Did It Again

Thursday June 28th, 2007 ES Futures - FOMC Day

Today the CAT Indicator kept driving higher up until the FOMC Meeting, but price was choppy and driving sideways for the majority of this time. This is another case of price having to "catch up" to what the CAT Indicator is predicting to be happening. An earlier posts shows this happening to the short side and today was a good long play example.


I still need to do some more research to verify that this is not just a recent phenonmenon. But I find this a very interesting and so far a reliable clue towards price action produced from the CAT Indicator.

Trade Well, Trade Wise
John

Buy, Buy, Buy

Wednesday June 27th, 2007 ES Futures

Buy, Buy, Buy is what the CAT indicator said most all day today. There was an initial dip below zero off the open. It is hard to see in the compressed 1-minute chart, but it was all up from that early CAT low. Every dip in price high showed a higher low in the CAT indicator.

Now if I just listened better, I would have had a much better day. I must figure out why I end up fighting the trend as much as I do.

Trade Wise, Trade Well

John

Late Post

This is a late post since I found some issues with on of my new filter indicators, the Mini ADV. I believe I have my indicator fixed now and I wanted to point out what the CAT indicator showed for Friday.

Friday the 22nd of June, 2007 ES Futures

I found it interesting that the NYSE Tick was very weak Friday. This weakness showed in my CAT indicator as it just kept driving lower all morning. Notice in the following 1-minute chart how the purple line for the CAT stayed much closer to it's down trend line than did either the ES price or Mini ADV indicator.

At the low of the day, all the values were back around their respective trend line drawn off of the lows mad early in the morning.

How Did it Go

I'm still taking too many trades "late" in the move. If I pass on a signal or just miss a trade opportunity I have a really bad tendency to just enter a trade "hoping" the move keeps going. First of all - there is the "Hope" word using to describe my trading. I must get the "Hope" out of my trading. These are not "signalled trades" but I'm having a hard time eliminating this trade for some reason.

Need to Keep Score

50% cost me 1 - 2 points
25% scratched out at break even (still cost commission)
25% profited 1 or more Ticks with one (only one) profiting 1 point

Need I say this put a big dent in profits for the day.

If I entered a counter trend scalp trade and traded the opposite direction of these trades, I think every one of these would have held an initial 1 point stop and hit a 1 point target. I'm not planning on trying this, but I can show this over and over again, but still have troubles not taking this trade. This will change.

Trade Wise, Trade Well
John

Indicator Issue Fixed

When I investigated why my Mini ADV Indicator did not show the initial drop on Thursday the 21st of June, I discovered a couple of issues. One change to the calculation that would have effected historical chart review and another data issue that I believe caused some of the chart discrepancies. Here is what the chart should have looked like.


I like how this filter indicator seems to support the indication of turns in the market. Still more research to do.

Trade Wise, Trade Well

John

Indicator Update

Thursday June 21st, 2001 ES Futures.

I had a good day today. Still not capturing all that I feel I should, but I feel like I'm getting back on track. I need to start keeping score based on the number of "good signals" I take and the number of times I try to "jump on" a trade late. Based on my track record, I am far better off fading the move for a 1 point counter trend scalp trade than I would entering the trend trade late with a 1 - 2 point stop. I respect what FlatWallet is doing keeping score on a two week count down to consistently follow his method. I should come up with something similar for my discipline.

What about the Indicators

Thought I'd share an update showing my two filter indicators CAT (Purple) and Mini ADV (Blue). Thanks go to Dr. Brett for inspiring these indicators. The CAT is a copy of his Cumulative Adjusted Tick, and the Mini ADV is a twist I created based off of his Relative Dollar Flow. As you can see in the following 1-minute chart of the ES for today, both of these indicators tracked with the trend fairly well.

The CAT mimicked all of the swings the best. But overall showed more weakness today than is reflected in the actual price action. Turns are more often than not signalled late as well.

The Mini ADV signalled the turns much better. I added yellow vertical lines to compare the turning points through the chart. Several of the turns were double tops or bottoms and I only highlighted the candle with the most extreme tick reading of the two. Mini ADV either "turned" at the first top or bottom or "turned" between the two.

I need to do a lot more research with these "filter" indicators. They did help me today to stay with what seemed like the constantly changing trend. I specifically want to figure out why the Mini ADV did not represent the first swing lower.

Trade Wise, Trade Well

John

Mini Advance Decline

The biggest thing I don't like about the NYSE ADV - Advancing Issues is that it tracks from the prior day's close. I can see the Gap in prices and I don't need a "false indication" that is generated by the gap. I want to know what the stocks are doing for me today. Also since stocks have a staggered opening, it takes some time for the ADV to "build up steam" and become useful off the opening. I find this is often 15 - 20 minutes.

For fun I took Dr. Brett's stocks used in his Relative Dollar Volume Flow and made my own Mini-ADV. I trying out an indication of Up or down from the Open.

How Does it Work

I need to do more research, but I find it interesting so far. Notice the high in the ES Futures at 9:45 CT. The Mini ADV is the blue line at the bottom of the chart. It was working its way lower. Time will tell.

Remember

This is not a new "magical indicator" to pick trades. This is just a potential filter tool.

Trade Wise, Trade Well
John

Took a Break

I have noticed that there are a lot of bloggers that are taking a break from their blogging activities.

I needed to do the same thing this last week and I'm trying to decide if I'll continue blogging or not. For the immediate future you will see a reduction in the number of posts as I work on some more Trader Feed indicators and spend more time on my trading statistics.

Trade Wise, Trade Well
John

CAT Indicator

Cumulative Adjusted Tick Indicator

I have my current implementation for Dr. Brett's cumulative adjusted tick indicator that I refer to as CAT. Quick background - CAT is a running total for the current day of the 1 minute NYSE Tick close value that has been adjusted by the average Tick value for the past 20 days. If you are an Investor/RT user let me know.

Not Exact

I had been unable to match Dr. Brett's values as shown in his May 24 post and parked the indicator. I decided to dust it off this week as I have been looking for an indication of trend days to help hold for the bigger moves.
My values still don't match exactly, but are "close enough" for now. You can see how my indicator crests just over the zero line before showing a nice down trend on May 24th, 2007 below. Dr. Brett's indicator never goes above the zero line the entire day.

Other than the differences in the values, I do like what I'm seeing from this indicator. More historical research is needed to see how this reacts in different market conditions.

Sample Charts

Down Trend - May 24th, 2007 and June 7th, 2007 are remarkably similar days and show how the CAT behaves on a strong down trend day.

Choppy Day or Mixed day - Today's chart, June 15th, 2007 is a decent sample for a chart that has mixed up and down trends with some choppy periods as well. I found it interesting that the CAT showed a trend into the close, but that price did not follow through.

Trade Wise, Trade Well,
John

Have You Ever Noticed

Just before a "Big Move"

The following charts display two examples from today's (June 7th, 2007) price action that I'm always trying to be on the lookout for in price action. I have to say I'm just beginning to trade them properly.

Well get to it already

Just before the big moves are made, the market does the best it can to shakeout and fake out as many people as possible. I dialed into the 1-minute chart to show more of the price action.

What Do You Mean by That

Notice the nice methodical "Stair Step" down pattern was from the double top high after 9:00 CT down to what could be a double bottom low at 1527. The second low comes in right at 9:30 CT. Then the market moves up above 1528 and does a head fake lower to get some more shorts to jump in.

Then there is an abrupt detour in the down trend and price drives straight higher. We make another top at 1530.50 price. I'm actually surprised that we did not go at least 1-tick higher as I'd expect some people had stops above the prior 1530.50 high. Enough people must have moved their stops to 1529.50 area. Would your have left your stop 4 points above and stayed in this down move?

Then note what happens on the way back down. Price hesitates at 1529 for those people that want in of this "up trend" we just had. Then price presses a little lower. The people long at 1529 are now "hoping" for price to come back higher and I'm sure a few more people get long at this "better price" before price is crushed down past the prior lows.

Also Note

Be sure to note the high in the NYSE Tick when price drives back up to 1530.50 just before the big drop. The Tick made a "higher high" when compared to recent Tick highs. This could mean a turn back higher, but also often signals the big "stop run" before a return to the prior trend. It is our job to figure out which one is being signaled.

Another One

Look at how complex the bottom is before the market goes nearly 10 points higher. The first low is 1509.00 at 12:42 CT. Then we have step one higher to 1512.50 at 12:47 CT follow by the retracement down to a potential "higher low" just missing 1510 at 12:49 CT. Now notice the 12:51 CT and 12:52 CT candles. A quick slam down and back up again for anyone wanting to get short as there has not yet been a "higher high" yet that may keep some people from getting short.

Price grinds higher to the 1513.50 high after 13:00 CT. Then the move down seemed to me to be a pop up in price followed by a quicker slam lower until we made a lower low. Then price went up 2.5 points, back down 2 points, up 2.25 points, back down 2, and then up 3.25 points. In this big of a down day, who would hold through all of that to catch the long move higher? I did not play in any of that chop.

Look what happened next. Price comes down 3.5 points. 1 Tick lower the the last of the three lows described above. I tried to to get long this last time down.

You What?

I tried to get long at 13:36 CT. If you look at the 5-minute chart, the 13:35 candle had lower over all volume. Call me crazy, it looked like I should try it. Well I did not get filled. Looking at a faster chart (not posted) price dipped below 1510.00 @13:36:23 CT, touched 1509.00, and was back above 1510.00 at13:36:38 CT. I had 15 seconds to place my order. Actually I tried for 1509.50 and price was only below for 5 seconds. I could have gotten in at 1510.50, but that is where I would have taken off my first half trying to let the second run for more profits. With only a few hesitations for people to get short at, price drove straight up 6 points.

Hope that makes sense. Let me know if I should mark up the charts more and what you would like to see as mark ups to help better describe the price action.

Trade Wise, Trade Well
John

Extreme Weakness

Thursday June 7th, 2007 ES Futures

How Did it Go

Better, but still not where I want it to be for a day like today. I caught a couple of the down swings and actually make some profit on a couple long trades too. But I still can do better. As weak as the NYSE Tick was today, I should have shorted anything that even looked like a top.

Why was my game still off today. The price action felt jittery or jumpy to me most all of the day today. I seemed to get transfixed with the jumpy price action and did not focusing on all my tells like I should. It started when I just missed the rocket ride to the long side early in the morning. I took me over an hour to adjust and get a good feel for today. Then I still felt a step behind on many moves.

More Volume Tells

This is a little hard to see in the 5-minute chart but try to follow along. We start by looking at the double top between the 8:50 CT and the 9:05 CT candles. The 5-minute chart then hides the pull back as it is split between the 8:50 CT and 8:55 CT candles. Leaving both 5-minute candles looking Green or up moves.

But notice the volume after the first top. Big drop in volume and reduced again in the 9:00 CT push to the second top. What you did not sell the top, there was 5 minutes to sell 1532.00 or better. Well I saw it, and decided not to trust that signal as we already shot up 4 points on almost unbelievably weak NYSE Tick readings. I added to the 5 minute chart for reference.

Normally I'd expect to see NYSE Tick readings touching the green horizontal line in the chart for price to move significantly higher. See how the first near touch at 13:30 CT started the afternoon long trend.

Next, the 9:15 candle's volume screams short the next turn down. I should have taken it, but the NYSE Tick was so weak that I was waiting for a slight push higher before I shorted. My Volume Delta indicator tried to tell me that was all I was going to get for the move up. I was still trying to get in sync with this very "different" day.

Trade Wise, Trade Well
John

One Step Forward, Two Back

Wednesday June 6th, 2007

How did it go

Don't ask... I traded very poorly today. Volume started out good and gave the appearance of a trend day fairly early. I lost count of the number of signals that I should have taken. They all would have been profitable to varying degrees and some were even long trades in the afternoon.

I did get a couple of profitable trades, but gave it back chasing entries on trades I did not get in at the signal.

I really need to start trading my system. In the long run, I will be far better off just trying the confirmed entries with the trend. I'll more than be able to give some profits back on the choppy days as days like this will more than make up for it. Assuming I trade them right.

Note the Volume Tells

Check out the lower volume on the early green 5-minute candles. Especially the 3rd, 5th - 6th, 11th - 12th, 15th, and 27th candle on the chart. They all helped to confirm 4 short legs on the initial press lower. The final was a clue to catch the last half of the second big push ;lower in today's Gap and Go price action.

Then we had the opposite for the 11:15 CT candle: Red candle with lower volume - Time to get long.

Then a harder one. The 11:35 candle with really light volume. But also notice the increased selling volume in the prior candles. I saw it, but instead of getting in, I wanted to see price press closer to 1522 again. This second move down was ugly, but volume was trying to coax me in. I just like to see a better rallies to short into, but I'm starting to be a broken record about not taking signals in tight sideways chop.

Later in the afternoons I often find it difficult to use the 5-minute volume as we seem to be more apt to chop around and the read is not as clear as in the mornings.

Trade Wise, Trade Well
Someone needs to as I have not been recently
John

Baby Steps

Tuesday June 5th, 2007 ES Futures

How did Today go

Today was not a banner day for me. I ended up positive, but I definitely needed to take some "Blind Faith" trades to make today deliver the results I would have expected for today. I had four occasions where I found myself saying I should be in a trade, but ended up watching anyway. See the Red lines (first two) for short trades and the green lines for long trades.

I think I'm being overly judgemental about my entries. Last week I found myself chasing price after taking too long to decide that a signal was good. When the market is not trending, chasing a price swing ends in a scratch trade 80% of the time and that requires me to "give up" on the trade before price retraces and would often hit my stop for a small loss.

I'm also trying to press myself to take the signal at the "right time" or to let the trade go after reading Dr. Brett's comments about the replies to his Coaching Project and today's Discipline post. If I had to place myself in one of the categories Dr. Brett describes in the Discipline post it would have to be the volatility category.

It feels weird to me to say the cause to my discipline breakdown is volatility. But I can make an association. The signals I'm passing on too often are tight coils where price often moves sideways for 10 to 15 minutes. Today's first short example fits this to a tee. Price went down 9 of 10 points before we had a rally of more than a point. I had several "confirmed short" signals but passed as I always felt I was shorting the low.

I think a mental association with shorting the low is more apt to be the cause. I feel I built this association by "chasing" entries late. Since price often moves in surges, a late entry will more often then not comes at or near the next "counter trend" signal in my system. Then price usually retraces enough that I have a hard time justify holding on to these trades. On a choppy day, these surge moves are often the head face before price turns back into the chop.

But now I'm in a catch 22. My discipline problem is caused by a discipline problem... Err, lets not go there.

I will say watching the 5 minute volume helped to keep me from taking some counter trend trades. Starting with the first Red candle of the down trend (just before the second high in the double top) at 10:10 CT we had light volume followed by an increase in volume as the trend started down. Then the 10:20 CT candle had lighter overall volume, BUT note that the "Sell Volume" as indicated by the Red portion of the volume bar increased from the prior bar even with the lighter volume.

This afternoon, I found Volume to be a much harder read.

Trade Wise, Trade Well
John

Under the Weather

Monday June 4th, 2007

Did not trade Today

I was up sick too much last night and decided it would be better if I did not trade today. Feeling better in the afternoon, I opened up the charts to see what I missed.



It does not look like I missed a lot. Price spent most of the day in the 4 point Value range defined Friday. Note that we had another one of those interesting days where the Volume Breakdown Accumulation works it way lower while price works its way higher. The last time this happened, while I would not have expected it, we had a nice rally the following day.

I believe when we see this happening that the large players are "lightening" or reducing their long positions some. They just are not being aggressive about it. This has not enhanced any edge for me at this time.

Trade Wise, Trade Well
John

Blind Faith

Friday June 1st, 2007 ES Futures

Spotlight Trade

I have been reviewing my trades even harder recently. I review the trades I have taken and compare the entry timing of my trade with the trade signal. I also consider signals my system has given, but where I did not take the trade. I discovered a consistent theme of trades that were profitable, but I was filtering out the signal and consistently not entering these trades.

When I received a signal while price was "ledging" sideways, I would not take these trades vary often. There was a short trade earlier this day that I should have traded but passed. So when this trade occurred I was more determined to "believe my signal" and take the trade.

To see this pattern, start at the low at 11:50 CT. I had a "counter trend" long signal here but focus on trend trades until I have built up more profits for the day. From this low there was a nice price rally higher followed by a retracement back down to the 1535.00 price.

One quick tag of 1535 and price shot up above 1536. My entry signal came on the 12:08 CT pop higher. Initially I thought I had a "run-away" where the possible trade entry price was too far from the signal. Then I felt that price was "ledging" sideways. Some people call this sideways price action a coil or shelf. Still others would say this is the right shoulder of an inverted head and shoulders pattern. The low being the head in the pattern.

I entered at 1536.00 still having my doubts. Then price did a quick press lower towards 1535 again. I thought to myself here we go, the market wants to test my stop and see how much room I'll give this trade to survive. Then even faster price shot higher again. Can you say blast off!

My first half was out at 2 points. When price seemed to stop pushing higher, I only allowed a few ticks and took the remaining profits off at 1.5 points. I was so elated that I took this trade and it worked that I missed the re-entry at 1537.00 as price retraced back down to test the "launch point" and only rally back up to the swing high point.

I don't usually look for head and shoulder patterns as a part of my trade signals. I only noticed this pattern when I wrote this blog entry. The standard H&S target, from the head to the neckline, was not reached. I would have liked an extra point for my second half of my position. :-)

Trade Wise, Trade Well
John