15th Feb 2017 – Bund Daily Trade Plan

15th Feb 2017 – Bund Daily Trade Plan

News

0800 Span CPI 0930 UK AV 1330 US CPI
1500 US YELLEN 1530 US CRUDE

 

WEDS DWN (1.64)

Up

40/70

Dwn

50/80

Previous Day – Down day close above w.val 63.30 bac 63.30-26

Big Picture

60m – Down TR, hold 63.73-86 bac 63.26 for cont

10m – Down TR, Pbip hold 56-63 bac 63.26

Context Play

1. Trend – Cont

Short: Hold 56-63 t 63.41 bac 41 t 32-26 bac 26 t 20 t12-00 bac t 84-77 (watch for bof of 26)

2. Trend – PB

Longs: Bac 55 T 63 t2 73-86

Shorts: Hold/BOF 73-86 T 55 T2 40 T2 32-26

Red flag levels – Short trades 64.26 Long trades 64.07

14th Feb 2017 – Bund Daily Trade Plan

14th Feb 2017 – Bund Daily Trade Plan

News

0700 Ger CPI 0930 UK CPI 1000 GER ZEW
1330 US PPI 1500 US YELLEN

 

TUES (1.66)

Up

54/74

Dwn

70

Previous Day – Neutral day hi. 64.03, lo 63.68

Big Picture

60m – Long TR, C.PB ip, for cont hold 77-65 bac 64.22 and 64.45 (tested d.sz with mini bof at ftb high)

10m – Neutral, (bac of one bal 09-44 and into second bal 17-68) bac of 63.68/17 and then 44 for direction. Currently bof of bal lows in play, exp to bac 64.03 and test of 64.17)

Context Play

1. Balance breakup and into previous balance

Long: BAC of 63.98 and hold 63.98-87 on retest t 06 and 17, bac 17 t 30 t2 45

Shorts: Hold / BOF 36-46 T 20

2. Trend Cont

Long: Bac 64.46 T 65 t2 84-04

3. Trend breakdown

Short: bac 68 t 55-50 t2 44-29 bac 29 t 12-62.92

Red flag levels – Short trades 64.46 Long trades 63.44

Progress 5 – Live Testing

Progress 5 – Live Testing

This weekly trade review is part 5 of my progress on rebuilding my trading system to be more systematic and semi-automated.

I am currently working on the auto entry, with discretionary context and discretionary buy/sell areas.

The plan for this week was to test the system live with 1 lots.

Unfortunately, the week was cut short by the trading computer completely shitting the bed on Thursday morning.

So three days of testing was not enough sample period to make any serious deductions about the performance of the auto triggers.

What have I learnt

The auto triggers send the orders to the live execution platform and they match up.

The execution speed is faster than manually entering orders on the trigger setup.

Even with me hovering over the order button on the DOM.

There was one order that was sent off prematurely, this was the fault of my coding, this particular trigger was referencing the wrong level.

That I must remember to back up the system every time I make a change. If it is a major change then this is saved as a new version, but if I do minor edits I must back up the system to the hard drive.

On Wednesday, I had a computer crash, which was precursor to the fucker giving me the finger on Thursday morning. And on rebooting the auto trigger reverted to a previous version, which I did not notice for a couple of trades.

Down the line, I will need to work on having different versions of the trigger, i.e. having settings for low, normal and high volume. Now, they miss entries in low volume, get the majority in normal and signal too much in high volume.

I have discussed this with a good trading friend and have some ideas to take this forward. I will start to work on this next week, but will not be making any adjustments to the core triggers that I am testing now. This phase is to ensure that it works and I have confidence in it.

I do not like making loads of changes at the same time, as it makes it difficult to correlated any performance differences with the changes made. It can be tempting to make more than one change at a time to speed up the testing process but in my opinion this rarely saves time in the long run.

This is something I learnt from racing.

If we made 5 changes to the boat and it went quicker, which change is responsible, and it can even be the case that 2 changes was responsible for the boat going faster, 1 made no difference, and 2 made the boat go slower to the original benchmark, but the cumulative effect was the boat going faster. Trying to work out, what change is responsible for what, can end up in a confusing mess, which takes longer to sort out then just applying one change at a time.

There was once a racing project that took a racing yacht that was an absolute weapon, made a heap of changes, which were all sound decisions on paper, and turned the weapon into a something with the racing abilities of a shit house. They never got the project back to the original benchmark.

BTW, I was not involved in this, I had already learnt that lesson, a long time ago.

One trade at a time is my motto. Whilst this can be slow, I find it easier to keep control of what I am doing.

There is not enough data to make any sort of assumptions about the performance, but the very limited data indicates that I am having similar results on 1 lot as to my 2-lot trading. This is mainly down to the systematic nature and not missing / skipping the triggers.

And with a similar amount of trades, which points to the auto trigger picking better triggers than I do as a discretionary trader.

These are only indications, as there is no way, enough data to support this.

Important to note, that whilst the triggers are performing well, the rest of the system still requires me to manually do the context and buy / sell areas. The triggers will underperform when I under perform with my context read.

Next steps

To continue testing with one lot, get another week under my belt and then update the risk / trade management part of the trading system to reflect any minor changes that needed to make. And trade the system normally.

To work on the trigger criteria for normal volume and high volume conditions. The first step of this is how do I define normal volume and high volume conditions.

One of the problems with the triggers auto monitoring the conditions that it will always be lagging. If I use a moving average to define the type of condition, then it must wait for the average to catch up to the current conditions.

I am leaning towards a clear defined manual but systematic approach. But this needs to have more thought as to how this will work and how I clearly defined it. What I like about this is that, I can test the principles and rules, which will give me more data, which I can then use down the line to generate better versions of the trigger.

9th Feb 2017 – Bund Daily Trade Plan

9th Feb 2017 – Bund Daily Trade Plan

News

0700 Ger Trade Bal 1330 US Initial Jobless

 

Thurs (0.8)

Up

40/70

Dwn

70/-170

Weekly Summary – Inside week hi @ 62.68(bac)/63.38(bac?) lo @ 61.35/61.31

Previous Day – ERC up day 163.90 50%

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

Big Picture

60m – Long TR, in d.sz (2tb) hold 63.74 and bac 64.45 for cont

10m – Neutral, (in bal) bac of 64.09/64.41 for dir, poss trap at either end

Context Play

1. Balance Outside/ In

Short: Hold/Bof 34-41 t 24

Long: Hold/bof 20-09 t 34

2. Trend Cont

Long: Bac 64.41/45 t 66 t2 64.82-94

3. Trend PB

Short: bac 20 t 09 bac 09 t 93-90 bac 93 t 80-66

Long 80-66 t 00-10

Red flag levels – Short trades bac 64.45 Long trades 62.92

8th Feb 2017 – Bund Daily Trade Plan

8th Feb 2017 – Bund Daily Trade Plan

News

1035 Ger Bund Auction 1530 US Crude

 

Weds (-3)

Up

40/70

Dwn

70

Weekly Summary – Inside week hi @ 62.68(bac)/63.38(bac?) lo @ 61.35/61.31

Previous Day – Neutral day @ d.sz 63.80-64.24 / @ D. T/L / and in D.VAH

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

Big Picture

60m – Long TR, ext and held 63.10-62.92, bac of 63.75 for cont, nb hold or bof of 63.75 and possible balance

10m – Long TR, hold 63.40-33 t 68 -74 bac 74 for cont, possible bull trap at 63.75

Context Play

1. Balance Outside/ In

Short: hold/bof 68.75 t 48-38 bac 38 t 10-96

Long: hold/bof 10-96 t 38-48

2. Trend Cont

Long: Hold 63.38 bac 75t 91 t2 94-00-04 t3 28-45

Red flag levels – Short trades bac 64.45 Long trades 62.92

7th Feb 2017 – Bund Daily Trade Plan

7th Feb 2017 – Bund Daily Trade Plan

News

0700 Ger Ind Prod 1500 US JOLTS

 

Tue Neu (0.8)

Up

60/80

Dwn

40/60

Weekly Summary – Inside week hi @ 62.68(bac)/63.38(bac?) lo @ 61.35/61.31

Previous Day – ERC up with strong close. 50% @62.98 (TBC)

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

Big Picture

60m – Long TR, bac of channel top, hold 63.10-62.92 bac 63.50 d.sz (2tb) at 63.80-64.42(bear trap at 62.92)

10m – Long TR, hold 63.26-63.18 bac 63.50

Context Play

1. Trend – PB and Cont

Long: Hold / BOF 63.24-63.18 t 44-50 bac 50 t 72 -80 T2 91

2. Trend Cont

Long: Hold 63.38 bac 50 T 72-80 t2 91 t2 64.04 t4 28-45

3. Into Balance

Short: BOF of 50 and bac of 38 t 24-18 t2 63.10-6

Longs: Hold/Bof 06-93 t 10 t2 24 t3 38

Red flag levels – Short trades bac 63.50 till 63.91 Long trades 62.92

6th Feb 2017 – Bund Daily Trade Plan

6th Feb 2017 – Bund Daily Trade Plan

News

0700 Ger Fac Orders 1400 Ez Draghi

 

MonĀ Up(2)

Up

60/80

Dwn

40/80

Weekly Summary – Inside week hi @ 62.68/63.38 lo @ 61.35/61.31

Previous Day – Range day up.

General Bias SC = -1

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

Big Picture

60m – Long TR, at top of channel, and prev 38f, pb.ip, for cont hold 62.20-00 bac 62.68

15min – Neutral Tr, at bz, for t/c to short, hl (62.44?) then bac 62.00

Context Play

1. Trend Cont

Long: Hold / bof 62.20-00 t 62.44-55 t2 62.68 bac 68 t 80 t2 91.02

2.Balance

Short: 62.44-55 or 68(bof) t 62.20-18

Long: 62.20 bof t 62.44 or hold/bof 62.07-00 t 62.20 t2 62.44

3. 15min t/c to short

Short: Bac 62.00 t 61.90 t2 61.75-60

Red flag levels – Short trades bac 62.68 till 63.00 Long trades 62.02 till 61.75

Progress 4 – Fantasy vs Reality

Progress 4 – Fantasy vs Reality

This weekly trade review is part 4 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 and Part 3 for previous updates.

What have I been doing this week?

The focus this week, has been on comparing the sim entries for the auto triggers against my manual entries, taken at the time I hear the submit order announcement, which on the conservative entries, is at bar close.

What have I learnt

1) Manual placed trades did not get filled as much as the sim placed trades. Which was not a surprise, even with the Sim on realistic settings.

2) All of the trades that I did get filled on, the manual trades where always better entries by 1 to 2 ticks.

I have manually placing the trades at the bid for the longs and at the ask for the shorts, on the close of the bar.

Which I assumed what the auto triggers was doing, as that is the same settings as the back testing.

As we all know, assumption is the mother of all fuck ups.

Having decided to look at the actual setting at the end of the week, the auto triggers place a limit order at the last traded place.

So my testing on that side has been a bit of a waste of time, as I am comparing apples against oranges. But at least I now know why the auto triggers are placing the orders in slightly different place to where I was expecting.

I have changed this to the correct settings. It may be after the real life testing that I change the setting back to last price, but I need to see what the actual fill percentage before I deviate from what I tested.

The triggers are not that sensitive to low volume and high volume conditions. In the low volume, it doesn’t trigger always and in high volume it triggers a bit too often. At the moment, the settings are fixed, but further down the line, I can look at having this auto adjust based on low volume and high volume conditions.

But at the moment, I need to focus on the testing of the current setup.

The next step is to test it live.

I will commence this next week. One of the jobs this weekend, will be to write a risk profile and plan for the week.

Questions to be answered

What is my aim for the week?

I am looking at where it actually place orders and what the fills are like.

How practical is using the auto trigger?

What is the management like after entry?

What is the typical stop?

What is the typical target?

What is the R/R ?

What is the frequency of trades?

The last four needs to be compared against the back testing and the sim testing to see if I am getting similar sort of stats.

Of course, I will not get enough sample data from one week to confirm either way, but it should give me an idea if it is way off base.

Risk will only be one lot. I intend to reduce risk to a minimum whilst testing, to limit any damage from auto error or human error.

What do I if I get 2 different triggers in a row?

What if I get opposing trigger whilst I am in trade before my opposing area / target?

What do I do if I get opposing trigger just before a blind order at a strong area?

I would like to reduce as much of the grey areas I can think of before going live.

This is all based on the assumption that the platform will actually send orders to the live account without problems. That is the first hurdle.

My Semi Auto Trading – What it is and what it isn’t

I have had a few questions via social media and email on what I am doing. I thought it best to address this here, so that others can see what I am trying to achieve.

Let’s start with what it isn’t

It is not set and forget.

I cannot turn this on at the start of the session and just walk away.

You will not find me out sailing, anytime soon, whilst the auto trigger prints money for me.

It does not set any stops or targets, this still has to be done manually.

It does not decide what the context is, whether the market is trending, balancing / ranging, etc. This is still decided by me manually according to my procedure.

What it is

All it is, when certain criteria are met, it sends an order to buy or sell. This is based on what I look for in triggers, when I was discretionary placing trigger orders.

I decide when the auto trigger should be looking for an entry and whether that should be a buy or sell.

For example.

The market is trending up, and my expectations is for price to make a higher high and test the next opposing level higher on the chart.

Therefore I will want to buy a pullback. I will look for areas that if price did pullback I would want to take a long in. And depending on certain criteria, I will decide if the level should be taken blind, i.e. I will place a limit order a couple of ticks in front of that level. Or I do want to be long at that level, but only if I get a trigger there.

If I decide that I want to get long at this level on a trigger.

I will activate the buy trigger, and once price reaches the level, the auto trigger will send a long, if the trigger criteria is met. But price has to be at that level and the criteria has to be met for it to send an order.

I have only automated one part of the trading, the part that I found that produced the most inconsistency in my real life trading. The stalking of trigger trades.

All the rest is still down to me.

US Non-Farm Payrolls – Dec 2nd

US Non-Farm Payrolls – Dec 2nd

Historical Performance

What is the Range and 1 SD?

Number range for last 6 months is 104k

1 SD Range for the last 6 months is 36k.

Is there a trend in the data?

Overall trend is down.

What number would constitute a change in the trend?

Above 200K would be a breakout of the current range.

What would be a big beat/miss?

Exp is for 175k

Between 135k to 215k. Would treat as inline / slight beat miss.

95 to 134k would be a miss. 216 to 255 would be a beat.

Below 94k would be a big miss and above 255k would be a big beat. ****

Notes – Out of the Last 12 NFPs’

In 7 cases, the low was made by 1345(3 miss and 4 beats)

In 4 cases, the high was made by 1345 (4 miss)

What is Range Profile on the Bund in ticks

Last 12 NFP

VAH90 68
VAH70 60
VAL70 40
MODE 53

What is the Daily / 240 Structure

Bund

240 mins


Daily


 

Hypo NFP EXP = 175K

Trying a slightly different tactics this month. Same sets up but just going with the flow. (IM = initial move. SM = Secondary move)

 

62.78

COR ZONE

42-57

POC/DHL

62.29

SESS HI

CP
62.01

YPOC/CVAH

61.78-63

BZ/DL/CPOV

61.50-55

D.LOW/CVAL

61.44

CVAL2

61.36-34

BZ

Trade 1

Join the IM 50%; T extreme of IM

Trade 2

If before / at 1345 and BOF of pivot / level then fade T IM 50%

Trade 3

If failure to break 1345 extreme then fade T IM 50%

Trade 4

BAC of IM 50% then join on PB of this SM T Origin

Trade 5

BAC of Origin then join on PB T next level

Trade 6

Join on SM 50%; T next level

Trade 7

If BOF of pivot / level then fade T SM 50%

,

3rd Feb 2017 – Bund Daily Trade Plan

3rd Feb 2017 – Bund Daily Trade Plan

News

08-0900 EZ PMI 0930 UK PMI 1000 EZ Retail Sales
1330 US NFP

 

Fri Dwn(6.7)

Up

40/90

Dwn

97/107

Weekly Summary – Down week

Previous Day – Range day up. Bof of ID HI?

General Bias SC = -1

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

Big Picture

60m – Long TR, for cont, hold 62.02-61.91 and bac 62.56

15m – Long TR, for cont, hold 62.27 and bac 62.56

Context Play

1. Trend Cont

Long: Hold / bof 62.27 T 62.49-56 bac 66 T2 78/80

2.Trend – PB

Short: Bac of 62.27 t 18 t2 10 t3 02-91

Long: Hold 62.02-61.91 t 62.18 t2 28

3. Bal – Bof

Short: bac 62.02 t 91 t2 84 t3 77

Red flag levels – Short trades bac 62.68 Long trades 62.02