CL151

dom993

dom993

This journal is going to be dedicated to my system CL151.

CL151 is an intraday trading system, based on the most stable and 2nd largest pattern of CL Always-In. It trades pullbacks in the direction of a confirmed macro-trend. This system uses at its core the same trend detection mechanism as CL Always-In, but uses a different set of confirming factors. It looks for series of trends (macro-trend) making HH (for up-trends) or LL (for down-trends), then fades the trend-change signal coming off the extreme of the macro-trend, expecting that pullback to attempt a retest of the macro-trend extreme.

There are 2 trade-management options available:
  1. The basic trade-management rides the pullback trend, and exits at the next trend-change. It has a high win% (around 70%), with a relatively low W/L ratio (around 0.70).
  2. The alternate trade-management rides both the pullback trend, as well as the following-one (back in the direction of the macro-trend). It generates much larger wins when there is follow-through, but the win% is not as good (around 52%, with a W/L ratio over 1.4).
More information on this system can be found here.

On the technical side, this system runs in NinjaTrader, on a VPS in Chicago. It is 100% automated, including reloading price-history after a loss of datafeed, rollover of the open position, and includes a proprietary work-around to provide backadjusted data from 6pm to midnight on the rollover date (as NinjaTrader 7 cannot do that before midnight, and neither can IQfeed on their continuous backadjusted contract).

I will provide here a weekly recap of the system's performance, as well as comments when appropriate.

My live account trading the basic trade-management is tracked by RAPACapIntro:
http://rapacapintro.com/account/accounts?acc=CL151
 
Results for the week ending April, 11th: (my live accounts)
- Basic TM: 4 wins ; 1 loss ; net +295
- Alternate TM: 2 wins ; 1 loss ; 1 BE ; net -30

The system made official (backtest) new all-time P&L peaks for both trade-management options, before closing the week on a losing trade.

This week's result should have been +965 higher for my trading of the alternate TM, if it wasn't for finding-out that InteractiveBrokers' server doesn't like back-to-back exit/re-entry in the same direction: it cancelled the re-entry open order, and when I found out I decided to focus on analyzing what happened, and not try chasing that trade. Anyway, that won't happen again, as I fixed the software to ensure it doesn't exit to re-enter in the same direction on the same bar.
 
Results for the week ending April 17th: (live accounts)
- Basic TM: 1 win ; 1 loss ; net +130 (of which, 5-ticks of positive slippage - vs backtest tonight)
- Alternate TM : 2 wins ; net +405 (of which 10-ticks of positive slippage - vs backtest tonight)
 
Here is the recording of the webinar ... the 2nd part focuses on CL151, it starts at 16min
for approx. 30min

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"Results for the week ending April, 11th: (my live accounts)
- Basic TM: 4 wins ; 1 loss ; net +295
- Alternate TM: 2 wins ; 1 loss ; 1 BE ; net -30"

What do these value mean ?

Percentages, basis points, Euros, dollars ...?

If actual money, why not use one of the conventional currency indicators ?
 
Mo06 said:
"Results for the week ending April, 11th: (my live accounts)
- Basic TM: 4 wins ; 1 loss ; net +295
- Alternate TM: 2 wins ; 1 loss ; 1 BE ; net -30"

What do these value mean ?

Percentages, basis points, Euros, dollars ...?

If actual money, why not use one of the conventional currency indicators ?
More...

Results are in USD, for 1 contract
 
Results for the week ending April 25th: (live accounts, 1 contract each)
- Basic TM: 4 wins ; no loss ; net +780
- Alternate TM : 3 wins ; 1 loss ; net +810

Both trade management options are making a new "all-time" P&L peak on the last trade.

The attached pics are this last trade of the week (1 pic per trade management option)
 
CL151 had a solid month (April 2014) - the results below are for trading 1 contract.

Basic TM - "official" results (backtest, 1 tick systematic slippage on entries + same on exits)
15 trades ; 11 wins ; 3 losses ; 1 BE ; net +1325

Basic TM - public live results (as tracked by RAPACapIntro)
15 trades ; 11 wins ; 3 losses ; 1 BE ; net +1590

The better live performance comes from 7-ticks of positive slippage vs backtest, and one discipline error (manually moved the stop on a stall 1-tick from dynamic exit)


Alternate TM - "official" results (backtest, 1 tick systematic slippage on entries + same on exits)
13 trades ; 9 wins ; 3 losses ; 1 BE ; net +1915

AlternateTM - live results
14 trades ; 10 wins ; 2 losses ; 2 BE ; net +1470

There were 3 back-to-back (same direction) entries early April, the 2nd one was cancelled by IB, apparently as the entry order immediately followed the exit order for the prior same-side trade. Of course, that missed trade was the largest official win of the month (+965) - anyway, I fixed the software to address those back-to-back trades, and stay in the trade instead of an exit+reentry.

Aside from that, there were 16-ticks of positive slippage in the account, and the same discipline error early April.
 
Results for the week ending May 9th: (live accounts, 1 contract each)
- Basic TM: 2 wins ; no loss ; net +740 (+515 / +225)
- Alternate TM : 2 wins ; no loss ; net +740 (+585 / +155)

Both trade management options are making a new "all-time" P&L peak.
 
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