Thursday, 24 June 2010

Getting it on

I have written about how I qualify the market at the close of every range bar. I have also spoken about how I anticipate where the bar will close so I can get my order in on a stop.

This is process has a dual benefit.

Firstly, it keeps you on top of exactly where you are in the auction process as you have to go through your mental check list every bar. This keeps me focused and my mind in the game.

Secondly, it makes it harder to miss a trade. If I see the start of a new range bar, I can calculate where that range bar will end. If I take the best case scenario and it closes in a position that triggers a trade, I'll put my order into the DOM on a Stop Limit basis so that the trade gets triggered. Once every so often, The range bar might reverse and the new bar starts at the wrong end of the my anticipated close. But, as I am using the best trade location, I can mostly scratch the trade or exit for a small loss. The benefits of not missing the trade or being ahead of the queue far outway,for me, the risk of being triggered in a trade wrongly.

If the idea appeals, back test it against trades you entered and see if you would have gotten a better price and have at look at the trades you missed because you were too slow.

This is all part of context and envisioning. It makes a huge difference to my trading and it will to yours.

Today's trades were a lot of work, not difficult but a lot of trades. VAL of yesterday held the market after a weak session during the London morning.

Trade 5 was an averaging of trade 4 and I exited trade 4 at break even plus a tick.


  1. EL, if it happens to be early in and the bar closes in the opposite direction, than you are 5 ticks per contract on the wrong side with a good chance to reach your stop at 8 ticks...

    Btw, I see a lot of new colorful lines on your charts, you keep changing your chart indicators quite often. Are you testing new indicators?


  2. Dave, my stop is not 8 ticks although its what I like to risk. If I get a bar close in the opposite direction and my trade location is good I can usually get out for a scratch or just a couple of ticks. Don't forget that the momentum is in my direction and just one bar that closes in the other direction doesn't change that.

    I've been testing some VWAP stuff. The lines are just the same thing displayed in different ways.

  3. Hi,Tom,
    Trade 6 was a perfect short and shorted around 99EMA. But what kept you away from shorting around 33 EMA, 11 bars before trade 6, and avoided a possible trap?


  4. EL-

    Thanks for the awesome blog - I have followed it since the second month you started.

    One question - you are big on SIM (as you should be) and back testing. What programs/software would you suggest for this? Does MarketDelta handle your needs? What about eSignal basic?

    Thanks again (sorry also for England's loss)


  5. Hello Boss,

    Many times it has been asked, what separates these two times? One you get paid, and the other you get pimp slapped.

    Would you say that watching the momentum of the bars at the time is the answer, or are there other clues as well James Bond?



    Ps Hello Kiki

  6. Jack, it was a valid sell and I normally would have sold it. On this occaission I was playing with the VWAP and was waiting for the yellow line. I don't have any new rules to incorporate this YET.
    The whip up of the 6CCI would have exited me from the trade had I taken it.
    Jake, depends on what you want to see. MarketDelta is the Rolls Royce for volume based studies. If you only need momentum then most of the other platforms work fine.
    Hi Rino, you are comparing the wrong bars. It's what happened afterwards that mattered. The 45CCI didn't penetrate the zero line the first time meaning that momentum didn't follow through.

  7. Similar questions were asked... I am amazed how EL takes the right trades. He seems to have a very good exit strategy and a lot of experience. I suppose he only lists a couple of relevant trades and there are a lot of scratched trades he won't list. I thinks this might be the key: trade management in the different phases of the trade: a quick exit if the trade won't confirm.

    EL, a couple of losers/scratched trades and how you managed them we would be very instructive.

    I wish you all a very nice weekend

  8. Dave, Its amazing because 90% don't do it. You gave me a good idea for a post for Monday.