my journal

[Yamato]

A LONG signal could be approaching, and triggering a trade, in about 20 minutes.

Yes, I read your message now. Yes, it must be lunch time. However my signals also take place around this time.

 

[Yamato]

No signals for another 20 minutes.

1) time is 15.00 to 20.00 CET
2) your entry and your take profit are > 10 ticks away from any pivot lines
3) you're checking "correlated" chart for exact timing of entry
4) the 225-period ma is in favor by > 10 ticks
5) the 15-period ma gets crossed by price (in favor) after being on the other side >= 4 minutes

 

[Yamato]

Depending on what the situation is in 20 minutes, I might even have to take my first day off, because starting at 20.00 CET I can't trade anymore.

I just checked the 4 hour charts, from 15 to now, and today there hasn't been one single signal. Because we were always too close to either the pivot line or the slow moving average. So this tells me that this system effectively keeps me out of ranges.

Yeah, then of course in today's range I could have traded the fast ma crossover and made a ton of money, but how was I supposed to know that it would have been like this all day? I can't do everything right now, so I am focusing on 1) staying out of ranges and 2) making money when there's a trend.

It's good enough for someone who used to only go against the trend when there was a trend. I was also doing nothing when there were ranges like today. So it won't change as far as ranges. The difference should be that I now will make money with trend.

 

[Yamato]

1) time is 15.00 to 20.00 CET
2) your entry and your take profit are > 10 ticks away from any pivot lines
3) you're checking "correlated" chart for exact timing of entry
4) the 225-period ma is in favor by > 10 ticks
5) the 15-period ma gets crossed by price (in favor) after being on the other side >= 4 minutes

 

[Yamato]

The good thing about my system and my rules is that since I know I am allowed to do something under certain conditions, I have been watching like a good boy without engaging in any compulsive gambling. So maybe this method works. It's almost as if you told a child you can't eat chocolates at all, and then he might go and steal them. Or "you can eat chocolates if you do this". Then if it's not an impossible condition, he might wait to fulfill the condition before eating the chocolates. Besides, in my case, if I break the rules I can't trade at all tomorrow, so it's in my interest to respect the rules. So it's rather as if you told the child "if you steal them, then you might not find any chocolates tomorrow, but if you follow the rules, you can eat chocolates every day".

I don't know anything about raising children, but I am talking about what I think I would do if I were a child. Actually I act like a child, and this is what i do right now.

I do just the same at work: if you ask me for 100% at work, I will do it. If you ask me for anything more, then I'll do less than 100% and I'll even tell you to **** off (I skipped work a few days ago, because he asked the impossible of me). 100% being the maximum amount of work I can do per day, and that doesn't mean working every minute of the day.

It's the same that happened with my dad. He could only push me so far to make me do extra homework when i was a teenager. He bought the extra exercises for me in elementary school, and I did that. Complained to my teachers who weren't strict and demanding enough, and I put up with that. Then I was like one of the best students in my class in junior high school, and when I showed him my good grades on my essays, he'd complain about my handwriting. He kept on busting my balls until I was 14, and then I started skipping classes, about two months every year. I failed my first year in highschool, and my last year as well. Italian highschool of course, which is harder than US highshool.

So, this is what I am telling my system: you either give me enough signals in the coming days, or I'm gonna start gambling again. You're walking a thin line.

It's almost 20.00 CET and you didn't show me any signals. For today it's ok, but don't push your luck. Tomorrow I need signals or I will bring you down with me. For today we both got lucky. No trading, no losses. Except by the systems maybe, as ZN is losing almost 200 right now.

 

[Yamato]

In trading, quality is rewarded with money more than anywhere else

I had this intuition while getting out of the bath tub. Trading is maybe the field where your quality (as a trader) corresponds the most to the success you achieve in terms of money. The two things correspond much less in most other fields. Your success as a bank employee, in terms of career and money, does not reflect how well you work. It also reflects kissing up and other things, like connections. I was in the bath tub, talking to my cousin, he's a musician, and he explained to me how the most successful stars are not good musicians at all and viceversa. A few minutes later, as I was shampooing, I thought of this comparison.

Of course, I am an unprofitable trader and so I am willing to admit that my quality is poor right now, just like my account balance. But nonetheless I like this field. Because I know my efforts will be rewarded. And if they are not, it will just mean that I wasn't good enough and not that someone penalized me unfairly. Which is what happened at school, because I was an independent thinker.

 

[Yamato]

Lost around 200 on my ZN automated trade. Sucks, man! Every rule was being followed - i didn't touch the trade, the system is the best performing one... I still lost. Recently (in the last 3 trading days), I've made more money by gambling than by disciplined discretionary or disciplined automated.

I almost feel like jumping out the window now. No, maybe later.

How long more? How long more before I can quit my job? Quanto manca?

 

[Yamato]

 

[Yamato]

One more shot at market depth

Here's some more ideas I had in the bath tub:

1) Find on TWS market depths for futures that have 10 levels on each side, and some place where there's people, so I feel safe. With ten levels, I found CL and ES. But, since ES has much more volume, I trust that one better.

2) Try and develop first a discretionary and then an automated system on the ES, that will use as much as possible in terms of moving averages, and will add the market depth to it. But to start off just try a system on market depth alone (to avoid overoptimizing it), maybe automate it immediately.

POSSIBLE SYSTEM ON MARKET DEPTH
I get the ES market depth to show on my excel sheet, and then whenever the bid size of the ten levels is twice the ask size of the other ten levels, I go long with a bracket order of 5 ticks, and viceversa. As usual, it's not going to be fun to test this thing.

It might not even work, but if it doesn't work, then I'll try the exact opposite or I'll try decreasing the bracket order to 3 ticks. Come on, that market depth data on the ES future cannot be totally random. One way or another there's got to be an edge in there.

[...working...]

Why am I showing only 5 levels on excel?



The market depth has all 10 levels, but on excel it only shows me 5.



Do i have to go on searching on their forum as usual? Yes. Or on elitetrader.

Got it, through google:
http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/excel/dde_syntax_for_excel.htm

When requesting market depth you can specify the number of rows to display. If not supplied, the default number of rows is five (5) rows. This parameter can be used to optimize performance, as a low number of display rows requires less CPU overhead.
For example: =edemo|mktDepth!id0?req?MSFT_STK_SMART?10 will request 10 rows of market depth orders.

Ok, check it out. I got my 10 levels, by changing that cell up on the right, below "Ctrl". Then I got rid of all the other formulas and DDE strings, so my excel workbook won't get too tired. For tomorrow, I'll try to place this sheet with all my other automated systems. Then in the future I'll see what I can do with it.



With market depth research/testing/automation, pro-trend semi-discretionary system, and automated trading on all other systems, I should have enough on my hands not to need any extra action from compulsive gambling. I hope so.

Tell you what. I'll use this market depth "md" system as a separate workbook, because it's easier this way. I'll strip it of all unnecessary sheets.

All right, I'll try to go to sleep now.

 

[dimsdaletraders]

QUOTE: "...and some place where there's people, so I feel safe. "


And if Clemenza can figure a way to have a weapon planted there for me, then I'll kill 'em both.



keep on truckin, travis! Watching with interest...

Tess

 

[wprins]

I still lost.

It's gonna happen, you know that. Just move on man. The next trade is around the corner. A few losses mean nothing.

Today I was reading Brian Shannon's book (again!), I think you'll agree with a lot he says. One quote for you: "There is no best way to harvest market profits, just a best way for each individual. You need to figure out which approach is best for you through trial and error." So true, and definitely what you're doing!

As an aside, I also started reading "New trading dimensions" by Bill Williams. Only the first few pages, but a lot of it seems quite... relevant. I quote for example:

MORE NOTES ON SPECULATION AND LIFE​

Here is the key. Trading is a game that you set up and agree to. You only have two choices about how you will get to where you are going. The first is an unconscious method; your mind will create your reality from your pictures of the past. And you know that it is most ready and willing to do that. In fact, that is one of the main functions of your brain's left hemisphere. But this part of your brain can only duplicate earlier situations—IT CANNOT CREATE. In fact, your mind cannot accept the notion of creation or the notion of disappearance. Your only other option is to become conscious of your notions. A notion is another word for noticing. When you notice something (or get a notion), you give it your attention. When you begin to notice how you are noticing, you fall into AWARENESS. When you start becoming aware, you will be out there on the razor's edge of choice and always willing to make one. You will become aware that what you see on your brain screen is much more important than what you see on the monitor screen. The market can become your own tree to sit under until you reach enlightenment. Enlightenment in this case is seeing the market for what it really is. So let's repeat:

The market is nothing but agreement on price
and disagreement on value.
No trade is made until there is
disagreement on value
and agreement on price.​

No market moves until there is new incoming information (Chaos). Most traders disagree with the purpose and function of the market and thus lose. Picking tops and bottoms is disagreeing with the market. And because we are all stubborn to one degree or another, we make following the trend of the market, which should be the easiest thing in the world, one of the most difficult tasks in speculating. Most traders feel that what they need is some new "genius" who can create a trading system or indicator that will make sense of the "craziness" of the market. A muddle of conflicting indicators united by the force of greed is the worst possible instrument for trading the market. Irrevocable commitment to this kind of indicator is financial suicide. We do not need a new indicator or strategy. We need a new experience—a new feeling of what it is to come from the right hemisphere and intuitively understand the market. One must take care not to confuse the image (chart) with fact, which would be like climbing up the signpost instead of following the road, or eating the menu rather than the meal.

(I know what you might say, "It's psychobabble!". )

 

[Yamato]

Thanks for the feedback and the quotes as usual.

 

[Yamato]

QUOTE: "...and some place where there's people, so I feel safe. "


And if Clemenza can figure a way to have a weapon planted there for me, then I'll kill 'em both.



keep on truckin, travis! Watching with interest...

Tess

Yeah, congratulations... I was hoping for someone to catch that quote from one of my 5 favorite movies (taxi driver, being there, scarface, godfather, one flew over the cuckoo's nest). Actually I quote movies so much, because that's partly where I learned to speak the English: I watch the guys like Humphrey Bogart, James Cagney. They teach me to talk. I like those guys.

 

[Yamato]

Work for today

Work for today (once I'll get home, at about 17.00 CET):

1) Automated systems: everything as usual (no work).
2) Pro-trend semi-discretionary system: everything as usual.
3) Market Depth tests: I will implement an excel workbook that will work on the paper trading account (I will have to ask my friend, who's using it, to let take it back from him for a week) and that will trade the ES with a 5 ticks bracket order whenever there'll be a difference of >20k contracts in the CUM SIZE. Positive difference will make it go long and viceversa.

 

[Yamato]

I'm expecting some good LONG signals in about half an hour.

 

[Yamato]

SHOT signal that I must follow will come in about 10 minutes. Despite it not looking good to me.

 

[Yamato]

ENTRIES must be made if:
1) time is 15.00 to 20.00 CET
2) your entry and your take profit are > 10 ticks away from any pivot lines
3) you're checking "correlated" chart for exact timing of entry
4) the 225-period ma is in favor by > 10 ticks
5) the 15-period ma gets crossed by price (in favor) after being on the other side >= 4 minutes

 

[Yamato]

Went SHORT

See pictures for my short. It didn't look good, but the signal was clear.

Far >10 ticks as far as pivot lines:


Fast ma crossover, and slow ma was > 10 ticks far:


All requirements fulfilled.

 

[Yamato]

17.20sh to 17.30sh CET

Satisfied. Didn't look good, but worked. Getting more and more used to system making money.



Probably another trade is coming in a few minutes.

 

[Yamato]

1) time is 15.00 to 20.00 CET
2) your entry and your take profit are > 10 ticks away from any pivot lines
3) you're checking "correlated" chart for exact timing of entry
4) the 225-period ma is in favor by > 10 ticks
5) the 15-period ma gets crossed by price (in favor) after being on the other side >= 4 minutes