rt ES ATS journal

R

RoughTrader

Hello,

I've decided to start a journal to record the daily results of my e-mini trading. My trading method is strictly mechanical, and automated by ATS platform.

My motivation is two-fold: to force myself to improve my general record-keeping and accounting, and to hopefully encourage those who might be skeptical that a 100% mechanical method can be used to extract profits in a steady and stable manner.

My funds are spread across multiple accounts, each with its own purpose. I happened to create a new account somewhat recently for a personal purpose, and it is the activity in this account that I hope to consistently document in this thread. I wish it had occurred to me to start this thread before I had started trading the account, but it's not a really big deal I suppose. The accounting will be simple, however, because I won't be making withdrawals.

continued....

rt
 
Let's talk about method in a very general sense.

Some of you might remember that I started a journal some time ago attempting to mechanize the Jack Hershey Method. For obvious reasons, I don't want to start a discussion about him nor his method. What I can say for sure is that after a certain period of study, I can see what the method attempts to do. I personally have not been able to make it work down to the letter according to what has been documented in another rather lengthy thread.

Nevertheless, there are elements in the "Hershey method" that I found quite enlightening, and have made use of them in modifying my own method. Regardless, my approach is trend-following, just like the Hershey method describes itself as.

When we speak of method or rules, I really only have two: when the market moves up, it is telling me to buy. When it moves down, it's telling me to short. It's really that simple, and I can't really go further without giving the method away.

The trading time frame is intraday only. Trades may be taken from 9:30 EST until 4:10 EST. Once a position is established "from the first setup" after the open, I am always in the market until right before the close. Thus, this approach is entirely stop-and-reverse.

continued....

rt
 
My priority in trend trading is to catch the bias of the market with as few rules as humanly possible. At this point in my trading, I use a strategy that employs only 2 parameters. These parameters are optimized on a weekly basis, after the close of trade on Friday. This periodic re-optimization has been captured in the walk-forward testing I have rigorously subjected my strategy to, and applies to all e-mini markets traded.

About position sizing....

I am one of the rare ones who prefers fixed ratio position sizing over any variation of fixed-fractional. One of the key reasons is that fixed-fractional requires knowledge of percent risk per trade. One of the curious things about seamless stop-and-reverse strategies is that a stop loss is not used (apart from the emergency stop loss which is only triggered in black swan events). Hence, my approach to intraday e-mini trading does not recognize the notion of percent risk, and another position sizing method is, in my opinion, in order.

My delta is $5000. I chose this value based upon monte-carlo testing of drawdowns and loss-runs. I'm pretty conservative and frankly a scaredy-cat when it comes to usage of leverage, so a rather conservative delta with a healthy starting balance is a must for me.

For those not familiar with fixed-ratio, a brief explanation is in order. The essential concept is that each individual contract traded must produce a certain amount of work (profit) to justify incrementing the number of contracts traded. For my trading, each contract must produce $5000 of profit before an additional contract is added. The baseline is 1 contract. Once accumulated profit is $5000, 2 contracts are trade. When profit is $15000, 3 contracts are traded. When profit is $30000, 4 contracts are traded. etc. etc.

That's it in a nutshell. If there are questions as this journal progresses, I'll address them at that time.

rt
 
Quote from MiniDowTrader:

No disrespect, but are you going to show any trades or just PNL stats?
More...

I've been thinking about it, but have concern that it will reveal how I enter and exit the market. The main purpose of this thread is to demonstrate the profitability of a simple strategy as it is automated by an ATS platform.

rt
 
Quote from MiniDowTrader:

No disrespect, but are you going to show any trades or just PNL stats?
More...

After thinking a bit, I will post the trade list of each day but erase the timestamp.

I will start over again for the previous 3 days, as I accidentally accounted the PNL pre-commission, not post.

Monday, 03/23/2009
Security: ESM9
Session PNL: $1,450.10 USD
To-Date PNL: $1,450.10 USD
 

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