System Trading Journal

Daniel, I'll start keeping track of points as well.

Monday, my target entry to go long is 895-898.75. I think if we pop through 905, all the big shorts will be squeezed and we'll get a good 20+ point run. If it fails then I'll be looking to get short once again since we are near the top of the 10 day channel and the repelling forces could be strong. A move either way could be worth big points. Although I've had some good sized losses in this channel, overall my system is doing well in it and net positive.
 
Dave,

I'm very happy you started this journal. I wish you the best and will be mostly silently following along.

Just wondering a couple of things about you and your system.

Have you got your system programmed into a piece of software like TradeStation or Wealthlab or do you have it in a programming language like VB or C++, or is it something where you have the the rules on paper but don't have a computer kick out signals?

Have you ever thought about fully automating your strategy?

On your entries, do you adjust your price range based on the next day's action or is it all set the night before what you will do?

When you enter a signal, for example you gave a range where you will be looking to buy. When it gets there do you then look to just go ahead and enter immediately, or do you look to work for an optimal fill with timing the trade in the price range? Do you just place your orders ahead of time and wait for a fill?

What do you do when you miss an entry? How far does it have to move in order for you to say you have missed the entry?
 
Originally posted by ddefina
Daniel, I'll start keeping track of points as well.

Monday, my target entry to go long is 895-898.75. I think if we pop through 905, all the big shorts will be squeezed and we'll get a good 20+ point run. If it fails then I'll be looking to get short once again since we are near the top of the 10 day channel and the repelling forces could be strong. A move either way could be worth big points. Although I've had some good sized losses in this channel, overall my system is doing well in it and net positive.
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yes, points per contract is much better than $amount. What kind of stops are you thinking about in that 897 range? Will it be based on mkt action or non mkt action (the stops)
 
Originally posted by TriPack
Dave,

Have you got your system programmed into a piece of software like TradeStation or Wealthlab or do you have it in a programming language like VB or C++, or is it something where you have the the rules on paper but don't have a computer kick out signals?
Have you ever thought about fully automating your strategy?
More...

I've programmed the core of it into WL but not the whole system yet. I plan on doing that someday, and possibly even automating it, since I'm the major weakness of the system.

On your entries, do you adjust your price range based on the next day's action or is it all set the night before what you will do?

The first trade is set the night before and has 3 scenarios. One for no gap or a small gap that closes within the first 30 minutes, and two for larger gaps that don't close within 30 minutes. My ideal target entry is to get in near the prior days' close or better. [/B]

When you enter a signal, for example you gave a range where you will be looking to buy. When it gets there do you then look to just go ahead and enter immediately, or do you look to work for an optimal fill with timing the trade in the price range? Do you just place your orders ahead of time and wait for a fill?

On the first trade I try to get a better price without it going past my minimum entry number first. If it goes past, I skip the trade unless it comes back. After the first trade, I place buy and sell stops and don't play around for price improvement.

What do you do when you miss an entry? How far does it have to move in order for you to say you have missed the entry?

If I miss an entry by 1 tick I'll skip it, and hope it comes back. I don't know if thats a good policy since I've missed good moves, but my goal is to match the system exactly.
 
Originally posted by profitseer
yes, points per contract is much better than $amount. What kind of stops are you thinking about in that 897 range? Will it be based on mkt action or non mkt action (the stops)
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My stop will be around 891, below the pivot. I move the stop later in the day based on market action similar to a trailing stop, but based on fixed s/r points that are formed that day.

The morning trade is the most nerve racking, especially in this narrow channel we've been trading, since there's been no follow through in direction from the previous day lately, which this first trade depends on.
 
Another good day for my system, however a not so good day for my discipline :) I don't trade in the direction of gaps, but maybe I should with all the good follow throughs lately. I patiently waited for the breakdown today and it occurred, except my first entry reversed on me 5 points causing me to lose my cool and I bailed early, only to get back in 1.75 points to the worse. I subsequently bailed early again after having a small profit ($450) after the market stalled. I figured I'd catch back up to my system, but the market took off without me. Here's a recap of the trades:

Trade 1: Went short at 916.75 assuming the market was reversing for the day. I was instantly proven wrong and bailed at 920.50 for a loss of (3.75 x 4 x 50 = $750)

Trade 2: Went short again at 918.75 after realizing that I was a wimp and bailed at the high of the reversal, later covering at 912.75 for a gain of (6 x 4 x 50 = $1,200)

Not a good day for discipline so please lambaste me! Squeaking 2 ES points out a day isn't good when the market offers 8.

ACTUAL
Daily gain/(loss) $410.80 (net of 39.20 commish)
Monthly gain/(loss) $877.00
Daily ES Points = 2.25 per contract
Monthly ES Points = 4.875 per contract

SYSTEM
Daily gain/(loss) $1,930.40 (net of $19.60 commish)
Monthly gain/(loss) $2,991.20
Daily ES Points = 9.75 per contract
Monthly ES Points = 15.25 per contract
 
Curious though... In the room I was in 918.5 was looking like a good setup (triple divergence)and some guys took it. Others waited for 921.5 as it was 2nd level of resistance (pivots) and others even waited for 924 as indicated by some price over volume indicators. Why did you pull the trigger at 918.5? If answering that would give away too much of your system I understand. Good luck.

~EC

PS Look forward to reading your updates.
 
Originally posted by El Cazador
Curious though... In the room I was in 918.5 was looking like a good setup (triple divergence)and some guys took it. Others waited for 921.5 as it was 2nd level of resistance (pivots) and others even waited for 924 as indicated by some price over volume indicators. Why did you pull the trigger at 918.5? If answering that would give away too much of your system I understand. Good luck.

~EC

PS Look forward to reading your updates.
More...

I trade more long-term (30-60 min bars) and to me the back of the market was broken with the deep retracement past 917. I play the odds so I wasn't sure we would sell off, but my system said stay short after the dip to 917, unless you pop above the HOD. I didn't even see what you saw, I was just playing the bet that the trend had shifted and we'd sell down and stay below my entry point. My system is only 50% correct so I can't say that it was more than luck this time that it was correct.
 
Looking to get short in the AM at 909 to 907 on the ES. It depends on what happens though. I can't imagine too much downside potential with that big channel directly beneath, but it could crash right through. Look to turn it around beyond the pivot of 912.50 if necessary.
 
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