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PositiveDev's trading journey


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Sell signal at 18:25, filled at 2220.25, this was prior to the release of the Fed minutes,

 

Zerohedge;

"While the FOMC Minutes have not yet been officially released by the Fed, it appears someone has broken the embargo. Here are the headlines.

 

  • A FEW FOMC MEMBERS BELIEVED OUTLOOK MAY WARRANT MORE EASING
  • FED OFFICIALS AGREED TARGETING NOMINAL GDP NOT ADVISABLE
  • A FEW FOMC MEMBERS FAVORED TIME PERIOD FOR INTEREST-RATE PLEDGE
  • A FEW FOMC MEMBERS BELIEVED OUTLOOK MAY WARRANT MORE EASING
  • A FEW FOMC MEMBERS FAVORED TIME PERIOD FOR INTEREST-RATE PLEDGE
  • FED OFFICIALS BACKED IDEA OF OFFERING MORE DATA ON RATE PATH
  • US RECOVERY SUBJECT TO SIGNIFICANT DOWNSIDE RISKS

In other news - nothing substantially different from the statement or the conference that followed."

 

 

 

 

PDI22ndNovember2011.png

 

 

 

 

The market was generally directionless, but it did sell off down to 2214 by 19:05, so stop was moved to breakeven. The market rallied back up, just touching my stop, taking me out at breakeven before a further sell-off to 2213.25 then another rally.

 

On the plus side it was a very good entry point, 2 minutes after the high of the day session.

 

Down 0.25 points (after commissions).

 

 

 

I came back from a break to eat to see I'd missed a sell signal at 19:52, although I had my laptop with me I now realise that if I unplug the ethernet cable, although it does switch to wireless, when I go back to ethernet my indicator stops updating but the NASDAQ doesn't....no idea why that should happen but definitely something to remember.

 

No drama since although the market sold off from 2217.50 at 19:52 down to as low as 2209, it then rallied back up to 2221, if traded, it'd given the same result as the first trade, flat (since I move stop to breakeven if the market goes 5 points in the direction of my trade).

 

PDI22ndNovember20112.png

End of the black line on the top chart marks the second sell signal point.

 

 

Remember folks;

 

"Analysis without trading is like foreplay without sex"

PositiveDeviant

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Sell signal at 18:03, filled at 2182.50, over the next few minutes the market went sideways, since it wasn't acting as expected I exited at 18:08, for a 0.25 point loss. Just as well since the market then headed lower before trading up to the exact level my stop had been at, then immediately sold off down to as low as 2168.50.

 

PDI23rdNovember2011Yes.png

 

 

I won't be trading over the next couple of days due to Thanksgiving.

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Positives;

 

 

Net gain 15.5 points, an ok start

 

The breakeven rule looks good, getting me out of the trades that aren't working

 

72.7% of the trades moved 4 points in my favour from outset (similar to the 72% figure achieved during backtesting)

 

Indicator has come up with some precise entry points

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Not a good day today.

 

Sell signal at 14:38, filled at 2207.75, market rallied sharply taking out my stop at 2211 for a 3.25 point loss.

 

Further sell signal at 14:48, filled at 2213.25, again the market rallied sharply taking out my stop, filled at 2216.75 for a 3.5 point loss.

 

PDI28thNovember2011.png

There were two other sell signals, one at 14:56 and 15:24 however since the move up was so bullish I passed on those, both would have been stopped out also.

 

Quote from MarketWatch.com - "Stocks swept up in optimism wave", I've been swept away by that so far today.

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I found an interesting website called www.capitalcontext.com, they have a model named CONTEXT that correlates with equities and yesterday their model diverged away from equities in a similar way to my indicator.

 

ScreenShot2011-11-29at061321.png

 

ScreenShot2011-11-29at063127.png

Someone asked them how their model is calculated;

 

"Consider CONTEXT as being driven by a set of non-linearly dependent (i.e. not linearly correlated) factors including FX Carry, credit, commodities, rates/curves, and swap spreads. Our framework learns individual relationships among all of these factors and ES in order that we can create a quick-and-dirty perspective on how a broad basket of global risk-drivers is behaving relative to US equities.

The chart (difference curve as you describe it) is always self-consistent – i.e. there is no running recalibration within the chart (or over-fitting in real-time) as, just as you mention, this would make the framework very hard to use practically (which is our simple goal for our own trading and hopefully for yours). Instead the effort is made on creating a process that uses our experience with these relationships and the market’s empirical behavior, along with an understanding on when these relationships change regime, in order to know when a re-calibration is necessary.

The key for us is a framework that has an end-result that is practically useful (identifying market disruptions and pin-pointing specific risk drivers), actionable (whether for flow comprehension, risk support, or in our institutional client’s case convergence execution), and easy-to-use.

We hope this helped.
Cheers
Tim"

 

They have a different set variables going into theirs however commodities might have been the cause of yesterday's divergence for both since Crude oil wasn't correlated to equities at all yesterday;

 

ScreenShot2011-11-29at062643.png

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Buy signal at 17:45, filled at 2219, market immediately sold off taking me out in a matter of seconds, for a 3 point loss.

 

Further buy signal 17:50, filled at 2215.75, again with this one the market sold off taking me out for a 3.25 point loss.

 

PDI29thNovember2011.png

 

A 6.75 point loss today (after commissions)

 

There was a further buy signal after this that also would have been stopped out, - not traded, thankfully.

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This from http://i1128.photobucket.com/albums/m490/TheReflexivity/Screenshot2011-12-06at214215.png[/img]"]www.forexfactory.com. They have a tool on their economic calendar that allows you to chart previous numbers.

 

Screenshot2011-12-06at214215.png

 

This is non-farm payrolls over time. From November 2010 there was a continuous trend of underestimated forecasts, a similar type of situation has developed over the last three months.

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Buy signal at 16:59, filled at 2221, this was a decent entry with the market rallying steadily higher. Since there was quite a sharp sell-off earlier on I opted to trail the stop up, using the middle Keltner Channel as a reference point (Difficult to see on the chart posted here). Previously I've seen occasions where the market can rally quite a bit on very little volume after heavy selling has been exhausted.

 

PDI15thDecember2011Keltnerdefined.png

 

Market rallied before taking out my trailed stop for a gain of 7.5 points.

 

I'm using Keltner channels on my charts right now, partly as an experiment since it seems to define trends quite well and for an entry point to get onboard a trend it looks quite useful.

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Where

WhereImat2.jpg'm at?

 

Where am I at? There's a good question, I've been trading futures since 1st March 2011, using some tools I developed that work well on a daily timeframe basis, my impression was that my tools would also work well on an intraday basis, this led me to trading futures. I traded from then until ThinkorSwim's TDAmeritrade corporate master decided the UK market was not for them (8th September 2011). I picked up the baton again on 14th November with Mirus Futures, using the Multicharts platform. From then until now my futures trading is just above breakeven after commissions. It's acutely embarrassing for me really, but I prefer to confront reality, rather than avoid it.

 

If you were paying attention you will have noticed that I live on the shore of a river, many times I have looked at the movement of the markets and the water outside and found them to correlate, figuratively speaking, so why am I trying to kayak up the river, against the flow, rather than with it, that's the question I have to find an answer to right now, because so far trying to kayak up the river isn't making a lot of sense.

Stay tuned because

 

LionHeartPVL.png

WILL PREVAIL

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