random walk AOS

currently i have been programming quite a lot. this is one of the AOS that i built just for fun (and testing purpose).

it generates random entries with complete disregard to market data. the core is build on mercenne twister algorithm implemented in C++

i am pretty sure this will show up that COMPLETE RANDOMNESS generates quite similar (or even better) results compared to guys that "follow a plan"

numbers that matters

there is a holy grail hidden in these numbers

number of trades bid vs number of trades ask vs bid volume vs ask volume etc..

this is what i am currently algo testing on sp500, dow, nasdaq, rty, crudeoil, heating oil, gold, silver, copper, 6a, 6b, 6c, and all other bunch of future markets

simple, easy, clean and fast

ym should fall down

today the open was really weak with low volatiltiy and tedious price action. i had to wait 1/2 hour for the first trade that i took right here.

form the dislocation of the markets i can assume that ym should move down, the orderflow is not the best but is quite allright. opening 4 contracts.

it took a little drawdown but the price slided as expected..

here i have 3 contracts from 4 cloesd and the trade is risk free

.

the final contract is closed after the seller´s emotion

it was the one and only trade becaus the price action was really slow.

+300 usd. 

finito. no need to waste time with such markets

study of velocity

this is a new, quite simple but very useful study that i wrote a couple of days ago to measure the price velocity or "volatility" if you want.

probably most of you know ATR indicator which is commonly used by all who want to track the volatility or its changes. but the problem with ATR is, that it doesn´t really show much about how the price behaved.

it only calculates the difference of highs and lows of a bar and then divides this number by a preset variable to return an average. if you have a bar which has 10 ticks in size (high-low) than the true range is 10. very simple.

but it doesn´t tell much about HOW the price behaved within the period of the ten ticks. maybe it moved 9 ticks up, then nine 9 down, then again 9 ticked up, down, up, down, up, down.. you got the idea.. within just one bar.

so at the end of the day, the price could make 100 ticks long movement which is hidden within a single bar..

this study - which i called velocity - on the other hand, calculates how many times the price changed within a period time. so u get the precise number of the volatility. or we might say "nervosity" of price.

i did not have time to test it much but it looks promising mostly as an input to automatic trade-management for algorithmic trading..

here is a simple example (subgraph 2) - you can see that even though the candlesticks are of the same size all the time, the velocity studies gradually goes down

acsil coding..

building an extremelly simple-idea aos for trending markets

just one short

this was the only entry i did today, probably the last time with small position of two contracts only. 

from tomorrow i will start with 6 again because with 2 it is like a demo version

later in the evening

on friday, later in the evening, there was this situation that offered a good short setup for nq nasdaq. this is 30 minutes timeframe that i use for a long term planing if necessary.

from all the four markets, only nasdaq broke the daily low, the other three did not. it creates a pressure buying, because nasdaq looks to be cheaper and dis-correlated.

i was waiting for an orderflow timing to jump into short trade and speculate against these buyers who were trapped. this is the closed trade

this was the second trade on friday. the first trade was a loss at 9:00 - i did not notice there was a report at 9:00 and took long one minute before it.

as soon as i opened the long position, the price dropped, so i had closed 200 usd loss. it was one of the quickest loss ever.

my mistake to open the trade right before the announcement report.

daily result is here.

still volatile, but readable

the volatility in us indexes is still high but the market seemed a little bit more readable today. there was an intermarket scheme that i know as a good setup for long entry.

it happened in nasdaq some 15 minutes after open. i took a long trade right here. as you can see, i went into a little drawdown, because the volatility is still very high, i am not able to catch the reversal very precisely

i am opening only two contracts to eliminate the risk. i hit both the targets. the first one was closed here, making it a risk-free trade, the other was after the breaking of the daily high.

the second trade today was dow jones short after an orderflow gradation with confirmation of low heat entry.

both of the targets were closed at the level of fist one. i had a feeling that today the price will go up so taking shorts was not the most comfortable.

the result is 650 today is enought, i did not want expose to it any longer

why i trade intraday

this is the reason why i trade within intraday timeframe and don´t invest long term

i can hardly remember when i saw something similar and i would NOT like be a long-term buy-and-hold investor these days. 

in the markets, there applies a simple formula: the longer the timeframe, the lower the probability of guessing the correct direction

no, i don´t believe in long-term investing. it is a fake idea. all these investing gurus, buffet, hedge funds managers etc.. no one knows what is going to happen on the markets within one hour, how can they say what will happen within a week, month or a year?

short-term investing makes sense to me much more.

i am able to say what is going to happen in my life within one minute from now. much less i can say what is going to happen within one day from now, even less within one week and i have an idea what is going to happen with a year or more..

in the same way it is in the markets. i can quite accurately say what is going to happen with the price within a couple of seconds or minutes. that is all i need to do day trading.

for example today, i took one trade that lasted a couple of minutes. and by the way, it was a long trade! hah.

this was quite an easily readable long entry, due to increase volatility i took only 2 contracts. +330 usd was the result within a couple of minutes. stress-free trading

a small trade with a small position

just one long today on e-mini dow.

this one.

nothing special to say about it. except, that it was that kind of a trade that was 100% repeatable for me.

i took it with only two contracts, +180 usd. virtually zero drawdown which is a sign of a good timing entry

come on man, this is going to rise!

well, these two trades are quite readable i would say, and the price went up really quickly after i clicked into them..

the timing entry at the first one is not really easy but .. what is easy in daytrading after all? we can see a sharp & emotional move downwards from the highest high.

the word "emotional" is really what makes it important because i trade against the emotional people so i really enjoy seeing something like this.

it was validated with the actual non-correlation of the markets. the entry was planed couple of minutes before it actually took place. here is the hit.

the other one was right here, after nq discovered new high and tempted high sellers to jump in. as always, i go against them, because they are too predictable. 

3 trades, 3 contracts, 3 profits

today i took three trades on e-mini nasdaq 100, all were with three contracts only and all were closed it proper fixed trade management.

here is the screenshot showing the closed trades.

many people when they this screenshot or another screenshot with my trades have the idea that it was a mistake that i closed the trades so early.

sometimes people really wonder and ask me, why i don't hold on the trades longer, for a longer profits.

the answer?

i am an intraday trader, not a god.

i don't know if the price will move further or retreats back. i am not a prophet. and i don't try to be.

closing trades in a fixed trade management is the best thing you - as a trader - can do. 

because by closing them properly, you are not playing russian roulette. you are not positioning yourself in the place of "a prophet". you are simply doing your job correctly.

here is the results. 3 (little) trades, with only 3 contracts. 3 profits. + 730 usd netto. 

crawly lazy price

today´s e-mini markets were crawly, lazy and boring. the session started with a good tempo but quickly became really slow and tedious. the candlesticks were overlapping one another which is always a sign of an untradable market.

within the first hour, i haven´t seen any opportunity for opening a trade. i stayed a little bit longer and took this short on e-mini dow

this is the kind of entry that is more speculative and riskier. at first, i opened only three contracts and compensated to the full position a little bit higher.

anyway, only one part of the position (4 contracts out of 6) filled the target, the other half ended up at stop loss.

+100 usd today is a poor result for such a long time.

where this will go

today, the market was like extremely volatile and price jumped like a crazy frog, piercing through many levels as big market orders flew into it.

i tried to take short later in the night (was not at the pc earlier). i opened short right here, using compensation in a drawdown to scale up to six contract, which is my normal position.

i hit only the first target, the second ended up on sl. so the result was zero. but it could have been a nice trade

the first 2 trades in 2018

after a little break, i decided to continue publishing here on this small blog. i started to trade this week, over the christmas time i was in istanbul and did not have good access to the internet.

these two trades were based on the same logic - there are reactive sellers in the NQ that are supposed to be shaken off the market.

i take long against them

this was the first trade that had pretty cool timing entry. the price went up immediately, offered +700 usd profit in a couple of minutes

the second trade was here - opening six contracts as usual

 

again, virtually no drawdown. price runs up quickly, the exit was right here - this is a save exit, after that, the price fell down

liquidity overturn on e-mini nasdaq futures

against late buyers in undervalued nasdaq 100 futures. here i have set up more advanced times and sales setting which i was testing for a couple of days or weeks.

sierra chart provides a good interface for times and sales and hopefully somewhere in the future i will provide a more in-depth description of what i observe on the tape

exit after seller´s eruption

htf smart selling activity

today on dow jones futures - hft algo as a response to offered liquidity. they tested the stability and hit the quoting bid.

i could not trade this situation because it didn't fit into my risk management. i waited for the price to make a little pullback up so that i could jump in, but it didnt.. and it continued downward

here is the chart

i suppose these selling guys are smart, because they first tested if the offered liquidity is real, and when it appeared as true, they hit the waiting limit with a bigger sell market afterward - this "liquidity test" activity is useful for a subject that needs to open a bigger size and - and the same - doesn't want to move with price (zero  slippage).

imagine, if you want to open a big sell position quickly (let's say 200 contracts), the best thing to do is to hit a big waiting limit on one level. but first, you need to be sure that the quoting limit is real, that it is real, not fake liquidity that will disappear when you pull the trigger.

so first, before you send a big market order, you send a "probe", a couple of small market orders to see, what will happen. if the quoting limits still stay there after being matched with your probes, it is REAL - the liquidity is there, waiting. if they disappear, it is NOT real and you should not open the bigger sell into it.

this is a technique of a subject that (1) wants to open a bigger size and (2) has a similar risk like me - because it is very precise when it comes to entry price, i can assume that the position will be liquidated in a very short time (just like mine)

here is how the footprint chart looks like in this area. an interesting thing to notion is that the falling market goes against deep buyers. this is a good orderflow context for short

yesterday´s nasdaq

couple of short signals

magnificant stoplosses

today

yesterday 

no comment

eeeeh..

this was really fortune with the third target:-(

this was a nice entry on the exhaustion of sellers with a quick fill of the first part of the position

trying to trail the third one.. but the market is a bastard sometimes - it took my sell order and went up 

anyway. quite a good result 275 usd today