Tuesday and its the NQ !

[Steve Griffiths]

Hi Everybody,

Well the YM had all the action yesterday, so it was nice to see the NQ get in on the act today................ a 3x profit is always a nice way to start the day :)

Steve

[Steve Griffiths]

Hi Everybody,

Just so people do not accuse me of only showing the good trades, here is a 1x loss on the AB that followed shortly after the +3.5x profit on the YM. But then that is the idea, small losses (-1R) and larger profits (+3.5R) means making money overall............... this is the real key to successful trading...........

Steve

[pauli134]

Thats great however ...with the trin clearly a buy and the STF clearly a buy ...I hav counted 8 stopped out long trades in a row this AM ..is it just me or are any of you experiencing the same thing.....?

[Todd Morgan]

Same here. So far today as of 9:28a PST: 9 trades 2winners/7 losers = +.2R :) Not half bad.

I know the working assuption is that each trade is independent. However my data is beginning to suggest there is some dependecy. I have a theory as to why this is. Will report when I have more observations.

Best,
Todd


Thats great however ...with the trin clearly a buy and the STF clearly a buy ...I hav counted 8 stopped out long trades in a row this AM ..is it just me or are any of you experiencing the same thing.....?

[pauli134]

My I ask what filters etc you are using...?

[Steve Griffiths]

Same here. So far today as of 9:28a PST: 9 trades 2winners/7 losers = +.2R :) Not half bad.

I know the working assuption is that each trade is independent. However my data is beginning to suggest there is some dependecy. I have a theory as to why this is. Will report when I have more observations.

Best,
Todd

Hi Todd,

I hope you are not trading differnet minis all at the same time, as this will increase your overall initial risk and as such is not recomended. Because if the YM goes up (for example) then the NQ and ES (for example) will porbbaly be going up as well, so in this respect, YES, they are related....

But overal a frustraing day, I agree, I am currently long the ES and sitting on a small profit but watching it go nowhere............:confused:

Steve

[Steve Griffiths]

Thats great however ...with the trin clearly a buy and the STF clearly a buy ...I hav counted 8 stopped out long trades in a row this AM ..is it just me or are any of you experiencing the same thing.....?

Hi Paul,

Same question for you, I hope you are not trading related markets at the same time, because this will of couse be doubling up on your losses......... which is not a good idea.....

Steve

[Todd Morgan]

Hi Steve,

Yes I'm trading all the mini's and the EFT equivalents at the same time. I realize the high correlation between them. I'm trying to discount/normalize this when testing for dependency though. We shall see.

Though I'm not frustrated at all. It's all quite interesting. Overall results have been very good so for. But I have been filtering some trades here and there on a discretionary basis. Hedge Fund geeks call this "adding discretionary Alpha." :D ;)

Best,
Todd

Good Luck on that ES. I assume it was the TS3 signal. I passed on that because it seemed like the R:R numbers were a bit low.


Hi Todd,

I hope you are not trading differnet minis all at the same time, as this will increase your overall initial risk and as such is not recomended. Because if the YM goes up (for example) then the NQ and ES (for example) will porbbaly be going up as well, so in this respect, YES, they are related....

But overal a frustraing day, I agree, I am currently long the ES and sitting on a small profit but watching it go nowhere............:confused:

Steve

[pauli134]

Well ...this is new ...so what as the correct procedure ..take only one signal if they are all in the same direction...? which one....?

[Steve Griffiths]

Hi Steve,

Yes I'm trading all the mini's and the EFT equivalents at the same time. I realize the high correlation between them. I'm trying to discount/normalize this when testing for dependency though. We shall see.

Though I'm not frustrated at all. It's all quite interesting. Overall results have been very good so for. But I have been filtering some trades here and there on a discretionary basis. Hedge Fund geeks call this "adding discretionary Alpha." :D ;)

Best,
Todd

Good Luck on that ES. I assume it was the TS3 signal. I passed on that because it seemed like the R:R numbers were a bit low.

Hi Todd,

OK, no worries, sounds like you more than know what you are doing ;)

I agree, by keeping the initial risks small is what keeps you in the game.

Yep, just below 2:1 so in hindsight was not good, but I had a gut felling about it........... we will see ;)

Steve

[Steve Griffiths]

Well ...this is new ...so what as the correct procedure ..take only one signal if they are all in the same direction...? which one....?

Hi paul,

Have you never heard that you should not tarde correlated markets in the same direction ?

Looks like I will have to address this in tommorrow's report :rolleyes:

Steve

[pauli134]

Are you refering to futures vs Etf's or YM Vs ES...?

[Steve Griffiths]

Are you refering to futures vs Etf's or YM Vs ES...?

The same markets that generally move in the same direction at the same time. This could be the YM,AB,NQ and ES, or a Future and a stock. But by trading 2% initial risk on two (or more) set-ups that tend to move in the same direction means that you are actually risking more like 4%, because if one gets stopped out, then the other will probably also make a loss.

That is why you should never double up on correlated markets at the same time.............

I hope this helps ?

I hope this helps ?

Steve

PS, ES still crawling higher............. Yawn :o

[pauli134]

Was this convention followed with Tony's tests...?

[Steve Griffiths]

Of course................. he checked the time of each set-up an if already long the ES (for example) he would not take a YM long set-up (for example).

Steve

[Steve Griffiths]

ES just made profit target..................... phew, but what a boring trade, but nice to see it will make a profit :)

Steve

[pauli134]

I was never clear on this point...

[stevej]

Of course................. he checked the time of each set-up an if already long the ES (for example) he would not take a YM long set-up (for example).

Steve

Oops - nice to see we can all make mistakes!

[Biggo]

Hi

Very interesting thread

I see Matt is happy to take trades in all the mini,s in the same direction at the same time:confused: Why is this?

http://www.mtptrader.com/showpost.php?p=4715&postcount=211

Without meaning to appear nosey I would like to ask a question, although if you are not happy to answer I fully understand...

Do Steve & Matt actually trade these RT trades with their own accounts? I understand that the level of comitment & work you put into MTP must take up a huge amount of your time & energy & could understand if you dont have the time to focus on personal trading everyday.. If you do trade on a regular basis it would be quiet enlightening to know on average how many trades you take & how many you reject in a given time period..

[pauli134]

In part, this is why I was confused...I know that Matt was doing things differently than standard MTP Proceedures ...but I do'nt recall this particular issue being addressed in Steve's discussions.... So I take it that if you get 4 seperate buy setups at the same time (which happens quite oftensometimes 8 when you consider different time frames) you take only 1 because to do otherwise in highly correlated markets would raise the position sizing risk paramaters beyond what is acceptable...I assume you take the highest RR trade...?

[Todd Morgan]

Steve,

Nice hold on the ES! Great Trade!


BTW: I should've mentioned before that to compensate for the increased risk from the added correlation of trading both the emini's and the ETF's I cut my bet size per trade to .75% down from 1.5%

What's funny about the futures verses the EFT's is they don't always set up and trigger at the same time as their counterparts. Example....today the SPY 3min had two long set ups (TS2 and a TS3) verses only one set up for the ES 3min (TS3). This happens quite a lot. So even though they're virtually the same thing they don't always trade exactly the same way.

So my thought process was to add as many liquid tradeables as I could find to give myself more "opportunity" (from Tharp) and then simply reduce my risk per trade accordingly as dictated by the correlation.

Best,
Todd




ES just made profit target..................... phew, but what a boring trade, but nice to see it will make a profit :)

Steve

[Steve Griffiths]

Hi Todd,

I agree, it is amazing how the SPY and ES can have slightly different charts.....

Steve

[Steve Griffiths]

Do Steve & Matt actually trade these RT trades with their own accounts?

Hi Biggo,

Yes, I do have an account and I do trade, for example I was in the ES long trade I was talking about earlier (there are not many software developers who actually trade thier own systems themselvles :D ). But, because of my duties at MTP, I cannot trade as much as I would like. The time zone is also a factor, as I am now following the marklets after being in the office for over 12 hours, and needless to say I am rather tired, as such my decision making process can be affected.

Yes, I woudl like to trade more often and perhaps one day I will get to a point in the MTP developement when I return to focus more on my persional trading rather than running the company :)

Steve