2018 - 8 Future Basket Trading Journal

[MidwesternTrader]

You mention daily entry and close, but what's the primary timeframe you're basing the trade analysis on?

The trade signal analysis is primarily based on the daily, "regular session" price action for each instrument.

My initial gut reaction to the daily stop losses is that for some instruments I could see you getting stopped out over and over on some of these unless your entries are perfect (e.g. KC, GC). Also, since you're trading a basket of commodities you have to keep in mind that they can still be generally correlated and there may be days where you get killed on every position due to overall moves within the commodity space, e.g. dollar, rates, etc.

Yes, setting daily stop losses will result in some bad runs in each instrument. That is a cost of doing business for using rigid stop loss money management, IMO. But using no stops, discretionary approaches to "close positions on feel", or trailing stops all have their pros and cons. I just personally prefer rigid stop losses. When I'm wrong, I'm wrong and just move on to the next trade.

Yes, there are general correlation issues on some of the pairs. HO is hyper correlated to CL of course, but on CL I do keep a higher stop loss than HO purposely so their fnial trade results are not synchronized all the time. NQ at times can be negatively correlated with GC, but not all the time - look at the past 20 trading sessions in Gold and NQ. GC is much more negatively correlated with the Dollar (DX). NG is like a crazy ex-girlfriend, it just does whatever it wants. KC doesn't seem too correlated to anything in the group. Hogs and Cattle don't share as much correlation as one would think either.

It is futures trading, so no doubt there are days when you get killed on everything at once. I try to measure the ups and downs over weeks and months at a time and look for the profitability / loss curve of the entire basket to smooth out over time.

 

[themickey]

The trade signal analysis is primarily based on the daily, "regular session" price action for each instrument.

Yes, setting daily stop losses will result in some bad runs in each instrument. That is a cost of doing business for using rigid stop loss money management, IMO. But using no stops, discretionary approaches to "close positions on feel", or trailing stops all have their pros and cons. I just personally prefer rigid stop losses. When I'm wrong, I'm wrong and just move on to the next trade.

Yes, there are general correlation issues on some of the pairs. HO is hyper correlated to CL of course, but on CL I do keep a higher stop loss than HO purposely so their fnial trade results are not synchronized all the time. NQ at times can be negatively correlated with GC, but not all the time - look at the past 20 trading sessions in Gold and NQ. GC is much more negatively correlated with the Dollar (DX). NG is like a crazy ex-girlfriend, it just does whatever it wants. KC doesn't seem too correlated to anything in the group. Hogs and Cattle don't share as much correlation as one would think either.

It is futures trading, so no doubt there are days when you get killed on everything at once. I try to measure the ups and downs over weeks and months at a time and look for the profitability / loss curve of the entire basket to smooth out over time.

Sounds like you have thought this through.
Regarding stop losses, it is very difficult to find something which will suit every occassion.
I think though (just musing) that an intraday trading style 'canned' stop loss system would be more random in terms of win rate than an EOD system.
I run EOD and use a mental type stop loss which is systematic which I discovered myself and it works very well. I just eyeball price action and can spot it immediately.
I'll let my guard down and leave a small clue, it's a timed stop, hope no one bothers to read this

 

[maxinger]

welcome to trading.

I see that you are doing swing/position trading, and most of your futures are from CME.

is KC coffee from ICE US?
It looks strange to me as it appears that you have to pay additional ICE US data fee.

 

[Overnight]

..HO is hyper correlated to CL of course, but on CL I do keep a higher stop loss than HO purposely so their fnial trade results are not synchronized all the time...

Be wary of the cross-over events that will shake up that model. Specifically, hurricane Harvey that hit the Gulf last autumn. CL plunged while RB skyrocketed.

Otherwise, you seem to have a good Plan.

 

[MidwesternTrader]

welcome to trading.

I see that you are doing swing/position trading, and most of your futures are from CME.

is KC coffee from ICE US?
It looks strange to me as it appears that you have to pay additional ICE US data fee.

Yes, KC is from ICE. I have a work around that let's me see the real time KC quote to set the right exits after the entry is executed. No need pay the extra ICE real time data fee so long as I have a work around. My Business major was a concentration in Entrepreneurship, which still comes in handy.

Also, running strategy analysis on a few other ICE products, so might end up adding one to the mix sometime.

 

[MidwesternTrader]

Be wary of the cross-over events that will shake up that model. Specifically, hurricane Harvey that hit the Gulf last autumn. CL plunged while RB skyrocketed.

Otherwise, you seem to have a good Plan.

Agree, the outliers will always cost you money it seems, never really help. Sorta like those million ounce GC market sell order bombs that someone keeps dropping every few months. I always seem to be long when those babies hit.

 

[Overnight]

Agree, the outliers will always cost you money it seems, never really help. Sorta like those million ounce GC market sell order bombs that someone keeps dropping every few months. I always seem to be long when those babies hit.

Then drop it from your basket. Try corn.

 

[MidwesternTrader]

I run EOD and use a mental type stop loss which is systematic which I discovered myself and it works very well. I just eyeball price action and can spot it immediately.

I'm a huge proponent of using what works for you personally. If you have something that fits you to a glove that no one else knows or can master if they do know, keep doing it I say.

 

[MidwesternTrader]

Then drop it from your basket. Try corn.

Couldn't drop GC because of a few random outliers as it makes consistent profits over the longer term for now. I'm not a perfectionist trader for sure, I go with the math over the long term.

I have started running my work on the grains, so I may add one at sometime.

 

[algofy]

Couldn't drop GC because of a few random outliers as it makes consistent profits over the longer term for now. I'm not a perfectionist trader for sure, I go with the math over the long term.

I have started running my work on the grains, so I may add one at sometime.

Just watch out for crop report days if you end up on the grains.