The Evolution of an E-mini Trader

Rcreal, I don't scalp the emini either (that often), but play the intraday trends for 5-20 points (ideally), with 2 point initial stop on ES and 4-5 on NQ. My goal is low risk and high reward. In my mindset its unnecessary to risk 17 points on a single trade intraday. But sounds like you have a system and the account to do it. Good luck. Please keep posting your results. :)
 
...Trade 5 - Bought at the retracement, but it was the retracement that wasn't. Loss of .5. But it was the setup I trade, so even though it was a loss, it was a good trade.
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Hey Hui,

I am enjoying your journal! I especially like this trade - got a setup, took a trade, didn't work out, took the loss - next.

nitro
 
Originally posted by rcreal
I actually trade 5 ctxs since this is a daytrading system.

Yes, it's got drawdowns, however I take the good with the bad.

The system does well historically, so I don't complain. The correlation of my models traded is very low, so while this single system did draw down, others usually make up then some.

Here are the performance report. It's been traded for 3 months now ... twenty real trades under the belt.

The report is over 12 months. I've tested this thing back to mid-1999 with over 250+ trades. Performance has remained fairly consistent with little deviation (the last 4 months it has performed quite well).
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That makes more sense; however 20 real trades is not a really good sample.

Good luck.
 
That makes more sense; however 20 real trades is not a really good sample.

Good luck.
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True, 20 trades isn't a large sample .. gotta start somewhere :D
 
rcreal,

I've backtested a lot of index trading systems and I normally found that the performance of the better systems was degraded by stops. However, unless your system has an automatic exit or reversal, ie. like a crossover system that is always in the market long or short, I think it is foolish not to have some form of disaster stop. If you test for max adverse excursion, you will undoubtedly find that beyond a certain point, the vast majority of trades will be losers. Place your stop somewhere in that area and it will not degrade your system too much and might even help it.
 
Felt good this morning. Another PB of 39:41

IB sent a notice that all new positions should be in the U contract. Wasn't sure how the change in contracts was gonna work. Switched back and forth from M to U. After a few minutes, it was obvious from the difference in volume where to trade.

AM Trades

Morning range was tight and forming a slight decending triangle. The bottom was flat between 1017 and 1016.75. Thought about playing the range but was too tight. Saw the 40 ma coming down and thought it would break down. Missed my setup. Watched for a retrace, flickered between 16 and 15.5. I guess that is a retrace in a fast moving market. Watched it drop, and retrace, which brings me to ...

Trade 1 - Short down the other side of the retrace. Again the second leg down that wasn't. Realized that my filter never got below 0, so I should have taken a quicker loss. Held on too long. Loss of -1.75.

I hate starting the day with a loss.

Looking for a second short off the retrace, but missed it. Filter never went below 0 again, which is what I was looking for.

No new low, so started treating this as a double bottom, actually a triple bottom. Slow climb up. Beginnings of a retrace...

Trade 2 - Bought the wrong side of the retrace, and the trade went against me about 1.5 points. I would have taken the loss at around .75 to 1, but everything was telling me it was going up. Held on for a gain of 3.5 pts. Entrance was bad, exit was great.

Why didn't i get in on the correction that followed 10 minutes after you ask? I was too busy patting myself on the back for pulling myself out of a $87.00 hole.

Missed another setup around 12:15.
 

Attachments

PM Trades

Trade 3 - End of the day. Broke down sharply. Made a little "wiggle" between 1013 and 1012.5. Jumped in, and held thru another retracement of 1 pt. Good entrance given the situation, good exit, although I could have squeezed out another half point, but didn't want to get caught in eod short covering.

I thought (based on my limited experience) that the market acted strange all day. I almost closed up shop around 15:00. My filter was not giving me short trades today. Took the last trade anyway. LH and LL all afternoon. Was I bad?

Three trades today - 2 winners, 1 loser.

Net: +185.60 for the day.

Net: -181.60 for the week

Net: + 259 for the month

(lookout Seanote, I'm gunning for ya)
 

Attachments

Originally posted by Huios
Felt good this morning. Another PB of 39:41


...
Trade 1 - Short down the other side of the retrace. Again the second leg down that wasn't. Realized that my filter never got below 0, so I should have taken a quicker loss. Held on too long. Loss of -1.75.

I hate starting the day with a loss.

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Huios,

What is the "filter" you are referring to?

Thanks
 
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