Tuesday, November 24, 2009

ORB price extensions

I have been on an extended break from trading and am now in control of my schedule once again to analyze my chosen markets. Namely: GBP/JPY, GBP/USD, EUR/USD, USD/CAD and occasionally AUD/USD.

One of my favorite trade entries these days is a combination of the 1 hour ORB price level extensions coinciding with my CRB chart with VPOC levels. I know, an absurd amount of jargon. But really a very simple trade setup.

Here are the two annotated charts.

So the basic components are price extension fibs created from an opening range breakout (ORB), Market profile "Virgin Points of Control" or (VPOC) and the simulated price chart using Constant Range Bars with a setting of 20 pips (CRB).

Now, one question I am asking myself today is if a bias on the 1 hour chart creates more consistent returns using this setup or does it simply limit the amount of trades--which, in itself tends to reduce the sample set and improve returns over the short term.

The results of the trades for the past month on the EUR/USD with an hourly bias (created using a Volatility Pivot with an ATR setting of 7 periods; often referred to as the VP in my previous posts) are encouraging. But the question remains, does a bias improve my results? I will keep an eye on this over the coming weeks and report my findings.

Wednesday, September 16, 2009

Anatomy of an ORB bounce

Yesterday I bought at very nearly the low the of the day. I did this because of a price/ time relationship I have found to be extremely effective in entering the market. If you calculate the opening range and create a fibonacci extension over it, you will find prices tend to stop or even reverse once they hit these levels. Yesterday it was the 161 level. Often times this is the most probable level which price will bounce from as it is the first extension level from a breakout. 

What adds even more probability to the bounce is the hourly pivot. Yesterday the hourly pivot was below the 161 fibo extension level. If price stays above this level you can almost guarantee a very swfit and profitable bounce. Which we got with a clean 90 pips possible profit.

*Note there is a second way to play the Opening Range Breakout. One which is even more profitable and immediate in its rewards. You wait for a very small opening range, such as today in the Euro (only 24 pips) and enter on the first close outside the range. I am reasonably confident today's move will be swift and substantial.

Tuesday, September 15, 2009

Buy EU Buy GU

Healthy selloff on GU and EU seems very strong so far today. Taking the bounce.

Wednesday, September 2, 2009

Short UCAD Long EU

Lower high?

Tuesday, September 1, 2009

Long again GU

Wider stop so chances are better...right?

Buy GJ

Long GU

Missed the early morning trades which yielded 100 pips on both GJ and GU. Will try the bounce. Stops under low of day.

Monday, August 31, 2009


Pullback from a weekly breakout. The stuff of textbooks...

Goals for the week

Last week ratcheted my level of accountability in my trading up a notch (or two) I decided, against my ego driven desire( which is to be right rather than profitable), to employ hard stops on all trades employed in the Meantrade method. The results were excellent. Only 3 stops and the other half of the trades either worked out for modest gains or screaming winners. It is the kinds of results one would mark as PROGRESS with caps and a big smiley =)

This week will be more of the same. By using the Fibo extension levels strictly as support and resistance levels it means on some days when prices make the majoirty of their move before the opening range is established(as is the case for GJ today), I will be sitting on the sidelines and perhaps need to supplement the levels with something else to create entry levels.

I have considered using extreme volume bar ranges taking the highs as resistance and the lows as support. It does not always match up with my trading ranges, but I have noticed when these levels are in play, they tend to be extremely accurate and price does respond swiftly. Take a look at the above chart for a clear example.

To recap, the primary goal for the week to maintain my discipline by applying hard stops to all trades entered. 

Thursday, August 27, 2009

Missed setups

Today *thinking* kept me out of perfectly valid setups. I am listening to others thoughts on the condition of the immediate market. This is not useful as I already have a stand alone method which does not require the opinions of others to enter. If I am already in a profitable trade and sentiment seems to be shifting based on some popular market commentators, I might take it into consideration. 

Ultimately the decision to enter and to exit the market should be based on what I am looking at on the chart. After all, it has proven itself worthy of my attention. No reason to deviate from it.

Wednesday, August 26, 2009

Short UC

 Still short EU. Taking this very symmetrical short on UC. Let's see where it ends up. 

Tuesday, August 25, 2009

Short EU

GU stopped break even. Now short EU for death... =) Stops above the high of day.

Exit EU Buy UC

Still holding GU for a final push up. Took profits on EU above 1.4345 +75. Stopped at break even on the previous UC trade. Now back in UC for the bounce.


Moving stops to break even on UC. Taking the bounce on GU and EU.

Monday, August 24, 2009

Buy UC

Pretty healthy sell off so far today. Let's see if the 261 level has any relevance today.

Stopped GU -52

The market seems completely dead today. Stalking the next trade, expect the volatility to only pick up from here. Have to give a little blood to the trading Gods to get any sustenance for the harvest.

Buy GU

Playing the early morning bounce. Targeting the upper Keltner. Stops below the low of the day +10

Goals for the Week

This week I will trade two methods. The first and primary method is Meantrade with the newest golden ratio levels as my "battle lines." Stops will be based on the previous highest high or lowest low from that day, or if earlier enough in the session, from the previous day. I expect my win/ loss ratio to be around 60% by applying hard stops. I accept this because it means I will not blow up. 

The second method is based on breakouts. On Monday's there is an overwhelming tendency for GJ to trend most of the day. I will simply create 60 range CRB's and hold the position until the Heiken Ashi's reverse. Simply following the trend on Monday's has yielded robust gains for the year and I expect the tendency to continue. I will not take the breakout trades on other currencies so readily. For those I will only trade in the direction of the weekly breakout basing the previous weeks highs and lows and marker points. Once the CRB prints higher than the previous weeks high and lower then the previous weeks low, I will trade only in the direction of the breakout.

I favor the Meantrade method over the breakout method, but I will keep my eyes open for both.

My concrete goal for the week is to use hard stops when trading Meantrade.

Sunday, August 23, 2009

Golden Ratio Results

When price bounces off the golden ratio levels on UC the results are quite amazing. 11 bounces 2 losses so far in August. 9 of these trades went for more than 50 pips each. 3 trades for more than 80 pips. I will try and get someone to make a support and resistance indicator for this so I can post it on all my charts. I am very excited about this. A postive refinement of the Meantrade method with even more accuracy than before. This is progress.

Now back to the other 90% reading up on Dr. Brett...

Friday, August 21, 2009

golden ratio??

Well, some people swear by these levels...

golden ratio??

Yesterday's trade too...

golden ratio?

I was wandering about my charts today and happened upon this one. Going to backtest it and see what I can come up with. Maybe meantrades has a new mean...a very old one!

Short GJ

Took an early short and didn't have my target in the market, got stopped at entry and now short again for the swing. Will see if we can get a touch of the 4hr Keltner at 153.41. In fact The 4hr looks like it could begin to take a massive drop outside of the current flat channel. All the attempts at higher prices have weakened as they entered the upper part of the 4hr Keltner.

Short GJ

Really terrible day for trading yesterday. There were two signals. Both winners. I missed them both because of trying to trade something besides my system. Markets are split with the euro higher against the dollars the pound lower. Until these two start trading in the same direction again, the markets are not going to get too far in one direction. 

This was the only trade during the NY session. Still open, will wait for the heiken ashi to turn up for profit.

Wednesday, August 19, 2009

Buy UC

Above the 4hr VP, a good proxy for EU short. Seeking the upper keltner and more...

Sell EU +30

First Keltner touch and I am out. Market is opening weak, only EU is above the VP. Currently I have left quite a bit on the table. Will keep an eye out for GBP weakness again to short.

Buy EU

GBP dropped like a rock today EU has barely gone anywhere. GBP starting to ease up a bit, I'm long for the keltner touch.

Tuesday, August 18, 2009

Sell UC +5

I was thinking this afternoon about what is the ideal exit point in a trade. I decided it was not at the best price. Of course I want to make as much as possible. But the problem is you have to let the MARKET TAKE YOU OUT in order to do that. How do I let the market take me out? I place a stop, I don't adjust it against my position and I swing for the fences. This inevitably leads to several more losses than if I were to get out at the first sign of weakness against the trade. But if a market retraces past the initial entry point and has not first at least touched the Keltners I would say it was in fact a good trade.


Because I live and die by the Keltner's. And after countless observations, it is well worth the waiting game to see how the market reacts to the band touch. If it bounces off it without hanging around, the market is decided. But if it lingers chances are it will continue in it's chosen path. Today my trade on GJ is just such a trade. It lingered, but it never broke, a good sign to exit.

Whereas on the UC trade I just exited, the market rejected the band level and we traded back to entry. Of course this does not guarantee I will exit  at the wrong time more often than not, but what it enables me to do is hit a rare home run. If I exited before the keltner touch, I do not even put myself in the game. Bad strategy. 

Let the market take me out, good strategy.

Buy EU

Range is getting very tight here. Had 100 pips on GJ but remained short. Expecting prices to swing both ways today without any major breakouts. Let's see what happens.

short GJ

Trading below the 4 hour VP.

Buy UC

Taking the early morning bounce.

Sell EU +18

Market didn't really take off from the bounce. Had to hold for more than 12 hours. Taking a modest profit. 

Monday, August 17, 2009

Long EU

First trade of the week. Stops below 1.400

Ni Shanghai Wo!

Man I really don't like the look of this. Most indexes have healthy push and pull but Shanghai is pure momentum. It looks like the bears are really at full throttle now. Unlike more developed markets, Shanghai does not have a futures or short selling market to keep things in a relative state of equilibrium. So when the sellers come they just bring in more sellers. A lot of people are saying China is leading the world. If their index is down like this today, what can we expect in America or Europe this week?

Saturday, August 15, 2009

Broken bones, broken trades and a renewal

Not a likely excuse but still a fact. I broke my ankle two weeks ago and missed the opportune exits of the trades I was managing. Took an ugly hit on my GJ short but had nice pips on UC and GU long. Again, a scratch trade. So far an unprofitable month. I have been reading Brett Steenbarger';s books again. I find his work so valuable and relevant that it won't be long before his place among the more famous Van Tharp's and Mark Douglas' trading bibles is secured.

Whatever, I still don't do the exercises in his books and my mental game is as dull as a Chinese steak knife.

Next week my goals:

Keep an ACCURATE journal of entry and exits. No need to pressure myself to post in real time if I am trying gauge the exit. But at the end of a period of 24 hours my trade status should be updated.

Trade the most *robust* Meantrade method for better or worse(some weeks 20 crb's suffer from Goldilocks angst). This means 20 crb's on GJ GU EU and UC. Wait for a proper reversal candle. For longs this means a white Heiken Ashi bar close above a pivot. Pivots are adjusted for the London and the US open. Targets are the opposite Keltner band which created the entry. If the market seems particularly strong, I will hold for an opposing reversal candle contra to my entry. 

STOPS. Stops shall be two pivots from the entry. This averages about 180 pips on GJ, 120 on the others. Stops usually get taken on the Asian open, so if target doesn't come before the close of NY I will take my chances with the stop fairy. I have tried for years to cheat the stop fairy from denting my account. In the end, he sends his older more vindictive cousin, margin man to put me back in my place among the mortals. I fucking hate to be among the masses who have to follow pre-established rules set by others. Damn Humans!

But one thing I do have is my own method. I cannot say how important this has become to me in trading and in life. Without my own path, I feel empty and without purpose.

A few of Friday's trades which I didn't take but posted above for record keeping sake. Instead of making some great trades and sticking with them, I just hopped around from method to method which I thought MIGHT be more efficient and profitable than Meantrade. But they weren't. Nothing compares. Why? Meantrade is mine, warts and all. The sooner I accept my baby as my own, the sooner I will be CONSISTENTLY profitable. 

To each and all I wish MODEST drawdowns and smooth equity curves...

Friday, July 31, 2009

GU long +++ GJ short --- UC long +

This little swing trade attempt turned out to be slightly positive but only by a hair. I will keep holding these 3 pairs and see if the relation between GU and GJ can come back to equilibrium. If you take a look at the relative price spread, you can see there is a massive spike in GU and a very tight range in GJ the past two days. When these two come back in line, it ought to happen at lower prices which will yield a modest profit on GJ, with a 200+ pip buffer on GU, I will hold off on booking profits. See chart for my target measures.

For UC we are in a low momentum downwards trend, we have yet to see trend exhaustion and all upper challenges to the VP have been met with sellers. 1.07 is up next. Let's see if we get there.

Trader Test

These are becoming very popular formulaic pop tests but they, just like astrology tests, reveal nuggets of truth.

I came out as an Independent Trader.

Trading Strengths

  1. You can quickly determine if a new style of trading or system will fit well with your personality.
  2. You can rapidly evaluate when something is working for you.
  3. You like the challenge of sorting out market conditions and like the intellectual stimulation of developing and planning low risk trading ideas.

Trading Challenges

  1. Your trading could dominate your time and you could become socially isolated, which in turn could upset others, particularly if you have a spouse.
  2. You may reject or abandon workable systems if the logic isn't clear; because you don't understand the systems boundaries ahead of time.
  3. You are a human being not an android, and you do have emotions. You just don't pay that much attention to them.
What was particularly interesting was the Strengths and Challenges. The one I am most surprised about is the isolation remark and how it can affect my social life. I find, the more I trade, the less time I spend with others unrelated to my trading. I have to "take the needle out of my arm" as Joe DiNapoli once said about the addictive nature of trading. I have tried various approaches, swing trading, auto trading. Nothing seems to keep me away from the markets, in profit and in loss, I am a true market addict.

See for yourself, where do you fit into the trader personality matrix?

Thursday, July 30, 2009

Still shining on the original Meantrade method

Seems I am chasing my tail with all these variations. With a hard stop of 40 pips today was a big day on GJ and most other pairs I track(will start with stops of 25 for EU and UC, 30 on GU). Will trade based on the direction of the 1 hour VP and the standard Meantrade method the rest of the week.

Too active scanning the charts for tiny variations which add nothing to the bottom line.

Short GJ Swing

Crude Oil collapsed after inventories and consequently UC seems like it has ended the downtrend. Looking for a test of the lower Keltner to exit for my loss.

Shorting GJ for the hourly swing as VP crossed lower and we are trading at the upper keltner.

Normally it would be a bit strange to be short GJ and long GU but the markets are in a wide range this week with no clear conviction in the USD yet. Should see a return to the upper range by Friday.

Let's see what happens...

Wednesday, July 29, 2009

Swing GU long /UC Short

We had a fierce pullback tonight. Trying to enjoy my summer with the slower pace of the markets on the hourlies. Let's see if the week makes a final test of the highs or if we have had a trend reversal with the dollar index at the yearly low.

Tuesday, July 28, 2009

Inspiring post yet again from Dr. Steenbarger.

Monday, July 27, 2009

Cover UC+++ Sell GU +

Biggest trade of the year. 200+ pips on multiple lots; I made some choices in this trade which paid off. I will try to be more agressive when I see a clear trend like this in the future. In fact, the trend is not over by any measure but I like my odds of finding a re-entry price this week for another test of bottom. Political events causing me to consider how far below the BOC comfort levels we are(See Black Swan's report here.

As expected GU also bounced back. I took a modest profit at 1.65. No, I didn't, I took a very nice profit of 50 pips at 1.65 =) I had average price around 1.6450 on Friday's close.

Experimenting with smaller range bars than normal. Liking what I get. In the summer sessions the ranges are contracting so it's better to adopt a more hit and run style than normal as profits are evaporating faster than usual. If you scale down far enough there is always a trend to be had.

Here is a recap of some trades I took earlier today.

It's been a good day as you can see.

Saturday, July 25, 2009

Add GU long Add UC short

Markets are really not trading in sync at all. And I, in turn, am chasing my own tail since there is no direction in the currencies. I missed the exit on GU this morning so I am buying more here to get a better average price. As weak as GU looks today, it is still above the 4hr VP and is trading above the psychological level of 1.60. Oil is making highs, the DOW is sky high. The Euro is super strong, only GBP is weak today.

If you make a basket of what moves in sync when markets are risk seeking, oil drives and the continential currencies follow. But only GBP is lagging. Feel confident we will see 1.65 before we see 1.64 again.

UC made new lows, got a new sell signal. Added half a position. Seeking sub 1.08 again.

The cleanest trade of the day was long EU. I wasn't on it. EU is a real fox. Always playing dead until it's not. By then, you lose interest and you miss the best trades.