My Problem with No Fill Trades.

My style of trading on the Bund futures market (FGBL), means that at times I will not get filled on my trades. I place a Limit Order at or just in front of the level and if price comes to this level, three things can happen with regard to this trade and getting a fill. I am not focusing on whether the trade is profitable, this is not the object of this exercise.

  1. Price stalls a few ticks before and makes a rotation away hitting targets.
  2. Price trades at my price but does not trade enough contracts for me to get filled or trades 1 tick before my order and makes a rotation away and hits the targets.
  3. Price hits my Limit Order and fills.

So I implemented a trigger system for entering trades at levels where 1 or 2 happens or at levels which are not strong enough in my analysis for a blind limit order entry.

For triggers, I am using a three bar read and have 6 general types of formation I look for whilst looking at the DOM order flow for confirming this formation. I learnt this type of price action reading from Lance Beggs.

I am not to going into the actual triggers I am looking at, as this is not the point. It is not as simple as a saying it is a engulfing bar, it is how it relates to the previous couple of bars and the order flow.

What works for me, might not work for you. If you are interested in this type of trigger setups then Lance has plenty of free material and paid material, all of which I have found to be excellent value.

The problem for me with triggers are twofold.

  1. I am getting in a worse price, than the blind entry, which is fine at levels which are not strong for a blind entry, I am willing to pay up for confirmation. At levels which are strong enough for blind limit order I am reluctance to take triggers due to paying up compared to where I wanted to take a trade. Which leads to some hesitation in entering and missing some trades. This is something that I have worked on and are getting better at.
  2. Not get filled on the trigger bars. In some aspects I have swapped not getting filled at levels to not getting filled on the trigger bars. This is the problem I trying to improve.

Why am I not getting filled on my triggers.

As I am using the DOM order flow as part of the trigger set up, once I see the order flow that I am looking for, I place a limit order at the price I want. I find that once I see this and place the order, price can move away very quickly not filling me or the time I enter the trade I am at the back of the queue and not enough contracts trade before moving away.

Blindly taken triggers does not work for me. I find that triggers can false break and go to test the level, or just false break and then fail.

I need to have a balance of when to place to market order to ensure that I get in and take a possible pay up cost of one tick or when I can place a Limit Order and get the price I want for this trigger setup. Remember that I am already paying up for this trade by taking a trigger which is rarely at a better price than trading blind at the level.

What I have done is gone thru my charts and looked at 50 successful examples of each of my 6 triggers setups. I am aware that I cannot see the order flow for the historical set ups but I need to start to change the way I trade these, so that I can compare the new technique with the past technique.

Looking at these 50 successful examples of each of these trigger setups, I looked to see on a lower timeframe, if price moved away quickly or price stalled / micro pullback before moving away.

I started a spreadsheet, then I recorded if it moved away quickly or stalled for each trigger. This took me over 4 hours to generate this data

Of the 6 triggers, 4 of them had majority (90% plus) of one type of move away and 2 triggers had no majority of the type.

2 types of trigger setups moved away very quickly. Going forward, if any of these 2 triggers setup and have corresponding order flow on the DOM, then I will be entering with a Market Order.

2 other types of trigger setups, stalled or pullback a couple of ticks before moving away. Going forward, if any of these 2 triggers, then I will be entering with a Limit Order.

The last 2 types had no one type of move away, for these I will stick to Limit Orders as I have done in the past.

I will record over the next few weeks I have more success with these sort of trades then before. I should have more entries as 2 set ups have market orders, on these I will monitor the price I get compared to what I wanted and how that effects the risk/reward ratio.

Of course the flaw with this is that by ignoring the unsuccessful examples of these triggers, I could end up getting in myself into trouble.

But I am not trading every trigger I see, I have tried that and it did not work, these triggers still have to be in context of my hypo and at levels of interest.

The Power of Routine

The Power of Routine

A trading buddy of mine has recently posted about the problems he has in developing a routine around the other commitments in his life. A good read and highlights that a lack of routine can scupper the chances of a successful trading session, no matter how good the edge and trading plan is.

Habit deprivation is like sleep deprivation

I have found at my stage of development as a trader, that if I do not follow my routine then I tend to have a pretty crap trading session from the point of making consistent trading decisions, following my plan and more importantly updating my plan as more information comes in about the type of session that is developing.

I personally think that everyone’s routine should be tailored to their strengths and weakness.

The way I approached the day is as follows

At the end of the day, I will write out my trade plan for the next day. It would be better to do this the next morning before the session starts so I can include any developments that happen overnight that could affect the Bund when it opens.

The reason I do it the night before is that, I know from my yacht racing days, that my strategic planning can be poor on waking up. How I dealt with that would be to have the current plan written down and the reasons I was following that plan, and with the likely future decisions and the best options are already fleshed out.

These enable me to wake up in a sleep deprivation state and follow a plan without trying to remember how I got to previous decisions and what is the plan going forward.

Sleep deprivation whilst yacht racing is a complete different ball game. I have spent 9 days, only sleeping for 25 mins every 2 hours, which by the way, was complete failure from the strategic decision making point of view (I made bad call and we went from 1st to 9th and then finished 4th), but we was playing cat and mouse with modern day pirates amongst other things.

Getting the most of 25 mins.

So planning before I go to sleep is a habit that I picked up in the past which works for me.

I print out my daily trade plan, as I find it easier to follow if it sitting in front of me and I can take notes on this as the day develops.

When I get up I will come into the office 30mins before the market opens and do the following;

Read my market news to see if anything has happen overnight that could affect my market.

Check the US 10 year T Notes futures to see how they moved overnight, a move in these could affect the opening of the Bund.

I check the daily chart for German 10 year Bond Yield and the ES futures markets just as a reminder of what happened the day before and overnight.

I then read my trade plan from start to finish, circling with pen the first areas of interest and actually looking at these areas on my charting platform.

I then wait for the session to open. I have an intraday trade journal where every few hours, I update my plan and what my trades are for the next few hours. Here is an example of my intraday journal.

I will then take a break for about 45 mins between 11:00 and 12:30, and either exercise or mediate. I find this helpful in maintaining focus during the whole day.

My routine has changed in small ways over the past few years but not in any substantial way.

I have found that when I do the end of day review, that if I have gone wrong somewhere during the day, it can be correlated to me deviating from my routine.

I think that we all have to find a routine that fits our style and provides us with a foundation to make consistent and solid trading decisions.

How I am using my trade journal to improve my targets. Part 2

How I am using my trade journal to improve my targets. Part 2

One of the statistics I track is MFE and MAE.

Maximum Favorable Excursion (MFE) –  what was the maximum number of ticks in profit that the trade had before the trade closed.

Maximum Adverse Excursion (MAE) – what was the maximum number of ticks in loss that the trade had before the trade closed.

I use these stats slightly differently. Instead of tracking the MFE and MAE during the duration of the trade, I continue tracking these stats on my trades until they make the next pivot on my trading time frame of 5min.

I do this to track how well I am setting my targets and whether they can be adjusted further away to maximise my profits.

Why do I do it this way?

As my targets tend to be at the next levels on my trading time frame and at my current size I do not leave a runner position on. I found that tracking MFE/MAE during the trade duration was telling me that I was taking the max profit during my trade but not what I was potentially leaving on the table, if I had set my targets further away.

This is last 150 trades on Bund.

Note that on the losers, this is not the draw down of the actual trade but the the numbers of ticks from entry to the next pivot. My stop is 5-8 ticks and I track any violations of that on a different sheet. Which is very rare.

The maximum MFE and MAE is of limited use in my opinion.

More of interest is the the standard deviation and the mode / poc of the MFE and MAE of the winners.

First how far does the trade goes against me?

The mode / poc of the adverse tick movement is 0 and the std deviation of the  adverse movement is 2 ticks.

This tells me that I am choosing setups / entry where price quickly goes in my favour.

It also tells me that if price goes more than 2 ticks against me, then I am either early or the trade is likely to stop out.

How far does price goes in my favor until it makes a pivot on the 5min.

The mode / poc of the positive tick movement is 10 ticks and the std  dev is 12 ticks.

I have used this to choose for my first target a 5min within 10 ticks of my entry and the second target is within 12 ticks.

This information fits in with the stats for a 5 min rotation in the Bund which are 12 ticks mode and 18 ticks standard deviation.

For every 100 trades I re do this calculation to see if my first 2 targets needed to be adjusted.

But when it comes to adding size, the question is for me, do i add a runner or do i just increase size get out at current targets levels.

For this I need more data.

Going forward I am going to be collecting data based off the MFE and MAE on the 15min time frame. Entries are still on the 5min.

I will use the mode and standard deviation of the MFE and MAE of these 15min rotations and compare that to my current targets.

I will use the expectancy formula of (average win x win percentage) – (average loss x loss percentage) to compare increased size at my current targets and stops against targets based on the 15min rotations.

This is the first 26 winners

Okay, a decrease in the mode to 4 ticks and an increase in the standard deviation to 16 ticks. But this is a too small sample size to make any decisions on.

I have also started to track the reactions to levels dependent on how large the rot is on the 5min / 15min and 60min time frames.

Again not enough sample data to make any decisions but initial thoughts are that fading a common 15min rot pullback has more potential room for profit than fading a 15min standard deviation rot.

I also tracking the 15min trend and 60 min trend to see if there is a correlation

Once I have a minimum of 100 trades based on this data, I will analysis this to see how it will effect my expectancy and whether I should alter my targets or have a third target.

If I started again what resources would I consider essential

If I started again what resources would I consider essential

I have been trading for six plus years now, and the learning process for me has seen its fair share of detours and dead ends. I have wondered recently, what advice on resources; I would give myself if I started again.

The following has probably had the biggest effect on my trading over the years, but there has been many smaller influences that have all contributed to my current style of trading.

Finding a potential edge in the market

Whilst this is an area of great importance, I found that it is not the key to success by itself, rather a foundation. Without an edge we cannot make money, but even with an edge there is no guarantee of making money.

I have no affiliation to the following so I am not going to put links up for these resources but I think that these are all good places to start looking for an edge.

You can just google them and each of these have excellent free resources as well as paid stuff.

Supply and Demand by Sam Seiden from Online Trading Academy

Supply and Demand in a Nutshell thread on Forex Factory

Tom Dante – Support and Resistance.

Lance Beggs – yourtradingcoach – Price Action Trading

Futures Trader 71 (FT71) – Volume profiling, context and much more

Adam Grimes – The Art and Science of Technical Analysis – Excellent blog and course

Peter Davis – Jigsaw Trading, excellent videos on reading order flow and volume

Investor RT – Homework – Plenty of ideas here to find a statistical edge in your market.

Back testing the potential edge

It is important to have a good understanding from your own back testing that there is a potential edge. Do not take any other traders word for it including mine.

We must learn how to do this properly. Many of my first back tests where flawed, and this means that we are starting from a dodgy foundation.

Resources I found invaluable in improving my back testing

Adam Grimes – The Art and Science of Technical Analysis – his free course and blog cover this topic in depth.

FT71 – His videos on standard deviation curves in excel are invalable tool to every starting trader.

Evidence Based Technical Analysis Book by Aronson . Whilst the actual testing of the systems was not particular of use to me, what was very helpful was how to test systems and how to make forecasts, all of which helped me in my back testing and in making better plans for the day and intraday.

Forward testing the potential edge

Test the edge on a demo account, personally I would not spend a lot of time in this area it has limited uses in the long run.

The primary use is to compare that over a minimum of 50 trades, it produces similar results to back testing.

A Realistic Expectancy

And I am not talking about our edge, I am talking about our expectancy of what is going to happen when we start trading live. There is a lot of crap out there but I would recommend the following 2 people

Tom Dante for the no bullshit truth about trading, and

FT71 from Stage 5 Trading. And his you’re not special approach.

Both have invaluable information to share about life as a trader.

Rules and Plans

You need rules on how you going to enter and exit the market, even if you are a discretionary trader.

I suggest that you look at Tom Dante flow chart for his setups and start from there.

You need a plan for the day, again I would suggest a good starting point would be Tom Dantes’ Futex trading plan and then FT71 videos on trader bites and hypos.

The important thing to remember that the key is simplicity, the more complex it is the harder it is to follow. We must work constantly to improve the processes we use.

For example I am on version 24 of my setup rules and version 17 of my trading plan.

I would suggest reading Daniel Kahneman and Thinking, Fast and Slow. I personally think that this contains essential knowledge about how a trader should be approaching the whole trading process.

Journals

This is the one of keys in my opinion for turning the corner. This is key to constituency, finding weak areas and finding stats to improve our trading.

Excellent resources on journaling are

FT71

Lance Beggs

Tom Dante

Adam Grimes

Edgewonk

I think that one of the most important but missed aspects of journaling are mistakes and error trades.

I have written about that before

My first attempt at reducing errors, which was successful from taking me from an error rate of around 40-48% to around 10%

How I made tracking and reviewing trades work for me

And my second attempt to get it from 20% to under 10%.

How I am using my trade journal to improve my trading 

In between these 2 attempts of reducing my error rate, I had tweaked my style of trading to be more aggressive, which resulted in more trades but an increase in errors especially in the “not in the plan” and revenge trading.

Are you mental enough

The psychological side is another key to turning the corner. There are a lot of excellent resources out there that focus on the trading side so I will not cover these again but would suggest that these books are essential reading for every starting trader

Chimp Paradox – Steve Peters

The Power of Habit – Charles Duhigg

Thinking Fast and Slow – Daniel Kahneman

The biggest thing that helped on me, was learning and accepting these 2 things

If I want a different outcome then I must change my approach / behaviour to achieve this.

I cannot control what has happen in the past but I can control how I react to it.

I am not sure who it was that explained these two ideas to me in such a way that I truly understand and implemented them to a degree that changed by mental state. I think it was FT71 but I am not 100% sure.

I would suggest that you take a leaf from Bruce Lee

Adapt what is useful, reject what is useless, and add what is specifically your own.

Good luck on your journey.

How I am using my trade journal to improve my trading. Part 1

How I am using my trade journal to improve my trading. Part 1

I use 2 journals to track my trading one is the excellent edgewonk journal and the other is an excel spreadsheet that I have developed over the past 2 years (on version 24).

I am constantly working on my own spreadsheet to give the information I need to improve my own trading.

The past 6 months I have worked on 2 main goals

The first is to decrease the number of errors I make in my trading. In my opinion, the easiest way to improve ones trading system or at least to the best way to see if a trader has an edge.   I was tracking the number of error trades as part of my weekly review but on pen and paper, so I decided to include as an individual setup in my journal.

For a trade to fall into the error category, it had to break one of my setup rules, be an impulse / revenge trade or not be in line with one of hypo or updated intra day hypo. For example, I want a short and not get filled then I find that I taking a long as that was the next set up I saw, instead of looking to get short on the failure of that long setup.

I was tracking these pretty well in my pen and paper weekly review but I was making much progress in reducing this number. My number of errors was average 23% of total trades, when I started with the  tracking weekly average was coming in at between 40-48%.  Yes that is right, 48% of my trading was fuck ups. I had got it down to 23% and occasionally I would get it down to under 20% but I was struggling to consistently to get it below that number.

As soon as I started tracking the number of trades via my journal, the first time I had a string of 3 error trades in a row the numbers hit me in in the face, and I found that I automatically started to reduce the number of error trades.

Below is the first 17 trades, just look at the error trades compared to the other setups. Somewhere some village is missing it idiot.

Below is the first 50 trades since I started tracking errors as a setup.

As we can see there was a total of 9 error trades (ERR.B + ERR.T) out of 50 trades. With a win rate of around 13%, also note the expectancy (exp%R) and how much these trades went in my favour (avg MFE) compared to my other setups. And these trades make up 18% of my total trades. Pretty much dragging my performance down and the knock on effects to my morale was also effecting my consequence performance.

These numbers motivated much more than the tracking via pen and paper spreadsheet.

Whilst I thought I was implementing the following in my life, these numbers helped me realised that I was not really fucking embracing this. I would not say that before, I was just paying lip service to this, but I was certainly only applying this way of living, in certain circumstances when it suited me.

I cannot change the fact that I fucked up, but the one thing I can change is how I react to fucking up.

After the fact that is the only thing left that I can control. 

This is the next 100 trades

Note that the error trades have dropped to 9% but still not great, but a big improvement.

To improve on this I set myself a target of not making an error for a whole week.

This is the latest 50 trades.

Errors down to 4%, a lot better and making less errors have given me a lift in confidence in my trading.

I hit my target of a whole week of not making an error, and then set myself a not making an error for 2 weeks.

I blew it in the second week by making 2 silly mistakes. Both revenge trade against my bias and plan.

And as I track my bias and my plan in terms of whether it was correct, neutral or plain wrong over every 2 hours of the session. I was trading in both of these trades against my exp and bias and this changed my win rate for each of these 2 trades from 80% and 77% to 41% to 33%. So even on papers there where not good trades to take.

I have run out of time. But next week I am will look at how I am using my journal and stats to improve my return on my existing profitable setups.

My Tradeplan Shorthand

My updated shorthand below.

I have explained only one side. For example WRH weekly range high. I have not put the explanation in for WRL weekly range low.

Any questiuons drop me a line on twitter @adeyf69

 
 

BZ

Buy zone – area I am interested in buying in

BAC

Break and close – means that price has been accepted above / below this level.

BAL

Balance / Range Area

BOF

Breakout Failure of a level

BPB

Breakout of level and first PB

BEOB

Bearish Engulfing Candle Pattern

BUOB

Bullish Engulfing Candle

BEARPIN

Bearish Pinbar (and of course there is a Bullpin)

COMP

Composite, normally relating values for volume profiling

COM

Commom, meaning mode distribition normally in relation to the length of the rotation

C.WHL

Current Weekly High

DATR

Daily Average Range

D.

Prefix indicating Daily 

ERC.V

Extended Range Candle with Volume. Larger than normal candle with larger than normal volume

EXP.HIGH

Expected High for the day

FIB

Fibonacci Level

FTB

First time back to level, 2TB is second time back

HTF

Higher Time Frame meaning the 60min

HOLDS

Price not accepted past this level

LTF

Lower Time frame, 5 mins and below

L.BIAS

Long Bias

MRH

Monthly Range High

MM.U

Measure Move Upside

OTF

Other time frame, traders on the 60 min plus timeframe

OIR / OOR

Open In Yesterday Range / Open Outside Yesterday Range

OE

Over extended

PB

Pullback

REJ

Rejected

ROT

Rotation (swing length) comes in sizes, the rot (swing) is either shallow, mode/common, standard deviation and /over extended (SD2) ( I use 90% for SD2)

STRONG CLOSE

Close hear the high (>80%) on up candle or near the low (

SZ

Sell zone – area i am interested in selling

VPOC

Volume Point of Control

VAH

Volume Value High

VAL

Volume Value Low

WRH

Weekly Range High

WATR

Weekly Average Range

W.

Prefix indicating Weekly

Y.HIGH

Yesterday High

 

How I made tracking and reviewing trades work for me

When I first started trading one of the lessons that was drummed into me was that it was important to track all my trades.  All the usual reasons were given, this is a business and you need to know the win/ loss ratio, the real expectancy of the system, etc. I had no problems with that mindset.

I have tracked and analyzed performances most of my working life from my racing to projects, departments, individuals and businesses. I have always found analysis and tracking performance a great way of finding out what works and what does not work.

But for a time I find that tracking trades in the traditional way was not helping me and actually was hindrance.

I had been trading for 3 years, and during the last year I had found that whilst I was making progress I was still was only just break even.  I could not work out why the learning curve was so slow, my analysis of my results was not helping that much, in fact I found going though my trades and analyzing them was pretty depressing and would put me off taking more trades.

What I could not understand was why was my tracking and analysis not really helping me but in fact hindering me, when in my past experience tracking and analysis performance is one of the quickest ways to make progress.

The difference is that in my past, all my tracking and analysis was done on methods that were consistently applied.  

So maybe I was tracking the wrong things in my trading.  As I was not profitably with a system that was on paper a profitable system (i.e I had a clear set of rules and trade plan and I had backtested the system).

I went thru my trades and labeled each trade I had made errors in. 

Questions I asked myself included

Did I take the trade when my system indicated?

Did I enter as per my rules?

Did I place my stoploss as per rules?

Did I place my take profit as rules?

Did exit early and if so was that per rules?

Did I manage my trade as per the rules?

I did not focus on the profit to reward ratio, the expectancy or it was winner or loser or any of the traditional metrics.  I just concentrated on whether I followed my rules consistently.

What did I discover? That whilst I thought I was following my rules and overall I basically was, there was many times, when I basically bent or broke certain rules. I broke or bent my rules on 40% of my trades.

Occasionally I would miss trades that did not look right, sometimes I would place the targets too far or too close (not at where my system said I should place them), I would enter early or late.

If I calculated that if I reduced my errors to about 10% of trades that my trading would be profitable. No new indicator, no new system just the reduction of errors would take a break even system to a profitable system.

So what is the point of tracking trades on the traditional parameters when each trade was entered or exited slightly different, I was not tracking a system, I was tracking a system where the rule set was altered each time I entered and exited a trade.

 So I started to focus my tracking on the errors. Defining the common errors and then working on solutions to reduce or eliminating these sort of errors.

I discovered that I had grey areas in my plan, where I could interpret my rules in different ways. These where the weak areas in my system and this allowed me to develop rules around these situations. 

I am now on version 22 of my trading system, there are no major changes to the original system, it has got simpler and I make a lot of use of “if…then” statements so it is clear what actions I should be taking to ensure that I trade consistently.

I think it was important to note, I was not making any big mistakes in trading, I was not revenge trading, I was managing my risk as per my rules. But I was making a lot of little mistakes and in the end that made a huge difference in my trading profit and loss. I was dying of a thousand paper cuts.

 Of course if I had a system that had no edge then nothing I would do would change this to a profitable system.

I believe that success is achieved in trading with a system with an edge  plus money management plus mental toughness (psychological side of trading) and the ability to be honest with oneself but all this must be wrapped in a layer of constituency. Without this then I fear that the results will always be mediocre.

If I could go back to when I first started trading, I would give myself the following advice:

If I have a system which is profitable on paper but not profitable live, then I would focus on ensuring that I was consistently applying that system every single day and that includes taking every trade that the system gives me.

I would spend equal or more time on tracking my performance as a trader on applying my system in the market.

I would then use the results of this tracking to give myself goals for the week and month to work towards becoming the best trader that I can be.

If I am applying the rules consistently and it is still not profitable then maybe the system does not have an edge in the live market.

Of course I still make mistakes and sometimes I make the same mistakes more than once 

But this framework has allowed me to identify where I am going wrong, where my system or trading plan had weaknesses or grey areas. This has given me clear areas to work on and improve my trading game.

I now have a system that I more confidence in, a trading plan that actually is a lot simpler to follow and understand and surprising a lot less stress as I know what to do in every situation.  Please note I did not say stress free.