2:00pm CDT - As per the end of month review of trading plan, I’m cutting back size on my ZS system. From 8 lots to 3 lots. I would drop down to just 6 lots/trade but since I will soon be trading a couple other strategies, I need to be able to reduce overall risk to prevent any really ugly days. Of course this limits the upside too but if things go well, July’s end of month review may call for increasing size? I’m down net $21k so far this year and plan to end in the black. One day at at time...
One of today’s trades was troubling and I haven’t heard back yet from my broker as to why. It didn’t affect my P/L but I had to wait longer than I thought I should have to get completely filled. If anyone has any ideas, let me know.
Net breakdown (contracts traded):
ZS $724(5)
| RESULTS FOR DAY |
|---|
| Contracts: | 5
|
| Net $P/L: | 724 |
| Wins: | 2
|
| Losses: | 0
|
| Win%: | 100 |
| Avg$Win: | 362 |
| Avg$Loss: | 0
|
Posts
I always thought the response from the broker on anything - fills, timestamps and executions depended on the ping-back on a TCP connection (unlike a UDP connection).
ReplyDeleteI have seen the difference not just between brokers but also within platform form the same broker (with PFG, my fills are faster with PFG's DOM as compared to Ninja DOM, so is the response time. I have stopped asking questions unless there is something monumentally wrong. There's just too many variables).
But then OpeneCry might be able to pinpoint it for you.
maybe they are obligated to fill you on the first contract only?
ReplyDeleteThere is no good reason to be down 21k, ever, at all for any retail trader unless some extraordinary event hit and screwed you. Down a few k, ok, maybe, maybe 5k. 21k is absurd, and unless your account is huge, I'd stop right now.
ReplyDeleteIf your system has any merit in terms of directional trades, it should work in different asset classes that are correlated. Perhaps DBA with 100 shares maybe a safer playground to test your ideas.
Dude - I've been working a contract job with JP Morgan. Wow - you've taken quite a hit this quarter !~~!
ReplyDeleteWhat happened ?
System now caput ?
To those of you who are criticizing MBA's "system", do you not remember his past charts where he shows how the system would have performed had he stuck to it instead of bailing out. It's usually when it takes such a dive like it has recently that it makes another big move up. Personally I wouldn't have the balls to trade it myself. But there are systems that have deep draw-downs that are very profitable over the long run. It's always the same story with some of you guys, when the equity trend is up all is good, then as soon as it drops everyone comes out of the wood work and thinks it's time to hang it up. Get real! The best traders out there have draw-downs, some times really nasty ones.
ReplyDeleteBroker has no good explanation. I'm attempting to get info from CME/Globex.
ReplyDeleteTCat, you are jumping to conclusions and don't have enough info on my system.
MSims - nothing has happened - it's called trading.
Thanks Michael.
Gearhead: True. Be cautious, though. I don't want this blog to disappear in a blaze of glory. :-)
ReplyDeleteIt's important to know WHY the drawdown occurred...what conditions were present.
ReplyDeleteIf you don't know that, then the system can appear to be flimsy.
TCat, there will be no blazes here!
ReplyDeleteMSimms, it was just normal volatility in the system performance and bad timing on when I've started/stopped trading the system.
CME has responded and explained my fill issue. See http://mbagearhead.blogspot.com/2011/07/wed-706-cme-k-algo.html