Frank

On a side note, after doing this for a couple of days now -- I think maybe this process might be useful. It has occurred to me during the trading day that I need to show I didn't make any clear mistakes --- there might be something to this 'just be accountable to something' thing --- even if its just to a website in cyberspace, you ARE thinking about it.... I will try to post some more comments of what I may be getting out of this over time --- so if you are reading this thread and thinking of doing it -- I invite you to 'nut up' and post some of your trades and become accountable --- it doesn't matter your size or your consistency, just try to improve each day over the last day. spending 1 minute at the end of the day for a few sentences to review your results may indeed help you remember that you have responsibility to yourself to show results. publicly showing this will be tough sometimes, but its reality.

Market is stuck in the mud right now. Made some money in the morning and gave it back in the afternoon. On Friday, I made an error not exiting a winning position which kept me flat. Today, the market was just stuck and wouldn't even fill my conservative limit orders. Lost net -$180 today after being up +$1200, such is life in a tough environment -- part of loss was in an entry error where I doubled up my position on ES by accident for a loser. Net net, in poker terms -- had some set-ups that seemed promising ---- just couldn't hit a flop. On to tomorrow.

I just try to look through the noise to determine what I think the 'higher timeframe' players are doing and join in for a piece of it. Synchronizing the daily rhythm with the intraday high/low 'made first' are key in this. I do use some oscillator and price patterns to try to help find trades around this and I am always trying to quantify biases that can help in this regard through the use of statistics (ie, such as quantifying the relationship of VIX and intraday range). One thing of secondary importance to me is the label of the days -- ie, buy day/sell day/ss-day. While many days do become clear-cut with labels, I find the market profile 'auction' to be a better way to think about the same thing Taylor was doing with his 3-day labeling system. But I view the Taylor technique and market profile as entirely complimentary to each other -- not that one is better than the other, they are both very useful. Taylor was all about 'positioning and re-positioning' himself using the high and low violations (or the 'failures to penetrate') to guide his bias. I find this to be an extremely useful construct. The issue I bring up is that of how to balance consistency with playing for occassional big profit. We can all agree that today (monday morning) is likely a good time and location to try a short (high violation after extended up move) --- but where to exit should this prove true and why??

a keltner channel comes standard in pretty much every charting environment. can change the settings to close, sma, 1 ATR, 2ATR's, 2.5 ATR's etc...

<<And that is why I think trading is so much easier than poker - the element of luck. >> it is the luck factor that keeps poker games going -- and the reason why 'chess rooms' aren't big --- in chess, there is no luck. in poker, the luck factor makes bad plays work in the short-run -- and encourages bad players to keep playing. this clearly occurs in trading, imo. so I don't see poker and trading as so diff't in this regard. In poker, one of the biggest mistakes you can make is passing up the chance to win a big pot, even when %-wise, you are an underdog. if the payoff is big, many times you need to just put your money in the pot -- passing up the small chance of winning a large pot is often giving too much away. In trading, you never really know the precise odds like you might in poker -- because poker has mathematical rules and trading does not. But the concept of 'pot equity' still applies -- if you estimate you have a ~70% chance to make $500 on a trade and a ~30% chance to lose $500.. your 'equity' is $350 - $150 or +$200. You are going to lose -$500 a bunch of times and go on some bad losing streaks even if these probability estimates are correct. this brings to another interesting connection between good poker playing and trading. in poker, say you have a Queen high flush draw on the flop. you know you hold 2 clubs and the board has 2 clubs -- you know that there are 13 clubs in the deck and you can see 5 total card (3 on the flop and 2 in your hand). so you know there are 9 clubs left (13 minus the 4 you can see) and there are 47 unseen cards left (52 cards in deck minus the 5 you see -- 3 on flop, 2 in hand). In this situation, you can say you have a 9 in 47 chance to make a flush on the next card and win the hand -- and then you have another 9 in 46 chance on the following card. But good poker means being a good estimator[1] --- and there is a chance that you opponent has a bigger flush draw --- or that he has a set and can 'fill up' to a full house if the board pairs -- so even if you make your flush, you are going to lose a LOT of money when this happens. There is also a small chance he holds the naked Ace of clubs too and that is using up one of your 'outs' and therefore knows YOU don't have the nut flush draw and can use this info to bully you. All these factors together mean you need to be a little more conservative than just saying 9 in 47 chance. So as a good player, you would 'discount' the outs -- say to 8 in 47. Now you can see his bet size and make a judgment whether its worth calling, folding or raising based on this 'starting point' of 8 in 47. (there is also a chance you make a pair on the next card -- in which case you may also win the pot -- but you want to err on side of conservatism). In trading, this is similar. If you think ES will trade to 840 and its 832, you have to think about all the same types of things --- what if it trades to 839.50 and your limits don't fill -- what if it just goes dead for an hour and then goes to 840 -- will you still be able to participate? What if it trades up for a few points but then spikes lower before continuing to 840. All these factors mean you should probably be a bit conservative and at least take partial profits along the way. What differentiates a top poker player from a medicore one is when they can make a good call on the end (a situation that did not work out great in terms of the cards that were 'likely' -- but you still made good money) or a good 'laydown' (a situation where things kind of started to 'line-up' for you but you just didn't quite get there and accept the fact that its low odds to win at that point). [1] "poker requires you to estimate over and over. In many ways, being a good poker player means being a good estimator. You have to know what is important to estimate, and you have to come up with reliable numbers..... If you consistently make good estimates, you'll win" 'Professional No Limit Hold 'Em' by Flynn, Mehta and Miller Two Plus Two Publishing

hi guys, I haven't been keeping up so well with this thread but wanted to contribute and see if there is synergy. I like Taylors method -- but its just a piece of how I think during the day. One thing I ask about is the 'price targeting' of exits vs the variance of getting 'in the money' and then a reversal occurs causing a loss --- and how to quantify this so that your results are consistent -- variance is minimized --- but that your are also participating nicely when you catch a 'taylor type of swing' (ie, a big one). So that is a question, do you go by the past cycles 'median' and use limits at that price?? I have spent some time working on 'range' and came up with some ideas -- using the implied volatility 'forecast' that is in the options market (VIX) to quantify expected volatility. I am still working on this but have so far found some interesting things. For instance, over the last 252 trading days (1 year) -- the market has formed RANGE of better than 0.8x the 1-day implied vol forecast 85% of the time. Said another way, convert VIX into a 1-day forecast and compare that to the final range on the next day. The reason I like this conceptually is that implied volatility is always a near-term forecast that is based on real money. It is not historical -- it is forward looking --- this is important distinction vs only using historical data. Why is this useful to Taylor practitioners? Because, if you establish a Taylor type of low or high made first -- then you can instantly calculate a price target the other way for that day --- with various degrees of confidence based on however you feel about it. ie, if a low is made at 800, and implied vol predicts 20 pts of range --- you 'could' say you have 85% confidence that price will trade to 816 (800 + (20 * 0.8))... if you like the set-up a TON, you could say -- hey, this is a 'top quartile' type of situation and therefore target something more like 30 pts off the 'Taylor low' (low + (1.5 * the VIX implied range forecast). Thus, in the previous scenario, you could arrive at a 'stretch target' of 830 (800 + (20 * 1.5)) -- assuming that you are right and the 'Taylor Low' holds. (note I am arriving at these 'confidence intervals' based on past market behavior -- and then making mental adjustments based on how conservative or aggressive I want to be -- ie, I know its very high odds to get X points of range and lower odds to get X+Y pts of range, so there is a trade-off: take the high-odds lower point gain -- or play for aggressive gain and be willing to accept some added variance in your results when it doesn't do the lower odds move). Anyway, just sharing an idea -- so that I am contributing something. This chart quantifies the relationship I am talking about (to be used as a starting point from which to work, this is not a science). To read, take example of RANGE getting to 1.0x the implied vol forecast -- The market gets 1.0 or greater ~62% of the time over the last year (1 - the 38.1% figure listed on the chart at the '1 level'). Another example, the market gets 0.8x or better ~85% of time (1 - the 15.08% figure listed at the 0.8 level) etc...

good post brownsfan -- sounds like we lead parallel lives... next thought: I usually play no-limit hold 'em -- in this game one of the worst things you can do is 'trap yourself' --- a very common mistake by beginning players. this is when you overplay your hand and put a ton of money into the pot thinking you are ahead in the hand --- while instead you are just doing all this aggressive betting for someone else's well-laid trap. In trading, this is kind of like trading large size without a great set-up, you are just likely trapping yourself by trading a size you will not be able to 'manage well' -- ie, you will sometimes panic or set a stop too tight in fear of taking a loss. these times that you do not play 'your hand' strongly' are just padding the pockets of other sharks at the table (screen). in poker and in trading -- you need to play at a level where you know you can play confidently --- without fear and without recklessness.

Today was a day of 'position yourself for a move that doesn't happen' -- liked my entries for the most part -- the moves just never stretched out enough to fill the majority of my exit limit orders -- such is life on the 3rd lowest point range of 2009 --- very boring day. had a decent trade at end of day that in retrospect should have been better managed -- but was thinking 15.25 points just wasn't enough range to play for -- alas, we got kind of a 'outlier' day (outlier in terms of range so low).. so it goes. so I end up at minus 11 bucks.... yah -$11.00..... 'pay the broker day' the usual attachment is useless so I will attach the summary page here... for some reason, the other one is being broken out into single lot orders despite never doing a single lot order -- makes it so you can't read it.

wasn't so sure whether that 30.50 march high in ES was going to cause a reversal -- tried shorts early in small size cause didn't really feel confident in it. Should have gone long once NQ took off to upside but decided I wasn't in sync and took a break. Went long later for a scalp. Never really thought everything lined up today to do more -- just trying to keep it green on days like today and move on to better situation I am reading more clearly. Ended up +$790, on to tomorrow....

Just sharing some thoughts: I was at the poker table the other night and thinking about stack size and trading. When I play poker, I sit down and play very conservatively at first. I will wait for extra profitable situations before getting involved. (This doesn't mean profits are assured on that hand, just that its a good situation over the long-run to enter the pot). Good tight, efficient poker is advised whenever ante's are low relative to avg ending pot size. (this means that you will be paid off big when you do make a big hand -- so its worth being patient as the up-front cost - the ante -- is small vs the eventual payoff). Now I was thinking why should trading be any different. Your ante is effectively the cost of your internet connection (and any services to which you subscribe). In poker, sometimes you sit at the table and get crap cards when in position and medicore cards when out of position (position refers to when you act in the hand vs the dealer and therefore when you have strong information advantage -- since you act later on after you see what others have done). Well, in trading -- this is kind of like trade location. If the market is showing it wants to go up, but location isn't good --- this is kind of like playing a mediocre hand 'out of position'. It is strongly profitable to play it when 'in position' -- but its marginal when out of position. This is how poker is, its extremely situational. The point is -- on some days, you just aren't dealt anything when you have position. Now, another safeguard in poker is to limit the downside when you just get stuck with bad luck. ie, you make a huge hand but someone else makes a slightly bigger hand --- you lose all you have on the table in that situation. This is kind of like waiting for 3 hours -- everything finally lines up for a long, and within 2 minutes of entering, a terrorist rumor hits the market and price tanks and you stop out. This is just a bad beat situation. Point of this thread is to discuss poker concepts and relate them to trading so here is my thought: When you start the trading day out, play very conservatively unless a very, very strong situation is created. If its not a very strong situation, don't put much money in the pot -- ie, adjust your size -- when you start the 'session' out -- remember, you have nothing invested in that situation -- don't have to play that situation unless its a strongly profitable situation. If its a modestly profitable situation, do it -- but don't get caught overplaying the value of your hand.

Saw Ecry added this feature and was thinking about this while re-reading Mark Douglass' classic book 'Trading In The Zone' To me, that book is about this: Fear <==== Correct Mindset (Confident) ====> Reckless There will always be an urge for your confidence to migrate to recklessness. But when you do get reckless and trade too big, you will inevitibly create the kind of trading experience that will cause you to become afraid --- which again takes you away from the correct mindset. Pg 15: "So what is the solution? You will need to learn how to adjust your attitudes and beliefs about trading in such a way that you can trade without the slightest bit of fear, but at the same time keep a framework in place that does not allow you to become reckless." Part of this framework is risk management -- and this is where OEC's risk monitor comes in. Setting your account to only allow 'liquidation trading' (exits only) if you lose a certain amount of money seems like prudent way to counter human natures urges. You could set this tight or loose. I was thinking of setting mine relatively tight -- and then taking a break if hit... kind of like in poker -- start with a smaller chip stack and feel things out -- if you lose it, not end of world. If you grow it, now you have some chips to really play with.... Not sure, just exploring this. If anyone has any thoughts on how they are using this feature, by all means chime in....

Got a question for you guys --- have you guys noticed any changes in your trading/accountability since you started participating here? I thought I would start out here on April 1st and try this for a while. Obviously, this is for ourselves and not for anyone else. I am willing to try being public about this for a while as maybe something good will happen from it -- I honestly don't know. I do know I have learned a ton by sharing information with others so willing to give this a try. I primarily trade S&P Futures (ES). btw, I struggle with size management a lot... maybe that is something I will be able to work on if I show my trades publicly.

Alternative Code: vars: firstbar(0), length(0); if date>date[1] then begin firstbar=currentbar; end; length=(currentbar-firstbar); if time<630 then value1=highest(h,length); if time<630 then value2=lowest(l,length); plot1(value1); plot2(value2); value3=highest(h,length); value4=lowest(l,length); plot3(value3); plot4(value4); --------------------------------------- Note, my time is 630 for West Coast time, adjust as necessary. Plots 1 and 2 Holds Globex Values Plots 3 and 4 adjust for new Highs and Lows of pit session (holds globex value if not or until violated) Just delete the plot statements you don't want.

Today, market made its low in opening 30-minutes and this led to the best move vs previous close in 13+ weeks:

I am interested because I noted this in another thread (note that I am a programming ignoramus so I just have to figure things out without really knowing what is going on under the hood) http://www.traderslaboratory.com/forums/f218/functions-in-oec-difft-than-ts-5513.html

Tams, I am just curious -- is there a way to tell if its a keyword or a function? I mean, you do you know opend(0) is not just a keyword in the world of Open Ecry? thx in advance.

I admit I do not know enough about programming to know what exactly they are --- but I use Open Ecry and calling functions in the code editor on the OEC platform requires an extra step vs the seamless way EasyLanguage does it. On the OEC platform -- to the coder anyway -- there is no extra step needed so there is no effective difference between whatever they are labeled vs the label 'reserved words'. Just trying to help the original poster, not trying to argue semantics.

there are simple reserved words for this: highd(0) = todays high highd(1) = yesterdays high highd(2) = high of 2 days ago opend(0) = todays open opend(1) = yesterdays open etc.....

we do have idea of size he trades -- he discusses it -- we can't be precise about the size --- this is why I did ranges. further, he has stated that he does not increase his size much with account growth, fwiw.

Whether you make 15 trades a day or 1, you have a NET amount made -- you divide this by $50 ($12.50 per tick) and that is your total points made on the day. The reason I structured it like this was because it doesn't matter what your strategy is or how many contracts you trade. If you make a net 5 points, whether you traded 15 times or once, whether you traded 50 contracts or 1, you made a net 5 points per contract. The reason I bring this up is because I have been in a lot of trades recently where I am up 3-4 points and have limits out for where I think price is 'highly likely' to go. But whether it hits my limits or not sometimes feels like luck -- and sometimes I miss my targets by very small margin and price then moves back sharply and I make a small amount on what was once a 5 point winner. So there is this tradeoff of nailing a big swing for 7-15 points vs taking that 'sure 4 points you have right now' and leaving big profits on the table when you nail the structure. Another factor is that there are days when the market is doing strange things that you aren't in sync with and using larger size will hurt you -- whereas using smaller size (and implicitly targeting bigger wins) doesn't hurt as much. However, when you are in sync with the markets swings, you will be accumulating profits at very high percentage by using smaller targets --- and this seems to be Dons 'primary' method (I say primary because he does get big wins too -- its just that he has been in straight grinder mode lately and that is not a bad thing). But this thread is not really about 'hitting singles' vs 'swinging for fences' styles. Its really about just thinking about setting reasonable goals (ie, 2-10 pts a day, averaging 4-5 pts) so that you aren't trying to do too much and sabotaging yourself along the way.

One thing I have been trying to conceptualize is what very successful traders are doing in terms of: big leverage for small pieces of the market vs smaller leverage on larger pieces. I am proposing this not as fact, just as a way to kick things off and to be thought about intelligently to hopefully get an understanding of how you are doing in terms of 'pace'. Don admits 2008 performance may or may not be repeated -- but let's just discuss it for a second. 1. Don made $1.7 million net in 2008 (after commissions). 2. At 252 trading days, that is $6746 per day 3. Assuming he took 20 trading days off, that is $7328 per day 4. At $50 per point ($12.50 per tick), this would assume he made 146.55 total points per day 146.55 at 30 contracts per trade would be 4.9 ES points per day 146.55 at 25 contracts per trade would be 5.9 ES points per day 146.55 at 20 contracts per trade would be 7.3 ES points per day ------------- This is just speculative at this point. But to continue to a logical point, even if the 'current' math is off --- then: the average pit session range in 2008 was about 31 points -- with the median at 26 points per day. Using the extremes, Don took as profit somewhere between 16% and 28% of the range of the market on average in 2008. I am going to just say for now that a good 'benchmark' for very strong performance is when/if you are averaging 20% of the range offered by the market. So if market is offering 20 points a day, making 4 on average is a solid 'average' day. If market is offering 25 points a day, making 5 on average is an 'average' day in an overall 'very strong' performance pace. Comments welcome of course.

http://donmillerjournal.blogspot.com/ Don has offered up his daily comments on his blog -- which I admittedly only started reading recently. This thread is to discuss/comment on topics from his trading journal.

Today made low in opening 30-minutes and led to expanded range and strong close. http://www.traderslaboratory.com/forums/attachment.php?attachmentid=9798&stc=1&d=1237346521

Open Ecry needs to somehow get NYSE Ticks.

Just trying different things to think about this from different angles. Today ranked 12th of last 20 days in terms of overall volatility (range), with range modestly higher than that which VIX implied. Classic 'Fat Distribution' Day where the closing price ends up near the previous close despite above average volatility. The change vs previous close ranked 19th of 20 in terms of movement at just ~0.1 vs VIX implied 1-day movement.