Taking $36,192.23 to hopefully more than $36,192.23

[jedwards]

As a matter of posterity, here's the theoretical results for the TF strategy for the YTD.
The first table is my original setup, using the original parameters.

DATE                           TOTALPTS       WINS   LOSSES   MOVELOSSES   AVERAGE TARGET
2011-01-02      2011-01-08      2.400000        3       1       1            1.660000
2011-01-09      2011-01-15      -6.000000       1       4       0            1.560000
2011-01-16      2011-01-22      -2.000000       0       0       5            2.080000
2011-01-23      2011-01-29      -0.400000       2       1       2            1.360000
2011-01-30      2011-02-05      -4.600000       0       2       3            1.260000
2011-02-06      2011-02-12      -1.800000       2       2       1            1.540000
2011-02-13      2011-02-19      -3.700000       0       1       4            1.340000
2011-02-20      2011-02-26      2.000000        3       1       1            2.080000
2011-02-27      2011-03-05      0.100000        2       2       1            2.040000
2011-03-06      2011-03-12      -1.500000       1       1       3            2.680000
2011-03-13      2011-03-19      1.100000        2       2       1            2.100000
2011-03-20      2011-03-25      4.400000        4       0       1            1.600000

This table is the one generated using different parameters that I divined by backtesting. The results are unsurprisingly horrid.

DATE                           TOTALPTS       WINS   LOSSES   MOVELOSSES   AVERAGE TARGET
2011-01-02      2011-01-08      0.800000        3       1       1            1.660000
2011-01-09      2011-01-15      -6.200000       1       2       2            1.560000
2011-01-16      2011-01-22      -0.300000       1       0       4            2.080000
2011-01-23      2011-01-29      -1.800000       2       1       2            1.360000
2011-01-30      2011-02-05      1.400000        2       0       3            1.260000
2011-02-06      2011-02-12      -4.200000       2       2       1            1.540000
2011-02-13      2011-02-19      -0.400000       1       0       4            1.340000
2011-02-20      2011-02-26      0.400000        3       1       1            2.080000
2011-02-27      2011-03-05      -2.300000       2       2       1            2.040000
2011-03-06      2011-03-12      -2.700000       1       1       3            2.680000
2011-03-13      2011-03-19      -1.300000       2       2       1            2.100000
2011-03-20      2011-03-25      5.200000        4       0       0            1.600000

The takeaway is that the TF strategy has really, really sucked this year. 6 weeks of losses in a row is unprecedented, but I'm getting used to this fact.

However, using the classic parameters, I can now see that the last 5 weeks have actually been decent, it has just been my tweaking that caused me to suffer worse than expected losses. In light of this, I will probably start trading half my contracts using the older parameters, and see how that affects the results. Generally in the last 4 years, January and February have been not-great, but not as horrific as it has been this year for me. March has been relatively good, so hopefully this is my turnround month for the year.

 

[d08]

Quote from jedwards:


The takeaway is that the TF strategy has really, really sucked this year. 6 weeks of losses in a row is unprecedented, but I'm getting used to this fact.

Welcome to the club, I gave up on TF this year. Just by observing I could tell something changed in its behavior, the important levels all of a sudden weren't important at all.

 

[jedwards]

Quote from d08:

Welcome to the club, I gave up on TF this year. Just by observing I could tell something changed in its behavior, the important levels all of a sudden weren't important at all.

Yes, I'm finding that volatility has been drained from the TF, but I'm seeing the same behavior across all the index futures that I trade. The same thing happened with the DAX for me as well, which was experiencing big losses for several months now. This past month has been the first month that felt "right" in about 6 months.

Hopefully things go back to normal, but I have a feeling this might be the "new normal".

 

[jedwards]

Week 13

TF: 2 wins, 1 moved stops
Corn 1: 1 win, 1 full loss
Corn 2: 1 moved stop for a loss
HSI: 1 win, 1 moved stop, 2 full losses
DAX: 3 moved stops, 1 full loss (I didn't trade it)

Total: 29358.57, up 797.4, 2.8% for the week, down 18.9% for the year.

-----------------------------------

Another positive week, the first time I've had two back-to-back positive weeks! Woohoo!

I'm cutting this week short because I'm moving tomorrow, and I haven't had a proper internet connection since last night. I thought I would have a Verizon connection so that I could trade on my laptop this morning, but it turns out I couldn't connect, so I gave up. Good thing, too.

It was technically another good week for the TF up to today. I had 1 moved stop and 2 wins, but the wins were pretty small. I've also decided to permanently cut down my contracts by 1/3, which after trading it, really makes it a lot easier for me to trade. I guess I really have been trading too aggressively with too large a size. One difference this week is that my luck changed for the better, because for once I was able to miss a full loss. Because I couldn't get an internet connection at my new place, I didn't bother trading and it turns out I would have wiped out all my gains for the week with the full loss today. Tomorrow is going to be the actual move day, and I think our Internet connection at our old place is going to get cut off some time tomorrow, so rather than risk my internet connection dropping in the middle of the trade, I'll just skip it.

My corn setups weren't that successful this week, but I also drastically cut the number of contracts down, so the damage was limited. Because of the limit-up on corn today, I wouldn't have been able to trade anyway, so there was no loss.

HSI had 2 full losses this week, which is rare these days. I missed a win tonight, unfortunately, but the ratio of good luck to bad luck is vastly in my favor this week so I'm not complaining at all.

FDAX seems to have gotten back into the problems that have been plaguing it for the past several months. Good thing I'm just watching it from the sidelines.

I seem to be much more at ease now that I cut down the number of contracts I'm trading, so I may stick with this going forward. Other than that, it should be back to regular trading next week.

Notable deviations from the trading plan:

M: - Moved stop on the TF, but I missed out on 1/4 contracts. I think I found the bug that in my new strategy that was causing it to abort, so that is good news.
W: - Full win on the TF, but I missed out on 1/4 contracts
-Because of a USDA report coming out on Thursday, I didn't trade ags.
Th: - As mentioned, I had no internet connection, so missed out on a big loss, and I won't trade tomorrow either.

 

[jedwards]

Week 14

TF: 3 wins, 2 moved stops (special note)
Corn 1: 2 wins, 1 full loss
Corn 2: 2 moved stops for break even
Soy: 1 win, 2 full losses
HSI: 2 wins (should have been 3 wins and 1 moved stop)
DAX: 1 win, 4 moved stops (I didn't trade it)

Total: 29452.91, up 94.34, up 0.3% for the week, down 18.6% for the year.

-----------------------------------

Third week in a row of gains, albeit minimal, but I'll take green over red any time.

TF was once again positive, which was great. It really seems as though it's turning around, so I'm happy with that. Since I dropped the number of contracts, it kind of sucks that I'm getting all my gains now, but oh well. As is the case with last week, however, the gains were extremely small, 8 ticks on each of my wins, 25% of some of the targets I saw during March.

On Wednesday, I had a rare situation occur which affected the TF results. I usually separate my TF trades in half, half using the "classic" parameters, and half using newer parameters that I divined this year through backtesting, because the classic parameters didn't work very well at the end of last year. 98% of the time, they both trigger because the entries are separated by only a few ticks, but on Wednesday, the trade based on my new parameters triggered and took a full loss, and the trade based on the classic parameter triggers afterwards and took a full win. This usually never happens, so I will mark it as a win, but I did take a loss on it overall.

My ags setups didn't pan out again this week. Thursday was the day before another crop report, so I didn't take any trades. However, to be perfectly honest that wasn't the real reason why I didn't take any trades. The real reason is that I completely forgot about the crops report the next day, and made a complete rookie mistake by distracting myself with a Stephen Colbert video just before the ags market opened at 7:30am. Once I realized what time it was (only a few minutes later), the setup had fired off without me in it, and it hit both my targets. The fury I felt at myself for missing the trade made me decide to stop trading for the day, and the next two trades would have been winners, but woulda-shoulda-coulda.

For the sake of posterity, the video was: http://www.colbertnation.com/the-co...---empire-state-of-mind--part-ii--broken-down

Alicia Keys is hot, I love Stephen Colbert, and the video is hilarious, but I'd rather cry and make $500 than laugh and miss out on $500. Another good kick-in-the-nuts lesson for me. (Will I ever stop having to learn new lessons???)

My mistake notwithstanding, I think I will seriously consider not trading the ags until I develop a better system. The reason why my TF system works is because I anticipate a full loss only 20% of the time. With my ags systems, I have found that my targets and my stops no longer produce a profitable trade, so I will need to do some analysis and figure out a better system. With 1 contract, it performs even worse, so cutting the contracts won't help. So I might shelve my ags trading until I can do some further analysis. I'll think about it this weekend.

HSI continues to be my best performing setup. It technically had 3 wins, and 1 moved stop (one of the days this week was a holiday) but I only caught half of the trades because 2 of the trades didn't trigger because it blew through my entries. This indicates to me that the volume on the HSI is dropping as well, because normally there should be enough liquidity to fill my trades, but I'll have to look into this further.

Another blah week for FDAX, but at least no full losses.

I'm flirting with the psychologically important $30,000 level. If I can decidedly break through that next week, hopefully that'll give me more confidence going foward. I certainly hope the trend with TF continues, but I will stick with 4 contracts, it definitely feels right for me.

Notable deviations from the trading plan:

M: - Moved stop on the TF, but I missed out on 1 contracts due to IB.
T: - Another moved stop on the TF but I missed out on 1, again because IB sucks.
Th: - A full win, but again I missed out on 1 contract because IB sucks.
-As mentioned, I missed out on a full win, because I was watching a stupid video. Moron. But technically, I wouldn't have traded today because it was the day before a crop report.
F: - Full win in Corn, but because I was already flirting with break even, I took my profits early. The invisible hand strikes again, but I guess I'm okay with it. I know I was flirting with break-even for the week, so I just wanted to take profits to get a winning week. I think psychologically I need a few more green weeks under my belt before I'll be okay

 

[jedwards]

Week 15

TF: 2 full losses, 3 moved stops, 2 discretionary losses
Corn 1: 3 wins, 5 full losses
Soy: 3 full losses, 1 moved stop for a gain, 1 moved stop for break even
HSI: 1 win, 1 full loss, 1 moved stop (should have been 2 wins, 1 full loss, and 2 moved stops)
DAX: 1 win, 1 full loss, 3 moved stops (I didn't trade it)

Total: 26033.9, down 3419.01, down 11.6% for the week, 28.1% for the year.

-----------------------------------

An absolutely disasterous, brutal week. There's nothing more that can be said. This has been the perfect storm of failure, where none of my setups worked whatsoever. The irony is that I didn't screw around with my trades at all this week, I let them all go to completion. Had I followed the Invisible Hand and cut some trades early, I would have saved myself over half of the losses. A great example was today, where I missed a win on the TF by a solitary tick. I was thinking of taking the profits when it was hovering around 1-2 ticks before my target, but I was determined not to let the Invisible Hand ruin another trade. Instead it molested me, slapped me across the face, and then turned the trade into a moved stop. I do realize that it reinforces bad habits, and that the real problem is that my setups just didn't work.

There's not much else to say. The TF had 2 major losses, and 3 moved stops. The only good thing is that I stuck with my decision to keep the number of contracts at 4, so it saved me a bit of money. I tried 2 discretionary trades, but took small losses on them. As I said many times, the TF is the cornerstone of my trading, so I need it to perform. Hopefully this is just an off week, given how much better it has been performing over the last few weeks.

Ags was an unmitigated disaster. I should have followed my thoughts from last week and not traded them, but I didn't have time to sit down and do the analysis. Again, not much to say except they just didn't work at all. I'm fairly certain I won't trade them next week, and cut my losses at this point. It looks like for whatever reason, my ags setups aren't performing anymore. At best, it seems like they are 50%, which isn't good enough to trade off of.

HSI would have had 2 wins, 1 loss and 2 moved stops, which is the historical average. I missed a win because it went through my buy limit without filling me, and then I missed a moved stop because the target was too large. The full loss sucked because it was 1 tick away from being filtered out as well.

As I've mentioned, there's not much else to be said. I will just take this massive loss like a man, and lick my wounds. To paraphase the once-great Jeff Macke, the only position that I'm in going into the weekend with is the fetal position.

The frustrating thing is that while I have taken several thousand dollar losses in a week, I haven't been able to get several thousand dollar wins, except for the first week. It truly is the case of eat like a bird, shit like an elephant. I guess it's indicative that my setups aren't that good, despite how they have performed over the last 4 years. Also, I do realize I have been my own worst enemy by negatively affecting the trades. This has reinforced my belief that I will keep a hard stop of $20k and will discontinue trading once I hit that limit. Hopefully not trading ags will help the situation.

Notable deviations from the trading plan:

M: - Discretionary trade on the TF that took a loss.
T: - Discretionary trade on the TF that took a loss.