E-mini Surfer

B

Bob Jackson

Well, I suppose I should get in on the 'trading journal' thing myself. I have been a self-admittedly bad trader in years past. In late 1999, not knowing what I was doing, I insisted on trying to sell the Nasdaq futures, right in the teeth of the final blow-off phase of the market. Needless to say, my account didn't last long. Trading strategy? Hah! I didn't have one. Needless to say, if you don't know who you are before you start trading, then trading's an expensive way to find out. I found out one thing though - I'm not a quitter. So I decided to go back and read and learn (something I obviously should have done BEFORE beginning to trade).

Last year, I decided to try again, and traded for 2 summer months. The general idea was to trade off a 5-minute chart using MACD crossovers. I also incorporated some general timing ideas I've picked up from Linda Bradford Raschke's postings on her website. I did better this time. With a $15K account, I was up about $2K after about 6 weeks. Then I lost $1K in the course of one July week where the SP-eminis just aren't very trendy...whipsawed to death. So I decided to stop right there with my remaining $1K profit, and have another look at myself, and do some more strategy pondering.

Early this year, I decided to try again. The strategy is basically the same, using some timing rules and the MACD, TRIN and NYSE up/down volume - I like catching bigger momentum trends; I'm not really a 1/2 pt-type scalper. So I've traded most days for the last 8 months, this time with a $30K account. Here's the way it's gone so far (including commissions, etc):

Feb: +668
Mar: +1
Apr: -3586
May: -2118
June: -1695
July: -4361
Aug: +2015
Sept: +2314
Oct (to posting date) +4360

Net-net, I'm still down about $3K for the year, with Nov/Dec left to go. I'm realizing a couple things about myself. Dead periods, like the summer months for the SP's, I just shouldn't trade. I need momentum to do well. Second, I tend to get impatient and start rushing trades, instead of just sitting and waiting. That's what began my downfall in April, and then of course I got mad, and of course the performance just gets worse and worse. Finally, I got a hold of myself and figured out (what a revelation!) that if I could just NOT post any $600 - $1000-type 'loss days', I'd probably do OK. When I analyze my trades, that's been the big problem. I've had my share of good winning days - but then I'd blow it all then some trying to push trades, etc.

July/August also marked what I hope is a turning point (unless I revert to my past sub-human form of trader, in which case I'm not going to last for long) in that I'm adopting an attitude of being a surfer. I'm always concerned about missing "the big one" - the big upmove, the big downmove. So concerned that I'd be trading on days when I really should have been sitting on my hands. So I'm thinking of myself as a surfer now. A surfer can't force the big waves to come his way. He has to sit and wait. If it doesn't look exactly right, then fine, I let the wave pass me by. And its worked. I've kept my 'powder' dry, and have been ready to take advantage of those high-probability trades that don't come around every day, and yet can lift your account by 5-10% or more.

I caught the first 2 days of the current rally, Oct.10-11th. My account has been going sideways since then, because I got caught flatfooted with the rest of these huge moves in the ESZ2's. Fine, though. I'm not chasing this. I'm gonna wait. I also missed the big run-up to 900 Wednesday. But I caught the entire downmove late yesterday from 897; that contract is still open (a rarity that I'll hold overnight but I will occasionally) and I'll likely 'ring the cash register' at the open today (Friday). We'll see how it goes. It sure feels good to be a net winner, and not a loser though. I still have $3K to make up in the next 2 months just to BREAK EVEN for the tax-year, so I have to keep focused.
 
Well, not the whopper day I was looking for. With the negative durable goods orders in the AM, and the prior day's selloff, I thought I could get more downside from my overnight short, but it was not to be. Had three other trades that did not work out. Net gain +$150.
 
Your equity curve fluctuating wildly from negative to positive is a pretty good sign of poor risk control or bad reward/risk ratio (premature profit taking usually). However, it looks like you must have figured it out with your recent winning months. Without knowing anything more about your method, it looks like you do have a winning system that suffers from whipsaw non trending days -- and we all have that problem.
 
Thanks, Prox. And the poster before you is also correct - one look at my equity balance, and you are exactly right - I have not been consistent. That was a case of being stupidly dogmatic - the market game changed over the summer, and my momentum style of trading didn't change with it. There's no arguing with one's equity balance - it went sharply negative and that's not a good sign. On the other hand, the account balance has bounced back and I've managed to pull out of my equity death spiral. That alone has given me more confidence.

So today, October 28th: The futures moved up all night. I was hoping for a gap-up which might become a profit-taking opportunity after all these rally days, and that's what happened. Sell the gap-ups, buy the gap-downs. I got a short fill at 907.75. I would have liked to pyramided a second contract, but the up/down vol and the TRIN both had me on the defensive, risk-wise. So I stayed with just the one contract. The 907.75 trade remains open right now through the overnight session. Yes, yes, perhaps I should just ring the cash register with the profits sitting right there in front of me. On the other hand, I'm betting that the econ data due out TuesdayAM will be negative, and we might begin to see a near-term trend change to the downside.

That is, if I can keep my hand from hitting the 'offset' button through the earlyAM trading hours.... So open-trade equity of $775, but of course it doesn't count until you close out the trade.
 
I have to leave early today, so I'm not gonna watch the close. But I closed out my short (907.5) from yesterday at 878.5, a few minutes after the consumer confidence number came out around 10am this morning. Wished I'd kept it on for the next leg down, all the points lined up for another high-prob hold into today's close - u/d volume, high TRIN, etc. But part of me wanted to 'ring the cash register' and that is a lot of profit on an open trade to sit with. Also, the other day I had the chance to close out another $1000 trade and instead wound up with just $150 by day's end. So I won't push it. $1450 is an unusually big one-trade gain, and one mustn't tempt the trading gods...
 
* * * * * * * * * P U R C H A S E & S A L E * * * * * * * *
TRADE SETTL AT BUY SELL CONTRACT DESCRIPTION EX TRADE PRICE CC DEBIT/CREDIT
------- ------- -- -------------- -------------- ------------------------------ -- ----------- -- --------------------
10/28/2 01 1 DEC 02 EMINI S&P 500 16 907.50 US
10/29/2 01 1 DEC 02 EMINI S&P 500 16 878.50 US
01 1* 1* GROSS PROFIT OR LOSS US 1,450.00
01 TOTAL US 1,450.00
 
I was hoping to catch a breakdown at the open through the 880 level. I sold one contract at 883, and then sold a second at 880.75. But TRIN, u/d etc did not respond, and the ES's held tough just below 880. So I covered after a couple minutes, both contracts at 879.75, for 4.25 pts. Then tried it again in the PM - went short at 890.75 looking for more downside. The market took it's time about it with little downside response, so I wound up covering a few minutes later again at 890.50, for a .25 gain. Rest of the market just seemed too choppy - the boyz want to buy everything in sight.

Net is about $180 after commissions.
 
* * * * * * * * * P U R C H A S E & S A L E * * * * * * * *
TRADE SETTL AT BUY SELL CONTRACT DESCRIPTION EX TRADE PRICE CC DEBIT/CREDIT
------- ------- -- -------------- -------------- ------------------------------ -- ----------- -- --------------------
10/30/2 01 2 DEC 02 EMINI S&P 500 16 879.75 US
10/30/2 01 1 DEC 02 EMINI S&P 500 16 880.75 US
10/30/2 01 1 DEC 02 EMINI S&P 500 16 883.00 US
10/30/2 01 1 DEC 02 EMINI S&P 500 16 890.50 US
10/30/2 01 1 DEC 02 EMINI S&P 500 16 890.75 US
01 3* 3* GROSS PROFIT OR LOSS US 225.00
01 TOTAL US 225.00
 
S&P Gods, how could you fail us so? End-of-the-quarter craziness, that's why!

Whipsawed twice today, and then got stupid. One scratch trade, then a marginal gain when I sold 1 contract, then a 2nd contract, when it looked like the ESies were gonna break 890. That felt like a great trade for about one-minute; then 'the boyz' said "Not so fast!" Went long 1, then 2 contracts at 893.25 and 894.75. That too felt great for about 5 minutes for a break through 900. Offset those when it faded back to 895.75 and 895. Then, got stupid with one Dow $2 contract when it looked like another big fade to the downside. It was a stupid trade because I could see it was dropping back down to the morning lows, and I should have figured the buyers would show back up at that level. Stopped out for a small loss of $30+ dollars. With commissions, a loss of about $300 for the day. I'll let the bulls and bears wrestle this one out for the day. Yecccchhhh.
 
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