started shorting again when 10min macci turn down again, 30min also turning down from O/B, so a thought it would be ok to start shorting weak stocks..
started to short RIG and WFT as they were weak (sold off in morning sessions)
as it turn out they both had very strong afternoon sessions, so it looks now like I was chasing RIG until close.
belflan
WFT = -$427
RIG = - $543
running total = $1,249
started to short RIG and WFT as they were weak (sold off in morning sessions)
as it turn out they both had very strong afternoon sessions, so it looks now like I was chasing RIG until close.
belflan
WFT = -$427
RIG = - $543
running total = $1,249
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Belflan,
One way to keep yourself out of trades fighting the trend on strongly trending days is to look at the market delta - the difference between the number of contracts traded at the ask and contracts traded at the bid. I believe that a chart with constant volume bars (rather than the more conventional constant time) is better for this purpose. Attached is a chart of the ES with 13000 contract bars (13000 is NOT a magic number). The second from top plot is the market delta smoothed with an 8 EMA. Ignore all the other squiggly bits. When the market is showing a consistantly very strong or very weak delta be very cautious of any OB/OS indicator or be prepared to get out quickly.
One way to keep yourself out of trades fighting the trend on strongly trending days is to look at the market delta - the difference between the number of contracts traded at the ask and contracts traded at the bid. I believe that a chart with constant volume bars (rather than the more conventional constant time) is better for this purpose. Attached is a chart of the ES with 13000 contract bars (13000 is NOT a magic number). The second from top plot is the market delta smoothed with an 8 EMA. Ignore all the other squiggly bits. When the market is showing a consistantly very strong or very weak delta be very cautious of any OB/OS indicator or be prepared to get out quickly.
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Hi dc,
thanks for your post.
is this the plot your discussing above?
I'm a little unsure of what its showing us. Is the green bars volume traded at Ask, therefore traders, MM's need to be buying, therefore they don't mind trading at the Ask rather than wait for their limit Bids to be hit? and vice versa for the red bars..
no, don't think i'm picking this up correctly.. It's the difference between the contracts traded at bid and ask.. so if there'ss 2000 contracts trades at the bid and 2500 contracts at the ask the bar would be positive (green) by 500?
where does the 13,000 come in?
sorry dc, i'm not sure if i'm picking this up correctly
thanks for your help
belflan
thanks for your post.
is this the plot your discussing above?
I'm a little unsure of what its showing us. Is the green bars volume traded at Ask, therefore traders, MM's need to be buying, therefore they don't mind trading at the Ask rather than wait for their limit Bids to be hit? and vice versa for the red bars..
no, don't think i'm picking this up correctly.. It's the difference between the contracts traded at bid and ask.. so if there'ss 2000 contracts trades at the bid and 2500 contracts at the ask the bar would be positive (green) by 500?
where does the 13,000 come in?
sorry dc, i'm not sure if i'm picking this up correctly
thanks for your help
belflan
Attachments
It is a plot with constant volume bars, a bar is complete when a fixed number of contracts have been traded (in this case 13K) rather than the conventional constant time bars where a bar is complete when a fixed number of minutes (eg 1, 5, 10 etc) minutes have elapsed.
Your example of 2000 at bid, 2500 at ask giving a bar delta of 500 and a green bar is correct. In the above plot, that figure is smoothed with an EMA 8.
Who is buying is anyone's guess, but it does show that buyers are fairly agressive and prepared to pay the spread.
many thanks dc, this is now clear
how would/could i make such a plot in TS2ki?, this could be useful..
belflan
Don't know. Some sort of script I guess. Somebody must have done this for Tradestation. Maybe their forum ?
Glenn
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Hi Glenn, good stuff, thanks
my position sizing yesterday was not correct anyway, symbols not connected. so positions sizing indacitor wasn't correct. my losses should not have been as large. now fixed tho
I will certain concider reducing position sizing, if faced with the same set up again
yes, I certainly have be falling into this trap a few times
My thinking yesterday when I went short second time around, was that the 30min and 10min macci's where turning from over brought, and the 1min was trending down. I think this is Grey's ideal set up (point 5) for going short.
Doesn't seem to smart do this on a +100 point day i guess
but if the indu 30min and 10min macci's are both over brought is the indu not very likely to be positive (or very positive) for the day?
still thinking this through, but i have noticed that I do try and go short on what seems very strong days after the event (and vice versa on weak days) hmm
many thanks for your advice
(I need this sort of input to improve)
cheers
belflan
my position sizing yesterday was not correct anyway, symbols not connected. so positions sizing indacitor wasn't correct. my losses should not have been as large. now fixed tho
I will certain concider reducing position sizing, if faced with the same set up again
yes, I certainly have be falling into this trap a few times
My thinking yesterday when I went short second time around, was that the 30min and 10min macci's where turning from over brought, and the 1min was trending down. I think this is Grey's ideal set up (point 5) for going short.
Doesn't seem to smart do this on a +100 point day i guess
but if the indu 30min and 10min macci's are both over brought is the indu not very likely to be positive (or very positive) for the day?
still thinking this through, but i have noticed that I do try and go short on what seems very strong days after the event (and vice versa on weak days) hmm
many thanks for your advice
(I need this sort of input to improve)cheers
belflan
back by popular demand, lol..
all done for tonight
position sizing correct tonight
first short on RIMM was taken on the first 10min macci turn north.
second set of shorts on RIMM and RIG were taken on the last 10min macci turn north (30min was o/b also and turning up)
belflan
running total = $1,527
all done for tonight
position sizing correct tonight
first short on RIMM was taken on the first 10min macci turn north.
second set of shorts on RIMM and RIG were taken on the last 10min macci turn north (30min was o/b also and turning up)
belflan
running total = $1,527
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total today = $449
running total = $1,936
the COST trade was a poor trade today, not because it was a loss. I took the trade without CNBC on. as soon as I put CNBC on they said data was just about to be released, the data was released (not sure what it was) COST spiked against me.
belflan
running total = $1,936
the COST trade was a poor trade today, not because it was a loss. I took the trade without CNBC on. as soon as I put CNBC on they said data was just about to be released, the data was released (not sure what it was) COST spiked against me.
belflan
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todays total $1,569
running total = $3,404
today was a very good day.
I'm thinking two things, 1. I'm beginning to read the market of the MACCI's better. 2. it was an easy day, and luck was on myside.
I think both are true. making progress tho
beflan
24/3/2008 - 6/5/2008
30days actual trading so far
looking back through my paper trade records, I can not believe I've only be paper trading intraday for only 30days, my biggest peek to dip draw down is around $5K, i predict that I will not see such a DD again.. I set out to paper test this for 6 months then trade live. I think that the value I'm getting from the paper test will diminish quickly from here on in and i will be trading live before the 6 months is up.. we'll see
running total = $3,404
today was a very good day.
I'm thinking two things, 1. I'm beginning to read the market of the MACCI's better. 2. it was an easy day, and luck was on myside.
I think both are true. making progress tho
beflan
24/3/2008 - 6/5/2008
30days actual trading so far
looking back through my paper trade records, I can not believe I've only be paper trading intraday for only 30days, my biggest peek to dip draw down is around $5K, i predict that I will not see such a DD again.. I set out to paper test this for 6 months then trade live. I think that the value I'm getting from the paper test will diminish quickly from here on in and i will be trading live before the 6 months is up.. we'll see
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