Scalping the DAX (SIM)

[CanOz]

Another try at scalping while waiting for FB to open last night got me thinking about how hard it is to trade against the market, for most. This is the DAX.

Most of the profitable trades were made by selling a spike up or buying one down. Quite often i waited until the price tapped the MA. I will post a chart later with the entries on it. All on the sim of course.

It was amazing how quickly i could make up the losses, and how after a while it felt more natural and the entries were much much better.. I'm sure TH would have some advice here, or others that scalp, Joules?

Any way i am going to keep myself from looking at my auto system by learning to scalp indexs, so I'll start another thread on the HSI later too.

Have a great weekend.

CanOz

[Joules MM1]

Another try at scalping while waiting for FB to open last night got me thinking about how hard it is to trade against the market, for most. This is the DAX.

Most of the profitable trades were made by selling a spike up or buying one down. Quite often i waited until the price tapped the MA. I will post a chart later with the entries on it. All on the sim of course.

It was amazing how quickly i could make up the losses, and how after a while it felt more natural and the entries were much much better.. I'm sure TH would have some advice here, or others that scalp, Joules?

Any way i am going to keep myself from looking at my auto system by learning to scalp indexs, so I'll start another thread on the HSI later too.

Have a great weekend.

CanOz

i can only attack price from my pov.......what time i engage, is it early with the pros and is it a clean trend day or a transitional day, is price rotating in a range and over how many days.....what's being established? what's the set-up for news play adn is the set-up for news resulting or for news coming in a day or two? ......basic planning and perspective for the day... once that's out of the way you have all the inside games to deal with, so, yes, opps from spikes up/down plethora of traps to get into, i mean, when you see the traps being built or a clear battle of size (but its tiny points range) then you can play gate keeper ......i dont use indicators in this kind of traffic and i'm very piccy about when to engage so i'm not consistant enough to answer your questions ......i find if i get the planning right and allow a lot of movement within that context then my strike rate is healthy and use very small size.....most importantly seeing when players have shifted sell to buy side when sell liquidity halts weaker buy-side or fakes is the time i'll engage unless a previous days rotation is complete and we get momentum outside a range that's larger than whatever the days are that have held that rotation......DAX def has a diff personality just like the poms and very good at traps no where near as smooth as the spx .......i think the difference between bar spikes and liquidity rotation is a fine line to observe.......take your time on that

yeah, make up the losses.....that's a trap within itself.....i mean if the vol is wide enough you can get out of jail quickly but that can become a linear trap as an idea and you'll hang on and lose your faith in your idea when price moves just far enough and the metric your using gets dragged with price against you adn intro's frustration.....again, that would make me use extremely small size and want fractions unless i can see a large game plan being employed

i know this might sound dumb but getting trapped is a very good learning tool when using tiny size, you just 'see' differently than if in a sim or oversized bets.....

the metric is purely a permission to transact, after that permission, mm's all the game and the only game if youre looking at price through a metric rather than through your whole/overall game plan and this is what makes some traders fall into a great session and then fall into misery because they've focused through a metric rather than the purpose of the auction......

just ideas mate

[Joules MM1]

Another try at scalping while waiting for FB to open last night got me thinking about how hard it is to trade against the market, for most. This is the DAX.

CanOz

part ii

on the way down you can see clear accum clear distribution...two diff sets of hands you can see the liquidity game changed in the final thrust bars down...... so has the auction completed here......., volat and volumes would have died down, that's your obvious first clue for bias, the rate of price change and the width of it is different....i dont mean filtered through a metric, i mean, with tiny size on you have an onus to be aware of the activity within each bar and who's likely to be in, who's left the auction and the purpose of the last thrust down not just to stop distrib's but to get weak supply..the questions youre asking need to be different, that's the key here i think, a new set of questions rather than a new set of answers from a metric and you can call that touchy feely approach if you like, but if youre ever going to read the auction your focus needs to be at the present with the price rather than chained to what drags behind it .....i'd want to see much more of the larger time frame history for other context ideas before entering.......

more ideas

[CanOz]

Thanks Joules, agree on mm. I'll be using NT's chart trader to start with and i may try a few different indicators in order to see the price extremes and pullbacks that i am trying to capture. The chart trader comes with a good trade management tool that i will use to keep the losses the same, allow a break even profit and a trail for ones that allow that kind of thing.

I'll fool around on reply for a while this weekend.

Cheers,


CanOz

[CanOz]

part ii

on the way down you can see clear accum clear distribution...two diff sets of hands you can see the liquidity game changed in the final thrust bars down...... so has the auction completed here......., volat and volumes would have died down, that's your obvious first clue for bias, the rate of price change and the width of it is different....i dont mean filtered through a metric, i mean, with tiny size on you have an onus to be aware of the activity within each bar and who's likely to be in, who's left the auction and the purpose of the last thrust down not just to stop distrib's but to get weak supply..the questions youre asking need to be different, that's the key here i think, a new set of questions rather than a new set of answers from a metric and you can call that touchy feely approach if you like, but if youre ever going to read the auction your focus needs to be at the present with the price rather than chained to what drags behind it .....i'd want to see much more of the larger time frame history for other context ideas before entering.......

more ideas

Great stuff Joules, i think for some it may be easier to see this info from the ladder, and I'll toss one of those in too and y'all can help us interpret that.

I use the buy/sell volume to look for those capitulations that can result in a reversal, as well as the three drives to a high/low.

Thanks allot mate.

Cheers,


CanOz

[CanOz]

This is on market replay, I cheated a little and sped it up x3 which i think makes it easier to see how the markets moves. TH/Joules, if your reading do you use market replay for practice?

Again i was just trying to trade with the short term trend entering on pullbacks with a wide stop (20 ticks) and taking 2-6 ticks profit each time.


Cheers,


CanOz

[tech/a]

Agree with Jules.
But I'm less methodical.

I dont scalp--I like to ride a while

I may take 4-8 trades and get stopped at B/E as I move my stops to B/E really quickly---before one keeps going. Just a different way of trading.

Prefer the FTSE and have never traded the SPX.
FTSE much more Technically tolerant.

I also dont and wouldn't use indicators.
I would however look for opportunity to have at least a contract or so on a longer term position trade.
(Note to self to bloody well do it!!!).

[CanOz]

Agree with Jules.
But I'm less methodical.

I dont scalp--I like to ride a while

I may take 4-8 trades and get stopped at B/E as I move my stops to B/E really quickly---before one keeps going. Just a different way of trading.

Prefer the FTSE and have never traded the SPX.
FTSE much more Technically tolerant.

I also dont and wouldn't use indicators.
I would however look for opportunity to have at least a contract or so on a longer term position trade.
(Note to self to bloody well do it!!!).

I only glance at the RSI for divergence and OS/OB...other than that there's no time to look at it at x3 speed.

Honestly i thought i would want to a few, but its too easy (on the SIM) to just wait and another few points again in a few minutes.

CanOz

[Joules MM1]

This is on market replay, I cheated......
CanOz

that's great, Can ..........a lot to weed from that ......

i've found getting a chart and going to each time frame and asking what was i thinking right here for the drawdowns is a vital one.....get a black/white candle chart for the time frame you like dealing in and notate on the printed chart with no extraneous stuff use a pencil and annotate from your memory........on rare occasions i'll video prime hours especially for any new ideas i want to run as there's often too much to recall after the event but motion recalls very easily....a chart and a transaction list that's all....i realise that the time-spent and mm's are vital but theyre also the part that comes after the strategy and part of the strategy needs to come from the onus you have which is diff to get from a sim....there's the 3 ways to sharpen your strategy, to get onus, you see, onus is the key ingredient for improvment because your psyche can take on the information with correct focus, i mean, sure, youre focused in a sim and you can do the auto strats and build your game, i get that, so, what i'm saying is, if you focus on price alone and (maybe volume) then you are in the auction youre not enslaving yourself to extraneous stuff, so, that costs you in some way through time or money

to get onus, ; video way, money way or the peer pressure way
to save capital, you can use the video way or peer pressure viideo way is to film the major period or make a small period to focus on and run a video, then a day later with the transaction list review the video and make notes on the printed chart as you go......this is important because youre engaged in tactile way, youre re-entering the arena and the subconsciousness doesnt know the difference yet the onus to have correct focus is effective relative to a sim and the same goes for peer pressure where you sit next to a person who's a pro trader with your transaction list and the chart with annotations and you explain to them your thinking and you can answer their questions which again brings you back into the auction.....

look, just reading how long you held onto losers and stuff like that is great office work really when youre in a real transaction, that stuff's pedestrian, like mark webber in a sim versus fending off schumy, there's no dynamic onus like a live auction so you need to get as close in downtime to the real thing as you can, reproduce, so that all the ephemeral stuff is being experienced......it's budget experience, i know

http://s766.photobucket.com/home/joulesmm1/set/59919

this set of jpegs is a whole xjo session plus some post-cash 10min auction from last week and i've cherry picked the day (because i can!) you'll see 169 trades from the xjo, 3 drawdowns, + silver trades for the day and some turning and repo trades on gold for a weekly game i'm running....it's a live account and anyone who's used that platform can tell you it's real

.....note the tiny sizes, note that i have several games at one time and ill use diff size for diff strats depending what's unfurling at the time within a larger context and with size tiny as it is i can allow them to run and take other trades within smaller plays.....no volume, no indicia, no dom.....
i have to inspect the trades and recall why i decided to scale out of some and immediately enter with different size and that makes a big diff to me....i open the day flat and and closed out flat except for the spot plays

maybe i'll buy 20 xjo longs, maybe i'm in a trend day up, looking for recent activity that might clue me on reversions, set-ups for news, mid-tier money faking trendlines...so i get to the zone, go bid, soon as first fractions comes i take 2 off that's a 10% reduction of a .25% part of a 1.75% cap allocation.....trend moves on, a burst, maybe this is a distribution candle, 3/4 of a whole point rotates, i'm out 2+2+2 contracts doesnt matter if the fractions i get are higher or lower in length, 12 left on the table.....new spike and it's the right continuation signal, i add 20 contracts, 32 long now.....i immediately take every fraction i can at 2's until the 12 are gone and again, doesnt matter the length of the fractions as long as they are in the direction of momentum, then i'm looking for danger on my last (added) 20 take half points at 5's for four trades if i can or take 3 5's off quick and watch the other 5 contracts run while i'm looking for other signals, if no signals avail i'm done, closed out and i might have taken 6 fractions, some repeated, 3 whole points with the 5's, that's good for me and i know i can tighten them up, but i'm live, not here to argue with the opportunity presented and mos def not here to risk crap for the sake of it and keeping within the scope of my knowledge which is wide on some days in some phases and very small on other days or in other phases.....most of the hard work is recognising that i simply dont know what's going on and can't conduct business......

using a $1 contract for a fractional trade might sound like a waste of time but compare the data i'm receiving to a sim.....real auction feedback......

ok.....just my ideas, not anything hard n fast.....just an approach...sometimes i get beaten up on several trades before i close out, sometimes i open the screen and simply apply the IDK rule (man, I don't know!) .....mostly i work very hard at simplicity......

if i find myself reaching for an external view (m/a, a fib, a boll, whatever) that means i've lost the thread or i've reached my allocation for the trade and i'm avoiding actions that need to be taken, it's subtle and i'm getting "better" at each event with effecting what needs to be done.....if my pos size is say 1.75% of avail cap i'll be starting around .25% and look to take larger scalps within that trade set-up so i can keep going until ive reached the pos size cap, that way i can add upto the allocation that goes with the auction at the time.....

the downside: if i'm not reading the auction correctly the fault is completely with me as i am reliant on my own reading ......this is a vital point, imho .......reliance on anything external is instantly saying that the auction is not being understood and being filtered i am, or, you are, avoiding.......at this point exiting the trade is the correct strat not because i'm about to be stopped out, simply because i must admit that i am not reading the play, that's it, that's all, therein is the onus and responsibility.....after youve learned to read the auction process through different hours on various instruments with all their nuances and levels of activity you then head for the paper work stuff......

ideas only

[CanOz]

Thanks Joules,

When i a say i am using market replay its the real deal, i just don't have level II for the DOM with eSignal. I download the day if i don't have it and press play and it replays the session on the chart so i can trade it just as if it were live except i can speed it up.

Lots in your post to take in...

Cheers,


CanOz

[Joules MM1]

........ i am using market replay its the real deal, i just don't have level II for the DOM with eSignal. I download the day if i don't have it and press play and it replays the session on the chart so i can trade it just as if it were live except i can speed it up.

Tops !!

[Trembling Hand]

Again i was just trying to trade with the short term trend entering on pullbacks with a wide stop (20 ticks) and taking 2-6 ticks profit each time.

Why the wide stop? Two bad trades and you need two good days to get back flat!

[Trembling Hand]

Get rid of all the different MAs. If you find one that seems to be friendly to a trend in what ever market you are looking at I have found its also works on the next time frame up. So if it works on a 1 min as a good trend line then it will also work on the higher time frame, say 5 min, as support or resistance.

So ditch the 5 different squiggly lines. Find one that seems to contain good trends and see if it works a step up in time. Then scalp in the directions of the higher time frame with set ups on the lower.

[CanOz]

Here is a 30 MA on the 1 and 5 minute.

With the indicator,I like something to show divergence. I like the volume so i can see the big volume spikes develop at key levels. Other than that i have fllor pivots and the prior day OHLC.

CanOz

[Trembling Hand]

I like something to show divergence.

Yeah fair enough. Thou its too late to see divergence once its happened in an indicator when scalping so they are probably of no use in that case. You cannot scalp by reacting. You need to be thinking ahead one or two moves. You need to plan a few trades ahead or you will not be able to keep loses to a few ticks. If you want to scalp.

[CanOz]

Yeah fair enough. Thou its too late to see divergence once its happened in an indicator when scalping so they are probably of no use in that case. You cannot scalp by reacting. You need to be thinking ahead one or two moves. You need to plan a few trades ahead or you will not be able to keep loses to a few ticks. If you want to scalp.

Right, so the point would be to anticipate a reversal in the order book that would result in divergence, perhaps it may only give you a clue at that stage that it might be a larger reversal?

So really the volume is of no use either because you can see that in the book as well. Plus you have a window on the pace of the orders coming in as well. Some things that you could also look for in the book are:

• Larger orders at the key levels
• a stack of orders on either side

• The only thing in the DOM that is of use is who is hitting the market and when. The run up today from 2:30 to 3:30 was a perfect example of someone printing the bars. People who think that a lot of sell orders sitting in the order book will cause the price to go down should notice that the opposite is more likely to happen. That 2:30 SPI run again perfect example there was at least twice as many offers than bids and we ran 50 points into it.

So the chart is just a reference to see where the price is so to anticipate something hitting the book?

Much of this is covered in your thread, which i read again last night. But its useful consolidating those hints and tips again, for the sake of this thread at least.

Appreciate your input heaps TH.

CanOz

[Trembling Hand]

Right, so the point would be to anticipate a reversal in the order book that would result in divergence, perhaps it may only give you a clue at that stage that it might be a larger reversal?

For divergence you need a couple of new low/highs...yeah?

By the second one that has rolled back into the old range you should already be thinking about the possibility of the next one being a fail and a bigger chance of a change in trend on the higher time frame, then again you really have two plays. A possible new and extending breakout or a change, both should be played at the outside of ranges before so called confirmation.

Scalping = have an idea = get the position on the turn.

So really the volume is of no use either because you can see that in the book as well. Plus you have a window on the pace of the orders coming in as well.

yeah I don't take much use of it, I want my positions with the other who are causing the divergence not with those that have noticed it after its happened. What you want to look for is how the book is refreshed after the first bit has been hit, especially how its filled back up towards the end of the bar/period.

Some things that you could also look for in the book are:
Larger orders at the key levels
a stack of orders on either side?

No you will always see them. What do they mean? Nothin'- you would be surprised not to see them.

So the chart is just a reference to see where the price is so to anticipate something hitting the book?

yeah........ I guess. After TA doesn't work. I've stated that before.....

[CanOz]

this is quite interesting, I've got replay going and the SuperDom up on the screen with the 2 charts now.

Since i have no level II on the data at the moment (only from IB), i am just getting the print size and don't know if its on the bod or offer. Is this useful to practice looking for size sill? Does it matter if its on the bid or offer? It seems logical to think that but if i were a pro unloading something i can unload into the bid or offer...

Cheers,


CanOz

[sinner]

IMHO the correct squiggly line to use here is not a single parameter indicator/filter but rather a non-parametric adaptive filter. These track trending/ranging well without the requirement of back-fitting the filter using yesterdays data (and hoping it sticks for todays data).

Let's say you are running it on the 5 min, you can drop to the 1 min and attempt to enter swings which would move the filter on the 5 min. This is a well known scientific method for forecasting time-series which are random or pseudo-random.

Take a look at John Ehler FRAMA (my favorite) as well as MAMA.

http://www.mesasoftware.com/technicalpapers.htm

It might work differently in the index futs (perhaps inverse), but I am doing something very similar to this when I trade forex intraday.

[tech/a]

Why aren't you looking for set ups at Support and or Resistance?
Look for Volume coming into them. Fade it---unless it gaps through or convincingly breaks it.