Getting Freaky With Futures

Hi magnum,

I wish you the best of luck in your journey. Just a curiosity, in case you trade forex again, will you use VWAP charts with it ?

David

Haven't really looked at what VWAP would look like on a forex chart with tick volume instead of real volume. I have thought about putting VWAP on a futures contract for the euro. Sort of a hybrid trading system where one of your charts is actually coming from the futures market and the other from your forex broker. Haven't really done much research into it as of yet though.

Here is a screenshot from NinjaTraders brokerage page:



No big deal. Premium entries only and tight stops until it builds enough to have a reasonable cushion.

As far as forex goes, I do plan on creating a small account and trading it but not right now. Once I get back to trading just the 5 minute chart and higher on futures I will have time to work on building a forex account. Just doing it mostly to show that the way I am trading can be done on most anything if you know and apply all of the rules.

I am super pleased to see you using a moving average system. It's really worked for me in the cryptocurrency markets, and I could never understand why the masses diss it off as "lagging." In fact, I am almost convinced that trading strategies used by the big guys have some form of a moving average used - it may be a highly smoothened and proprietary form of an EMA or VWAP, but there's more to averages rather than being a "dynamic S/R."

Thanks man. Actually, that's the way it should be. We should never lose more than the required margin... something that always bothered me with the "StopOut Level" for spot brokers. Amp seems to be treading closer to a cheap spot fx broker by offering low margin and low barrier to entry (but cannot complain to get access to futures data for a year with just a mere deposit of $100+12*5=$160/yr!)

Trading NQ using 5M chart on a small account should be very interesting to watch. Love your confidence. I guess your survival instincts has kicked in :-) I have yet to look into hoe NQ behaves in Asian and Europe session. I looked at it briefly this weekend and saw some pretty good moves.

I haven't posted because I have just been sim trading Monday and Tuesday. Mostly trying to get my entry timing right. Experimenting with different time frames to try to keep the draw down to a minimum.

Hope some of you caught that beautiful trend yesterday. I could buy a sim BMW 8 series with the sim money I have made. LOL!

Ok, enough sim trading. Time to go back live. I will monitor Asia tonight and will enter a trade if we get a good set up.

I fixed the issue I was having with my automated entries. Apparently the user manual for ninja trader has a few bugs in it as well. LOL!

Below is an output window that I am using to monitor some key things regarding the automated entries. I will explain each line below:



Entering Trade: This will go true at the start of the process for entering a trade. It is used to block any other conditions from trying to fire off an order at the same time.

Trade Active: I use this to monitor whether or not the script is seeing that a trade is currently underway.

Lot size: calculated based on account balance and risk profile. I tell it how big of a stop I want as an initial stop and it tells me how many contracts I can open to stay within that parameter. Naturally you can't go to zero so it sets the min at 1.

Using Candle Bodies: I can select between using the wicks as trigger points or using the bodies of the candles as trigger points.

Short Trigger: In the event that short60, short200 or short800 go true, price movement below this value will trigger a short entry. Price is based on current candle as it is formed. The value comes from the low of two candles, one down followed by one up. This must occur at or above the 21 ema.

Long Trigger: In the event that long60,long200 or long800 go true, price movement above this value will trigger a long entry. Price is based on current candle as it is formed. The value comes from the high of two candles, one up candle followed by a down candle. This must occur at or below the 21 ema.

Long60: 21 ema is above 60 ema, price has at least touched the 60 ema AND the long trigger point is above the current price. When this goes true, any price movement above the long trigger value will open a long trade. Must go above, will not trigger if it is equal to the value.

Short60: 21 ema is below the 60 ema, price has at least touched the 60 ema AND the short trigger point is below the current price. When this goes true, any price movement below the short trigger value will open a short trade. Must go below, it will not trigger if it is equal to the value.

Long200: 60 ema is above the 200 ema, price has at least touched the 200 ema AND the long trigger point is above the current price. When this goes true, any price movement above the long trigger value will open a long trade. Must go above, will not trigger if it is equal to the value.

Short200: 60 ema is below the 200 ema, price has at least touched the 200 ema AND the short trigger point is below the current price. When this goes true, any price movement below the short trigger value will open a long trade. Must go below, will not trigger if it is equal to the value.

Long800: 200 ema is above the 800 ema, price has gone below and not touched the 800 ema for 2 candles AND the long trigger point is above the current price. When this goes true, any price movement above the long trigger value will open a long trade. Must go above, will not trigger if it is equal to the value.

Short800: 200 ema is below the 800 ema, price has gone above and not touched the 800 ema for two candles AND the short trigger point is below the current price. When this goes true, any price movement below the short trigger value will open a long trade. Must go below, will not trigger if it is equal to the value.

LLHC and HHLC enabled: This tells me whether or not the software is looking for Lower Low Close Higher and Higher Highs Close Lower candles. It is selected from the strategy parameters.

LLHC: This will go true when Long60,Long200,Long800 are true AND price has formed a LLHC. LLHC trigger is set when this is detected and any price movement above this value will trigger a long trade.

HHLC: This will go true when Short60,Short200,Short800 (any of these three) are true AND price has formed a HHLC. HHLC trigger is set when this is detected and any price movement below this value will trigger a short trade.

LLHC Trigger: set when LLHC goes true. It is the high of the previous candle to the LLHC.

HHLC Trigger: set when HHLC is true. It is the low of the previous candle to the HHLC.

Use Inside Bar: Enables trades based on detecting an inside bar.

IB Long: Inside bar long detected. Previous candle was a down candle, current candle must not make a higher high or a lower low and must close above the open. Any of the Long60,Long200 or Long800 must also be true.

IB Short: Inside bar short detected. Previous candle was an up candle, current candle must not make a higher high or a lower low and must close below the open. Any of the Short60,Short200 or Short800 must also be true.

IB Long Trigger: Value that triggers a long trade if IB Long is true. It is the high of the candle before the inside bar.

IB Short Trigger: Value that triggers a short trade if IB Short is true. It is the low of the candle before the inside bar.

Starting Balance: Account balance at the start of the trading day.

Current Balance: Current account balance which is starting balance + Net PNL. This value is what the actual account balance is after taking out any commissions.

Gross PNL: Gross profit or loss without taking out commissions.

Net PNL: Actual profit or loss after taking out commissions.

Commission: Amount paid that day in commissions.

Comm % of Profit: Calculated value that takes commission paid/Gross PNL*100 to give a percent value. So if the gross profit is 100 and the commissions are 10, then the Comm % of profit is 10%.

Return: Percentage gained for the day after taking out commissions.

Ticks Profit: Simply gross pnl/ 5. NQ per tick value.

Position quantity: Number of contracts currently open on a trade.


Anything above the starting balance really doesn't pertain to anything anyone needs to see. This is mostly for me so I can see what potential trades are coming up.

Spoke to a broker ( online chat) who thought lack of liquidity will make day trading or scalping these micro's a pointless exercise until enough time passes to allow them to gain some traction to be of use to day trader or scalper.

Ok here is what the trading screens look like:

First you will see a thin horizontal line that is currently red. I can place this anywhere, then enable it and the software will take a trade if it crosses the line. It turns green when it is enabled.

Disabled:


Enabled, in this case, since price was above the line when enabled, it would go short if price went below the line.



If you look in the lower right hand corner of any of the chart images you will see several buttons and some text. The text is currently telling me that automated trading is disabled. To enable it, I would just click the "Auto" button once.
The "Long" and "Short" buttons do exactly what you would think, they immediately open a long or short trade.
The "Close" button will dump a trade with a single market order regardless of position size.
"Cancel" button is used to delete any pending orders if I am using limit orders.
"h Line" button enables or disables the horizontal line from the pictures above.



Each order entry has a unique identifier. In the picture above, I used the long button to open a sample order just to show what it looks like. This gives me the ability to track statistics on every possible entry. This allows me to switch off those that aren't performing up to par.

If the stop triggers an exit, it will show "Stopit" as the reason for the exit. I used the Close button which is why it shows hard exit. If I use the close button it dumps the trade with a market order no matter how large the trade. I will try to avoid using the hard exit in real life.

Well that spike up at the open was interesting. LOL! Since price is above all of the moving averages, I am waiting for it to climb back up to somewhere near 7860 which will form a nice 1-2-3 then I will use the horizontal line from my strategy to catch the break of the swing low. Probably won't happen until after Tokyo opens. May not happen at all, who knows. LOL!

Price looks stalled. May be waiting for interest rate from Japan later tonight. It's always listed as tentative. Oh well. I will be back for Euro session around 3 am here. Would really like to get a few trades in before US market just to build a little padding.

Bigger picture :-)

Not sure I understand the relevance of the "bigger picture" when it comes to my trading style. Based on the parameters of my system, since price was significantly above all of the moving averages there were only two options. Look for a swing low to try to catch the reversal or wait for price to move back down to at least the 60 ema before attempting to join the trend. If I would have stayed up, the first opportunity was to join the up trend but that didn't show itself until around midnight to 1 am.

I have about 4 weeks of coding and testing left before I should have a working fully automated strategy that can perform well regardless of what is being traded. When it is done, I will attach it to ES, YM, NQ and CL and then copy some of the code over to Forex (MT4) and let it trade there as well. Funny part is that once it goes live no one will be able to tell the difference between my trading manually or it trading automatically.

just drawing your attention to this week making new highs on the weekly. I thought you took longer term fundamentals into account.Curious how to plan to manage your stop for the every first trade before your account blows. It has to be very tight stop right compared to your normal 40+ initial stop if I am understanding this correctly.

Nope on the fundamentals. Purely technical.

By being extremely picky on the entry I can minimize losses. Initial stops are lower now that the market isn't as volatile as it was back in the fall of last year. Most of the time the actual stop is at or around 10 ticks. The only issue I have right now is being too picky and missing opportunities.

Like I said before, if the account drops too low I will just switch over to micro currency futures until it can build back up.

Great! Looking forward for your first successful trade. Anyone who can use per trade tight stops on NQ has my respect. Of all my testing and algo design work I have done this year, tight stops have just not been favorable to me leaving me with no choice but to go the man+machine route and manage drawdowns myself. just not satisfied with any of my results thus far so maybe I just need to let go of the finer details and just trade the f*ck away :-(

Unfortunately life and a number of bad decisions has caused me to end my trading of futures. I closed my account yesterday. Even with the new micro contracts I found myself trading in fear of loss mode which is never a good thing. I will return to futures some time in the future (probably 1 year or so).

With the speed that NQ and MNQ move I think you need 2k or more in your account to even trade the MNQ's.

Does that mean I am giving up on trading? Nope. For a little while I will be moving back to Forex. Trading the EURUSD for a while. Start small, add a little each day to help the account grow. I will start yet another thread for that trading. I will include a trade explorer to help with the analysis.

Time to get back to basics. Hope everyone has a great weekend.

Nothing beats Forex

Thanks for the update. Good luck. Have a good weekend

Good Call man. Trying to build your account from $800 with NQ is just impossible with her crazy moves. Does this mean you are no longer a full-time trader and entered the undesirable 9x5 rat race like most of us out here? Also, considering your recent health issues, I am curious if you still think trading full-time is a desirable option/recommendation for those wanting to get out of stable 9x5 employment? I recall your advice to Hilmy loud and clear. I am more interested in your story, your lessons learnt, what you would have done differently and more importantly, what would you do differently going forward so all the aspiring wannabe full-time traders can protect themselves from the treacherous uncertainty of life!

EDIT: I feel strongly about this post as well in regards to leaving some 'tangible' legacy behind.