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

scratched it - couldn't get my T1 which I would have gotten comfortably if I'd got in earlier. Not comfortable in that position, so out at b/e.... sigh...
 
Going to call it a day, we are now 430k below average volume for the time of day.

Market is grinding up & I can't justify going long up here when the volume is so low. If we had participation, i'd be all over it...
 
Went short around the overnight high, failed to notice that a base was building up there, 8 tick loss before commissions.

Ah well, not having a great run at the moment. See you Friday boys and girls. Faffing around on Thursday.
 
hi guys, just thought i'd point out that your index is bouncing the 2011 highs 1376 cash at the mo.....might be worth keeping an eye on.
 
Recent loss of form

So folks, in case you had not already noticed, I have had a loss of form recently. This is not the first time it has happened to me but I thought I would discuss it openly as it is something that happens to all of us, at some point if you are in part or wholly discretionary.

What has been most interesting for me on this occassion is the identification of what the root cause (execution and psychological) is. This is where keeping good records is useful.

So my method has not materially changed. I am:

1. Taking reversals at points where I know price has been rejected recently (ON-High/Low, RTH-High/Low)
2. Taking reversals at points where there is liquidity available.

One process is based upon the principle of mean reversion, the other on the basis of a strong, volume driven rejection.

Entries are at the point of the turn, exits are when I cannot bear it any longer.

So if nothing has changed, why the increase in the losing rate? Does this just fall within the bounds of normal statistical conditions for the way I trade? Looking unlikely.

So it must be down to trade selection and execution.

Is trade selection worse? No.

Therefore it must be execution. So where does one start to look for execution issues?

I was reminded last night of this slide:

mp2b.png


#1 The where - that has not changed
#2 The when - well I don't think anything has changed here :whistling
#3 Confirm - well I don't think anything has changed here either :whistling

On relatively painful examination of trades since the beginning of March, I have noticed that what made my trade selection good has slid to bad. I am talking here about 30-60secs difference in timing for entry. I try to find a good compromise between a good location for entry vs getting a confirmation.

The Location vs Confirmation paradigm is an interesting one. For getting a good price where few people have traded, you must rely upon less confirmation. If you wait for an abundance of confirmation, price has already run away from the best entry location. If you are after 4-8 ticks, this is crucial.

What has been gradually happening to me (and reached a tipping point in the second week of June) is that I have been waiting for less and less confirmation to enter and the lower amount of confirmation has sent the lose rate up because trade selection has deteriorated. This location vs confirmation balance generates my edge. It is a sensitive beast and the world must be harmonious for it to work effectively. Behaviourally to support this, I am looking less at the ladder and more at the 1m chart. I am less focussed on how the price is ticking up and down and more on the absolute position of price on the chart.

Why is this happening? It is because I am trying to look for more and more certainty in a world where the only certainty is uncertainty and it is affecting the cognitive mechanism I use to ascertain when to jump in. I have stopped listening to myself and started to read the charts.

So now I have identified what I am doing, I can now plan to improve matters which will take a little time. Eventually, I will see strings of winners again.

Just thought I'd share.
 
Good luck with your efforts to overcome your bad patch.
I would offer some helpful advice if I could but my system is so different it wouldn't be relevent imho.
 
Thanks for taking the time to share.

I look on bad runs as a challenge to get through without losing discipline,considered changes to trading are ok but others are not.
 
Hi Robster,

This post will no doubt create a wide variation of opinion, please note that this is mine and mine alone. I wont engage in any differences but instead respect those others that are offered by keeping silent. Even if they are critical.

This is my take on it:

You have had a confidence bash. (this is the short of it)

My reasoning for this comes in the way you are writing, you are stating sentences like 'I think' and also you are changing certain aspects of your trading style and deviating from your style by waiting 'less and less for confirmation'.

My take is this:

Your trading style has presumably worked in back testing and forward testing and to include paper trading over a period of time suited to your style, therefore, this 'bad patch' must have showed up in your results or some variation of this. In simple terms a bad patch is drawdown, something we all go through without rhyme nor reason but unfortunately is necessary.

My advice:

Trade through it
Keep doing the same
Do not adjust nor change
Do not doubt yourself nor your ability to pull results

You have devised a trading style and plan for which again I can only presume that you have spent much time in doing, therefore, do not throw any part of this away. Its all too easy to use the line 'adapt as the market changes', but really, what has changed in the market in such a short period of time that your trading style can be broken??

If you can strongly identify this with a clear head then retest your strategy and start over. My opinion is clear on this, providing you have done all the necessary back and forward testing including paper trading to a level that is suited to the trading style then it would usually boil down to confidence. The market has a great way of shaking this out of people.

Happy trading,

Lee Shepherd
 
Re: Recent loss of form

robster970 said:
On relatively painful examination of trades since the beginning of March, I have noticed that what made my trade selection good has slid to bad. I am talking here about 30-60secs difference in timing for entry. I try to find a good compromise between a good location for entry vs getting a confirmation.

The Location vs Confirmation paradigm is an interesting one. For getting a good price where few people have traded, you must rely upon less confirmation. If you wait for an abundance of confirmation, price has already run away from the best entry location. If you are after 4-8 ticks, this is crucial.

What has been gradually happening to me (and reached a tipping point in the second week of June) is that I have been waiting for less and less confirmation to enter and the lower amount of confirmation has sent the lose rate up because trade selection has deteriorated. This location vs confirmation balance generates my edge. It is a sensitive beast and the world must be harmonious for it to work effectively. Behaviourally to support this, I am looking less at the ladder and more at the 1m chart. I am less focussed on how the price is ticking up and down and more on the absolute position of price on the chart.

Why is this happening? It is because I am trying to look for more and more certainty in a world where the only certainty is uncertainty and it is affecting the cognitive mechanism I use to ascertain when to jump in. I have stopped listening to myself and started to read the charts.

So now I have identified what I am doing, I can now plan to improve matters which will take a little time. Eventually, I will see strings of winners again.

Just thought I'd share.
Click to expand...


Hi Robster, a really good post, and definitely one that can help others (unless the usual rascals come to ruin it).

The first thing I think could do with looking at again is a slight change in that chart you posted. This illustrates working from the ground up. The foundation of a trader. In my view (yours may differ), Self-understanding is the most important factor to anyone aspiring to be a trader. This comes way before market understanding. This is where the problems stem from as the majority move straight to the market understanding section first. You cannot skip these areas of development, if you do you will come unstuck at a later date.

The top section looks at confirmation as a need to get this via an indicator. When trading at the speed you are the only confirmation is PRICE. At this point you have already made an assessment of the volume, so you only need to be considering price after this point.

I have underlined what you said about certainty; we want high probability. Certainty is a phrase used by those that have not overcome the self-understanding stage. This is not a criticism of you, it just illustrates the importance of getting it done in the correct order. So how you talk to yourself will have a massive impact on your view of the markets and ultimately your results.

So to achieve your desired level of high probability, we need to not trade in times of "uncertainty". But we now need to replace this term with something more on the lines of "unknown", or "un-identifiable". So what we now look for are times when the market shows activity that can be identifiable. This is based on your "market understanding". As you have developed in the correct order, you will be able to answer why a situation is identifiable, and then you simply wait for the price to give you your entry.

Sometimes you may even find that you have identified the situation, but you do not get the price; so in this example we just pass on the trade.

There have been many many posts in the last few weeks about what’s possible and what is not etc. But be sure of this the ONLY way to compound an account at a rate to make this business worthwhile is by having a high S/R with a R/R of at least 1:1. If these opportunities are not present then just don’t trade. If we find that hard it means we still have not overcome the base of your foundation. Truth be told, we will always be developing this base as we are constantly facing new challenges on a daily basis.

So from my POV (I accept you may not agree which is fine), when you are trading off the 1 minute chart as you are, you need more information than you have in front of you. Gaps are a major part of the ES, and although they do not really exist for the futures markets, they do for those whom only use cash charts. So if you only use this timeframe it is hard to create the situation where the price is in an identifiable scenario to trade. This is because you will not know what type of gap has been created, and thus what the cause and effect will be. Hence the S/R will only ever be average, and will go through win sequence and losing ones.


G/L Robster.
 
Re: Recent loss of form

robster970 said:
........................What has been gradually happening to me (and reached a tipping point in the second week of June) is that I have been waiting for less and less confirmation to enter and the lower amount of confirmation has sent the lose rate up because trade selection has deteriorated. This location vs confirmation balance generates my edge.............................
Click to expand...

Rob

It's with considerable trepidation that I comment, but there are two things that stood out for me.

The first relates to this part of your post. My question is: why was it that you started waiting for less and less confirmation? You were batting along fine with the degree of confirmation you were using (although I appreciate your "confirmation" is not an exact science) so what changed and why not get back to it.

The second point is about exits which you don't touch on except for exits are when I cannot bear it any longer which is a pretty loose statement for you!! I noticed recently that your "exit efficiency" has dropped off a bit (?) and I wonder if that is affecting things.

Not sure if any of this will help but, in any event, you'll be back :D

jon
 
Re: Recent loss of form

robster970 said:
The Location vs Confirmation paradigm is an interesting one. For getting a good price where few people have traded, you must rely upon less confirmation. If you wait for an abundance of confirmation, price has already run away from the best entry location. If you are after 4-8 ticks, this is crucial.
Click to expand...

Agree 100%. I will normally pass on a trade if I am too late. yesterday was a good example of me ignoring that rule. The end result, we got to my target 3 or 4 times but never got filled. Hanging on at that point is asking for a stop out.

The thing about the confirmation, though - the trade should go your way almost immediately.

If you are looking for a short you can get in as the market is still moving up or when it's started to move down (obviously).

In terms of the DOM, the signs at the top are offers refreshing, continued failed efforts to pierce the top, move up & printing just a couple of contracts at the high etc. All of these signs can just as easily be a pause. Which the market does all the time.

The best sign on the way down is a bunch of large orders hitting the bid ACCOMPANIED with a move down AFTER you see the signs of a top above. That's much more powerful IMO.

Anyway - the point is that IMO the ticks you lose with confirmation are well worth it because you go into profit quickly as long as you don't leave it too late. Too late & you are into too small a reward for your risk. I scale because once I get my 4 ticks, my average entry price has improved on the remainder & I can give the trade more breathing room.

The past 2 days have been tough. It's a holiday mid-week. Volume is well off. We are at prices we haven't seen since mid-may. The past 2 days cannot be seen as higher price acceptance by longer term players. This is mostly day trader action and it's not day traders that push prices to new highs or 'accept' them. Day traders just facilitate the move between the extremes of the range.

This is the relative volume from yesterday:
7-4-20126-30-48AM.png

It's a histogram that compares the average volume for the time of day with the 60 day average for the time of day. If it is flat, volume has reverted to average. If it is sloping down, we are still seeing lower than average volume each period. As you can see - it was sh1te.

The push up 3 days ago had decent volume
7-4-20126-35-11AM.png


But I don't think this is indicative of longer term players getting positioned.

So - the 'value' trader in me says a long is unwise because we are not in vertical development yet, we are above value. The 'momentum' trader in me says this low volume churn is also too risky to long. I'd jump on a trend with better volume, pace. So to me, it's walk away or short it. Neither will make you money. This sort of market isn't one I can profit from. Other people are fine, I am sure.

I think yesterdays trade should be taken out of your sampling of losing trades. The reason you lost yesterday was lack of participation. The ES yesterday is not really the 'real' ES until normal volume resumes. At that point, it becomes your best mate again.
 
Lee Shepherd said:
This is my take on it:

You have had a confidence bash. (this is the short of it)
Click to expand...

Possibly - but the other possibility is that he got over confident.

Perhaps he was seeing the level he wanted and just paying lip service to the order flow he uses to refine his entry. Perhaps he wasn't as diligent with the latter part (hence less confirmation) because he thought he was the dogs danglies.
 
Re: Recent loss of form

DionysusToast said:
The push up 3 days ago had decent volume

But I don't think this is indicative of longer term players getting positioned.

So - the 'value' trader in me says a long is unwise because we are not in vertical development yet, we are above value. The 'momentum' trader in me says this low volume churn is also too risky to long. I'd jump on a trend with better volume, pace. So to me, it's walk away or short it. Neither will make you money. This sort of market isn't one I can profit from. Other people are fine, I am sure.
Click to expand...

It really depends on who are the longer term players you are referring to?

Its Independence Day, hence the lower volumes about, which is good for those in the know, for the reason they know;). But this move was planned a while ago, with the knowledge of the above and the plan of off loading on a high for when the non-farms get released.

So whatever the result of the non farms, we will be trading above the 1358 level on Sept ES into and off the release.

So any dip prior (below 1360 level) is a high probability buy play to the upside. Could be at least 15-20 full ES points on the cards for this one.

Lets see it we get the price.

Just a waiting game now :eek:
 
Thanks for the words chaps - all valid at a time when my head is pretty messed up. I told Pedro this in a PM a couple of weeks ago but thought it at the time it was a more transient and short term lull in performance.

@Lee - this is not the first loss of confidence I have had. I got the inevitable one from demo to live and then another one about a year ago when I moved up size quite dramatically. What makes this one harder is that there seems to be no 'obvious' reason for it. I do concur though that I have lost confidence and I am now in a cycle of snatching at trades that aren't really there.

@WSW - Just for clarification, the VPOCs, HVNs, LVNs, gap close for the RTH session are all considered on whether to take the trade or not btw. I just don't go into lots of detail about it all. RTH behaviour is my base context for trading ES. As for the self-understanding thing, I think I have just discovered another area for development :)

@jon - Easier said than done getting back to it. Been trying for 4 weeks and it's like I just keep fncking it up. As for my exits they have always been lousy but they work. The exit efficiency has dropped a little (it does average at 47%) recently but it is selection/entry that is hurting me right now

@Pedro - 'Man up' was the advice proferred by my mrs last year. It worked - LOL. Also I had a stonking run from Feb through to end of May with 3 losers in 34 trades. Overconfident and sloppy? I can identify with this. What I didn't expect was how badly I would react to the drawdown post this golden period.

@Kimo - I know it is a blip but it's no fun in here. I also concur with the keeping in check. During the 34 trade golden run, I felt calm, measured, unexcited but focused. I feel none of those things right now.

So two things that keep me going:

In clay pigeon shooting there is a maxim - "See it, shoot it". It's there to stop you from overthinking shooting something as this invariably causes a miss. I need to get back into this space again.

"When you fall off the horse, you have to get back on" - self explanatory

Well, let's just see how I get on.

Seriously chaps, thanks for taking the time to reply with the advice which has been good counsel on all levels
 
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