oft journal - equities

[ofthomas]

I have decided to keep a journal online so that I can develop more discipline,as I will be forced to post in an EOD basis. This journal will focus on trading equities in a gray/black box manner.

Why equities? simple, more opportunities within the timeframe I have in mind. I trade future spreads as well, but those will be out of scope for this journal.

In the equities space I am a short-term trader. I do not like to hold overnight as I can not spread out risk and manage my account net variability to my liking. As a result, all trades taken will be a day-trade.

I've deposited $30K with Lightspeed for this experiment. The tools I will use are Trade-Ideas for signal scanning and backtesting with their Odds-Maker, and also for executing those strategies I will use their BrokeragePlus component, which is why I went with Lightspeed; for charting I use WindoTraderBlue(WTB), it is the best charting platform for seeing the market structure both long and short term all within a single display, and since this is gray/black, and I elect to enter or not into a trade, I want to make sure that i simplify things overall in my decision making process, given speed is of the essence of course...

In case you are wondering why I am doing a test with real cash and not sim/demo, simple.. I dont believe in demo/sim other than to learn a platform... and I also dont believe in trading a small account as that does not create the same psychological pressures that one faces. I do plan to manage my risk, and my initial size will be based on the number of strategies I deploy and their expected drawdown.... since I will be PDT, I figure $30K will be enough...

my strategies are all RTM, BO, and MOM based for this test...

 

[ofthomas]

I have been a long time user of Trade-Ideas Pro(TIP), well over a decade. It is the best equities RT scanner available to retail investors. I had tried others like madscan and the like, and TIP is just bar-none IMO superior overall. I have always used TIP in conjuction with the OddsMaker(OM) which is their event based backtesting tool.

Why OM or even event based backtesting? simple.. it is much more accurate IMO than other back testing methods and the reason being that I am not interested in indicators as much as events taking place that trigger or elicit a response from the market... dont take me wrong, OM will also do indicator based BT, but I tend not to focus on that aspect.

Over the years the OM product has advanced in terms of representing the data, which helps greatly when designing strategies. I tend to be visual when it comes to wanting to look at my data to quickly determine what works or not.

I've used TIP with the TD Ameritrade(TDA) Robot before and I had a good experience. I've also used it with Cyborg and IBKR, and had a good experience as well. However, Cyborg/IBKR integration is pretty much dead stopped in its tracks after "Embium" was born and their focus became the professional institutional trader (vs. the small traders which was the whole point of cyborg), and TDA has some rather expensive costs to deal with, so I found myself looking for better integration between the signals generated by TIP and being able to execute or take action based on those signals, other than manually.

BrokeragePlus comes along; Trade-Ideas listened to their customers and was able to develop a new plug-in to their platform. At present time, it works with Lightspeed only, but I am hoping that they will continue to develop the application and integrate it directly with IBKR given they are a much better BD IMO, not to mention PM is more accessible with IBKR than LTSP. Overall, they are both the same and very similar, I just like the lower costs and greater product accessibility of IBKR.

A huge advantage to being with LTSP using the BrokeragePlus from TIP, is that one can save the fees for TIP and also if one hasnt paid for the OddsMaker, you now gain acces to it. Granted, I've paid for it and I dont want to subscription to expire anyhow, but if one is looking at TIP/OM combo for the first time, then it make absolute sense to go with LTSP.

Charting and Trading platforms are all just tools, and sometimes finding the right tools is a pain in the rear end, but mostly because it is all determined by what we are comfortable with.

I have worked, and own, quite a number of charting platforms (Amibroker, NinjaTrader, Multicharts, RightEdge, MotiveWave, Investor/RT, CQGIC, SierraCharts, TradeStation, ATrader, Esignal, Ensign, WindoTrader, etc... the list goes on)...

given my personality I've settle in 4 products that I wouldnt mind using any day...
-Investor/RT (because of its simplicity in formula language though it gets complicated for complex indicators),
-SierraCharts(because of its simplicity as well, but charting spreads is a royal pain for anything complex),
-WindoTraderBlue(best for market structure and seeing everything all at once and without argument the best MarketProfile charting application out there, without comparison), and last but not least...
-CQG Integrated Client (hands down the best overall charting platform (but damn expensive, however you can save 20% if you know which FCM to clear through... )

given I like simplicity above all things... I use CQGIC for future spreads and nothing else... I would use SC in a heartbeat if it allowed complex spreads. I like being able to integrate my position monitoring with CQGIC.

I use WindoTrader for equities and future spreads as well because it is simple and gives me the best context... I require IQFeed for it, I cant use IBKR feed for now, but that will change in the future. In terms of configuring a chart or display to show relevant information all within a single screen, WTB has no comparison. I will post some of the displays I use later on which give me a long term context with short-term direction given I trade 2m bars in equities.

like everyone else, I strugge with fear and greed and as such I have strived to make my trading more mechanical in a way, hence the gray box model. I can choose to get in, but I let the "strategy" get me out once I decide to enter the trade. The strategies dont feel, they will just execute and as such just work through the probabilities.

I use Market Systems Analyzer from Adaptrade Software for my trade analysis and also for making sure the strategy is still behaving within the expected context or set of parameters.

 

[ofthomas]

Screen capture of initial account balance, minus fees, etc... there is no "goal" per say for what PnL should look like... I care more about not losing anything greater than 1% per day... I will try not to focus on the amount of money to "earn" given that has led me wrong before, so not focusing on PnL but rather risk..

 

[sellindexvol66]

good luck , i will follow and the plan looks good to me.

 

[ofthomas]

great day I picked to turn on my strategies to start my test. Market was in a down slide from the start, lots of shorting opportunities and me with no short strategies available to deploy yet. needless to say, today was a losing day, but I stuck to my plan overall and ensured not to intervene on the strategies execution.

I did noticed a few things, I knew that all trades were going to be losers from the start, yet I allowed the strategy to run as schedule. The main question for me is do I focus on market sentiment and enable/disable strategies as a result? that is to be determined for me.

One trade in particular went in my favor by $1, I quickly modeled what would happen if I took profits every time $1 was gained, but that showed long term losers (that is the beauty of odds-maker with trade-ideas, I can model things in less than a few seconds and make decisions quickly)... I decided to leave it alone... taking profit at intervals would work if I had more than 100 shares, but that would have violated my personal risk limits...

overall, I am happy with how today went and I just need to focus on having short strategies to ensure that I can be "neutral" or as balanced as I can...

the platform overfilled an order that I had to quickly cover paying the spread, which is why there is a $21 loss...

 

[ofthomas]

$25, +0.08%

day was initially choppy, 10:15 turn came about and then 11:15 turn... and from there markets just drifted lower, and lower, grinding, slowly ... lower...

someone made a comment today about it being the result of risk being taken off the table with markets waiting to see what happens with the referendum over the weekend.. kind of makes sense..

a total of 7 signal were generated, and the system took all of them but missed one ($SYNA) because I didn't lift the offer like I had intended... that trade turn out to be a $1.00+ winner, so that is $100+ off the PnL @ EOD..

I corrected the issue within the strategy so that I can take the offer, but that highlighted an issue with spreads... some of the spreads in equities are killers, 25c spreads?! damn... I have to figure out how to deal with that and I have some modeling to do tonight to determine the outcome of focusing on spread and overall volume vs. a trading idea..

overall, I am happy with how things turned out. I intervened a few times, and I need to stop that behavior... I incurred additional loss on the PnL because of that... I just need to let the odds play out and let the different systems do their work... I have to remind myself of what I told Neke once and apply it...

 

[ofthomas]

update week ending on 3/15... (-194.76) -0.65%

starting balance: 29,888.97
ending balance: 29,694.21

- need to work on short side strategies and other long strategies
- need to stick to the plan and not interfere with the trades, just play the odds..
- find a balance with regards to the fees to take/add liquidity, focus more on the routes that I am executing at the very least to minimize the cost.

 

[ofthomas]

(239) -0.8%

bad day today, with the gap and then the retrace and the chop that took place after it... it was a useless day to execute my strategy... need to work other types that will balance things out as a portfolio of strategies is my goal...

I need to put some more hours using the oddsmaker and searching for other strategies that can be deployed in parallel and still respecting the risk limits that I have in mind... overall, I am happy with the execution and how things went, BrokeragePlus from Trade-Ideas does its job in taking the emotions away from me with regards to executing the plan...

I am thinking more and more to take some shares off after I reach the average profit within the strategy, like half... will be working on that next to determine how that would work since one strategy averages 25c and the other 84c... I think based on each I will take some shares @ 20c and 60c and then let the rest ride out...

 

[promagma]

I corrected the issue within the strategy so that I can take the offer, but that highlighted an issue with spreads... some of the spreads in equities are killers, 25c spreads?! damn... I have to figure out how to deal with that and I have some modeling to do tonight to determine the outcome of focusing on spread and overall volume vs. a trading idea..

Yes it's a big issue. Does your backtester correctly simulate the spreads? Also, for many stocks, the spread could be like $1 in the first few minutes of trading, before settling to $0.25 during the day. So be careful in the morning. Also don't think you can figure out something fancy with limit orders to beat the spread. Placing orders inside the spread is a whole new game, now you are playing with HFT's, and chances are you won't win (you will find, you get fills on the losing trades, and miss the fills on the winners). Your best bet is to be selective in what you trade .... I don't know if tradeideas can filter based on average % spread. I'm sure it can filter on volume or volatility, but that's often only loosely correlated to spread....good luck

 

[ofthomas]

Yes it's a big issue. Does your backtester correctly simulate the spreads? Also, for many stocks, the spread could be like $1 in the first few minutes of trading, before settling to $0.25 during the day. So be careful in the morning. Also don't think you can figure out something fancy with limit orders to beat the spread. Placing orders inside the spread is a whole new game, now you are playing with HFT's, and chances are you won't win (you will find, you get fills on the losing trades, and miss the fills on the winners). Your best bet is to be selective in what you trade .... I don't know if tradeideas can filter based on average % spread. I'm sure it can filter on volume or volatility, but that's often only loosely correlated to spread....good luck

thank you for the feedback, greatly appreciated....

I normally stay away from the first 30 mins... the strategies do not trade during that timeframe.. they start looking at trades only after 10:00 AM EST...

TIP can not filter on avg % of spreads, but I can create custom filters and formulas, will see if I can do something with that but the way that it works I am not 100% sure it will be feasible to look at historical spreads... what I am thinking about as well is looking at number of prints and their rate to see if that is correlated better... I already filter based on volume, but then again that is historical 5D, 10D and 90D average volume... I made that change last time...