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Tuesday, 04/07/2009 Security: ESM9 Session PNL: ($473.00) USD To-Date PNL: $3,356.80 USD Account Balance: $88,734.94

Fairly lackluster day, lackluster results. Price chopped down and grinded reluctantly back up for a U-shaped session. Monday, 04/06/2009 Security: ESM9 Session PNL: $486.60 USD To-Date PNL: $3,829.80 USD Account Balance: $89,207.94

Today the price moved thinly until the last 15 minutes. The session was hovering around BE until the very end of the session, when the system was trapped short in a burst upward. A good example of how you can never tell how the day will turn out until the very end. I've had plenty of times...

Thursday, 04/02/2009 Security: ESM9 Session PNL: $434.70 USD To-Date PNL: $4,494.10 USD Account Balance: $89,872.24

I forgot to add some background information concerning size. You can see from the trade histories I have posted that this account is trading 2 ES contracts currently. I funded the account with an initial capital base of $75,000, and I started with one contract. My fixed ratio delta is...

Sorry, missed your last question. I trade the ES, YM, and NQ in my other accounts, only because those accounts are larger than the one I am demonstrating in this thread. The ES size in those accounts is also larger. The account for this thread has limited capital, so I am starting out with...

The time frame is strictly intraday, with 1-minute bar resolution. It's a trend-follower, as I described in the first posts of the thread. rt

My system gets smashed by these kinds of days statistically around 3% of the time. IMO they are unavoidable. If you take a look at the action for the day, the price moved sideways while chopping up and down in a narrow range - a trend follower's nightmare. The problem with filtering out...

Thanks track. rt

Wednesday, 04/01/2009 Security: ESM9 Session PNL: $658.70 USD To-Date PNL: $4,059.40 USD

The zombification continues. These kinds of tactics are to be expected. The best the pigmen can count on is complete paralysis of the economy. The worst is an avalanche of mark-downs when mark-to-market comes into play. rt

I hear this argument quite frequently, but I still don't see the logic of it. There were absolutely no inflationary forces at play during the great depression, and I simply cannot see how anyone can make the case for an "inflationary depression". The definition of inflation is an expansion...

Tuesday, 03/31/2009 Security: ESM9 Session PNL: $1,346.20 USD To-Date PNL: $3,400.70 USD

Monday, 03/30/2009 Security: ESM9 Session PNL: $1,313.50 USD To-Date PNL: $2,054.50 USD

Looks like the market was out for revenge on this trend trader today. Friday, 03/27/2009 Security: ESM9 Session PNL: ($3,265.20) USD To-Date PNL: $741.00 USD

I have struggled with this issue for a few years myself. The only way I was able to create a very conservative backtest with limit order fills is to ensure that the bar that fills the order actual punches through the order level by at least one tick. I really think TS should include this...

Thursday, 03/25/2009 Security: ESM9 Session PNL: $1,312.60 USD To-Date PNL: $4,006.20 USD

Wednesday, 03/25/2009 Security: ESM9 Session PNL: $500.10 USD To-Date PNL: $2,693.60 USD

Tuesday, 03/24/2009 Security: ESM9 Session PNL: $743.40 USD To-Date PNL: $2,193.50 USD

After thinking a bit, I will post the trade list of each day but erase the timestamp. I will start over again for the previous 3 days, as I accidentally accounted the PNL pre-commission, not post. Monday, 03/23/2009 Security: ESM9 Session PNL: $1,450.10 USD To-Date PNL: $1,450.10 USD