moon

Hi UB, As you are doing high frequency trading, I wonder - how do you deal spillage? Are you watching the spread before taking a position? / Using Limit orders / Always have orders pending on the DOM (just in case you'll want to enter) / Other?... thanks, moon

Jerry, please for give me for nagging… If price goes to the +sd1, we are actually at what you called DMZ (The area where the price is near the PVP and the PVP is sandwiched between the VWAP and the SD) Also, at this point the skew is negative (VWAP<PVP) and trend is bullish (Price>VWAP) – so why: “I would have most likely doubled up on my contracts at the 1st SD away from the entry and tried to exit the trade close to break even.” ? The +sd1 doesn’t seem to be a good place to enter short (at slow or fast market) Doesn’t it make more sense to admit the loss and look for another trade where chances are in our favor? With a lot of appreciation, moon

Hi Jerry Thanks a lot for your answer. Main reason for my previous question comes from what you wrote few pages back at this thread (as an answer to Trader333) “Also think about what you would have done if the trade at the VWAP had not gone your way. Would you have exited the trade at the PVP or done something else?” Trader333 answered: I would have exited at either the PVP line or 1st Standard Deviation away from entry whichever was nearer at the time. And you wrote: That is what most traders would do and in my opinion leads to a slow bleed of your capital By this answer I assume you would have stayed in the trade although market conditions changed. (?) Can you please advise what would you have done? Thanks! moon

Hi Jerry, Thanks for the great threads! I was thinking about two things you mentioned in the treads: 1. Risk tolerance vs. Stop-Loss: If I am using risk-tolerance of 2% of account of 100K (i.e. my risk tolerance is 2K) and I am trading a specific market (e.g. YM), then actually the risk tolerance can be translated to 2K/5 = 400 points for every trade. Do you enter a trade with default SL of 400 points away? 2. After examining the VWAP/PVP/SDs and their relationship you decide to enter a trade Long. Your risk tolerance is still far away, but the market conditions changed (e.g. vwap and price are now below PVP) - would you exit the trade? Stay in the game till your risk-tolerance is hit? Thanks, moon.