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The morning session is over. The strategy has traded: 435 shares for a gain of +$133.14 after commissions Not a bad start to the day... Far cry from the +$250 it had in unrealized gains at one point in the day.... but I'll take it.. Hopefully it doesn't have a bad afternoon so I can hold on...

I generally trade with market orders in my automated system... This removes some of the missed trades you hit on.. but introduces more slippage... which sort of evens out.... However, there is more to missing trades than fills when comparing historical data to real time trading.... I can deal...

NinjaTrader is actually what I am using to run my strategy live. I have developed my own automated systems over the years... but in the end I found I spent too much time tweaking the platform and not the strategy.. So now I use NinjaTrader and focus ONLY on the system.... The market replay...

Its a volatility based exit. Essentially the stop "hangs down" from the highs. http://www.forexarticlecollection.com/trading-strategy/knowing-the-ins-and-outs-of-chandelier-exit.html

No... I have lost just about ALL faith in backtesting. Especially backtesting over data that I bought somewhere and did not collect in real time. I have found that even the smallest differences in data can greatly alter results. So all the data I have bought over the years or downloaded from...

Today should be very interesting to see how much profit it can hold on to. Still has 5 open positions and an unrealized gain of +$250

I still have not figured out a good way to exit the market, so I did not make any changes yet. For example right now I am looking at the bot and its up a little over $100 right now with its 5 open positions. I see it get way up like this everyday. By time the morning session is over it might...

The first few posts of this journal explains the reason. I am essentially taking a different approach to system development. A "develop" as you go method. After developing many great systems "in backtesting" that failed under real conditions, I am doing things in reverse this time. Developing a...

The strategy had a wild afternoon. But didn't make much extra. Total shares for the day was 778 for a gain of +$51.24 after the $22 in commissions were paid. There were times today were I wanted to scream at the computer to get out. I have to find a way to solve the "reacting" too slowly to...

Thus for during the morning session the bot has traded: 239 shares for +$44.59 Nice to see it finish the morning in the green.

Engine99, Only about half of the stocks are NASDAQ stocks. I am using market orders for my entries and exits and have not had any fill problems.

The 300 shares is from 4 trades of which I paid a total of $8 in commission. My $25 loss included this commission cost. Right now commissions play a slightly larger role than normal in my P/L. However, once things are on track and I scale up the $$$ allotted to each stock commissions will...

Just another day. Not much to report... Mostly quiet slow grinding up day. The stocks the strategy watches for all pretty much gapped up... then ran a little... then stayed pretty flat for most of the day... This strategy requires a pullback to enter... by time the stocks started making...

Friday was not a bad day. Basically flat when using a long only strategy during a down market. Can't complain much with those results. However, I did see some room for improvement in 2 areas. #1 I saw it takes an obviously bad trade early in the morning. One of its stocks gaped up and started...

The afternoon session is now over: Shares traded: 214 for ~+$3 Total day: 662 shares traded for -$3.14 All in all scratch for the day. However, I can't complain too much considering market was bearish most of the day.. Made a good bit of trades and after commission and everything only...

Yea I have had SEVERAL very painful futures journals in the past. One of these days one of them will work out... each time I start a journal I feel optimistic that this time will be the one... Something feels different about my approach this time which really has me believing that this one is...

A note about the strategy: Currently the strategy only takes LONG trades. I have not yet implemented my short setup. The reason I have held off on the short side is all too often when developing strategies I try to piece both sides together at the same time... This time I wanted to start with...

Over the years I have done several "unsuccessful" auto trading journals with futures. Those strategies turned out rather disappointing after back testing them on YEARS of intraday data only to watch them blow up in the real world. Now I have a rather bad taste in my mouth when it comes to the...

I have spent the last several years trading the E-minis. Then while testing out my strategy on plain stocks to see how robust it was I discovered something. Some individual stocks had very strong tendencies.. such as some would trend intraday very well.. some would chop back and forth all day...

What are good "trending" stocks for day trading? What I mean is stocks with: good volume, tight spread, and has a lot of sustainable intraday trends?