System Trading Journal

Quote from ddefina:



Yes I agree. My opt out is two stop outs either direction creating a channel. Kind of expensive, so if you have another suggestion let me know.
More...

There are a lot of suggestions that could be made, but without knowing your system, they'd result in the longest post in history. Essentially, you want to define indecision for yourself. Stopouts are one way, but can be expensive, as you've discovered. Coils are another. Roping in a MACD or a pair or set of MAs is another. Some people also use a MACD histogram range, tho I haven't found this to be helpful. The challenge is defining "indecision" specifically so that one will know what to do at the time rather than waffle around and make a best guess. Being specific also enables back-testing, which otherwise is impossible.

--Db
 
Thanks DB. When the first hour's range is 7 points, and its contracting, thats one good indication.

I think the longs are going to run up the back of the shorts today, and create another positive close. Don't think I'll miss much by not participating though, with these huge 12 point ranges and all.
 
Quote from ddefina:

Looks like today will be a narrow range with a selloff at the end. Can't be sure with all those crazy buyers from yesterday possibly still hanging around, so going long and short both have risks. Going to sit today out most likely. My first buy signal was 932.50 which I skipped. My stop would've been 928.50, which was missed by a tick already. My system would go short under 928.50.
More...

I don't know your system, so cannot advise you in this matter, but my first discretionary entry was long @929.5 (62 FR within the first 30 minute bar) with a stop loss of 2.5 (one tick below the bottom of first 30 min bar) and the target of 5, adjusted to 4 which got hit. I wish I waited longer as I would get my 5 pts and probably even 6 (yes, I would, it just hit 936), but the range was too tight. The first 30 min bar was only 4.5 long and I never advocated this method for bars shorter than 6-7 ES pts, so it was something new but there were other reasons for this entry too. Anyway, my scenario from yesterday has been playing out nicely so far: first a dive, then a pullback up. It may still sell off, not much momentum here and 2:30 is very critical, but I would not expect a big selloff. Well, we'll see. I don't care now, not planning to take any new position today.
 
11/22/2002

No actual trades today. With such a small opening range I decided to use my sometimes-useful discretion and sit out today. These small ranges are my systems Achilles heal, so if I could avoid them all I’d be set.

The system had three trades (3.75) + (4.75) + (.50) = (9.00) points. Can’t wait for the 30 point first hour moves again. The system is tuned for high speed highway driving, not funeral processions, and the results show it.

ACTUAL
Daily gain/(loss) $0 (inc. 0 of commish)
Monthly gain/(loss) ($5,309.60) –5.31%
Daily ES Points = 0 per contract
Monthly ES Points = (24.76) per contract

SYSTEM
Daily gain/(loss) ($929.40) (inc. 29.40 of commish)
Monthly gain/(loss) ($3,600.10) –3.6%
Daily ES Points = (9) per contract
Monthly ES Points = (14) per contract
 
"Can’t wait for the 30 point first hour moves again. "

Curious, what if this doesn't happen for 2 or 3 years? I have heard that volitility reverts to the mean .... was 30 points the mean for the first hour of the session at some time? Thanks

~EC
 
Quote from El Cazador:

"Can’t wait for the 30 point first hour moves again. "

Curious, what if this doesn't happen for 2 or 3 years? I have heard that volatility reverts to the mean .... was 30 points the mean for the first hour of the session at some time? Thanks

~EC
More...

I like the 30 point moves because it means big profits, usually, with the same size losses. The system doesn't require it, it just excels on big days. I've read the Vix drops as the market goes up and people become content (less risk) and the vix goes up when the market goes down (more risk). So I guess there's less risk implied in the market now? I'm sure things will get cooking again with Bush in office.

My system is in a $700 per contract draw down, not too bad in the scheme of things. In July and August it averaged $14,000 per contract profit, and the last year it's averaged $6,000 per month per contract profit with a median of around $4,000. It must be Murphy's Law that when you start a journal things go to hell. These results were mostly from backtesting, and not actual so will see if I can follow it in real life if it ever turns profitable again.

EDIT: I guess that would be a Mode of $4,000 per month not Median. A typical month is around $4,000.
 
O tell me about it :-(

"It must be Murphy's Law that when you start a journal things go to .... :-("

Try to find the good in while going through this time and make it pay you.

Later, Andy
 
11/25/2002

Trade #1 Went Long at 933.25 in morning with break over pivot, but was forced to flip and reverse at 929.25 for a loss of (4.00 x 2 x 50=($400.00).. The market sold down below the pivot.

Trade #2 Went short from trade above at 929.25, eventually holding until my breakeven stop was hit. Unfortunately no intraday pivots formed and I wasn’t able to capitalize on my meager 4 point intraday profit. Scratch trade.

ACTUAL
Daily gain/(loss) ($419.20) (inc. 19.20 of commish)
Monthly gain/(loss) ($5,729.20) –5.73%
Daily ES Points = (4) per contract
Monthly ES Points = (28.76) per contract

SYSTEM
Daily gain/(loss) ($419.20) (inc. 19.20 of commish)
Monthly gain/(loss) ($4,019.30) –4.02%
Daily ES Points = (4) per contract
Monthly ES Points = (18) per contract

11/26/2002

Took the day off to get things done. System had a pretty good day with one trade.
Short @ 925.50 and stopped out at 917 in final hour for a gain of 8.50 points.

ACTUAL
Daily gain/(loss) $0 (inc. 0 of commish)
Monthly gain/(loss) ($5,729.20) –5.73%
Daily ES Points = 0 per contract
Monthly ES Points = (28.76) per contract

SYSTEM
Daily gain/(loss) $840.20 (inc. 9.80 of commish)
Monthly gain/(loss) ($3,179.10) –3.179%
Daily ES Points = 8.5 per contract
Monthly ES Points = (9.50) per contract
 
Did one trade today, since all the recent holidays seemed to trend well. Went short shortly after the 30-min range was broken on the downside with 2 contracts at 938.25 and was unfortunately stopped out during the lunch hour at 941.75 for a loss of (3.5 x 2 x 50=$350).

I should've put my stop behind 942, but didn't think it would get near the highs. Left for the day and came back just at the close to see I was stopped out and missed a decent profit for the day. The Nasdaq sure is crazy, they must be taking bong hits over there. I'll update my stats later. :)
 
11/27/2002 Final for Month of November 2002.

Trade #1 Went Short at 938.25 in morning with break below first 30-min. range, but was forced to cover at 941.75 for a loss of (3.50 x 2 x 50=($350.00)..
The system reversed and went long at 941.75, but was stopped out at 938.75 and flipped and went short, closing the 3rd trade at 932.75, for a total net of plus 3 on these last two trades.

FINAL ACTUAL NOVEMBER
Daily gain/(loss) $359.80 (inc. 9.80 of commish)
Monthly gain/(loss) ($6,089.00) –6.01%
Daily ES Points = (3.5) per contract
Monthly ES Points = (32.26) per contract

FINAL SYSTEM NOVEMBER
Daily gain/(loss) ($79.40) (inc. 29.40 of commish)
Monthly gain/(loss) ($3,258.50) –3.26%
Daily ES Points = (.50) per contract
Monthly ES Points = (10.00) per contract
 
You must log in or register to reply here.
Back
Top