System Trading Journal

[ddefina]

Took two trades today.

Trade #1 Went short at 898.50 after the sell down past the pivot, held until the reversal in the late afternoon and covered @ 902.50 for a loss of (4 x 2 x 50=$400). Looking at this months trades, my first trade is only 33% accurate and has lost me a combined 9.25 per contract. I looked at the past year and found that this trade is normally weak, but is made up by some months where it performs very well.

Trade #2 Went Long at 902.50 after breaking intraday resistance and sold near the HOD at @ 907.25 for a gain of (4.75 x 2 x 50=$475). I wasn’t as aggressive as my system in going long, so it cost me about 5 points per contract. Couldn’t imagine going long into the close on Friday, but that’s what thinking does for you.

News events have cost me 24.75 ES points per contract this month. This is by far the biggest reason for my poor performance this month (besides not following the system). Avoiding the Fed day was possible, but the morning pop from the UN resolution was unavoidable.


ACTUAL
Daily gain/(loss) $55.40 (inc. 19.60 commish)
Monthly gain/(loss) ($4,634) -4.63%
Daily ES Points = .75 per contract
Monthly ES Points = (25.00) per contract

SYSTEM
Daily gain/(loss) $561.60 (net of 19.60 of commish)
Monthly gain/(loss) ($853.20) –.00853%
Daily ES Points = 6 per contract
Monthly ES Points = 3.25 per contract

The reason the points are positive for the system and the dollars are negative is because I moved down to 2 contracts the last 5 days.

 

[traderkay]

well it seems old now. the actual is worse than the system because "I did <insert here> differently". Hmmmm. Well to the brilliant observer like myself, it seems that you should just follow the system. I've watched yer stuff for some time and your deviations from the system result in consistently significantly worse performance. But then again it's your system and you can "mess it up" on the execution level as much as you'd like But seems like a waste to me..

 

[ddefina]

Quote from traderkay:

well it seems old now. the actual is worse than the system because "I did <insert here> differently". Hmmmm. Well to the brilliant observer like myself, it seems that you should just follow the system. I've watched yer stuff for some time and your deviations from the system result in consistently significantly worse performance. But then again it's your system and you can "mess it up" on the execution level as much as you'd like But seems like a waste to me..

I thought the creation wasn't supposed to be greater than the creator? Guess I've proved this wrong. Oh well, things will change or on to a more user friendly system. It's much easier to trade a system with 10 trades a day, because each one represents a small profit or loss, but with only 1-2 trades per day, it takes mental toughness to follow it. I might have to look into full automation soon since I believe this system will continue to be robust in the future.

I appreciate your harassment.

 

[wally_]

Quote from ddefina:



I thought the creation wasn't supposed to be greater than the creator? Guess I've proved this wrong. Oh well, things will change or on to a more user friendly system. It's much easier to trade a system with 10 trades a day, because each one represents a small profit or loss, but with only 1-2 trades per day, it takes mental toughness to follow it. I might have to look into full automation soon since I believe this system will continue to be robust in the future.

I appreciate your harassment.

I believe you made a mistake by starting trading your system with 4 contracts. It does not look like you have guts to handle so many contracts and this interferes with your system. So why not start with 1 contract and let the system do its job and then increase the number of contracts as your confidence in the system grows.

It might be easier to trade a system with 10 trades a day, but this is only a psychological crutch. One of my systems does not give signals even every day and if it does after I closed a previous trade with a profit, I now know that I have to be careful if both entries happen before the noon.

 

[ddefina]

Quote from wally_:



I believe you made a mistake by starting trading your system with 4 contracts. It does not look like you have guts to handle so many contracts and this interferes with your system. So why not start with 1 contract and let the system do its job and then increase the number of contracts as your confidence in the system grows.

It might be easier to trade a system with 10 trades a day, but this is only a psychological crutch. One of my systems does not give signals even every day and if it does after I closed a previous trade with a profit, I now know that I have to be careful if both entries happen before the noon.

I agree that 4 contracts was too much. I think two will be my minimum and then I'll work back up after a week of good discipline. One contract seems so small now, but I agree if I can't follow it with one, I sure can't with four.

 

[x-or]

Quote from ddefina:
It's much easier to trade a system with 10 trades a day, because each one represents a small profit or loss, but with only 1-2 trades per day, it takes mental toughness to follow it.

Before, I used to take 10 trades a day, then I went down to 5 and I am now between 0 and 3.
When I looked back at my numbers, I realized than most of my profits were done with my 3 first trades.

I see 2 reasons to explain this (i trade the opening) :
- the technical part of my system works well at the opening because of the volume/trendiness.
- the psychological part of my system (me) works well at the opening because I'm fresh, focused and openminded.

Actually, I've got some difficulties to handle the consequences of past trades (good ones or bad ones).
That's why my expectancy decreases with the number of trades.

Quote from wally_:
It might be easier to trade a system with 10 trades a day, but this is only a psychological crutch.

I agree.

Quote from ddefina:
I thought the creation wasn't supposed to be greater than the creator?

I noticed that we have a common problem :
I like to compare my own results and my system results (no problem with that, we have to).
But... unconsciously, I like when my system does better than me because it proves that it is a good system (and that the creator was good too !)
Well, if we have a good system, why don't follow it ? Probably, because we still have hope to do better... But for real, we do worst.
In theory, the only difference between the system and actual results should be the slippage !

Keep up the good work.

 

[ddefina]

Thanks for the comments x-or.

I skipped my systems buy entry of Friday's close because this first trade is responsible for most of my losses this month. I know this is taboo for strictly following a system, but I've decided to use discretion on the first trade until this market starts moving again. I'm ready to take short positions if the market sells down below the already established LOD.

 

[ddefina]

11/18/2002
Trade #1 Skipped the first system trade which was long at yesterday’s close. This resulted in a System loss of 1.00 ES point per contract, but no actual loss. The system is shooting 33% on this first trade this month, so I’m allowing discretion until the market shows follow through.
Trade #2 Went Short at 907.50 after breaking the morning Intraday LOD and covered at 902.25 with a trailing stop for a gain of (5.25 x 2 x 50=$525).. Matched my system perfectly on this trade.

ACTUAL
Daily gain/(loss) $505.40 (inc. 19.60 commish)
Monthly gain/(loss) ($4,128.60) -4.129%
Daily ES Points = 5.25 per contract
Monthly ES Points = (19.75) per contract

SYSTEM
Daily gain/(loss) $385.80 (net of 385.80 commish)
Monthly gain/(loss) ($467.40) –.00467%
Daily ES Points = 4.25 per contract
Monthly ES Points = 7.50 per contract

 

[ddefina]

11/19/2002

Trade #1 Non-system trade. The market gaps down, then the first 30-min bar is broken to the downside. I waited for a pull back to 895.75 and shorted it with 3 contracts hoping for a sell down like has happened many times the last month. I was stopped out for a loss of (2.5 x 3 x 50=$375). The R/R on this trade I thought was pretty good, with 2.5 points of risk for potentially 10-20 points of reward.

Trade #2 Went long @ 898.25 after HOD was broken to upside. Planned on holding all day or until trailing stops hit. Moved 7-8 points in my favor until I was stopped out with a trailing stop @ 900.75, for a gain of (2.5 x 3 x 50=$375)..

Trade #3 Went long @ 900.00 after market held for a time. Put my stops near LOD and waited for a resurgence to the upside. I was leery of the 905 resistance overhead, but I had to get back in long with the system. The sell off continued and I was stopped out for a Loss of (5.75 x 3 x 50=$862.50)..

Trade #4 Went short @ 894.25, predicting a breakdown south the last hour of trading. The market sold down to 892.50, but then reversed and I exited at the close of 897.25 for a loss of (3.00 x 3 x 50=$450.00)..

Trade #2 was exited with a non-system trailing stop, which after trade #3, made me back .75 of my system difference for the day. This market absolutely sucks with these small ranges. My system struggles in this type of market because the reversal points get bunched so close together. I could override my system and take the small profits, but then I’ll miss the big days, so I’m riding it out. With one decent day I could make $3,000-$4,000 with 3 contracts so the patience should pay off eventually.

ACTUAL
Daily gain/(loss) ($1,371.30) (inc. 58.80 of commish)
Monthly gain/(loss) ($5499.90) –5.50%
Daily ES Points = (8.75) per contract
Monthly ES Points = (28.50) per contract

SYSTEM
Daily gain/(loss) ($1,108.80) (inc. 58.80 commish)
Monthly gain/(loss) ($1,576.20) –1.58%
Daily ES Points = (7.00) per contract
Monthly ES Points = .50 per contract

 

[phantom]

when that $3,000 - $4,000 day happens with your system, i'd be willing to bet that you don't capture any of it or only a small portion because your discipline following your systems sucks.