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MadMarketScientist

Day Trading the E-mini Futures with Predictor

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One pattern that is typically rather bearish is when strong buying isn't able to drive price...detected that pattern today. Of course, my initial idea was correct but I played it a bit differently.

 

I do see more one-sided drives in the markets these days.. this makes it harder for short term traders to take opposite sides or use retracements..

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Interesting pattern... we'll see algorithms come in at highs and short.. if they aren't able to drive price a few ticks then they're forced to cover.. This just happened off the 1.50. I'm watching for an area to short.

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Anticipating retest of lows..

----

Today good example of why I'm reluctant to short what look like good retracements... the last OF reversal powered through every previous level... today took larger loss. Today's pattern is similar to yesterdays where robots drove to new lows running stops then drove to new highs running the other side stops..

Edited by Predictor

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  Predictor said:
Anticipating retest of lows..

----

Today good example of why I'm reluctant to short what look like good retracements... the last OF reversal powered through every previous level... today took larger loss. Today's pattern is similar to yesterdays where robots drove to new lows running stops then drove to new highs running the other side stops..

 

today's whipsaw action is pretty wild. i was short from the pre-open highs last night and covered off the lows on both mini dow and mini s&p. i got the long signal as i took profit on shorts but i thought today might be a continuation of the decline starting Dec 3rd so i passed. oh well. good day is a good day.

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  Predictor said:
Anticipating retest of lows..

----

Today good example of why I'm reluctant to short what look like good retracements... the last OF reversal powered through every previous level... today took larger loss. Today's pattern is similar to yesterdays where robots drove to new lows running stops then drove to new highs running the other side stops..

 

 

hi there Pred,

 

Have you given any consideration to accumulating the ask-bid spread with an automatic reset to zero at the RTH open.

Bots and Traders may be taught many tricks, but they cannot hide their tracks.

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johnw,

I've used such indicators in the past, i.e cumulative delta. However, I primarily rely on my specialized tape reading software which allows me to see the order flow in real-time clearly. See my tape reading thread. However, today based on the overall market context and my knowledge of day structure, I was looking for an exhaustion in that order flow at places where the market historically is at a high probability to reverse.

 

The difference in the current market compared to more normal markets is that it turns very quickly and doesn't pull back. This meant I didn't have a chance to take off my shorts or re-evaluate. At any rate, this sort of higher volatility is usually associated with markets that are selling off vs generally bullish. Its a function of large traders only willing to take positions far outside the current market due to high uncertainty.

 

While I'm usually right about the markets direction -- when I get things wrong then I take a loss.

 

  johnw said:
hi there Pred,

 

Have you given any consideration to accumulating the ask-bid spread with an automatic reset to zero at the RTH open.

Bots and Traders may be taught many tricks, but they cannot hide their tracks.

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  Predictor said:
Bias is to the upside today but OF is negative.. this means staking out a lower level and watching for an OF reversal. Likely last update for today (busy)... lot of uncertainty in markets

 

hi Pred,

 

Can you tell me what an OF reversal is please.

 

thanks

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  johnw said:
hi Pred,

 

Can you tell me what an OF reversal is please.

 

thanks

 

i believe he means an order flow reversal.

 

I am short at 1412 looking for a test of yesterdays lows (now S1)

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Yes, an OF reversal is an order flow reversal. I use my specialized software AlphaReveal to see these develop in real-time. Typically, what I'm looking for is an order book imbalance followed by a change in the OF. I know where these are likely to develop/can anticipate in advance. The best entries are when both the OF and OB is working in ones favor. See my My Favorite Tape Reading thread for more.

 

  johnw said:
hi Pred,

 

Can you tell me what an OF reversal is please.

 

thanks

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  Predictor said:
Yes, an OF reversal is an order flow reversal. I use my specialized software AlphaReveal to see these develop in real-time. Typically, what I'm looking for is an order book imbalance followed by a change in the OF. I know where these are likely to develop/can anticipate in advance. The best entries are when both the OF and OB is working in ones favor. See my My Favorite Tape Reading thread for more.

 

muchas gracias Pred.

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  Predictor said:
Some larger sell orders going off at current highs.. not inclined to go short but a retest of 8s seems possible.

 

i think we will see 1406 minimum today. it would be unusual to see a daily high that starts to fade suddenly turn around. i am targeting 1406 followed by 1402 followed by 1398. 1402 and 1398 are a stretch though. i will let my 10 tick T/S take care of it if it ends up being too aggressive.

 

good luck.

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  rtg said:
i think we will see 1406 minimum today. it would be unusual to see a daily high that starts to fade suddenly turn around. i am targeting 1406 followed by 1402 followed by 1398. 1402 and 1398 are a stretch though. i will let my 10 tick T/S take care of it if it ends up being too aggressive.

 

good luck.

 

I covered all at 1409

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That was a great call I made for those paying attention.. market dipped right down from about 11 (from when I first observed the action) to about 8 and bounced right back. I took a small reversal off the 8 instead of going with the initial selling.. although it was a decent run.

 

I had an option to go with the selling programs or to wait for a new imbalance to develop. I know at all price levels where the market is likely to go -- I don't need to go way outside the market to extremes (although can see the value in that). I also have the most accurate "extreme" levels that I know of anyone to develop. I don't always use them but I'm thinking of a systematic application which could work well with the order flow. I developed and tested the accuracy of the levels against all the common floor trader pivots. None of the popular pivots offered any real edge in determining where the market would reverse. I later challenged a real quant to develop more accurate projections and he was not able too. I also have predicted (without any systems) the market to the tick a day in advance. I tested myself against the levels, and found I could not consistently beat them. I will add it is not even difficult to develop such levels but it requires actually doing some work.

 

If you wonder why I don't use them in my work: that's a good question. But, even though they are more accurate then any published levels. They still aren't all that accurate. Like most methods based on variants of linear regression: they tend to overshoot at turning points. Its the catch-22: you're only guaranteed to get filled on the losers. I prefer to trade more free flow. I'll trade from the middle out, as well. I actually find some of my best trades can come form there. I will enter trades in the first few minutes of the day too. Part of tape reading is developing a feel for the markets, I'll go short/reverse long/etc. I think its important to be able to do that. Systematic trading is easier for most traders to be able to execute with real money. This is why I'm thinking of developing such a method.

 

Anyway, the goal is to see whether the market is actually doing what I anticipate: if it is then it probably means I'm right -- if its not then there may be factors outside my understanding driving the market.

 

I can play any number of games. One game I play is "making the market" where I only offer fair prices. I find this works well in many markets. If I try to milk the market even by 1 tick then often it means a loss for me.. If I think the market can truly to go X then I'll out before X because I want to resell to someone else. At other times, I'll play other games.

 

When I'm trading at my best, I look at my trades as sequences. No individual trade may make sense but the sequence as a whole will end up making me a profit.

Edited by Predictor

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  steve46 said:
Reading these posts one can't help but develop an appreciation for the British term "Muppet"....

 

why? different trading style?

 

i have to admit, i was a little excited to find a forum where people trade minis since I'm not actually in chicago anymore. I have come to realize its just a cock stroking ego fest and a waste of time.

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rtg: Don't let steve get you down. He's an unhappy vendor. It can be anything you want. I usually don't point out my wins but steve riled me up too. Yesterday, I experience huge losses so trust me its not an ego fest, with me. I actually share here because I feel it improves my read. I also have shared my software here but I was here before that.

 

Why don't you start sharing your analysis/read/thoughts here? That's the best way.

 

I feel it is best for real-time analysis... i.e I'm seeing this develop.

 

I say for everyone sharing here.. Steve included, the best benefit will be for us to all share what we are seeing in real-time and our analysis of current conditions or pre-planned trades.

 

Obviously most of us won't share everything but that's what would make this most valuable. This is a similar idea Dr. Steenbarger had actually in providing real-time analysis.. I thought it was a good one.

 

If I get 2 requests then I'll even share/post up the levels for free a day in advance for 1 whole week.. I don't use these always in my work so it takes a bit of effort for me to actually process them-- they are generated by algorithmic. We can see if these levels are worthwhile. I'm not offering these on any subscription basis at this time, either.

 

I will start..

 

The YM and NQ diverged widely yesterday. There must be a reason for that divergence and it may be useful in pinpointing current market themes. What is everyone opinion for that divergence?

Edited by Predictor

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  rtg said:
why? different trading style?

 

i have to admit, i was a little excited to find a forum where people trade minis since I'm not actually in chicago anymore. I have come to realize its just a cock stroking ego fest and a waste of time.

 

 

Have to agree with you....as you can tell I've spent a few days here...if you look at the threads I've authored you will see what I have tried to do...I leave it to others to decide where the chips lay...

 

if you drop by a while longer, you may see that some folks here have a real interest in trading. Negotiator knows a bit about MP and auction theory....there are others, but eventually they mostly come to the same realization you have....and they leave....I have probably been here a bit too long myself.

 

I have simplified everything to the point where all I am doing is trading the previous range, and some very basic patterns. I am retired from an institutional job, and frankly money isn't a big deal anymore. If you have an interest one concept that you might find useful is "time based pivots". Most of my old colleagues use the system and it still works pretty well. As an example, used to be that on a friday, if they tested the previous week's open, high or low, it would be defended pretty well. Even as recently as today in the NQ chart I have seen that same behavior so I know my guys are still there doing the job...simply put "time based pivots" consist of the open high and low of year, quarter, month, week and day...nothing exotic and it doesn't cost a thing to keep it in mind as you trade.

 

edit....attached an example of a test of previous low in the NQ futures.

 

Good luck to you

 

Steve

5aa711897995f_Testofpreviouslow.thumb.PNG.4cadc2e4066f831b5523f7cfb2b8e60c.PNG

Edited by steve46

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Just ignore the trolls...

 

These are the levels I mentioned. These were generated after the close yesterday.

 

H2: 1420

H1: 1416

L: 1410

 

One systematic strategy I feel could work well is to watch for OF reversals near the LOW and HIGH projections, say within +- 5 points of the L and H2. It is more difficult to get the high in advance.. so I have 2 projections for it.

 

Right now the market is at 1411.25. Today you'd look for a reversal pattern from about 1411-1404ish to get long.

 

Today we also have payrolls at 8:30 AM. I believe the ADP report was negative.. So this could turn into a trending action.

 

My rough game plan for today (if I trade) will be to get long an OF reversal in the 1404-1412 range OR to wait for large movement to the upside and try to buy any retracement on a good report. A bad report that breaks the market down below 1404 might be worth a short.

Edited by Predictor

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  Predictor said:
Short from 21ish... very good report.

 

sounds good, it certainly looks like it will fade but the cash open will certainly lead us today. thank you for the thoughts above, I will post up my charts and thoughts when I put up trades. I only take a few per week and go heavy (for my account size). I am flat today outside of holding a few euro fx shorts from 3090. I am waiting for the cash open to see some direction for a continuation or whether or not this will fade.

 

I am always wary of trading jobs friday. I have had a decent week after giving back all of my early november gains. I am in wait and see mode. good luck today.

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  Predictor said:
Short from 21ish... very good report.

 

for whatever reason my posts are slow to appear.

 

great job calling that s&p short. i have 2 mini dows on averaged at 13115. playing small ball today looking for a return to the hourly pivot of 13045. I'm stopped at BE+1

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Have approximately met my profit target for today... so will be watching only for exceptional opportunities now. The trade setup was... I mapped out the extents of market in advance... waited for an OF reversal at the extents, i.e used my tape read. Very nice being able to catch that response to that report...

 

At this point I'm trying to look for a retracement to get long but keeping in mind a short drive

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