Day Trading Notes

I have begun day trading the IWM ETF. As a novice trader, my initial focus is developing good methods for day trading. I will frequently chronicle notes on my market observations and performance to track my progress.

• The past couple of days the market has been in a strong downtrend, making it very difficult to trade from the long side.  Today there was some good trading on the long side as the market seemed to find a nice range with some good swings.
• I need a way to determine if I should be trading long or sitting on the sidelines.  In other words, I need an indicator to tell me when to bet big or small.  I am thinking of using multiple time frames to determine my short term bias.  For now, I will use a 10 day chart with 1 hour bars.  Using my my momentum oscillator on this time frame may help me improve my trade results.  When momentum is positive on this time frame, it normally stays positive for at least a day or so.  These positive momentum periods increases the chances that a breakout will follow through.
• USE THE MOMENTUM FROM DIFFERENT TIME FRAMES TO ALIGN TRADING BIAS AND IMPROVE WIN %.
• I really need to find a way to incorporate market breadth into my day trading.  I use market breadth in my swing trading and I feel like I am trading blind when I am day trading without it.  Unfortunately, Fidelity Active Trader Pro does not provide many options.  They do have the TRIN and advancers vs/ decliners, but I was really hoping for the TRIX or something more customizable.  I will have to find a solution to this problem.
• FIND AN INDICATOR TO MEASURE INTRADAY MARKET BREADTH.
• During the down days I have been working on my order entries/exits in order to trim my losses.  Things are progressing nicely as my average loss seems to be decreasing from around 0.11 to 0.07.  This should help improve my performance and risk-reward ratios.
• I need to find a easily accessible list of news events for the week.  I was caught off guard the other day when the ISM number came out better than expected.  The market had traded in a tight range for about 10 minutes.  The news came out and IWM immediately popped up about 1.00, trading over 1.5 million shares a minute for several minutes.  I had no idea what was going on, but I am glad I was not short at the time.
• FIND A LIST OF MAJOR NEWS EVENTS COMING OUT DURING THE WEEK.
• I am considering changing time frames to make trading a little easier with the distractions at work.  A 2, 3, or 5 minutes time frame may be better for my situation.  For now, I am going to continue to trade the 1 minute bars.

Daily Trading Summary (09/06/11):

Number of trades (round trips) = 6 (2W, 4L)

Trade Size = 1 share

Average Win (Winning %) = $0.205 (33%)

Average Loss (Losing %) = -$0.068 (67%)
Win-to-Loss Ratio = 3.01

Average Return = $0.023

Total Return = $0.14