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Staying In My Lane - A Read-Only Journ(al/ey)

  • #41
  • Jan 25, 2019 1:46pm Jan 25, 2019 1:46pm
I have confirmed this over and over again...

 

  1. "ANY strategy which trades both buy and sell is a failed strategy". There will be few days of success but over a large sample, it will turn into a loser

    1. possible solution:

      1. be selective on when to start and stop your trading cycle
      2. Be selective in trading trending days (longOnly or shortOnly directional trades with pullbacks)
      3. Be selective of trading style and trade frequency

  2. "any strategy that uses more than 3 indicators is a failed strategy"... I am not 100% convinced but this also holds some merit. All MAs considered one indicator, all MA based oscilators (stock/macd, rsi) also considered one indicator, SR, Fib/Pivots, etc considered one indicator. use more than such price derivative indicators and performance will decay over time.

    1. possible solution:

      1. just one or two is more than enough. Just use of tools such as Daily O/H/L, session h/l, etc should suffice to create a framework to work out.

Staying in my lane...
  • #42
  • Jan 25, 2019 1:57pm Jan 25, 2019 1:57pm
I admire your tenousity to figure this out. You have examined just about everything except supply/demand setups
  • #43
  • Edited Jan 26, 2019 1:44am Jan 25, 2019 2:16pm | Edited Jan 26, 2019 1:44am
Quoting Divergence
I admire your tenousity to figure this out. You have examined just about everything except supply/demand setups
Getting there... now that I know what was wrong with my "Alert formula" setup in Sierra that Nick created and shared with us. Building the necessary blocks is a necessary step (maybe useless at the end of this journey) but Failure is only on me and no one else as CME data is legit and everything around it is legit. There is no room for finger-pointing or blaming my "scam" broker like I do in Spot FX.

Knowing myself, there is ALWAYS going to be one or two things to grab me into a quick sand situation to get out from. That is something I am forcing myself to be aware of.... with early warning controls and indicators in place... Just last night, I wiped clean all my studies from a dozen chartbooks to free my thinking. I also do not save any of my research material to avoid cognitive biases etc. When I try something new, it start from a blank chart or a "baseline Study" chart with just session times etc so I know where my focus should be.

In regards to SD, I have tried some EAs in SpotFX and have ruled that out (for obvious reasons) once I understood the DNA of a single currency pair. Besides, I am not a very patient guy to wait for a setup to develop and wait for price to come to me. It frustrates me to see my time and effort go waste waiting and waiting and doing nothing and then when time comes to pull the trigger, I get distracted with some stupid shit and get more pissed off. All that was on higher timeframes in the past.... NQ on first hour using 30 second has a LOT of merit. I just need it to be quantified first before I get married to it and I am the last person to give up on anything which even 1% potential to exploit :-)

If you notice my screenshot, my framework has supply and demand signature all over it. Levels are simply to limit my focus when price is within a zone or getting out of a zone. That's all there is to it...a uniform and consistent/universal market structure that I can 100% rely on and quantify the current market condition which allows me to pick a trading style with awesome and uniform convenience without much thought process freeing my mind to do just "Entries and Exits".
Staying in my lane...
  • #44
  • Jan 25, 2019 2:17pm Jan 25, 2019 2:17pm
Quoting VEEFX
I have confirmed this over and over again... "ANY strategy which trades both buy and sell is a failed strategy". There will be few days of success but over a large sample, it will turn into a loser possible solution: be selective on when to start and stop your trading cycle Be selective in trading trending days (longOnly or shortOnly directional trades with pullbacks) Be selective of trading style and trade frequency "any strategy that uses more than 3 indicators is a failed strategy"... I am not 100% convinced but this also holds some merit. All...
i totally believe in this one. before i had volume profile/poc and vwap on to determine structure. but then i realize they give more or less the same information and putting them both on fucked up my analysis.
  • #45
  • Jan 25, 2019 2:28pm Jan 25, 2019 2:28pm
So... in continuation, what is MEAN or MEDIAN? We keep saying, Price will either Diverge from the Mean or Reverse to MEAN. Only TWO possible signatures that exists in universal price movements. Price is either Diverging or Reverting to this mystical "Mean".

Understanding Mean and the dynamics around your chosen "median" line or level is absolutely crucial for any system strategy development. Some use Pivot, some use daily open, some use a moving average or fib or 50% candle midpoint whatever and expect price to come to it or move away from it. It is essential to understand the "mean" nature of this median that applies universally to any strategy (even if you are not aware of it... as profits are a divergence from the 50% breakeven if you know what I mean lol). It is truly a "mean"y beast to tackle.

Possible options as my own personal preference:

  1. Session (H+L)/2 i.e. 50% of any session range. By session, I do not mean a trading session when market is open. A session could be the one hour you choose to trade in the markets or a mean could start from the moment you enter in a trade.... that is your MEDIAN. Up is profit, Down is Loss. It's the Divisor with clear and concise distinguishing factor towards a BINARY outcome. I shared the screenshot above
  2. Second possibility is the Median should be a Daily Open Line (Screenshot attached)
  3. Third possibility is a VWAP (in the same screenshot with VWAP starting at daily open... more confluence the better... same as #1... more confluence, more eyes on the price, more liquidity to attract towards or away from.
  4. Forth possibility is a median from a range of past x candles.. more organic and hybrid model (let's let this one alone)

Attached Image (click to enlarge)
Click to Enlarge Name: Image1.png Size: 53 KB
Staying in my lane...
  • #46
  • Edited Jan 26, 2019 1:47am Jan 25, 2019 2:33pm | Edited Jan 26, 2019 1:47am
Next one is on "SCALE"... the most important element imo that influence the 3 motherf*cking monkeys of any strategy 1) StopLoss 2) Move to BE 3) Take Profit

I HATE THESE THREE from the bottom of my gut. They are my nemesis.

NExt on my list is the fantastic relationship between POSITION SIZING and SCALE..... your account balance and % of Risk is IRRELEVANT imo if you ignore the scale
Staying in my lane...
  • #47
  • Jan 25, 2019 3:06pm Jan 25, 2019 3:06pm
Quoting VEEFX
Next one is on "SCALE"... the most important element imo that influence the 3 motherf*cking monkeys of any strategy strategy 1) StopLoss 2) Move to BE 3) Take Profit I HATE THESE THREE from the bottom of my gut. They are my nemessis
I read somewhere in the distant past that moving stops degrades performance. Did you find anything to that effect?
If you are good at something, never do it for free--Joker
  • #48
  • Edited Jan 26, 2019 1:52am Jan 25, 2019 3:35pm | Edited Jan 26, 2019 1:52am
Quoting jmn5611
{quote} I read somewhere in the distant past that moving stops degrades performance. Did you find anything to that effect?
Yeah man. This is one area I have had some back and forth going on.... for over a decade. I got so frustrated at times that I would break myself down with tears not able to come to a concrete conclusion on what actions are appropriate. I still struggle but I think this is important for daily income in futures. If I quit trading, this will be my #1 reason. For years, in spot, I just got it of all three from my trading by first transitioning into "Move SL to Average BE" stemming from my aggressive stacking style from the millipede days and then had another round of gradual transition into Equity based stops but that came only after getting into programming MQL. My last EA was extremely complex (yet logical) exit based strategy "based on market condition" and "based on Available Margin" but net net, I think Equity and Time-based stops is my personal preference. I like move to BE but "when" to move matters tremendously and there are many strategies out there but which one is better for overall account growth is a fabulously unknown variable depending incredibly on too many scenarios to come to any OBJECTIVE conclusion. I hate SLs, I detest them to the core of everything I got because it stems from forum members imo. I attribute all my drawdowns for first few years to the stupid SL advise of put here and there on top of range etc. I really get raged big time when I tackle SLs not because I hate to lose or fear or for any psychological reasons. I hate it because I don't have the answers of what is right and what is wrong thing to do when it comes to "per trade" Stoploss. To circumvent, you should see my DrawdownManager() function in my EA. It is a fabulous design but it requires a Portfolio of many positions across many pairs. That will not happen in Futures and it will be my nemesis in months to come to find the right balance between growth and income in the long run. I will have to tackle this somehow....

Harold - this is one of the main reasons I have failed trying out your pullback style. See how you and Magnum gives me hope to tackle this and accept the realities.

Enjoy your weekend
Staying in my lane...
  • #49
  • Edited 12:31pm Jan 27, 2019 4:12am | Edited 12:31pm
Time to tackle the 3 monkeys with NQ:

Modeling - Scale-In / All-Out by 4pm ET
Type: Reversion to Mean
Starting Capital: 25K
Position Size: 1 Contract
Max Position Count=6
SL = None
TP = None
BE = None
Max Exposure = 50% of NYSE Session Range
Profit Target = 50% of NYSE Range (i.e. Exit at Median)
Max Loss - 50% of yesterday's realized $profit or last week's realized $profit
Max Loss Potential = No f*cking clue as Equity Stops are not yet implemented to gather stats
Average Daily $Target: $2500 or whatever I can get at session close
#1 OC for Entries: First 30 mins if all 6 entries are made
#2 OC for Entries: First 60 mins if all 6 entries are not made
Scratch Day - All go in loss
Equity Stop: Still don't know how to implement this in Sierra
TimeStop/CloseAll: 3:30-3:45pm ET (works fine in Sierra for single contract but NOT for multiple contracts.... it is retarded that I have to use 1Alert study per contract/position. Maybe this is a market replay bug)
Goal - No Manual Intervention. Entries and Exits Automated

Pending: Time and Equity based start/stop of algo automation. This requires spreadsheet Study.... I fear I will get more sucked into advanced features so won't get into this just yet.

Note to Self: This is as simple as possible. I am not building a rocket to take me to Mars. I just want to secure my kids future :-)

Note to Self: Eliminate "Universal Time Action" principles from my mindset. It's not applicable to NQ during NYSE as multi-session is out of scope.

TBD: What to do if there are no signals/trades generated during OC1 and OC2? Options: Call it a day or introduce more OCs during morning or afternoon session.

Research Project: Implement OC Cycle Optimization Technique (recursive logic from MT4) to avoid the added risk/slippage/fill issues at NYSE session start.
Staying in my lane...
  • #50
  • Jan 27, 2019 4:58am Jan 27, 2019 4:58am
Reminder to Self - Accept the consequences of the unknown. Be aware of it and manage my emotions and intellectual curiosity to let go of shit that is beyond my control. Trading is not similar to my workplace. I do NOT have to worry about every little detail. Accept the vulgarities and vague behavior of price. Become ignorant!
Staying in my lane...
  • #51
  • Edited 12:13pm Jan 27, 2019 5:01am | Edited 12:13pm
Dec 1st - Dec 31 2018 Test Results:

Edit: YTD 2019 was horrible... expected as I don't have a automation on/off based on trading days. The rule of "any strategy that takes every buy and sell signal is a failed strategy" is proven again and again. Since I am not using any indicator, this is bound to happen.

EDIT: This replay was done via "Standard Replay"... results may not be 100% accurate. Once there is some merit, I move to the other two more accurate replay settings. Why waste time when there is no merit?
Attached Image
Staying in my lane...
  • #52
  • Jan 27, 2019 5:09am Jan 27, 2019 5:09am
Quoting VEEFX
Dec 1st - Dec 31 2018 Test Results: {image}
is it worth the effort to test such short time period?
there is always, always another trade!!
  • #53
  • Jan 27, 2019 5:09am Jan 27, 2019 5:09am
+ Selection of Automation based on 1) Trending/Ranging 2) Direction i.e. Long Only or Short Only or Bi-Directional

Note to Self: 2 trending days in December were a devastating blow to equity. Same situation as start in January. Reminder: First profit-taking episode is the best thing than sliced bread. Take it and run with it. Don't be greedy but don't be a pussy either. Grow a pair when it is warranted and take on the required risk. Trust the system which works well if just "waiting" for recovery is what it takes. Make money while doing NOTHING.
Attached Image (click to enlarge)
Click to Enlarge Name: Image1.png Size: 5 KB
Staying in my lane...
  • #54
  • Jan 27, 2019 5:18am Jan 27, 2019 5:18am
Quoting profitfarmer
{quote} is it worth the effort to test such short time period?
This was my very first run bro. Wait till I get to my methodology of "stress" testing the date ranges in a algorithmic manner to remove all the biases I have developed via market replay.

EDIT: And december is a rollover month so this test is not 100% valid
Staying in my lane...
  • #55
  • Jan 27, 2019 5:34am Jan 27, 2019 5:34am
This mentally is hurting my progress but a necessary evil imo
Attached Image (click to enlarge)
Click to Enlarge Name: Image1.png Size: 11 KB
Staying in my lane...
  • #56
  • Jan 27, 2019 3:25pm Jan 27, 2019 3:25pm
Quoting VEEFX
If no successful strategy is found, I will be at a decision fork either to continue or enter the world of "order flow", footprint charts, market profile and finally tackle Mr. Vega and his AMVT stuff.... an area I have completely cordoned myself from
From my understanding, all of those things are very closely related. I stopped going up that trail mainly because MT4 lacked the tools to do so with accuracy. Ms. Vega has pretty much written a book on her thread about it. Please keep us posted.
If you are good at something, never do it for free--Joker
  • #57
  • Jan 27, 2019 10:43pm Jan 27, 2019 10:43pm
Note to Self: Repeat this a 1000 times every day!

It’s not just about how much you make. It’s about how much you keep.

I can make profits any day with ease. I need to focus on keeping my profits via Daily Income Mentality like Harold but with a twist. Stop trading while I am ahead is an essential element of my game plan in Futures. I did not care about this in SpotFX so need to fine tune my mindset to not be greedy and aggressive once the market-driven objective is met. Opportunities will always exists. Control your actions but keep an eye on the bigger prize. The overall objective. Everyday has to be a positive day. If I have a losing day, re-prioritize and get back in the game without chasing the market aimlessly. This is not a game any more!
Staying in my lane...
  • #58
  • Jan 27, 2019 11:43pm Jan 27, 2019 11:43pm
Quoting VEEFX
Reminder/Reassurance to Self - Objective is to keep my trading style simple and straightforward so I can trade till I crumble down to my last breadth. Keep it universal to test the test of time and avoid the normal performance decay that typically happens with too many customized parameters and rules. The ultimate Goal is to pass it on as inheritance to my kids with a big fat trust fund for generations to come.
Or, if you do not have the time left to build a trust fund, perhaps get the skill set to be repeatable, and then they can carry on the work after you are gone.

Kinda where I'm at today.
If you are good at something, never do it for free--Joker
  • #59
  • Jan 28, 2019 10:27am Jan 28, 2019 10:27am
Yesterday's log of posts attached on post#1 to keep this thread clean
Staying in my lane...
  • #60
  • Jan 28, 2019 11:23am Jan 28, 2019 11:23am
Quoting VEEFX
Note to Self: Repeat this a 1000 times every day! It’s not just about how much you make. It’s about how much you keep. I can make profits any day with ease. I need to focus on keeping my profits via Daily Income Mentality like Harold but with a twist. Stop trading while I am ahead is an essential element of my game plan in Futures. I did not care about this in SpotFX so need to fine tune my mindset to not be greedy and aggressive once the market-driven objective is met. Opportunities will always exists. Control your actions but keep an eye on the...
Actually I saw this post this morning, thought of print this of, and say to myself 100000000times,
yeah but too to late realize now!!!
on a postive roll...
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