Swing trading FTSE100 members

[tomorton]

No need to be paranoid jon, I don't think the market was waiting for you to get behind Tullow so they could pound it down!
(of course, there's always the possibility so I'll be watching that one carefully....)

Seriously though, I am sceptical about desirable parameters to retracements to help filter out the more risky trades. The trouble is that so far, every share seems to have its own parameters, and I don't think for a minute that these will be constant anyway. So e.g. stock A makes a good move into trend continuation after a retracement of 2.5% over 5 sessions: but there are 20 other stocks tracking the same general market movement who retraced different % amounts, some over 3 days, some over 4, some over 6.

I seem to be seeing that these variables are too variable. The best I can come up with is the % of stocks of the 100 that are in an uptrend, and how many in a downtrend, and how many made a putative swing low on a given date. Crude but there are similar aggreagte market indicators used elsewhere.

It's interesting to note that there does come a point fairly regularly when a large number of stocks are in individual uptrends, but few / none made a swing low in the last session. At that point, I seem to besseing it's too late to buy and probably a good time to take profits.

 

[barjon]

......I seem to be seeing that these variables are too variable....

yes, that's why I suggested earlier that you tag those variables (whatever occurs to you) against all the trades you have taken to see if any appear statistically significant. It's a bit of a chore but I'd bet that you come up with a couple of things that make you think.

 

[tomorton]

I think you know already jon I'm not going to go to such studious lengths. It's not that I can't do it, it's just I don't believe knowing more and more about each individual chart as it appears this week will be productive when I'm trading in bunches.

It does seem to me that as soon as I will have worked out with statistical significance the usually meaningful parameters, like depth of retracement and duration of retracement, the chart will have moved into another phase and the depth has halved while the duration has lengthened 30%, or vice versa in each case. Of course, the only way to find out you don't know what you thought you knew is when the trades on that share fail repeatedly.

Being simplisitc but not meaning to be patronising, a parallel would be trying to sense the future actions of a crowd of people. I think to learn more about the actions of a crowd you have to study crowds, not the people in them. So I'm going to stick with minimal EOD price data on each individual share (to find interesting targets) but pay more careful attention to where the crowd is going and how fast.

 

[barjon]

ok tomo - no problem

 

[tomorton]

Adjustments -
Cancelled buys on -
ITV (fell below swing low)
Polymetal International (this was not in an uptrend at all, as jon pointed out)
Lowered entry points on the others.

Added new buy orders on -
Ashmore
CRH
Croda International
Reed Elsevier
Rexam
Schroders
WPP

 

[tomorton]

Most longs triggered this am. Rexam opened and reversed so half of position stopped out. Closed rermainder and all positions late pm for happy profit as market conditions weakened. Re-setting buy orders for tomorrow (but will watch US in case prices crash there this evening, which they just might: this could call for a reduced size on any positions that do open tomorrow until the waters clear).

 

[tomorton]

Cancelled all buy orders, don't want share volatility to suck me in to what might be a rather black Wednesday tomorrow.

 

[China Diapers]

Odds of a bounce tomorrow?

I am long INVP and LGEN from Tuesday and really need them to hit their targets to make up for some losers.

 

[tomorton]

Odds of a bounce tomorrow?

I am long INVP and LGEN from Tuesday and really need them to hit their targets to make up for some losers.

Good odds. All the major indices have kept well above their respective late June lows so remain in short-term uptrends, while selling pressure today weakened progressively. Entering 14 buy orders tonight but not huge and allowing a little extra above their highs of today in case of 'noise'.

 

[China Diapers]

Macro trumps technicals yet again

 

[tomorton]

A couple of my longs have triggered (I'd prefer they hadn't) and they're currently just below break-even. The long tail on the Dow candlestick so far today might suggest a bounce tomorrow. I won't add any buy orders tonight but as long as the Dow stays above the 28/06 low this evening I will adjust FTSE100 long entry prices downwards (if respective uptrends also intact).

 

[barjon]

i got bg, pson and ulvr potential longs, running glen short (which i'm getting nervous about) and that's it since covered agk short today.

 

[tomorton]

8 more longs triggered Friday, closed 2 for nice gain already, remainder running into Monday. Positive end to the session and week suggest follow-through on Monday but the weakening picture of China's economic growth may hold everything back.

 

[tomorton]

Closed all surviving Longs late this session for OK return. Campaign of 13-18/07 entailed 15 Longs, of which 12 closed for profit.

I suppose US earnings are responsible for this nice upturn in the FTSE: if these are the engine, they can drive wild oscillations in sentiment, so I'm not hanging around with open positions any longer than necessary.

 

[tomorton]

I'm flat since yesterday early am, wish I had been flat since early Friday am, wouldn't have taken hits getting out after lack of good news over the weekend.

Now waiting for rally to the 12/07 low of 5588, possibly into the 5600-5700 band, before a further collapse to let me go short. Hard to see a rally breaching the July double top level, but if it did, 5588 might become support before long opportunities resume.

 

[D70]

Hi Tomorton,
How are spreads eating into your bottom line?
You're using CFDs right?

 

[tomorton]

No CFDs, this all Capital Spreads SB thread: especially wanted to trial their trailing stops facility but have actually found I make more money by not letting price slide all the way back to stops even if trailed.

 

[D70]

No CFDs, this all Capital Spreads SB thread: especially wanted to trial their trailing stops facility but have actually found I make more money by not letting price slide all the way back to stops even if trailed.

How are you finding the spreads? I deem all stocks untradeable via SB'ing firms due to "edge - spread = less than 0"

It's especially frustrating if you look at InteractiveBrokers and compare those spreads to your SB'ing offering. They take the absolute mickey on stocks.

For example, what's your barc.ln spread?

 

[tomorton]

BARC's spread on Caps is currently (mid-session) 0.3 p. price is 154.0-154.3, so that's almost 0.2% per transaction, 0.4% per completed trade. Of course, my approach using multiple positions is inherently higher overheads anyway, but a lot better than selecting the wrong share or index to be in.

 

[D70]

BARC's spread on Caps is currently (mid-session) 0.3 p. price is 154.0-154.3, so that's almost 0.2% per transaction, 0.4% per completed trade. Of course, my approach using multiple positions is inherently higher overheads anyway, but a lot better than selecting the wrong share or index to be in.

I just hate that because I know they are looking at 154.15 bid vs 154.16 offered, occasionally going to 154.14 vs 154.17. It's a rip off and will play a major part in your edge over the long term.

Also, compare this to the dax, 0.01% per transaction and fx majors at around 0.02 - 0.04% per transaction.

The only way round this, if you still want to trade ftse stocks is to do what you're doing. Go out onto daily timeframes so you have a low trade frequency to keep this overhead to a minimum.

I'll get some numbers on US stocks (just out of interest). See how the costs compare.