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MadMarketScientist

Day Trading the E-mini Futures with Predictor

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  Predictor said:
Boehner... no progress made

 

Market is in range we are look for OF reversal.. I'm bid 9.25

 

--

Entered market.... look for drive higher now

 

wow, you did well to enter at 9.25, how did you manage that.

What did your low print as around 11:02

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I've exited at 14.25.... When I say 'entered market' or went to market it means I entered market order. If I say bid or offered it meant I have a resting limit order.

 

Also the time stamps don't matter on these messages because I go back and edit them. I do this because the minimum message length rule.

 

Of course, the messages here are delayed. Often I will have a bid and be reading tape at the same time... if we take out an order book imbalance or I feel we can drive higher then sometimes I'll go to market.. its a riskier trade but often works well.

 

My software and ability to see the OB and OF imbalances I feel is an edge for me.. Levels came spot in today too (just by chance -- as I said they aren't all that accurate but still more accurate then any published levels). One feature I really liked today was ability to paint an area.... I paint the high zone red and then the low zone blue.

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One theme we are seeing repeated is that techs, traditionally a leader, are weaker. We've seen this for a few days now. This may be an important theme. It may indicate that the market is rallying on relief of various fears but that outlook for tech is poor. If outlook for tech is poor then that raises a question in my mind...

 

At this point, I've soundly exceeded my profit targets and don't anticipate to be taking any more trades.

 

The market is fairly 2-sided right now... most of the order flow is buying but there is heavy limit order supply exhausting this order flow so far.

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Thanks.. this was a 1 shot.. after we cross 20 I considered that the market might be outside my range/abnormal. In these situations, you have to protect yourself.. I've tried this before, took a small stop, and came back the market was 20 points higher.

 

  rtg said:
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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  Predictor said:
Thanks.. this was a 1 shot.. after we cross 20 I considered that the market might be outside my range/abnormal. In these situations, you have to protect yourself.. I've tried this before, took a small stop, and came back the market was 20 points higher.

 

I got whipped around, stopped at BE. Then put them back on a bit lower when Boehner started flapping his mouth and walked away with a very modest $200 loss entirely due to breaking my #1 rule: never, ever, EVER jump in without a trade trigger. Life has no absolutes. Except that. It's one thing to trade and be wrong -- I'm ok with that; being wrong is inevitable. Its entirely another to jump in without a signal. I might as have wiped my rear with a few c notes today :doh:

 

All in all, c'est la vie. the above diatribe is my one terrible bad habit of a spreader trying to trade outright contracts. there are trading rules for each strategy (calendar/butterflies vs outright) that do NOT overlap. glad all is well today on your end. monday is a new day!

Edited by rtg
clarity

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  Predictor said:
rtg... everyone has to trade according to own rules. I'm interested in spread trading. What do you spread? Any day trading opportunities in your spreads?

 

i do calendar and butterfly spreads on corn

 

i am long 100 dec/mar contracts. typically, i will walk away from thanksgiving - new years day simply because it is so squirrelly but there was a nice dip possibly from institutional investors at close on nov 29th and i got fills as it closed. typically, its a position game over weeks or months based (almost entirely) on fundamentals of the plant/harvest cycle, import/exports and perception of conditions , weather, etc. its a completely different animal from the politics and technical trading on the outrights right now

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rtg: Your basis is seasonal?

 

I'm weighing if I could be wrong... strong OF buying came in after I made that call. But, it was unable to drive price to new high. I'll probably adjust/pull in my target.

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  Predictor said:
rtg: Your basis is seasonal?

 

absolutely. it all depends on the previously mentioned conditions and those conditions can change quickly! it is largely a fundemental game of yield per acre, import/export supply/demand. rhetorically, things like: will the russians stop exports until price hits a certain level, how will argentina respond to tight supplies in the US, ethanol production, etc etc. there is more to it than that, obviously, but that is the general idea of the fundies involved.

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Sounds like a specialized game. I'm interested in futures spreads. But, I'm more interested in whether/how-to it would be possible to model spreads that are mean reverting and can be traded intraday, somewhat like a vertical options spread.

 

What I'd really like to do is to trade inside a vertical spread... i.e to be able to trade like a futures but have my risk at the extents bounded. NADEX offers the closest thing to what I'm describing but they aren't as efficient as trading the ES for me. If they could improve that efficiency then I'd take a look at them again..

 

 

  rtg said:
absolutely. it all depends on the previously mentioned conditions and those conditions can change quickly! it is largely a fundemental game of yield per acre, import/export supply/demand. rhetorically, things like: will the russians stop exports until price hits a certain level, how will argentina respond to tight supplies in the US, ethanol production, etc etc. there is more to it than that, obviously, but that is the general idea of the fundies involved.

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For those following me, what we seen in this case was a strong negative order flow and limit orders took all that supply. I feel the flow was institutional/algorithmic but it wasn't enough to drive the market to new lows. If the sellers aren't able to drive price to new lows then they must cover. This is why I take an agnostic approach to order flow. I'm looking for the patterns in terms of the current context. What makes trading difficult is that any indicator you take that works well in a range market will fail in a trending market and vice versa.. All the rules just reverse.

 

I never had more then 1 tick F.E in that trade which was a warning but there were several times when it seemed like it could work. My goal is to use my read to guide me. So, I'd rather exit on my read then take the stop hit. In this case, I pulled my stop in and lost about 2 ticks more then I should have. But, it was a close call and I didn't lose the maximum.

 

One of the ideas on my mind, beyond the order flow and book imbalances, was this consumer credit report coming out and the negative sentiment report: I thought that traders might connect the two. Apparently.. jobs report trumps all.

 

Sellers have shown a new response from 17.. If you recall 16-20 is the sell range for the day. Worth to consider if the day structure is setting up as a trend day.. in which case we could close in that region

Edited by Predictor

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These are my levels/estimates for highs and lows over the next 24 hours-- for anyone following along. Market is currently at 1416. I'm not tracking or trading it now.

 

H2: 1424

H1: 1420

L: 1414

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The low proj. has held over night but looks to be tested. If we get a runner to downside then 14 could become resistance. My game plan is to look for a weakness off the open followed by a bounce. I'm not anticipating significant range extension to downside but do anticipate general weakness.

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Very strong drive off open... if I can't get long near 14 then I'll will be looking for a short off the 20

---

Long off the 15.75

----

Out at around 17.50....

 

Still anticipating range bound structure... will look for shorts in the 20 region

---

Short at market.. bad fill

Edited by Predictor

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Cleared the short... added at the highs. I've approximately met my profit target today and will be slowing down. May be DFD...

----

 

What's interesting to note is that at 19.00 we had nearly 3x as much buying as selling but the market moved away. I call this Limit Resistance. In this case, it wasn't seen in the book imbalances but this high volume is indicative of a replenishing offer. Often, the market reverses from high volume because such volume is created by limit order traders exhausting the market order supply.

 

This is why the levels are a help because apparently some large speculators are also able to anticipate where the highs and lows are and use those areas to exit trades. Often they'll use a replenishing offer/bid to get as much as possible and then go to market to get the rest.

Edited by Predictor

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Market looks to be getting weaker here... a retest of 14 seems possible.

 

----

 

Short again.. looking for drive lower from this area.

---

 

Tremendous buying programs went off... looks like sellers in at the 20.50

Edited by Predictor

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