Quarter 3 2011 Trading Results

September Trading Summary

Note: No trades the first half of the month

RESULTS FOR SEPTEMBER
ES Contracts:	716
Net $P/L:	7574
Wins:	60
Losses:	33
Win%:	65
$Commissions:	1876
Avg$Win:	269
Avg$Loss:	-260

Fri. 9/30

3:05pm CDT - After I got back yesterday's loss, I played pretty conservatively. Something about end of a week, month, quarter that makes you want to go out on a high note. Net gain for the week, $5497.

RESULTS FOR DAY
ES Contracts:	113
Net $P/L:	2016
Wins:	8
Losses:	4
Win%:	67
Avg$Win:	279
Avg$Loss:	-53

Thurs. 9/29

2:50pm CDT - Very tough day. I should have just quit at lunchtime when I was down 70 bucks because nothing was working. Maybe it's Rosh Hashanah's fault with many traders taking the day off? Action was very spurty/spazzy. Took a full stop out on max size in afternoon and only recovered half of that from there. Bring on tomorrow!

Happy Rosh Hashanah to my Jewish friends!

RESULTS FOR DAY
ES Contracts:	111
Net $P/L:	-1166
Wins:	5
Losses:	5
Win%:	50
Avg$Win:	297
Avg$Loss:	-530

Wed. 9/28

2:55pm CDT - Tough day, churned lots of contracts. Then when market action finally started responding as my strategy expects, I cut some winners short figuring we would remain choppy. And while I'm complaining, I really need to hold trades in the final half hour. There's been some monster runs there lately! Don't get me wrong, I'm happy with result but left double that on the table.

RESULTS FOR DAY
ES Contracts:	120
Net $P/L:	1398
Wins:	5
Losses:	6
Win%:	45
Avg$Win:	334
Avg$Loss:	-45

Tues. 9/27

2:45pm CDT - Not bad considering I was in a position and unable to place, move or cancel orders either via Internet or telephone for a half hour. Luckily it was during the late morning doldrums or I could have been down $2500 today. OEC has been rock solid lately for as long as I can remember but this morning was not fun.

RESULTS FOR DAY
ES Contracts:	51
Net $P/L:	1016
Wins:	3
Losses:	3
Win%:	50
Avg$Win:	374
Avg$Loss:	-35

Mon. 9/26

1:40pm CDT - Fine tuned my strategy slightly over weekend. Worked well today. When I finish backtesting I'll post the hypothetical P/L curve, hopefully by end of week.

RESULTS FOR DAY
ES Contracts:	45
Net $P/L:	2232
Wins:	5
Losses:	2
Win%:	71
Avg$Win:	463
Avg$Loss:	-42

Fri. 9/23

2:40pm CDT - Good end to my first week back. Got some tweaks to my strategy to test out this weekend. For the week, net gain of $2077.

RESULTS FOR DAY
ES Contracts:	63
Net $P/L:	1910
Wins:	9
Losses:	4
Win%:	69
Avg$Win:	220
Avg$Loss:	-19

Thurs. 9/22

3:25pm CDT - This day came sooner than expected but given the craziness in the markets today, I’m not that surprised. I took 2 max stop losses with full size on (-$2500 each in this case). In backtesting, that typically happens about once a week. The EU was to blame for the 2nd one today as I was short when they announced they would recapitalize the banks or some such crap at ~1:22 CDT. This week so far has been good at giving me some "in the trenches" feedback with my strategy and ideas I need to test on how to reduce the discretionary part of it. I had a $2600 unrealized gain on one long trade, for example, that I was sure was going higher. I stopped out at breakeven. Unacceptable.

RESULTS FOR DAY
ES Contracts:	148
Net $P/L:	-2563
Wins:	10
Losses:	6
Win%:	63
Avg$Win:	255
Avg$Loss:	-852

Wed. 9/21

2:30pm CDT - Did a great job sitting on my hands during the half hour before and after the FOMC news. Couple trades after that ended the day nicely although I just now am seeing a final short I could have made but there are always going to be missed trades. Hopefully I mostly miss the losing ones.

RESULTS FOR DAY
ES Contracts:	18
Net $P/L:	1078
Wins:	6
Losses:	0
Win%:	100
Avg$Win:	180
Avg$Loss:	0

Tues. 9/20

2:25pm CDT - Slow day since I missed the morning run-up (and by "missed" I mean I had no signals). And then I nearly got filled on a short signal at end of day but I was a tick to slow. Otherwise a good day considering it's only Day 2 of my comeback.

RESULTS FOR DAY
ES Contracts:	23
Net $P/L:	502
Wins:	3
Losses:	2
Win%:	60
Avg$Win:	182
Avg$Loss:	-22

Mon. 9/19

2:05pm CDT - Enough of a break. I'll never come up with the perfect system and need to put some real money on the line to feel out how I will react to parts of my strategy that I have not been able to mechanically define exactly what I should do. Yes, gasp, there are parts of my strategy that rely on some discretion.

RESULTS FOR DAY
ES Contracts:	24
Net $P/L:	1150
Wins:	6
Losses:	1
Win%:	86
Avg$Win:	195
Avg$Loss:	-21

ES Trading

Has it been over a month since my last trade? Hard to believe but it has. I'd hoped to be back at it by now but I have not yet been satisfied with any exit strategy I have backtested on my ES system. Likely my expectations are too high but I hope to come up with something that works for me soon. Until then, continue enjoying the crickets chirping on this blog!