System Trading Journal

D

ddefina

Since journals are a popular thing now, and they do have value in forcing you to follow your methodology or be called a fool, I decided to do one for November.

I've developed a profitable system to trade the emini intraday, with 1-2 trades per day. It's similar to my stock system that worked successfully for years, but required a few adjustments to work with futures. I backtested it 13 months, and its proved profitable each month. Since it's similar to my stock system which was backtested for 6+ years, I'm assuming the same results would be achieved with the futures.

I'll give my entries and exits and why in general I took them. I won't give my rules out, but in general its just basic support resistance and balls. It's the balls that I have a hard time with, but I'm hoping this journal will help me in that department.

I'm trading a fixed 4 ES contracts. No scaling in or out, and I flip and reverse in most cases.

November 1st, 2002 :)
 
November 1st, 2002 Day 1

Trade 1: Went short at 880.75 with 4 contracts, looking for follow through from yesterdays sell down. We were also below the pivot of 886.25. This trade was stopped out at 888.50 for a loss of (7.75 x 4 x 50 = $1,550)

Trade 2: Went long at 888.25 with 4 contracts assuming the tide had shifted in favor of the longs. Held until the rally hit the 20 point daily range and sold at 896.75. This trade ended with a gain of (8.50 x 4 x 50 = $1,700)

Trade 3: Couldn't resist after index sold down to 890 area, bought 4 contracts @ 891.25 for a scalp and sold at an average price of 893.125 for a total gain of (1.875 x 4 x 50 = $375) This was not part of my system. I need to work on this bad tendency.


This was an atypical day that isn't very profitable for my system, with a reversal on first trade. Quit for the day.

Daily gain/(loss) $466.20 (net of $58.80 commish)
Monthly gain/(loss) $466.20
 
Good luck with the mechanical system. I have one for my gaps that works very well. The hardest thing in the world though for me is to follow the thing.

B
 
Originally posted by Brandonf
Good luck with the mechanical system. I have one for my gaps that works very well. The hardest thing in the world though for me is to follow the thing.

B
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That's my only problem is following it. I'm hoping this journal will help me do that better. I'll be posting what my system did and what I did at the end of each day.
 
Originally posted by profitseer
where do the flip and reverses come in?
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I flip when S/R is broken, so I'm in the market pretty much all day. But I only average 2.2 trades per day, so I usually flip at the pivot for the day, or after a big run up or down that breaks recently created s/r.
 
Originally posted by ddefina
Since journals are a popular thing now, and they do have value in forcing you to follow your methodology or be called a fool, I decided to do one for November.

.....

I'll give my entries and exits and why in general I took them.
More...
Sounds great! I'm looking forward to watching and following along with your trades.
 
Originally posted by ddefina
November 1st, 2002 Day 1

Trade 1: Went short at 880.75 with 4 contracts, looking for follow through from yesterdays sell down. We were also below the pivot of 886.25. This trade was stopped out at 888.50 for a loss of (7.75 x 4 x 50 = $1,550)

Trade 2: Went long at 888.25 with 4 contracts assuming the tide had shifted in favor of the longs. Held until the rally hit the 20 point daily range and sold at 896.75. This trade ended with a gain of (8.50 x 4 x 50 = $1,700)

Trade 3: Couldn't resist after index sold down to 890 area, bought 4 contracts @ 891.25 for a scalp and sold at an average price of 893.125 for a total gain of (1.875 x 4 x 50 = $375) This was not part of my system. I need to work on this bad tendency.


This was an atypical day that isn't very profitable for my system, with a reversal on first trade. Quit for the day.

Daily gain/(loss) $466.20 (net of $58.80 commish)
Monthly gain/(loss) $466.20
More...

Update: Today was an example of not following my system completely due to lack of guts. I was supposed to stay long from 888.25, but took profits near the 20 point range at 896.75. Not following the system gave me a good opportunity to reenter, which I did on the scalp, but in the long run this will cause me to underperform. Final results:

Actual Daily gain/(loss) $466.20 (net of $58.80 commish)
Actual Monthly gain/(loss) $466.20
System Daily gain $1,060.80 (net of $39.20 commish)
System Monthly gain $1,060.80
 
Dave, i assume your system has exit rules too? that's how you calculated how much your system made (as opposed to how much you made)?

so, in today's example, your system required you to stay in for another 4 or so points right?

if that's the case, then BAD BOY! what the hell is going on!!! if your system's got a positive expectancy, then trade it man!

pathetic! sheesh....

(just tryin' to help you stay on the straight and narrow! :) )


also, do you think you could post your results in terms of points aswell as total $ amounts?

all the best..
 
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