23 May 2005

Session Start: Mon May 23 08:37:01 2005
Session Ident: #t1

[09:32:02] <guy> gm and gl everyone
[09:32:04] <guy3>
[09:36:56] <guy3>
[09:37:07] <guy> alpha showing +ve on ER2 here so will not short
[09:38:10] <guy> looking for a place to go long on ER2 here...

[09:41:22] <guy> limit to enter long AB @ 608.9

[09:41:57] <guy> subject to value of alpha if we reach that level
[09:46:34] <mashhad> is ur alpha showing opposite direction for ES vs. ER?
[09:47:34] <guy> no - same way for both
[09:47:52] <mashhad> my es is - , er +
[09:47:53] <guy> reload Alpha - always a good idea just after the start at about 09:31
[09:48:01] <guy> i'll post charts:
[09:48:27] <guy3>
[09:48:52] <guy3>
[09:52:10] <mashhad> reloaded, but still looks slightly diffrent
[09:53:20] <guy> are they mostly + though?
[09:53:40] <mashhad> yes, i am starting to get some - on ER just now
[09:53:50] <guy> same here
[09:54:03] <guy> so ER -.03 etc.
[09:54:09] <mashhad> y
[09:54:18] <mashhad> now back to +
[09:55:05] <guy> when i was trying to pick a long area i was thinking either VAH or POC
[09:55:17] <guy> and turns out the i was wrong in picking POC
[09:55:31] <guy> but alpha wasn't convincing enough for me when it was at VAH
[09:55:37] <guy> and that's why i stayed out of it
[09:55:50] <mashhad> the open turned out to be the best area to take the long

[09:56:00] <guy> cancelled all open limit orders

[09:56:28] <guy> well i think 10 minutes after the open at the VAH for ER2
[09:56:31] <mashhad> approching last weeks high at 93
[09:58:47] <guy> so did you notice how other MP traders shorted the ES this morning? And if you look at this chart here:
[09:59:04] <guy3>
[09:59:14] <guy> you will see that a + value of alpha filters out that trade
[09:59:33] <guy> and prevents me from shorting that MP trade
[10:00:15] <mashhad> y
[10:10:48] <fspeculator> so what is your bias per alpha?
[10:10:50] <guy> so nothing to do here
[10:10:57] <fspeculator> yVA is too narrow anyway
[10:10:58] <guy> coming up fspec
[10:10:58] <guy3>
[10:11:03] <fspeculator> to offer good signals imo
[10:11:13] <guy> that chart i just posted
[10:11:22] <guy> see the area marked as 1 ?
[10:11:32] <guy> well alpha was looking to go over +1
[10:11:41] <guy> if we carried on down towards POC
[10:11:50] <guy> so that's why i was looking to get long
[10:12:13] <guy> but VAH would have been the better area with hindsight but alpha wasn't strong enough for me to take that risk
[10:12:45] <guy> and now alpha has a + bias but not enough to trade off
[10:13:53] <fspeculator> how a bout a short off yHi if it can't go further than 1-2pt?
[10:14:16] <guy> because alpha is still saying long
[10:14:24] <guy3>
[10:14:33] <guy> take a look at alpha comapared to an oscillator like RSI in that chart
[10:14:35] <mashhad> it's not really a MP trade
[10:14:36] <fspeculator> bonds had a crazy trend sofar
[10:14:48] <guy> RSI goes into sell mode
[10:14:56] <guy> but alpha is still in buy mode
[10:15:14] <fspeculator> what does alpha measure?
[10:15:26] <guy> so alpha has remained 'of the opinion' that the market is currently undervalued
[10:16:00] <guy> alpha measures an opinion of how over/under valued it thinks the market is
[10:16:21] <guy> so it currently thinks that the market is slightly undervalued
[10:24:29] <guy> mash: not sure if alpha helped you this morning? You don't have to answer this question but just consider if it kept you out of that short or not...
[10:25:45] <mashhad> i was looking to take a long, because i only trade the basics at the open.. was hoping alpha would give along signal but it did not...
[10:26:34] <guy> okay
[10:27:07] <guy> in that case alpha kept you out of a profitable trade - so perhaps you should keep a log of when alpha helped and when it did not
[10:27:18] <guy> and compare your profitability with and without
[10:28:05] <guy> because if you're going to use it you need to make sure that it adds to your profits and not takes away
[10:28:20] <mashhad> yes
[10:29:43] <mashhad> well, IB is about to close and it looks pretty small on ES, so we might be setting up for a trend day
[10:29:59] <mashhad> still looking for a long signal
[10:31:24] <guy3>
[10:31:41] <guy> i agree mash
[10:38:34] <mashhad> DVAL on ES looks good for a long
[10:38:51] <mashhad> if alpha confirms
[10:38:57] <guy> yes it does
[10:49:56] <mashhad> L 92.25
[10:51:40] <guy3>
[10:51:41] <guy> here's the chart that you should be looking at
[10:51:49] <guy> good trade
[10:51:59] <guy> DVAL and VAH and alpha
[10:55:00] <mashhad> DVAL dropped right after i got in:(
[10:55:10] <fspeculator> IB was about 5pt in ES
[10:55:56] <fspeculator> here's my overall picture
[10:56:03] <fspeculator> they rallied it due to opex
[10:56:06] <fspeculator> last week
[10:56:20] <fspeculator> and now perhaps we'll probe the gaps etc left behind
[10:56:26] <fspeculator> not necessarily today
[10:56:45] <fspeculator> but per my squawk last week
[10:56:52] <fspeculator> the manips were shorting pretty actively
[11:00:57] <mashhad> DVAL keeps dropping.. not good
[11:00:57] <guy3>
[11:08:33] <fspeculator> where do you show next support level
[11:08:39] <fspeculator> previous singles were taken out
[11:08:46] <fspeculator> and worked fine to the tick (last week
[11:11:05] <guy> what symbol fspec?
[11:11:18] <fspeculator> indices
[11:11:29] <fspeculator> per mine it's 1185 and 10400 in ES, YM
[11:11:44] <fspeculator> now i remembered you trade primarily ER... :-)
[11:12:22] <guy> :)
[11:12:32] <guy> but i'm watching ES now as well
[11:12:33] <fspeculator> still ER oneticked its IB
[11:12:37] <fspeculator> isn't it a lead for you?
[11:13:23] <tuna> er one ticked?
[11:13:35] <fspeculator> so to say
[11:13:41] <guy3>
[11:13:44] <guy> here is output from the new IBTool
[11:13:51] <fspeculator> i use different # of ticks for each
[11:14:11] <guy> it gives stats about the IB for the symbol that you've got it loaded on depending on how much data you've loaded
[11:14:25] <tuna> dont see that here
[11:15:30] <fspeculator> very nice guy
[11:15:52] <guy> what don't you see tuna?
[11:15:55] <guy> thx fspec
[11:16:13] <tuna> er single tic ib
[11:16:18] <fspeculator> note that your 2x IB correlates with 84.9 single s in SP
[11:16:35] <fspeculator> and also with my observation
[11:16:53] <fspeculator> that often SP makes new high (by few points) and then retraces b/o by 10pt
[11:17:00] <guy> this next chart coming up tuna:
[11:17:06] <guy3>
[11:17:07] <guy> where the letter A is
[11:17:26] <guy> actually 2 ticked the IB
[11:17:46] <tuna> 3 tics here
[11:18:00] <tuna> 7.8
[11:18:08] <guy> what do you have as IBH?
[11:18:12] <guy> 613.5?
[11:18:20] <tuna> 613.4
[11:18:33] <tuna> no
[11:18:45] <tuna> 613.5
[11:18:59] <guy> and HOD?
[11:19:11] <tuna> 613.8
[11:19:51] <guy> okay - my HOD is 613.7 - on esignal - who are you using?
[11:20:06] <tuna> esig 7.8
[11:20:32] <tuna> iqfeed shows the same
[11:20:45] <guy> okay - i probably have a bad server
[11:20:55] <guy> here is the IB info for ER2:
[11:21:10] <guy> you can see that I have only loaded 7 days of historic data
[11:21:11] <guy3>
[11:21:53] <tuna> so fwiw i have a 3 tic tail
[11:22:41] <guy> right
[11:25:15] <tuna> oth esig crashed twice today
[11:33:56] <guy3>
[11:44:28] <guy> other esignal is which version tuna?
[11:46:42] <guy> Instructions for getting more info out of the IBTool
[11:47:02] <tuna> esig 7.8
[11:47:04] <fspeculator> on function is missing from all software... :-(
[11:47:14] <fspeculator> a critical one
[11:47:29] <guy> tuna - have you tried 7.9 yet?
[11:47:36] <tuna> nope
[11:47:40] <guy> fspec which on function?
[11:47:55] <fspeculator> can't yopu make it display today';s close?
[11:48:01] <guy> :)
[11:48:21] <guy> mash - how you doing on that long?
[11:49:06] <mashhad> still in
[11:49:17] <guy> good holding
[11:49:21] <mashhad> MacG the price to 92.25
[11:49:46] <mashhad> should have waited longer for the MacG
[11:49:51] <guy> right
[11:50:01] <guy> it's been a tough ride
[11:54:04] <fspeculator> i think plain MP per JP's doesn't for me
[12:01:33] <mashhad> looking for94 on my1stcontract,what do uthinkguy?
[12:02:18] <guy3>
[12:04:47] <mashhad> got it
[12:05:06] <guy> sorry - i was slow there - excellent trade! perfect
[12:05:23] <mashhad> i got 1 more left
[12:05:48] <guy> where is your stop now for your last 1?
[12:06:13] <mashhad> i am debating if i should put my stop at my entry or the low of the day which would be still b/e
[12:06:21] <guy> very good trading mash!! excellent holding through the draw down and waiting it out
[12:06:29] <mashhad> thanks
[12:06:49] <guy> your average entry is 92.25 right?
[12:07:22] <mashhad> yes
[12:07:29] <guy> i would put the stop there
[12:07:43] <guy> if we come back down i wouldn't want to risk anymore
[12:07:55] <guy> it looks like we're struggling to find new business up here
[12:08:08] <guy> in the ES
[12:08:44] <mashhad> yes.. we could not make dbl tpos on the top yet
[12:09:50] <mashhad> looks like at 94.25 k-line went negative
[12:13:16] <guy> yes it did
[12:20:22] <mashhad> flat
[12:21:13] <guy> good trading mash - i would have also bailed on that last contract then
[12:21:34] <mashhad> thanks
[12:22:41] <mashhad> it was kinda tricky, cuz IB is small so it could be a trend day later on, but since the vol. is pretty thin i got out
[12:26:40] <guy> I think that was good and also alpha is showing no follow through and tailing off
[12:27:06] <guy> you may notice with alpha that it will tail off as the price spikes but then catch up and show more buy signals
[12:27:12] <guy> this is what i call follow through
[12:27:21] <guy> but now there is no follow through:
[12:28:21] <guy3>
[12:28:32] <guy> .
[12:28:46] <guy> we never know what is going to happen so we just play the probabilities here
[12:29:04] <guy> that way we're right more often (or bigger) than we're wrong
[12:29:18] <guy> and IMO the probabilities favor us going flat on the ES here
[12:29:45] <guy> .
[12:29:51] <guy> And this is the ER2 chart so far today:
[12:29:57] <guy3>
[12:30:03] <guy> and as you can see there has been nothing to trade according to alpha
[12:33:58] <guy3>

[12:35:28] <guy> Shorts AB @ 613.3

[12:35:56] <guy3>
[12:36:27] <guy> Reason for that short: see chart: DVAH + IBH + alpha gone negative
[12:37:19] <guy> my strategy here is to watch how high it goes over the IBH
[12:37:35] <guy> if 5 ticks over IBH then i'll put in a buy to get out at b/e + 1 tick
[12:37:57] <guy> (buy = bid)
[12:39:58] <tuna> spoos single ticked
[12:41:51] <mashhad> wow, no heat there .. nice

[12:42:01] <guy> exit stop moved to breakeven AB @ 613.3

[12:42:08] <guy> thx :)
[12:59:03] <fspeculator> guy. what is the timeframe of your alpha signals?
[12:59:13] <fspeculator> my q is bec SP has no sell tail
[12:59:24] <fspeculator> what JP would call, "unfinished profile"
[12:59:34] <fspeculator> i'm out of my early short
[13:00:05] <guy> time frame - on the chart or to target?
[13:00:18] <fspeculator> i mean the t/f for your signals
[13:00:32] <fspeculator> e.g. for me, tick patterns are valid for the next 2-3min
[13:00:45] <guy3>
[13:00:48] <fspeculator> how often does it change its mind?
[13:01:04] <guy> up to about 3 or 4 times a day max
[13:01:14] <guy> you see now it's thinking short
[13:01:26] <guy> and before that it was long
[13:01:47] <guy> so it prefers the short side now and we came to DVAH and IBH and so that's good for me
[13:02:02] <guy> it hasn't filtered me out by saying that we should be long up here
[13:06:25] <fspeculator> you noticed my comment on "unfinished" profile in SP
[13:06:31] <fspeculator> others seem ok (YM, ER)
[13:07:13] <tuna> spoos is finished imo
[13:07:44] <guy> what do you mean by unfinished profile fspec?
[13:12:56] <guy> these trading logs get posted here
[13:14:58] <fspeculator> it's JP lingo guy
[13:15:36] <fspeculator> in this case means no sell tail
[13:20:38] <guy> okay - thanks

[13:24:42] <guy> stop hit AB @ 613.3 --> 0

[13:30:54] <tuna> bastids
[13:31:16] <guy> :)
[13:31:24] <guy> see this rotation factor image:
[13:31:27] <guy3>
[13:31:33] <guy> see how the ER2 has an RF of +4
[13:31:36] <guy> ?
[13:31:48] <guy> shows us the underlying attempt of the market
[13:32:33] <guy> now if we look at alpha on the ER2 chart:
[13:32:34] <guy3>
[13:33:05] <guy> and see how ER2 is trading sideways between the DPOC and DVAH and that alpha has gone to 0
[13:33:33] <guy> the risk/reward profile has changed since i entered that change
[13:33:51] <guy> so there was no reason to hang in there or try and move the stop wider
[13:33:55] <guy> .
[13:34:23] <guy> this short might still work but no longer do we have a great risk/reward profile we now have an average one
[13:34:34] <guy> and i'm looking to trade great setups and not average setups
[14:28:53] <fspeculator> did alpha change since it gave you the short?
[14:29:24] <guy3> yes - that's why i'm flat
[14:29:40] <fspeculator> i though you stopped b/e
[14:29:41] <guy> did you miss the posts?
[14:29:51] <guy> yes - stopped = falt
[14:29:52] <guy> flat
[14:29:57] <fspeculator> maybe, i got disconnected
[14:30:09] <fspeculator> i remember you moved stop to b/e
[14:30:22] <fspeculator> was it due to alpha, or bec price has moved significantly from entry?
[14:31:07] <guy> both
[14:31:41] <guy> i don't have the text here to repaste - if you have a look at the log on the web tomorrow you can see the reasons and the chart that I posted earlier
[14:31:49] <guy> or maybe someone else can repost it here
[14:50:50] <guy> alpha back on the buy side here
[14:50:53] <guy3>
[14:50:53] <guy> no shorting this