u/Rogue-seeker

April has been ROUGH compared to other months I've documented in this sub

About 6 months ago, I made a post here about treating trading like a data problem instead of a gambling problem. Back then, I had just reached the point where my monthly trading income was consistently outpacing my previous mid dev salary.

Wamted to drop an update now that I’ve finished my first year trading full-time and just break down the mechanics of the strategy again + a major change I’ve recently made. Since I don't have a regular 9 to 5 anymore, trading is pretty much my only source of income. That helps a lot with the tax brackets, but the financials still matter.

uupdated stats:

5/5 months green

Win rate: 45.5% (though as the April screenshot shows, it can dip while staying profitable)

Avg RR: 1:3.9

Profit factor: 2.1

The core of my system is still a mean reversion model on Futures (ES/NQ, mostly NQ).

I don't use standdard technical analysis. My system is based entirely on order flow. I coded a custom suite that acts as a gatekeeper. It waits for the price to hit statistical volume extremes, combined with delta divergences and order blocks. The entry window is extremely small, allowing for a very tight stop loss and a massive RR ratio.

If the script doesn't print a signal based on delta and order flow data, I sit on my hands and don't trade. That's really all it takes.

I've made minor changes to the system since then, but the core logic and entry conditions have stayed the same.

I still rely heavily on the 1256 tax benefits that come with futures (60% long term and 40% short term capital gains split) and ignoring the wash sale rule. I'm based in Richmond VA, my state tax is around 5.75%.

I did make a big shift recently. So about 3 months ago, I started trading stock options too, to increase my trade frequency. Yes, I know I just praised the tax advantages of futures lol. But the market has been presenting clean setups outside of my futures zones, so, extra profit outweighs the tax disadvantages.

The compound interest from starting with my initial capital has been crazy too. Started with a $2k-$3k. The hardest thing to do was cut off emotions and sit on my hands when the system said so.

If you're still trying to find consistency, my advice is, stop trying to predict the future with trendlines and start trading liquidity, order flow, volume...

April has been ROUGH compared to other months I've documented in this sub

About 6 months ago, I made a post here about treating trading like a data problem instead of a gambling problem. Back then, I had just reached the point where my monthly trading income was consistently outpacing my previous mid dev salary.

Wamted to drop an update now that I’ve finished my first year trading full-time and just break down the mechanics of the strategy again + a major change I’ve recently made. Since I don't have a regular 9 to 5 anymore, trading is pretty much my only source of income. That helps a lot with the tax brackets, but the financials still matter.

uupdated stats:

5/5 months green

Win rate: 45.5% (though as the April screenshot shows, it can dip while staying profitable)

Avg RR: 1:3.9

Profit factor: 2.1

The core of my system is still a mean reversion model on Futures (ES/NQ, mostly NQ).

I don't use standdard technical analysis. My system is based entirely on order flow. I coded a custom suite that acts as a gatekeeper. It waits for the price to hit statistical volume extremes, combined with delta divergences and order blocks. The entry window is extremely small, allowing for a very tight stop loss and a massive RR ratio.

If the script doesn't print a signal based on delta and order flow data, I sit on my hands and don't trade. That's really all it takes.

I've made minor changes to the system since then, but the core logic and entry conditions have stayed the same.

I still rely heavily on the 1256 tax benefits that come with futures (60% long term and 40% short term capital gains split) and ignoring the wash sale rule. I'm based in Richmond VA, my state tax is around 5.75%.

I did make a big shift recently. So about 3 months ago, I started trading stock options too, to increase my trade frequency. Yes, I know I just praised the tax advantages of futures lol. But the market has been presenting clean setups outside of my futures zones, so, extra profit outweighs the tax disadvantages.

The compound interest from starting with my initial capital has been crazy too. Started with a $2k-$3k. The hardest thing to do was cut off emotions and sit on my hands when the system said so.

If you're still trying to find consistency, my advice is, stop trying to predict the future with trendlines and start trading liquidity, order flow, volume... And if you're a dev, even mid or mid-to-senior, try building a system like this, I built mine in under 2 years of R&D.

There's still A TON of people on here trying to trade based on "feel" or drawing arbitrary, patterns. I was doing exactly that a couple years ago and blew a decent chunk of change for me at that time. Again and again, I say, things haven't changed slightly until I started trading statistical variance instead of "feel" and "discretionary".

Just wanted to lay out and update the framework of the system II've been running. Basically, it's a mean reversion setup built for Futures (ES/NQ) that targets overextended liquidity zones.

One major thing though: I'm not gglued. I have a script running in the background that does the heavy lifting, and it only pings me with an alert when all the conditions line up. Then I step in and execute.

Win rate is sitting around 41% (the real edge is the R:R, not the win rate, but my usual win rate is usually around 50%, just a bad streak so far)

Profit factor is 2.40

Max drawdown hit -6.8% at its worst.

The core logic:

I ignore standard "support and resistance" lines. Not trashing them, they are still based on liquidity, but the math clearly prefers something more straightforward, like volumetric zones. The baseline assumption here is that price just can't hold a move outside 2 standard deviations (2SD) of the session VWAP unless there's aggressive market order initiation pushing it.

If that aggression dies off, a reversion to the mean becomes very highly probable. Though just this without coupling it with other conditions below will get you high win rate (if you're trading 1:1 RR), but the few losses will sting more.

This is why I don't take a trade unless the script confirms ALL conditions are met, meaning no manual hunting.

For the statistical stretch, price has to break outside the 2SD of the anchored VWAP. That puts us in outlier territory.

This extension needs to poke into a MTF (usually 30m or 1H) low volume node (LVN) or an older high volume node (HVN). I need proof there's a liquidity backstop waiting.

As price pushes to a new extreme outside the bands, the cumulative volume delta (CVD) has to show a divergence with 30-50 lookback no less. E.g. price drops to a new low, but CVD forms a higher low. That shows passive absorption limit buyers stepping in to eat the aggressive selling.

Another condition is a reversal off a volumetric buy/sell side filtered order block. I can't give away too much of the sauce on this, but let's just say, the aforementioned order block should NOT be freshly formed.

On top of this, a must: This year I started incorporating the Hurst Exponent. It significantly bumped my risk:reward ratio while maintaining around the same PF.

For the trigger, the script waits for a 5m candle to close back inside the geometric range of that liquidity zone.

Then pings me and I enter right away.

Entry is a market order the second that reversal candle closes.

Stop loss is a hard stop right behind the absorption wick. If the wick breaks, the absorption was fake, the script cuts it instantly.

Take profit targets the session VWAP first, then the opposite 1st std band. I've also been testing simple RR-based TP (SL-anchored, of course).

Advice for devs:

DO THIS. If you're a mid or senior dev with basic backend stack, you can likely build this kind of a system in Tradingview Pinescript within a year. Takes hard work, but the results will be worth it.

You could theoretically do this manually, but tracking live delta divergence, 2SD bands, heatmaps, order blocks, hurst and z-scores is, unfortunately, simply impossible.

That's why a script is your gatekeeper. If the math's off, no alert. I could fully automate the execution, but I honestly like the peace of mind of hitting "Buy" myself just in case a COVID or 9/11-like black swan event hits.

note on taxes:

A lot of folks ask why I avoid options. First off, why I avoid spy is IRS section 1256.

Because I'm on Futures, 60% of the gains get hit with the lower long-term capital gains tax rate. Also, no washsale rule means I can scalp a level repeatedly without the accounting headache you get with SPY options.

I could trade SPX, but then I have to account theta, time decay, and premiums. No thanks, I wanna get paid when I catch the right direction.

Some devs may laugh at this and may think overall take-home will be less than some salaries in the field... no. If you don't repeat the same mistake I made by using the profits to pay off my monthly expenses and instead reinvest it and let the compound interest do its thing, you'll eventually do better than any dev on the face of this world.

Systemize your trading.
Edit: I'll be back at my desk in a bit, if anyone wants to see what it looks like on the chart to visualize the setup, lmk, I can probably grab a screenshot.