game

Some of my reflections on your live experiment. 1. You say fear,eagerness and other emotions kept you from realizing your whole potential. While I can understand how these emotions would dominate someone who has no method, you do have one. Yet you had fear. And so do I. But this fear is just a symptom. So what is the cause? Possible causes: a. Lack of perspective on how the market's rhythm undergoes shifts. I know you said that you are going to characterize the market. But it may help to discuss this in more detail as it is vital. What exactly are you going to characterize. How will it help you in real time? b. Lack of a dynamic position sizing strategy. I am assuming you were sizing all trades at 3 lots. Do you think given that the market offers opportunities in chunks, this is a good idea? I know your plan has a max daily loss limit. Does it also guide you on how to size based on either P&L or market conditions? c. Reliance on just the retracement strategy. Yes it's theoretically possible to be patient and wait for a trending environment. But might having a fully fleshed out Reversal strategy actually increase overall patience because you are not bouncing between forcing one strategy all over the place and playing ultra defensive? All this applies to me as well. Just using your experience to reflect on things I have to work on.

Yes there is homework to be done. Fortunately, day trading lends itself to simulation more than any other business. No reason to go live without rock solid prep by knowing one's market inside out. It's been very encouraging for me to see your progress. Keep at it Niko. You have the tools. Work on sharpening them. The reward will last a lifetime.

Taking today's Reversal at 0836 off 3714 for example, could you suggest broad areas to define?

In a MR environment, it is profitable to take high information risk reversals off extremes without waiting for the confirmation of a ret. The extreme has to be reached through parabolic action, thereby increasing odds of at least momentary breathing room, in case the swing turns into a trend. You can take high info risk Reversals off short spikes and very long climactic spikes, it's the steady medium swings that should not be Reversed without extra confirmation.

When we gather stats around the trades that we take, we are already characterizing the market to a degree. Complete characterization of the market involves a more exhaustive approach. In fact, it is because the market is dynamic, that ongoing characterization is needed. The idea to start this process from months back was only to establish some sort of base level, so that the current environment can be seen in it's proper context.

Forming hypotheses first will give the data collection a purpose. One could always find relationships just from organizing the raw data, but that will be more hit or miss. So I was hoping we could use this thread more for bouncing off broad ideas.

Its been easier to evaluate the dynamics of a given situation, once there is a certain base level awareness of the broader context. As you have said earlier, in general, May does not trade like Sept, which in turn does not trade like Jan. Another example would be trading the first 90 to 120 min of the day session. If I recall correctly, you had mentioned that the reason for trading the first 90 mins of the day was because experience had taught you that there is very little marginal benefit of extending the session beyond this time, unless price is trending strong. This can be verified by studying what % of the Daily Range is comprised of the 120 min Range. So if I know that this number is very high, it will form my base dynamic, upon which the unique dynamic of the present will play out. Thus, I will require a very strong case to be made by PA markers in order to nullify the information suggested by the longer term stats. Been reading the 'Zen and the art of Poker' book where it talks about rhythm and fitting yourself into the flow of the game. Not having the wisdom from years of experience, an intensive study of the market's shifting character would help in detecting these shifts of rhythm.

Sticking to something regardless of market conditions will only work if what you are sticking to is itself adapting to the market. And adaptation requires awareness of the market's current character. That is why the 'Characterizing a Market' section is included in the SLA/AMT document. The goal is to trade size. Otherwise, why not just open up any old stock chart, figure out the extremes and SLA away, especially since small stocks have much more volatility than the NQ. But money is in size. And that, the wise say, requires in depth knowledge of one's market. We have barely scratched the surface. Compiling stats on the Range was a very basic take on this. It isn't about predicting what is going to happen the next day. It is about building a certain situational awareness so that one is dancing to the market's rhythm. And this rhythm does not always change in an instant. You may at times get a rain shower out of nowhere. But more often than not, the market changes like the seasons. The stats track this shift. Regarding my performance - It ain't all that dire kp Incremental improvements, some seen and some unseen. After all, we are all working towards something that will last a lifetime.

Wolf, Niko, Emini, Kp, Green, Bern, Hooti and all other aspirants - Opening up this space in the hopes of sharing ideas regarding market characterization. While most of us are fairly comfortable with tactical elements, it seems that we are generally lacking in determining the current state of the market. Example: When the market is swinging well, there is value in aggressively participating during hesitations at the Open, since the first 1 min retracement might not come till price has already moved 15 pts or so. While one may get faked out, the profit from big swings more than makes up for the losses. However, as I have been finding out lately, this strategy does not work too well when the market is turning 3 times in the first 15 mins within a tight 10 point Range. So awareness of the market's general behavior at the Open, should lead me to tone down aggressiveness at the Open and wait for more confirmation. So how do I become aware of the market's behavior? I could just eyeball previous days. But by systematically recording data, I can not only see long term trends in behavior,but also establish some base probabilities. So in the case of the above example, I am recording the OR across 5min, 15 min, 30 min, 60 min, 120 min and Daily Range. I am also recording the number of times price turns within the first 15 mins, along with the distance and pace of those small turns. I have attached a few charts. The Range graphs show something that is fairly obvious by just glancing at our regular charts. However, by systematically compiling such data, I hope to improve awareness of and sensitivity to the market's shifting character. Hope this gets us started off towards building a store of rich context. Range Graphs.xlsx