S&P 500 & other indexes - intraday. Plus chat

[DionysusToast]

Get your Speedos on & go for a dunk...

 

[JT_MOT]

This market is so slow... I went short this morning at 1400.75 and it was moving along nicely, then pop (while I was in the gym). So I'm a couple of points offside but I'm not worried. I have a feeling this will drop off a bit before the close, perhaps hit 1400 level yet again. We'll see... I'll be quite happy to scratch this trade and wait for the next one should I get that chance.

 

[Splitlink]

This is my effort for today. The parallel trendlines are something that I use for potential breakouts. Instead of waiting for a higher high, it gets me in a bit earlier. I did not need it today, though, except to keep me in the trade.

When I went for a walk, I locked my profit in with a stop at 1401.5. It's about to blow but, FI! I've had enough! As far as I am concerned, the 1 point profit is a flat trade.

 

[JT_MOT]

Looks like I called that wrong. Oh well, lets see what tomorrow brings (hopefully some damn volume)

 

[Dick Lexic]

1406 seems to be a bit of a hurdle (ftse 850) a tic above these could signal more upside...both cash

no volume = no selling?

 

[robster970]

This is my effort for today. The parallel trendlines are something that I use for potential breakouts. Instead of waiting for a higher high, it gets me in a bit earlier. I did not need it today, though, except to keep me in the trade.

When I went for a walk, I locked my profit in with a stop at 1401.5. It's about to blow but, FI! I've had enough! As far as I am concerned, the 1 point profit is a flat trade.

I can now understand why you could see no weakness - you are trading a completely different timeframe to me!!

 

[Splitlink]

I will show you in a chart in a minute...

Annotated picture:

Yes, I see the different style. In this type of market, yours is the only way to go but I prefer a leisurely pace with one or two trades per day. However, I like those trades to shake a bit of leg!.

 

[Pat494]

Thu Aug 16

1:59am AUD MI Inflation Expectations 2.4% 3.3%
2:57am CNY Foreign Direct Investment ytd/y -3.6% -3.0%
6:45am AUD RBA Assist Gov Debelle Speaks
9:30am GBP Retail Sales m/m 0.3% 0.0% 0.8%
10:00am CHF ZEW Economic Expectations -42.5
10:00am EUR CPI y/y 2.4% 2.4%
10:00am EUR Core CPI y/y 1.7% 1.6%
1:30pm CAD Foreign Securities Purchases 10.67B 26.11B
1:30pm CAD Manufacturing Sales m/m 0.3% -0.4%
1:30pm USD Building Permits 0.77M 0.76M
1:30pm USD Unemployment Claims 365K 361K
1:30pm USD Housing Starts 0.76M 0.76M
3:00pm USD Philly Fed Manufacturing Index -4.7 -12.9
3:30pm CAD BOC Review

3:30pm USD Natural Gas Storage 25B 24B
11:45pm NZD PPI Input q/q -0.2% 0.3%
11:45pm NZD PPI Output q/q -0.2% -0.1%

 

[Pat494]

Thought I would copy a page out of Splitt's book - lines and more lines, hopefully done rightish ?

or

1402 by 2 pm

 

[robster970]

Strict adherence to a mechanism vs good risk mgmt

So folks, I thought I would post up a situation I have been mulling over for quite some time:

"Is it better to stick to a method at any cost or is it better to manage your risk?"

So this morning, I took a trade on ES. It is a simple mechanism. Fade the ON-H or ON-L from the Asian session after Europe opens.

So London FTSE opened with ES at 1404.50, the Volume Point of Control at 1405.50. As the strat is one based upon reversion to mean, associated with reverting back to the most agreed upon average price, I eventually went long at 08:15GMT, filled at 1403.50, knowing I have 2pts space between entry and VPOC

It climbed up a little to 3 ticks, 1 tick shy of target. It then moved back towards my entry price and the VPOC then moved down to 1404.00

So I watched it build a base for a while too.

I then chose to cover with a 1 tick loss at 08:37 for the following reasons:

a) The VPOC was at a low enough price to invalidate my target. This means I have a skewed r:r for this trade.

b) My reason for getting into the trade was also no longer valid.

So in order to preserve risk, I decided to cover for a small loss rather than wait for a full clip of 4 ticks to get blown.

Now had I waited using a more systematic approach, this trade would have hit the 4 tick profit target at 1404.50 about an hour later.

So out of interest, what are your views on this? Is it better to use discretion to manage your risk more carefully or is it more important to behave in a systematic way regardless of whether trade entry conditions are no longer valid?

Just curious

 

[kimo'sabby]

I will show you in a chart in a minute...

Annotated picture:

1404.75 traded about 70k contracts on Tuesday before dropping off. I went bid 1402.75 last night, been trading 1:1 last week, 2pt:2pt, don't like it but no point in trying to run and trail in this market at the mo.

 

[DionysusToast]

There's no correct answer. The best management technique for any given trade is only known in retrospect.

I like to cut trades, I give myself a pat on the back when I do that - even if they come good afterwards. So - for me, it comes down to the fact that I'd rather be in a situation where I pat myself on the back for exiting than kick myself for being mechanical.

 

[kimo'sabby]

@Rob Systematic v Tinkering a bit (lol). If you are working off the market ie liquid prices, flow and volume then you shouldn't tinker (lol) just let the trade play out. How price reacts on the chart during the trade should be of no consequence, especially if u are using such tight parameters. imho, of course.

 

[kimo'sabby]

There's no correct answer. The best management technique for any given trade is only known in retrospect.

I like to cut trades, I give myself a pat on the back when I do that - even if they come good afterwards. So - for me, it comes down to the fact that I'd rather be in a situation where I pat myself on the back for exiting than kick myself for being mechanical.

I think a person should decide one or the other and not both.

 

[robster970]

@Rob Systematic v Tinkering a bit (lol). If you are working off the market ie liquid prices, flow and volume then you shouldn't tinker (lol) just let the trade play out. How price reacts on the chart during the trade should be of no consequence, especially if u are using such tight parameters. imho, of course.

8am on ES isn't really liquid though. So I traded it like I would in RTH - there was a base building and there was no real signs of absorption either, so I came out.

However because it is illiquid, it would make more sense to just leave it a systematic....

I dunno......

 

[splashy]

I think a person should decide one or the other and not both.

I like this but i'm going to qualify it a bit....

I have a couple of systems i trade - one i gave up tinkering with and is now entirely systematic. The other is tinkerable-withable and I'm perfectly happy trading them as such. Its important to be comfortable with the level of interactiveness (interactivity?) for the strategy or it's next stop the looney bin.

With the tinkerable one, i keep a log of how much i would have made had i stuck to the strategy. Sometimes weeks i might lose out and sometimes i gain but there is a steady net gain. Toward the end of the week, if i find i'm 20-30 pips up on the projected figure, i'll treat myself to a silly trade (the kind we used to think were good ideas until our cash statements told us otherwise). If it comes off, i know its gonna be a good weekend. arty:

(Well, maybe not 'silly' but one i may not usually take...)

 

[kimo'sabby]

8am on ES isn't really liquid though. So I traded it like I would in RTH - there was a base building and there was no real signs of absorption either, so I came out.

However because it is illiquid, it would make more sense to just leave it a systematic....

I dunno......

I see. Yes, pre-session is obviously not as liquid, but there will be an average amount of volume moving the market. I think at the mo it's roughly 35k contracts, which funnily enough is about half of that in-session at the moment.

 

[kimo'sabby]

I like this but i'm going to qualify it a bit....

I have a couple of systems i trade - one i gave up tinkering with and is now entirely systematic. The other is tinkerable-withable and I'm perfectly happy trading them as such. Its important to be comfortable with the level of interactiveness (interactivity?) for the strategy or it's next stop the looney bin.

With the tinkerable one, i keep a log of how much i would have made had i stuck to the strategy. Sometimes weeks i might lose out and sometimes i gain but there is a steady net gain. Toward the end of the week, if i find i'm 20-30 pips up on the projected figure, i'll treat myself to a silly trade (the kind we used to think were good ideas until our cash statements told us otherwise). If it comes off, i know its gonna be a good weekend. arty:

(Well, maybe not 'silly' but one i may not usually take...)

Hope it's a goodun! Have a drink 4 me if it is

 

[robster970]

I like this but i'm going to qualify it a bit....

I have a couple of systems i trade - one i gave up tinkering with and is now entirely systematic. The other is tinkerable-withable and I'm perfectly happy trading them as such. Its important to be comfortable with the level of interactiveness (interactivity?) for the strategy or it's next stop the looney bin.

With the tinkerable one, i keep a log of how much i would have made had i stuck to the strategy. Sometimes weeks i might lose out and sometimes i gain but there is a steady net gain. Toward the end of the week, if i find i'm 20-30 pips up on the projected figure, i'll treat myself to a silly trade (the kind we used to think were good ideas until our cash statements told us otherwise). If it comes off, i know its gonna be a good weekend. arty:

(Well, maybe not 'silly' but one i may not usually take...)

I am keeping a tally in my mind of the net position of tinkering with this particular strat. Currently I am 9 ticks down off 2 trades (one scratched vs 4 tick win, -1 tick vs 4 tick win). No statistical significance reached yet......

 

[Liquid validity]

b) My reason for getting into the trade was also no longer valid.

So in order to preserve risk, I decided to cover for a small loss rather than wait for a full clip of 4 ticks to get blown.

Now had I waited using a more systematic approach, this trade would have hit the 4 tick profit target at 1404.50 about an hour later.

So out of interest, what are your views on this? Is it better to use discretion to manage your risk more carefully or is it more important to behave in a systematic way regardless of whether trade entry conditions are no longer valid?

Just curious

There's no correct answer. The best management technique for any given trade is only known in retrospect.

I like to cut trades, I give myself a pat on the back when I do that - even if they come good afterwards. So - for me, it comes down to the fact that I'd rather be in a situation where I pat myself on the back for exiting than kick myself for being mechanical.

Nothing wrong with that at all.
The frequency and nature of entry may be vastly different for what I do,
once in a trade, to a certain extent that is how I manage my trades.

I'm pretty sure most people are aware of the fact that losing trades typically have
a low MFE and vice versa.
The balance point that affects strike rate and return is going to be different for
everyone obviously, but broadly speaking, I completely agree.

DT, ironically enough you can use that approach in a mechanical method,
using unrealised loss as a proxy for MAE.
Thats what I do, without going into too much detail.