1st Feb 2017 – Bund Daily Trade Plan

1st Feb 2017 – Bund Daily Trade Plan

News

0855 Ger PMI 1035 Bobl Auction 1315 US ADP NFE
1445 US PMI 1500 US ISM PMI 1530 US CRUDE
1900 FOMC

WEDS – Down(2)

Up

49/71

Dwn

50/80

Weekly Summary – Down week

Previous Day – Neutral day

General Bias SC = 0

Rot Bias 3/30 Up 3D SD > 30D SD / Down 3D SD < 30D SD.

Big Picture

60m – Down TR, in bal, c.Pbip, for cont, hold /bof 62.34 bac 61.19

15m – Neutral/Long TR, at top of bal, bac 62.34 for cont, bac 61.89 for back to va

Poss BOF at 22 in play

Context Play

1. Balance Breakup – Retest and rejection

Long: Hold 61.99-89 T 62.20-34 bac 34 (watch for bof 34); t 48 t2 60-70bac 70 T 86-63.01

2. Balance -Bof return to va

Shorts: Bac 61.89 T 62.75-67 bac 67 t 57-49

Longs: 57-49 (bof 49) t 75

Red flag levels – Short trades bac 62.35 Long trades 61.19

31st Jan 2017 – Bund Daily Trade Plan

31st Jan 2017 – Bund Daily Trade Plan

News

0700 Ger Retail Sales 0800 EZ Draghi 0855 Ger UnE
1000 EZ CPI 1445 US Chic PMI ME

 

Tues – UP(1)

Up

54/74

Dwn

50/70

Weekly Summary – Down week

Previous Day – Neutral day

General Bias SC = 1

Rot Bias 3/30 Up 3D SD > 30D SD / Down 3D SD < 30D SD.

Big Picture

60m – Down TR, for cont, hold 62.15-62.34 bac 61.19

15m – Neutral/Long TR, bac 61.95 61.31, breakup and retest of bal

Context Play

1. Balance Breakup – Retest and rejection

Long: Hold 90-80 on retest t 62.00 bac 00 T 15 T2 23-35 (watch for bof at 22 and 34); bac 34 t 48 t2 60-70

2. Balance – Retest and fail

Shorts: Bac 90-80 T 61.52 t2 40-35

Longs: 40-31 (BOF) or 19 BOF T 56

Red flag levels – Short trades bac 62.35 Long trades 61.19

30th Jan 2017 – Bund Daily Trade Plan

30th Jan 2017 – Bund Daily Trade Plan

News

1300 EZ Ger CPI 1500 US Home Sales

 

Mon – Up(1)

Up

40/80

Dwn

-40/60

Weekly Summary – Down week.

Previous Day – Up day with test of neutral up day hi. Hi @61.74 Lo 61.50/61.38

General Bias SC = 0

Rot Bias 3/30 Up 3D SD < 30D SD / Down 3D SD > 30D SD.

Big Picture

60m – Down TR, for cont, hold 62.15-62.34 bac 61.19

15m – Neutral TR, bac 61.95 61.31, possible trap at low

Context Play

1. Balance Breakup

Long: Bac 95 hold 90-80 on retest t 62.00 bac 00 T 15 T2 23-35

2. Balance – Outside / In

Shorts: 61.95- 62.03 (BOF) T75 BAC 75 T 63-49 BAC 49 T 38-31

Longs: 40-31 (BOF) T 56

Red flag levels – Short trades bac 62.35 Long trades 60.80

Progress 3 – Machine Learning

Progress 3 – Machine Learning

This weekly trade review is part 3 of my progress on rebuilding my trading system to be more systematic and semi-automated.

See My Weekly Trade Review Part 1 and Part 2 for previous updates.

Weekly Trade Review

What have I been doing this week?

Context

I have spent time looking at various market conditions and indications that these are changing.

One area was trend days. Not from the purpose of getting in to these days, but from the angle of recognising them as early as possible to manage risk.

I have done some study in the past which did not yield any significant results, but as my experience grows I thought it would be a good idea to revisit this to see if a fresh look produce anything new.

What have I learnt?

Trend days happen about 20-25% of the time. 20% if using a strict definition, and 25% if using a definition that fits the concept of a one direction with larger than typical range and with a close near the extremes.

There is a lot more days that start of as a trend day but either run out of steam or reverse (22%).

There are days where it starts of a normal day and ends with a trend type day.

Before a trend day starts there is very little difference in delta/volume/range when comparing against a non-trend day.

Trend days and generally one direction moves tend to come from balance / range areas. What these have in common that they have typically built decent Gaussian distribution. This seems more important than the time that is taken to build the balance / range.

Weekly trade review
Decent volume build before breakout.

Alongside this I have continued working on the balance context play, looking at the best way to play the outside in and the breakout.

Ideas I have been studying is the skew and kurtosis, but apart from numbers indicating that a normal distribution curve is there, which can be seen by eye, then there seems to be little to predict breakouts. I.e. it can get a number close to .3 and then breakout fail and continue in balance or just continue in balance.

Weekly trade review
Not so decent build before breakout but has filled in the LVN to become more guassian

And even non-prefect balances breakout and trend.

The best indicator so far is that breaks and closes easily a level that should have produced at least a reaction. And this normally involves a loss. So be it.

Triggers

The work on testing auto triggers is progressing well. A couple of bugs, so time spent sorting that.

Basically, how I combined signals into one signal for the auto trigger to work, did not work as expected during heavy than average volume.

Also, assigning variables that I had already assign to other tasks, does not help.

RT Investor tip, always name the V# in the preferences. Don’t do what I did, and name some but not others and end up trying to find which V# is not being used.

I had the triggers on a separate chart so I could monitor them. But found that was hard to keep an eye on, so moved them to main trigger chart.

Problems I found that, it was not easy to see that the triggers where active.

A couple of times, I forgot to turn them off. As these are execution only triggers then there is no stop loss or target set. First one cost me 25 ticks and the second time, I left both buy and sell triggers active and went for lunch.

The little fucker played the balance area very well, and made 50 ticks over 3 trades, whilst I was mediating and stuffing my face.

Whilst this was an error it does show the possibilities of this approach. Decide context, set the triggers and let them get me in when the conditions are met.

Part of my trigger setup is that they will only take a short if price extreme is equal or higher to a set price (and of course that the trigger is active) and vice versa for short.

This is done by a horizontal line in the chart, so I place the buy line a couple of ticks in front of an area of interest I am interested in and then if price trades this line or lower and certain criteria or meet then the trigger sends an order.

This done either aggressively on when the signal happens or conservatively on the close of the bar.

weekly trade reviews
Auto trigger buy and sell lines

This weekend I will make the indicator that indicates the triggers are active more visible.

The next week, I will be taking the trades live manually in my account on the signal. The purpose of this is to compare my entries against where the auto trigger gets in. As a few of the trades this week seem to be out a few ticks, compared to where they are meant to be placing limit orders.

Other things I am considering is setting an auto stop and target set at knuckle settings, to limit any damage if I forget to turn the little fucker off.

27th Jan 2017 – Bund Daily Trade Plan

27th Jan 2017 – Bund Daily Trade Plan

News

1330 US GDP 1500 US MICH CONS

 

Fri – DWN(5)

Up

60/80

Dwn

-50/90

Weekly Summary – Outside down week 50% @ 63.32

Previous Day – ERC followed by neutral

General Bias SC = -2

Rot Bias 3/30 Up 3D SD < 30D SD / Down 3D SD > 30D SD.

Big Picture

60m – Down TR, for cont, hold 62.15-62.34 bac 61.19

15m – Neutral TR, bac 61.88 61.31, poss rap at both hi and low

Context Play

1. Balance – Outside / In

Shorts: 70-82 t 56

Shorts: 89-95 BOF t 56

Longs: 40-31 T 56

2. Balance Breakdown

Shorts: Bac 31 hold 31-40 on retest, T 19 bac 19 t 61.05-60.80

3. Balance Breakup

Long: Bac 95 hold 90-80 on retest t 62.00 bac 00 t 20-35

Red flag levels – Short trades bac 62.35 Long trades 60.80

26th Jan 2017 – Bund Daily Trade Plan

26th Jan 2017 – Bund Daily Trade Plan

News

0930 UK GDP 1330 US JOBS 1445 US PMI

 

Weds – NEU

Up

50/100

Dwn

-70/120

Weekly Summary – Outside down week 50% @ 63.32

Previous Day – ERC DWN 50% @62.01

General Bias SC = -3

Rot Bias 3/30 Up 3D SD < 30D SD / Down 3D SD > 30D SD.

Big Picture

60m – Down TR, for cont, hold 62.15-62.34 bac 61.52

15m – Down TR, for cont hold 61.72 bac 61.52

Context Play

1. 15min Cont

Shorts: holds 61.72 T 61.60-52 bac 61.52-45 T 34-20 bac 61.02-60.80

2. 60min PB and Cont

Longs: Hold / Bof 61.52-45 t 72 t2 61.85-95

Shorts: Hold 85-62.00 T 72 t 60-52

3. 60min PB

Long: Hold 61.60-52 t 61.72 t 61.85-95 bac 95 t 15-34

Shorts: Hold 15-34 T 94

Red flag levels – Short trades bac 62.35 Long trades 60.92

25th Jan 2017 – Bund Daily Trade Plan

25th Jan 2017 – Bund Daily Trade Plan

News

0900 GER IFO 1530 US Crude

 

Weds- Neu (1)

Up

50/80

Dwn

-50/80

Weekly Summary – Outside down week 50% @ 63.32

Previous Day –

General Bias SC = -2

Rot Bias 3/30 Up 3D SD > 30D SD / Down 3D SD < 30D SD.

Big Picture

60m – Neutral TR, In bal 63.38 – 62.21

15m – Down TR, for cont hold 80-02 bac 44

Context Play

1. Balance Outside / In (In play)

Long: Hold/Bof 50-44 t 64 T2 72 T3 80 T4 90-00

2. Balance Bof

Longs: Hold /BOF 29-21 T 62.44 bac T 72-80

3. 15min Trend Cont – BD of Bal

Shorts: Holds 80-00 bac 44 T 21 bac 21 t94-90

Red flag levels – Short trades bac 63.38 Long trades 62.47

24th Jan 2017 – Bund Daily Trade Plan

24th Jan 2017 – Bund Daily Trade Plan

News

0830 Ger PMI 0900 EZ PMI 1500 US Home Sales

 

Tuesday – Up (2)

Up

54/74

Dwn

-50/70

Weekly Summary – Outside down week 50% @ 63.32

Previous Day – Up range day with up close

General Bias SC = -2

Rot Bias 3/30 Up 3D SD > 30D SD / Down 3D SD > 30D SD.

Big Picture

60m – Neutral TR, for t/c to long, LL 03-89(?) and bac 63.38

15m – Up Tr, for cont hold 0-94 bac 63.28

Context Play

1. 15m Trend – Long Cont

Long: hold 14-12 t 29-32 bac 38 t 46-58 bac 58 t 67-80

Long: hold 03-94 t 14 t2 29-32 bac 38 t 46-58

Shorts 67-82 pent 72 t 46

2. 15m Balance – Outside / In

Shorts: Hold / BOF 32-4 t 63.03 t2 89-80

Longs: hold 80-89 t 63.03 t2 63.14 t3 63.29

3. 15min Trend chance to short and test lower

Shorts: bac 80, shorts on retest to 80-89 t 68 t 57-55

Longs: Hold/Bof 57-45 t 81

Red flag levels – Short trades bac 63.28/38 Long trades 62.47

23rd Jan 2017 – Bund Daily Trade Plan

23rd Jan 2017 – Bund Daily Trade Plan

News

1130 Ez Draghi

 

Mon – NEU (0.0)

Up

40

Dwn

-40

Weekly Summary – Outside down week 50% @ 63.32

Previous Day – Outside down day 50% @62.74

General Bias SC = -3

Rot Bias 3/30 Up 3D SD = 30D SD / Down 3D SD > 30D SD.

Big Picture

60m – Down TR, for cont, hold 63-63.29 bac 61.96

15m – Down TR, for cont hold 58-73 bac 62.20, Pbip and poss bear trap at 62.20

Context Play

1. 60m CPB – 15m Balance

Short: Hold/BOF 58-72 T 44 t2 29-20

Long: Hold/BOF 30-20 t 44 t2 60-73

2. 60m PB

Longs: Holds 62.40-62.20 bac 73 T 89 Bac 89 T 00-18

Shorts: Holds 84-90 T 73 T2 63-55 T3 20-00

Shorts: Holds 00-28 T 84 T2 73 T3 63 T4 20-00

3. 60m TR EXT

Shorts: Holds 58-73 BAC 62.20 T 62.10 T2 62.96

Longs: Holds/BOF 10-04 T 30 PENT 04

Red flag levels – Short trades 63.28 Long trades 61.96

Progress 2 – The Singularity

Progress 2 – The Singularity

As discussed over the past 2 weekly trade reviews, I am working on rebuilding my edge to become more systematic in my trading. Goals are here and Part 1 is here.

What have I been doing this week?

Context

Research is still on going.

I am happy with my Recognition Primed Decision model, that I discussed last week, in helping me decide more consistently what the context is and how I trade it.

My main area of focus this week has been looking at current market conditions and looking for clues when that could be changing.

I spent a lot of time research trades days in the Bund. In the past I did a lot of research, trying to predict trend days and did not managed to find a trade-able edge in these stats.

Before I go further I must stress that this research is in the Bund, and could / does not translate necessary to other markets.

I found stats that says that if we have 3 days that are the same / similar in terms of volume profile, then there is a 75% chance that the next day will be different, but that does not mean it will be trend day.

The next step was to look to see if there are any clues at the beginning of the session, that a trend day is likely to happen.

I looked at the volume/delta/range for the first 60 mins of the session and the first 120 mins of the session and compared non-trend days to trend days. Whilst there is a slight increase in these data points, it would be hard to tie these into a practical application of a trend day.

For example, the mode of the first 60-minute range of a trend day compared to a non-trend day is 2 ticks larger over a sample of 400 trend days.

The Open drive is a rubbish predictor of trend days in the Bund, both in the full and cash open. Whilst a lot of trend days have these, so do a lot of non-trend days. And actually, open drives are a great target stats wise.

At the moment, my best indicator is a failure of a good level (and the better the failure better the indicator), that normally involves a losing trade. So, my plan was to try and gather data to find clues that could indicate that a trend day is in the works.

My next step is to go through each trend day manually and looking for patterns and clues from a visual point of view. This is labour intensive and boring and could easily result in zilch but is the next logical step.

But I have done this before. I once printed out all these charts and studied each one, to help define my basic context model.

But I will stick on some sounds and get down to it after posting this.

Triggers

Basic research and coding has been done. I am now in the testing phase, make sure that they send the right orders at the right time.

I cannot remember who, and I cannot find them in the comments section, recommended this blog on automated trading alongside manual context, which is exactly the approach I am taking. Whoever that was, thank you, it has helped consolidate my thoughts about where I am taking my trading.

This approach makes it more complicated, as I do not want the automated system on all the time, only when in an area of interest that aligns with my context.

So the trigger has to have its own button. Obviously one for buy and sell.

I had a few teething problems with not sending orders and then sending too may orders.

Testing this is quite slow, first I used a dummy trigger to test the order sending, and that was quick. I am now testing this using the correct trigger to see if they do what I am expecting them to do. Lol

This is all on sim at the moment. I think I would have choked when the during the first phase it sent 5 x 2 lots before I could even finish my slurp of tea, if this had been real.

Once I am happy I will start testing with small size on my real-life account.

Of course, all this does not affect the trades, which are auto fades with blind orders.

And there are a couple of instances in the order flow which I have not managed to work out, how to represent these as code. But I could spend the next few months tweaking this. I need to get it to a stage to take it live so I can get some feedback on how practical it is, etc.

I am still doing my trade plans and daily stats every day, to keep in touch with the market.

I did not post Friday plan, as I was working on the keel boat that I race during the summer and did not get back till very late.