Rob C

Futures (MES) algo trading journal Thursday 10/07/21. I turned from SIM to live trading about an hour before the open this morning. We had good momentum in PM and a strong pullback to the 25% Keltner band (thin green lines). The algo went long and the price kept dropping and almost hit my stop. Then we had strong price movement at the open and my target was hit quickly. A few minutes later we had another pullback and again another ABCD setup and the algo went long again. Though the price didn't do much the volume was strong so it was going to move one way or the other. The price finally moved in the direction of the momentum and my target was reached. As usual I took a peek how things were going, though I really need to be more hands off or what is the point to run algos. I saw I was 10 points up and called it a day and switched the algo to real-time SIM mode. I hope everyone has a green day. Rob C

Futures (MES) algo trading journal Wednesday 10/06/21. 7 trades in one day, I think that's a record for me. I even shut down the algo before the close, I had enough. It is still going to take awhile where I can turn my algos on and walkaway and not look until after closing. So I am still only running one algo setup. The algo looks for strength/weakness then a deep pullback then enter the trade. Essentially an ABCD for Futures. Today I had 3 winners, 3 losers and a BE. All the trades looked good except trade 3. The setup was fine but the algo did not take the trade (which would have been a winner). Instead it waited a few minutes and entered when all the signals were not there and it was a loser. I need to spend some time tonight to figure out what went wrong. I need to get all theses personality quirks out before I start increasing the risk. I hope everyone is having a good day. Rob C

Futures (MES) algo trading journal Tuesday 10/05/21. Felt lucky today, this could have easily been 3 stop outs. Strong upward momentum after the open and a strong pullback after an hour. When it seemed to have settled the algo went long. The price quickly dropped after that but held my stop (barely) and then price moved quickly higher to my profit target. The price moved higher with strength and another pullback to halfway to the Keltner band. The algo went long and the price did move higher but not enough to move my stop up. Then the price dropped to my stop. Price surged higher again and another pullback. I have not added a double top filter yet in the code so without knowing the risk the algo triggered a buy order. The price dropped and almost stopped me out again, but instead the price rose to my profit target. Rob C

Futures (MES) algo trading journal Monday 10/04/21. Wow big day. I am not suppose to look at how my algos are performing midday, but I am new to this and can't help myself. So when I looked and saw the algo trading had 3 winners already for the day I switched the algos to SIM and called it a day. It looks like not much to worry about because as of now the algos have been staying out of the chop and stopped trading anyway. So checking recent data (checked over the weekend) determined to disqualify the shallow pullback trade I was running last week and give the green light for the deeper puallback short algo (which was the algo to give the 3 winners today). Each of the 3 trades had the same setup. Strong downward momentum enough to break the lower Keltner band then a pullback to halfway to the upper Keltner band. Then the algo has few filters that are thrown at the chart which the price action passed each time and the algo triggered a short. I know it looks like I am covering way to early, but I checked the data again this weekend and back testing keeps saying that's where to take profit. If everything still goes well I will increase to 2 contracts and then I can take partial profit at my current profit target and possibly place a trailing stop to my second contract. I hope everyone had a good day. Rob C

Futures (MES) algo trading journal Friday 10/01/21. The MES showed strength and the deeper pull-back algo kicked in on a pull-back to the half way point of the Keltner bands and went long. There was some rise in price and just missed my target by 1 tick and fell back to get stopped at BE (with some slippage). We then got an even deeper pullback after the stop out and the algo triggered another trade entry. This time the price moved quickly to my target. Just like yesterday my target looks well too small. I even ran the back test again last night and the data showed that the target was correct. But I need to think and test this more over the weekend. It looks like I am leaving too much money on the table. So my first week of exclusively algo trading is finished and I am green for the week. It was a bit stressful when Friday, Monday and Tuesday morning I was only getting stop outs (4 in a row). I was doubting myself and not believing the 6 months of back-test data. But then 3 wins occurred and the results of the last 6 days of trading are what is expected with these systems. For the last 6 days: 3 wins 2 losses 4 BE Have a good weekend Rob C

Futures (MES) algo trading journal Thursday 9/30/21. After 5 days of trading finally my second algo triggers a trade. This is still essentially an ABCD trade but with a deeper pull (the 50 SMA instead of the 20 SMA). The priced moved higher quickly and reached my target. It looks like I have a very small profit target, but 6 months of back-test data says that's where it should be. I hope everyone had a good day trading. Rob C

Futures (MES) algo trading journal Wednesday 9/29/21. There were two opportunities in the morning but the algo pass them by. Which was good since they both were losers. It wasn't until late in the session after good momentum and a pull back to the 20 SMA the algo entered a long trade. The price went up high enough that the stop was pulled up to BE. Then the price quickly dropped to BE and exited my position. Which was good since I would have been stopped out. Rob C

.Futures (MES) algo trading journal Tuesday 9/28/21. Lots of weakness at the open then a bounce with some strength. There was consolidation at the 20 SMA and the algo entered a long position. The price dropped quickly and stopped me out. The volatility was extremely high so it was a big expensive stop. When I checked in midday and saw another stop out that was 4 in row over the last 3 days. When I back tested for 5 months the longest steak of losing trades was 6 in a row. So 4 in a row is unusual and I started losing my confidence. Then at 10:45 am the price showed strength again and the indicators pointed to the algo triggering a trade. But it was nice to see that one of the built in filters prevented the trade and saved me from another stop out. Then a very strong price movement and the resistance level was marginally broken. After a consolidation at the 20MA the algo entered a long trade. The price dropped hard but the 50 SMA showed strong support, which was good since my stop was right underneath it. Then the price shot up right to my target giving me a green day. I hope it was a good day trading for everyone. Rob C

Futures (MES) algo trading journal Monday 9/27/21. My running algos (only 2 algo strategies qualified to run now) triggered two trades to day. About 30 min after the open there was enough upward momentum (determined by two indicators) for one of my algos to start tracking for an entry. The price pulled back to the 20 SMA and passed 6 other filters in the programming and went long. The price rose and got really close to my target, but than fell back. The algo raised my stop to BE and that's where the algo ended the trade. The price dropped with a false break out and rose with strength. Again the price action satisfied the criteria of the same algo strategy and the programming triggered a buy order. After 20 minutes there was some upward price movement but not enough to bring the stop up. The price dropped quickly and was stopped out. The stop is dynamic based on volatility, which was high at the time so it was a big stop. It was a red day but it was nice to get 2 trades in. I hope everyone had a good day. Rob C

Futures (MES) algo trading journal Friday 9/24/21. So I waited for the 9/21 MES contract to expire so the 12/21 contract would have the volume and activated live algo trading on Wednesday. Finally right before the end of the trading day today I got my fist trade of the week. I currently only have one algo setup qualified on the new 12/21 contract. The other setups need more days of data. So no surprise it took 3 days before the algo saw the right setup. The price was bouncing around but finally the price put some pressure on the outer Keltner band (in red). Then the algo waits for a pullback to the 20 SMA. The algo also needs at least one more proof of good momentum here the 50 SMA crossed above the 200 SMA (green lines). The algo then triggered the buy order. Then the price dropped and almost touched my stop. Then the price moved higher to the upper Keltner band. At this point the algo moved my stop to two ticks below my entry. Then the price dropped and just caught my stop before going higher and reaching my target without me. I am just glad I was able to get at least 1 live trade in this week. Hopefully there will be enough data I can start some of the other algos next week. Have a good weekend. Rob C

Futures (MES) algo trading journal Thursday 9/16/21. My first short algo trade occurred this morning. It was a bit too lucky to pat myself on the back actually. There was some obvious weakness and a few shallow pullbacks to the 20 SMA. The shallow pullback algo to the short side does not have enough data on the new contract to go live yet. But the deeper pullback algo does and that is what we had this morning. After a strong steady drop there was a pullback that barely made it above the Keltner midband by 1 tick (thus a bit of luck involved). Then I got a really good entry, which the algo is not programmed for so I need to study the code to see how that happen. Then the price dropped immediately to my target and again I got a really good (lucky) fill on the cover. I am still just using only 1 contract on the MES so not taking this seriously yet until I get these algos really working. But I still have time until the 9/21 contract expires and all the volume goes to the 12/21 contract and I can really see how these algos works. I still have a few more algos to code this week. But so far I definitely enjoy this more than discretionary trading. I apologies for the messy chart. I have 3 algos running and each have their different Keltner bands. I hope everyone has a solid day trading. Rob C

Futures (MES) algo trading journal Wednesday 9/15/21. We are still stuck in the period between contracts. The 9/21 MES contract is too volatile now to trade and the 12/21 contract tends not to have enough volume to trade until the 9/21 contract expires. But today the volume wasn't too bad so I turned on two algo systems to trade. The first trade occurred not to long after the open. We got some good strength and the price shot through the lower and upper Keltner bands (blue lines) very quickly. On the pull back and bounce from the 20 SMA (golden line) the algo triggered a long trade. The price went up just enough for the algo to pull my stop to just below the entry point. Then I was stopped out shortly after for a small loss. Later in the afternoon the price showed some serious strength. Again after a pullback to the 20 SMA the algo pulled the trigged again. It took a couple of hours but my target was reached. I hope everyone had a good day. Rob C

Futures (MES) algo trading journal Thursday 9/9/21. First LIVE (real money) algo trade!! I have been trading in real time SIM for over a week but the market looked strong enough to set two algorithms to my live account. Both Algos are just ABCD setups. One looks for a deeper pullback to the mid band and the other is more a strength and hold than a pull back using the 20 SMA. In the middle of the night the deeper pullback algo was triggered (in SIM) and was stopped out by 2 ticks before making a move. Almost immediately after the algo was triggered again and a buy in SIM was executed. That SIM trade did make it to the profit target. I then turned the two algos live and turned my screen off for an hour. Then when I took a glance I saw I was in a live trade (see buy in the blue circle) and a double top was forming. So I exited the trade manually. This is something I need to work on. Almost immediately afterwards the algo was triggered and a buy order was executed which was stopped out to the tick. I have a feeling when I run back-testing this weekend my stops will likely need to increase by a couple of ticks. Though I made the manual stop it was fun to have the algo trigger a live trade. I am still having issues with the platform creating limit orders for me in automated mode. When I have that fixed I will likely take more live trades and with larger contract size. I hope everyone is having a strong day trading. Rob C

Futures (MES) algo trading journal 9/2/21. Still running real time SIM, but I thought the day interesting enough to post here. First, I turned on the algo at night for the first time. Looks like we had strength over night and a shallow pullback bouncing off the 20SMA triggered a long trade. A few minutes after the open the price reached my target. The second trade was interesting to show the hazard of algo trading. We had a nice double bottom into strength. A pullback and a bounce from the midband showed support. When it broke the 20SMA the algo went long. Sadly, the close of the bar was at the high so the market order was a few ticks higher than if I was manually trading where I would have placed a limit order 1 tick above the 20SMA. Those 3 ticks were costly because the price immediately dropped at reached my stop by a tick then bounced hard and closed strong. My algo closes the trade at the close of the day. So with one more tick of room it would have been a profitable trade. But not complaining here. Algo trades are about the average of trades over time not one trade. This algo has a 50% win rate so this is normal and I had a positive day. Just showing one of the down sides of algo trading and that its not void of psychology. I hope everyone had a good day. Rob C

Futures (MES) algo trading journal 8/30/21 Monday. I don't see any where in the forums to post/discuss algo trading so I will just drop my algo trades in my day trading journals. Well I took some time off from trading and then decided to restart algo only trading. I usually don't post my SIM trades, but this is my 1st real-time algo trading even though it is in SIM. This is just a classic shallow pullback to the 20SMA. I spent several weeks trying to be profitable with this setup in SIM and gave up. Out of curiosity I created an algo trade for it and ran 4 months of data. No surprise it not profitable. But still curious I tried to optimize the parameters and to my surprise, after optimization, the setup was quite profitable (PF=2.2) with a 50% success rate. Since I would not try algo trading live on the ES (too expensive until more confident) I reran the backtest for the MES (Micro ES). To my surprise the setup was again not profitable. That was a shock since the MES and ES follow each other so closely. I spent a few more hours optimizing for the MES and attained a PF of 1.6 but more trades were triggered on the MES so actually more profitable. Below is the MES today. Sorry about the small arrows, that is what the Ninjatrader SW uses. The 1st trade was triggered at 2am and reached target at 7am. Minutes later a second trade was triggered and reached target quite quickly. Surprisingly a 3rd trade was triggered and is still active at the time of writing. The setup is simply: Take only long trades (back tests says short trades are not profitable with this setup) The price needs to break the Keltner upper band that was optimized for the MES. Surprisingly the ES needed a different band (both are blue). The price drops below the 20SMA (but not too far). Then the price breaks back above the 20SMA. But we need some time the price holds so we know it still won't drop. Then go long and set up target and stop. I still need to program in the trade management. Right now its just a target and stop. But I have time. The ES/MES 9/21/21 contract will end soon. I don't like trading during the rollover period so I probably won't go live until October. I added the Strategy back test data at the bottom. I set R=$30 and essentially the setup makes 11R a month. I need to find two more setups like that!! I hope everyone is having a good day. Rob C

Hi Wild, I spent 6 hours, on Sunday, running back tests on two of my setups. Oddly that is my favorite part of trading. Also the smoke from the fires (California) was keeping us indoors. Rob C

Tastytrades also mentions for traders who really like to trade stocks but want more leverage or for beginner option traders that don't understand the greeks fully is a long call vertical spread with long/short calls set in a way that the theta is zero at the start. And the reward risk is set to what you prefer with the max loss equal to your R. Don't expect 2-1, its not easy to find but I find 1.5 to 1 commonly. This essentially sets the delta the way you want. The expiration should be 42-56 days and you must act on day 21 (21 days to expiration) to close or roll options, thus mostly removing the gamma. So the greeks are mostly taken care of now you just have a trade very much like a stock trade but with more leverage. I still use this method for stocks I want to hold through earnings.

Futures (ES) live trading journal 7/22/21 Thursday. As I mention previously I am no longer trading live Futures. I am just trading SIM while I am learning more advanced methods and getting use to the change s in the market. But every once in awhile the trade looks too good not to take it live, which is what happen today. Midday we were getting strong downward momentum. We just made a lower low and then a strong pullback into the "pull back zone" which is the dotted line. The price then held for 7 bars, showing strong resistance. And it was almost an exact 50% pull back. So I shorted and was stopped almost immediately. Then I did take a successful long trade and here is why: 1) When there is a good setup in one direction that quickly gets stopped out it tends to go in the other direction. 2) The price hit the outer band (red line) showing strength. 3) The price pulled back to the mid band -white line - giving a good entry. 4) The FYL crossed the MB (yellow crossed the white) both are indicators from the Day Trading Academy that I use. That is a bullish sign. 5) The momentum was still strong at the entry shown in the chart at the bottom where the current black dot was still above the green line at the entry. The trade went immediately in my favor where I sold at the outer band and at the first pullback. Yea, I should have held longer but I was well in the green at that point and not use to trading live anymore. I hope everyone did well today. Rob C

Futures (ES) live trading journal 7/07/21 Wednesday. Nice momentum today, then it looked like it stalled out. We had 3 LHs and 3 LLs. Then the FYL crossed the MB (yellow line crossed the white line) which indicated momentum down and the BBs (plot at the bottom) were well below the redline also indicating momentum down. I shorted at the MB and set my 1st target conservative since this could easily be a pullback instead of a reversal. I got my 2 contracts covered and I set my 1 remaining contract stop 2 ticks beyond my BE. Setting your stop at BE doesn't seem to work well with Futures. I was stopped out about 15min later. Rob C

Futures (ES) live trading journal 7/06/21 Tuesday. Though the plan is to sit on my hands this summer and learn and practice, but when I see really compelling trade I am starting to take them. The setup today was a simple one. There was significant momentum this afternoon with a beautiful pull back. When the price started to move upward again I went long. I set my limit order at 3 ticks below the high which was filled about 10 minutes later. I held onto one contract but when the price stalled I sold. I hope everyone had a good day. Rob C

Yes, DAS Pro with CP.

It works well as a directional indicator. I use it if it looks like a nice move will happen but you are unsure what direction. Like a breakout or a false break out, and ORB or a reversal, ABCD, etc. If it bounces right on the 50% or the 61.8% line it has a higher chance of being a reversal or ABCD pull back, etc. It gives me about an extra 10% edge. Which in this game is great.

I used CenterPoint for awhile. As for locating shorts they are better than IB ONLY if you are in no hurry locating them and don't mind paying extra. Thus, using their locator service for 1/2/5 min ORBs will make trading difficult. If you are a trend trader or don't trade in the first 15min then it will work for you. As for their free short list, it is terrible. Way worse than IB and even worse than CMEG. IBs execution speed is also better than CP. I even paid extra for their fastest route and that was only adequate. The IT issues with CP were more common than IB. About once every two months I was unable to trade due to tech issues. Also, I had trouble with my stops not working. I never had a stop not work with CMEG or IB. But 3 times CP missed my stop and once was extremely costly to me and I closed my account the next day.

Futures (ES) live trading journal 7/01/21 Thursday. Hi everyone, its been awhile since I posted. I have been studying and trading SIM with some advanced setups I have learned and I have not been profitable in SIM and thus no live trades to post. Also, I did so poorly last summer that I would not mind just practicing and not trading live the whole summer. But today I was trading in SIM and liked the setup too much and took it live, so I am posting it. The momentum was weak and just a slow grind upward. Then a strong drop in price with and even stronger bounce. The price will usually move well after a strong "V" but in what direction? I usually use Fibonacci in these cases. If the price bounced off the 50% or the 61.8% I will go short. But, instead it over shot past by 2 ticks and over the next few minutes created a hard top that seemed independent of the 61.8% Fibonacci. Two higher lows were created and when finally a HH. I waited for the pullback and went long. I had a conservative first target which was filled. Then I placed my stop 2 ticks below the recent low and placed my target order 1 tick below R4. I was just about to shut off my monitor, since this would be a long wait and I am not known for my patience. Then I saw a LH and two LLs. And yep I sold. It was about two hours later and it would have reached my target at R4. I hope everyone had a good trading day. Rob C

This is almost the identical post I just wrote for a different BBT member, but the questions are closely related. Sorry for the delay in responding, but I am just getting back into reading the forum again. Hopefully you will still read this. When I started with a small account I only used vertical spreads. It was perfect for a small account since you get quite a bit if leverage with a built in max loss. Since you are only paying for the spread not the option they are dirt cheap and easily affordable for a small account. I recently bought GDX for about $40 a contract (40 cents per share) with a long call vertical spread with a 6 week expiration. I have an account with Tastyworks , I really like their platform. I also like their TastyTrades channel.