BioComp Profit 8 - Trading the ES

Thanks to those of you who took the trouble to explain how this journal works, I appreciate it.

Got a 'short' signal tonight, and I executed it a few minutes ago, selling at 857.92, for a loss of 5.08 points, or -$254.

A couple of comments: first, I'm not 100% sure how I got that weird price, since I placed a limit order at 857.75, but I'm assuming my broker had some time of price improvement program working. I wish that happened more often!

Secondly, it is frustrating to me (once again) to get whacked by the change in price after the close. Profit 8 calculates the trade based on trading at the close, since that's how I have it set up. And, if I had traded at the close, which was 866.50, this would have been a profitable trade, +3.5 points. Nothing to brag about, but better than a loss. As it is, it has to go into the loss column.

I guess I'm going to have to bite the bullet and actually start trading at the close, which will be before I get my data feed for the day. I'll just put the prices in by hand. This was not a problem back in the days of 'normal' volatility, but these days that 4-hour difference can mean a significant move in the price!

One last housekeeping item: the value of the 2.5 x ATR(20) stop that I discussed at the beginning of the thread has finally dropped below 150 points (barely), so I'll be using that actual value for stops. I'm not going to bother posting it, to avoid cluttering up the thread more.

So our status is

Open Position:

S&P mini (ESZ8) - SHORT @ 857.92

Closed equity: $4,663.50

6 trades down, 24 to go.

W/L=4/6 or 67%
 
The ES trades at 0.25 increments so a fill at 857.92 is not possible. I've never seen any such odd price in ES time and sales. The proper fill would be at 857.75 or 858.00.

I don't know what broker you are using, but you will have to ask them for an explanation of the very odd fill at 857.92.
 
It is possible for such a fill if
- position size is more than one lot
- order was filled at different prices e.g. 1 lot @ 859.25, another at 859, for an average of 859.125

However, the ES is extremely liquid, even in GLOBEX, so I doubt the above applies.
 
Quote from Jahajee:

It is possible for such a fill if
- position size is more than one lot
- order was filled at different prices e.g. 1 lot @ 859.25, another at 859, for an average of 859.125

However, the ES is extremely liquid, even in GLOBEX, so I doubt the above applies.
More...
The order was to sell 6 contracts, so that might be it. I'll check into it and see what the broker has to say. I've never seen that before, either.
 
OK, here's the answer:

Filled 2 @ 857.75 11/18/2008 8:28:49 PM
Filled 4 @ 858.00 11/18/2008 8:28:48 PM

Apparently the order was filled just as the price was changing. That probably wouldn't happen during RTH.
 
Quote from chanelops:

OK, here's the answer:

Filled 2 @ 857.75 11/18/2008 8:28:49 PM
Filled 4 @ 858.00 11/18/2008 8:28:48 PM

Apparently the order was filled just as the price was changing. That probably wouldn't happen during RTH.
More...

OK, that makes sense as an average fill price of 857.92 for the 6 contracts.

You said you placed at sell limit order at 857.75, so when you order was received by Globex there must have been a best bid at 858.00 for 4 contracts and second best bid at 857.75 for 2 or more contracts.
 
Got a 'long' signal tonight, and exited the short at 811.50, for a gain of 46.42 points, or +$2,321 per contract.

So our status is

Open Position:

S&P mini (ESZ8) - LONG @ 811.50

Closed equity: $6,984.50 per contract

7 trades down, 23 to go.

W/L=5/7 or 71%

Tonight we see an instance of where not trading MOC actually worked in my favor, as the close was 812.50, so I picked up an extra point per contract by having to wait.

I found some technical difficulties with trying to input "hot" data to the model around closing time, so that I could trade MOC. (It has to do with how I set the model up in the first place, and is not easy to change now) So I will keep waiting to trade until my data provider gives me the daily feed, about 8 to 9 pm EST. At the end of the 30 trades, I'll post what the model says I should have made (or lost), versus what I actually did, so we can see what the net effect of the delay was.
 
So from my understanding you either bought or subscribe to their product. And you then made some changes to settings to develop your own system maybe based on back tested data that they provided you.

Now you are future testing your system based on real money?

Is this correct so far?
 
Quote from oraclewizard77:

So from my understanding you either bought or subscribe to their product. And you then made some changes to settings to develop your own system maybe based on back tested data that they provided you.

Now you are future testing your system based on real money?

Is this correct so far?
More...
I purchased Profit 8 from BioComp, and obtain the daily security data (and past history database) from an independent information provider, Pinnacle Data.

As far as making changes to their system, Profit 8 is just a tool, it does not come with any trading systems. You have to build and backtest those yourself, which is what I did here.

And yes, I'm trading with real money.
 
Got a 'short' signal tonight, and exited the long at 754.00, for a loss of 57.5 points, or -$2,875. That wipes out yesterday's gain, and then some.

So our status is

Open Position:

S&P mini (ESZ8) - SHORT @ 754.0

Closed equity: $4,109.50

8 trades down, 22 to go.

W/L=5/8 or 63%
 
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