.

Still open atm. Entry at 164.14. Stop sitting at 164.27 currently.