Monday, December 31, 2012

2012 Trade Analysis

Another year in the books. Where does the time go?  And another year failing to reach the 100% return goal!  It's also the 2nd year in a row where I am gross positive but net negative thanks to the cost of commissions and/or lack of a sustained edge.  Over the past 12 months, I took $56,391 and turned it into $50,013.  That's a net loss of $6,378 or -11%.  Who cares that my gross gain was +$3,063?  Not me...
 
The most glaring thing I noticed about the numbers is that I am in a long-term, love/hate relationship with ZS. ZS was my biggest gain of 2012, biggest loss of 2011, and my biggest gain of 2010.  I also noticed that R:R alone does not equal success.  My best month (Oct.) was not the highest R:R ratio and my 2nd best month (May) was actually one of the lower R:R ratios at 0.8.

Isolating the curves for the symbols I traded most CL, NQ, ZS yields this look:
Finally, a few more charts looking at all trades:
That last chart seems to show fairly clearly that trades I exit more quickly tend to be losers and trades held longer (6+ min.) tend to win more often.  The conclusion in past years has been similar.  I think this is best explained because the longer you hold a trade, the more likely you are to overcome the spread (or make it negligible) because price has time to move away from your entry.  A trade held for 0 seconds, the extreme example, means you bought at bid and instantly sold at ask, or vice versa.  A 1 tick loser no matter what!

Needless to say, I am still searching for a methodology and system(s) that have a consistent edge that I can trade.  Perhaps 2013 will be the year!  Onward we go... 

Quarter 4 2012 Trading Results

 

December Trading Summary

Net breakdown (contracts traded):
CL -$1574(208), GC $291(47), ZS $1895(13), NQ -$1167(56), $ ES -$635(4)
RESULTS FOR DECEMBER
Contracts:328
Net $P/L:-1189
Wins:119
Losses:135
Win%:47
$Commissions:1356
Avg$Win:88
Avg$Loss:-86

Thursday, December 20, 2012

Thurs. 12/20

3:00pm CST - In day-trading broker news, SEC issues a fine.

Net breakdown (contracts traded):
CL $16(1), GC $401(2), NQ -$264(9)
RESULTS FOR DAY
Contracts:12
Net $P/L:153
Wins:4
Losses:2
Win%:67
Avg$Win:152
Avg$Loss:-228

Wednesday, December 19, 2012

Wed. 12/19

3:35pm CST -
Net breakdown (contracts traded):
CL $8(5), NQ $36(13)
RESULTS FOR DAY
Contracts:18
Net $P/L:44
Wins:4
Losses:5
Win%:44
Avg$Win:135
Avg$Loss:-99

Tuesday, December 18, 2012

Tues. 12/18

2:40pm CST - The losing trades were too ugly to show so you only get to see one. I may soon put GC in my rearview mirror and never look back.  It had more than a $3000 range per contract but managed to trick me into the wrong position every time.  Will shut things down for the year by the end of the week and prepare for 2013. 
Net breakdown (contracts traded):
CL $38(5), GC -$1540(9), NQ -$578(26), ZS $829(4)
RESULTS FOR DAY
Contracts:44
Net $P/L:-1251
Wins:7
Losses:13
Win%:35
Avg$Win:194
Avg$Loss:-201

Monday, December 17, 2012

Mon. 12/17

3:20pm CST -
Net breakdown (contracts traded):
CL -$253(3), GC $6(1), NQ -$361(8)
RESULTS FOR DAY
Contracts:12
Net $P/L:-609
Wins:2
Losses:5
Win%:29
Avg$Win:5
Avg$Loss:-124

Friday, December 14, 2012

Fri. 12/14

2:05pm CST - Got caught in the chop today with CL having less than a dollar range on the whole day.  Hard to make money trading that.  I should have stopped at +$300 in hindsight.  For the week, net gain +$1102.

Got to wonder what it says when trading educators/mentors battle it out in a trading competition and the winner of each round is typically the one that loses the least amount of money!  Not many winning examples here.

Net breakdown (contracts traded):
CL -$597(15), GC $237(12)
RESULTS FOR DAY
Contracts:27
Net $P/L:-360
Wins:12
Losses:14
Win%:46
Avg$Win:69
Avg$Loss:-85

Thursday, December 13, 2012

Thurs. 12/13

9:25am CST - No trades yesterday.  3 each today in crude and gold.
Net breakdown (contracts traded):
CL $297(3), GC $207(3)
RESULTS FOR DAY
Contracts:6
Net $P/L:503
Wins:5
Losses:1
Win%:83
Avg$Win:120
Avg$Loss:-94

Tuesday, December 11, 2012

Tues. 12/11

11:20am CST - 2 trades in ZS System today which I started trading around end of Sept. but had recently scaled back lot size.  The reason is pretty clear on profit curve below.  It was rocking up all summer (thanks to drought?) but has been mostly flat since I started trading it.  It uses tick data so I can't backtest any further than I already have.  I will continue tracking the hypothetical results and will likely continue trading it with small size until I come up with a more profitable use of my capital.

I've been meaning to post some news links well worth reading. Thanks to Cory for the 1st one:
High-Speed Traders Profit at Expense of Ordinary Investors
High-Frequency Trading: A Grave Threat to the Markets and the Economy
NFA takes emergency enforcement action against FXDD

RESULTS FOR DAY
ZS Contracts:6
Net $P/L:544
Wins:1
Losses:1
Win%:50
Avg$Win:929
Avg$Loss:-385

Monday, December 10, 2012

Mon. 12/10

10:35am CST - Just 1 trade today. Busy with system development and testing...
RESULTS FOR DAY
ZS Contracts:2
Net $P/L:415
Wins:1
Losses:0
Win%:100
Avg$Win:415
Avg$Loss:0

Friday, December 7, 2012

Fri. 12/07

8:50am CST - I lied.  I couldn't stay away.  For the week, net loss -$628.
RESULTS FOR DAY
GC Contracts:1
Net $P/L:1016
Wins:1
Losses:0
Win%:100
Avg$Win:1016
Avg$Loss:0

Thursday, December 6, 2012

Thurs. 12/06

3:00pm CST - I need a long weekend!  Back next week...

Net breakdown (contracts traded):
CL -$560(9), ES -$635(4)
RESULTS FOR DAY
Contracts:13
Net $P/L:-1195
Wins:0
Losses:8
Win%:0
Avg$Win:0
Avg$Loss:-150

Wednesday, December 5, 2012

Wed. 12/05

11:30am CST - Done early after hitting my max loss I had set for the day.  Final trade was nearly a big winner which would have ended the day >+$200 but it stopped out by 7 ticks instead.  My quick scalping "experiment" is officially over.  I had planned to go all week but after 4 days of too much work for little/no net gain, only my broker is happy.  I did learn alot though and have more ideas to work on.
Net breakdown (contracts traded):
CL -$723(57), GC $48(5)
RESULTS FOR DAY
Contracts:62
Net $P/L:-675
Wins:28
Losses:24
Win%:54
Avg$Win:40
Avg$Loss:-75

Tuesday, December 4, 2012

Tues. 12/04

2:45pm CST - Up early but was pushing for >$300 but never got there.  2 decent winners got me back above par, both scaled in 2-lots, first in CL, last one in GC.  Trading like this is certainly reminding me how efficient the markets are.
Net breakdown (contracts traded):
CL -$264(73), GC $287(3)
RESULTS FOR DAY
Contracts:76
Net $P/L:23
Wins:36
Losses:34
Win%:51
Avg$Win:43
Avg$Loss:-45

Monday, December 3, 2012

Mon. 12/03

1:10pm CST - Decided to continue the quick scalping this week to see how things shake out.  Many of you may think I'm playing with fire based on my past discretionary efforts.  But a benefit in studying history is so that you don't repeat it.  That's my thoughts for now anyways.  Gold was not very golden today but otherwise a good day.
Net breakdown (contracts traded):
CL $466(37), GC -$367(11), ZS $107(1)
RESULTS FOR DAY
Contracts:49
Net $P/L:204
Wins:18
Losses:28
Win%:39
Avg$Win:82
Avg$Loss:-45

Friday, November 30, 2012

November Trading Summary

Net breakdown (contracts traded):
CL $141(65), GC -$15(35), ZS -$5427(153)
RESULTS FOR NOVEMBER
Contracts:253
Net $P/L:-5301
Wins:67
Losses:83
Win%:45
$Commissions:1233
Avg$Win:163
Avg$Loss:-195

Fri. 11/30

2:40pm CST - I thought my tiny 12 Gold contracts pushed volume to record levels yesterday. It was the first day I had  traded gold in a long time.  But then I saw the record volume was actually the day before.  So much for my impact on the world!  Haha

Today ended up being a bit of an experiment toward the end of the day in 100% discretionary scalping.  I like to think sometimes that my thousands of hours of experience of watching charts and DOMs has to be good for something.  After getting down $200, after having been UP $200, I decided to throw out my mechanical entry signals over the lunch hour and scalp my way to either -$300 or back to +$200 on the day.  The latter was the result and I'm not sure what that means for my trading in Dec. and beyond.  Will have to think about that over the weekend.

For the week, net loss -$136.  For the month, net loss -$5301.
Net breakdown (contracts traded):
CL $83(15), GC -$62(23), ZS $202(2)
RESULTS FOR DAY
Contracts:40
Net $P/L:223
Wins:23
Losses:17
Win%:58
Avg$Win:54
Avg$Loss:-60

Thursday, November 29, 2012

Thurs. 11/29

1:25pm CST - Added Gold to the mix today.  It was treating me well and I was up $350 in GC but gave all that back.  CL did better today.  I can tell it's going to take me awhile to get any comfortable consistency with my discretionary trade management.
Net breakdown (contracts traded):
CL $264(8), GC $47(12)
RESULTS FOR DAY
Contracts:20
Net $P/L:311
Wins:10
Losses:9
Win%:53
Avg$Win:88
Avg$Loss:-63

Wednesday, November 28, 2012

Wed. 11/28

2:20pm CST - The rut I've been in for the past 3 weeks continues.  But it will end.  Today was green but not by much...
Net breakdown (contracts traded):
CL $42(13), ZS -$21(4)
RESULTS FOR DAY
Contracts:17
Net $P/L:22
Wins:5
Losses:10
Win%:33
Avg$Win:168
Avg$Loss:-82

Tuesday, November 27, 2012

Tues. 11/27

2:10pm CST - Tough sledding on the CL slopes today. 
RESULTS FOR DAY
CL Contracts:14
Net $P/L:-282
Wins:5
Losses:9
Win%:36
Avg$Win:75
Avg$Loss:-73

Monday, November 26, 2012

Mon. 11/26

2:15pm CST - Added CL back into the mix and tested 1-lots of a new approach that has methodical entry signals but discretionary trade managment/exits.  We'll see how that goes.  Bounced around between $0 and +$200 most of day until my old ZS system fired off a couple late day trades.

Net breakdown (contracts traded):
CL $33(15), ZS -$443(6)
RESULTS FOR DAY
Contracts:21
Net $P/L:-410
Wins:8
Losses:11
Win%:42
Avg$Win:66
Avg$Loss:-85

Monday, November 19, 2012

Mon. 11/19

1:40pm CST - No trades on Friday in case you were wondering and likely none the rest of the week with the holiday approaching.  Today was a repeat of Wed. for me with nothing working.  Time for some rethinking/regrouping rest of week before I give back all my Oct. gains.  Happy Thanksgiving to all!
RESULTS FOR DAY
ZS Contracts:12
Net $P/L:-1137
Wins:0
Losses:5
Win%:0
Avg$Win:0
Avg$Loss:-227

Thursday, November 15, 2012

Thurs. 11/15

2:05pm CST - 2 losers then 2 winners for a scratch day in the trenches. 
RESULTS FOR DAY
ZS Contracts:8
Net $P/L:34
Wins:2
Losses:2
Win%:50
Avg$Win:215
Avg$Loss:-198

Wednesday, November 14, 2012

Wed. 11/14

2:00pm CST - Today felt like 6 coin tosses in a row where every single one came up the opposite of what I called.  Yes, technically I had 1 "winner" but that was due to a tick of positive slippage (the only good thing that happened today) at a breakeven stop exit.  ZS was spastic and rangebound.
RESULTS FOR DAY
ZS Contracts:12
Net $P/L:-762
Wins:1
Losses:5
Win%:17
Avg$Win:15
Avg$Loss:-155

Tuesday, November 13, 2012

Tues. 11/13

2:20pm CST -
RESULTS FOR DAY
ZS Contracts:4
Net $P/L:104
Wins:1
Losses:1
Win%:50
Avg$Win:215
Avg$Loss:-110

Monday, November 12, 2012

Mon. 11/12

2:10pm CST - Regarding my main ZS system, I'm going to either A) reduce the risk (contract size) or B) stop trading it for now. It did great in Oct. but has been behaving poorly this month with 3 days of significant losses.  I have admittedly lost confidence in it partly due to the lack of backtesting data I had available (~5 months).  I have been testing another system with smaller lot size over the past weeks and will be stepping up focus more on that.  I think it may have more potential and better controls the risk per trade. 
RESULTS FOR DAY
ZS Contracts:21
Net $P/L:-2871
Wins:1
Losses:4
Win%:20
Avg$Win:247
Avg$Loss:-780

Friday, November 9, 2012

Fri. 11/09

2:15pm CST - The morning ag report drove price down quickly at the start.  I was up $600 later but things went back to even after that to close the day.  For the week, net loss -$2632. Most all of this was due to my main ZS system which just had a bad week.
RESULTS FOR DAY
ZS Contracts:16
Net $P/L:17
Wins:2
Losses:3
Win%:40
Avg$Win:312
Avg$Loss:-202

Thursday, November 8, 2012

Thurs. 11/08

2:05pm CST - Tuesday repeated... 
RESULTS FOR DAY
ZS Contracts:4
Net $P/L:779
Wins:1
Losses:0
Win%:100
Avg$Win:779
Avg$Loss:0

Wednesday, November 7, 2012

Wed. 11/07

2:00pm CST - Monday repeated.
RESULTS FOR DAY
ZS Contracts:12
Net $P/L:-2562
Wins:0
Losses:2
Win%:0
Avg$Win:0
Avg$Loss:-1281

Tuesday, November 6, 2012

Tues. 11/06

1:55pm CST - Just one trade today. It was really slow and glad I got the exit filled on this one!!
RESULTS FOR DAY
ZS Contracts:4
Net $P/L:879
Wins:1
Losses:0
Win%:100
Avg$Win:879
Avg$Loss:0

Monday, November 5, 2012

Mon. 11/05

1:55pm CST - My main system was out of sync today and went 0-2.  If I hadn't been stopped out of a short around 11am, it would have been a really good day.  ZS behaved more spastic today with lots of spits and bursts between dead tape. 
RESULTS FOR DAY
ZS Contracts:26
Net $P/L:-1747
Wins:3
Losses:4
Win%:43
Avg$Win:391
Avg$Loss:-730

Friday, November 2, 2012

Fri. 11/02

12:40pm CDT - Another good day.  I did override my plan on last trade so still facing some old demons.  But are they ever really gone?  We can only hope to supress them as close to 100% of the time as possible.  For the week, net gain +$4003.
RESULTS FOR DAY
ZS Contracts:16
Net $P/L:1130
Wins:2
Losses:1
Win%:67
Avg$Win:850
Avg$Loss:-571

Thursday, November 1, 2012

Thurs. 11/01

11:10am CDT - Passed on 2 trades that would have made it 4-0 on the day and doubled results below. But good start to the month either way...
RESULTS FOR DAY
ZS Contracts:6
Net $P/L:969
Wins:2
Losses:0
Win%:100
Avg$Win:485
Avg$Loss:0

Wednesday, October 31, 2012

October Trading Summary

Net breakdown (contracts traded):
CL $80(18), NQ -$777(60), ZS $8410(250)
RESULTS FOR OCTOBER
Contracts:328
Net $P/L:7713
Wins:55
Losses:58
Win%:49
$Commissions:1527
Avg$Win:531
Avg$Loss:-371

Wed. 10/31

12:45pm CDT - Shutting down early today on the small moral victory back to green on the year.  Net YTD +$112, after a peak drawdown on year of -18% ($10.2k).  This also concludes the best month in over 2 years, +$7713.  May it continue...
RESULTS FOR DAY
ZS Contracts:12
Net $P/L:838
Wins:1
Losses:1
Win%:50
Avg$Win:1359
Avg$Loss:-521

Tuesday, October 30, 2012

Tues. 10/30

2:10pm CDT - Today could have gone either way with a final reversal trade that was going to make or break the day.  I was able to exit inside the final minute in the money. 
RESULTS FOR DAY
ZS Contracts:14
Net $P/L:328
Wins:2
Losses:1
Win%:67
Avg$Win:524
Avg$Loss:-721

Monday, October 29, 2012

Mon. 10/29

1:25pm CDT - I wasn't sure how the closing of equity and bond markets due to Hurricane Sandy would affect ZS today but it basically had no impact.  Good day to start the week.
RESULTS FOR DAY
ZS Contracts:12
Net $P/L:738
Wins:1
Losses:1
Win%:50
Avg$Win:1259
Avg$Loss:-521

Friday, October 26, 2012

Fri. 10/26

2:10pm CDT - No errors today and traded per plan.  For the week, net +$1958.
RESULTS FOR DAY
ZS Contracts:6
Net $P/L:819
Wins:1
Losses:1
Win%:50
Avg$Win:879
Avg$Loss:-60

Thursday, October 25, 2012

Thurs. 10/25

5:55pm CDT - An error reading a signal got me to enter too soon.  I knew an entry would be coming so I left trade on.  It went and stopped me out.  Slap me.
RESULTS FOR DAY
ZS Contracts:20
Net $P/L:347
Wins:2
Losses:2
Win%:50
Avg$Win:869
Avg$Loss:-696

Wednesday, October 24, 2012

Wed. 10/24 + CFTC Regs

2:10pm CDT - Mixed in a new system today on a trial basis. Haven't done enough backtesting yet. What else is new?!  Last trade came within 2 ticks of target with 25 min. left in session so I tightened stop and got stopped out locking in profit.  Of course it hits target 20 min. later...

Fellow blogger Chris posted about this latest news from the CFTC on new regs. Please let the CFTC know your opinion.  I agree with Chris, this is not enough!  Some kind of insurance needs to be established or it needs to be physically impossible for segregated funds to be stolen by an FCM.

RESULTS FOR DAY
ZS Contracts:10
Net $P/L:548
Wins:3
Losses:1
Win%:75
Avg$Win:286
Avg$Loss:-310

Tuesday, October 23, 2012

Tues. 10/23

2:10pm CDT - Tough going today with many early false breakouts.  Wish I would have held the last trade until the end of the day but got out as per plan.
RESULTS FOR DAY
ZS Contracts:28
Net $P/L:-1044
Wins:1
Losses:4
Win%:20
Avg$Win:2159
Avg$Loss:-801

Monday, October 22, 2012

Mon. 10/22

1:50pm CDT - Decided to focus more on ZS and less on the other markets (NQ and CL) that I have not been trading as well.  ZS is slowly rolling over this week and the Jan. contract should be higher volume by the open next week. Until then, Nov. it is!
RESULTS FOR DAY
ZS Contracts:12
Net $P/L:1288
Wins:2
Losses:1
Win%:67
Avg$Win:904
Avg$Loss:-521

Saturday, October 20, 2012

Tractates of Trade

The Tractates of Trade (new and improved) or Aphorisms from a Trading Life
Copyright 2012 Charles Kespert

• In order to accumulate you must speculate.
• Trading isn’t about winning or losing, it’s about self-discovery.
• You only learn from losing trades.
• Stay away from big losses. Stay away from big losses. At all costs, stay away from big losses.
• Along with the probability that your trade will be profitable, there's probably a greater probability that it won't be. Think about the trade you'll make if things don't work out.
• Don’t be afraid to go where the market wants to take you.
• It doesn’t matter where you get in. The only thing that matters is where you get out.
• Moving averages seem to be important. The steeper the slope, the better the trade.
• Markets tend to overshoot. The high will be higher than “your high.” The low will be lower than…
• Never meet a margin call. Liquidate. The margin clerk is your best friend.
• Welcome to the learning curve. A trader is always, somewhere, within the learning curve. As long as the curve isn’t circular, you’re making progress.
• Your belief system will determine if you make or lose money so just as you should be careful what you wish for, you should be just as careful when selecting what you believe in.
• When someone says “Believe me, it’s different this time” make the choice not to believe it. Markets are the cyclic expression of hope, fear and greed, in other words, human nature. Human nature doesn’t change. The fact that human nature doesn’t change is why Shakespeare is relevant, we read Plato, study Dante and are in awe of Sophocles. Technology changes, human nature doesn’t.
• In trading, he who has the best rules wins. Your innate, intuitive brilliance only talks to you occasionally.
• Never double down. Consider adding, pressing an advantage but never double down.
• Don’t be impatient but be on time.
• Execute your initiating trade at the opening of the bar, not at the end.
• Markets roughly spend 85% of the time range trading and 15% of the time running to a new level to restart range trading again. Just figure out where you are in the scheme of things to implement the correct style of trading to mimic the current market action.
• To panic is human.
• Zen saying:
   -To hear is to doubt
   -To see is to be deceived
   -To feel is to believe
• As a trader, your job is to separate the signal from the noise.
• Markets don’t suffer fools. They just take their money.
• Don’t let your desire to “do something, do anything” prevent you from doing the right thing. Patience means watching your keys, waiting for your setup and executing. More than one train leaves the station. The trains leave continuously; the station stays in place.
• Hubris is built on a foundation of success.
• It can be very profitable to trade with blood in the water as long as it’s not yours.
• How to know when you are wrong is an essential to successful trading. Have a metric in place that objectively tells you that you should be out.
• The road to ruin never needs repair.
• Risk small but often.
• Be intolerant of loss and learn to relax more with profits.
• If you fail enough the only thing left is success.
• The market will all too soon locate, expose and exploit your weaknesses. All strategies have a weakness. Know yours.
• Life is at least a study in perspective.
• The wonderful opportunities awaiting you in the future are dependent on your ability to intelligently delimit your opportunities in the present.
• Trade from side of trend. Trade from side of trend. Trade from side of trend. Even if your entry level is abysmal, the trend may reassert itself and bail you out.
• Your current beliefs may be obscuring the truth.
• When you put a trade on, it should work almost immediately. If it doesn’t, seriously consider bagging the idea and look for a new setup.
• The trend is your friend till the bend at the end.
• Use stops, use trailing stops but don’t use break even stops.
• A long term investor in the futures market is often a day trader with a bad position held overnight, after night, after night and tomorrow creeps into this petty pace of day to day.
• There’s no such thing as “trading with house money.” It’s either your money and you’re ahead, or it’s your money and you’re behind. Just don’t let your money become their money.
• At the same time, take trades. The only way you are going to make money is by taking trades.
• Don’t worry about winning or losing on a particular trade. There’s only one concern: does the trade help to grow your bottom line. Taking losses is a strategic necessity.
• Hope is not an action.
• The first step to success is failure.
• If you have a bad position, all too often no amount of elegant day trading is incapable of offsetting the loss.
• The futures market is the greatest wealth transfer mechanism ever invented.
• No matter how many times you shuffle the deck the cards remain the same.
• The more efficient a market is, the more random it is. If a market is inefficient, the more that market will trend. The efficiency of a market is inversely correlated to its liquidity.
• Do you look at your positions as assets or liabilities? Liquidate the liabilities with extreme prejudice.
• Life is full of breaks that don’t break evenly.
• If you are in a position and you are losing more in that position than you can reasonably expect to make, get out.
• It is far easier to lose money trading than to make it. It is far easier to make money trading than to keep it.
• A margin call argues for your continuing status as an amateur.
• If the market prints your price and doesn’t fill you, go to the market. If you don’t have an exit strategy, the market will figure out one for you.
• If your trading begins to resemble an exercise in madness, at least take a break for a day.
• A market trades to try and fill all orders: limits, buy stops, sell stops, everything. If there aren’t any orders, there’s no reason for the market to move.
• If your indicators are lagging but your data is high frequency, you should be okay. If your data is low frequency, your indicators are useless.
• Your ability to discriminate, to successfully think critically, is inversely proportionate to the profitability of your positions.
• You can go broke taking profits, very small profits. This type of trading behavior will also convince you that you're performing better at the buy/sell game than you really are.
• When the pundits start talking about a barrel of crude oil and a bushel of wheat as not really a barrel of oil or a bushel of wheat but an asset class and you are long, get nervous.
• Just give it time; the market will trade at previously incomprehensible levels, regularly.
• There are more black swans waiting in the weeds than you think there are.
• Most indicators are worthless; the “price” of something motivates buyers and sellers. Learn to read “price action.”
• Your next trade could be your last trade for a very long time. Be aware of this and don’t let it happen. Use stops.
• Markets are challenging: when illiquidity meets volatility parallel lines converge, divergences converge, convergences diverge and mathematical certainty is forced to embrace new theorems.
• If you are down a certain, predetermined percentage of your equity (for some this could be as little as 2% and for others this could be as much as 15%) and you have open positions, liquidate and go to cash. You and the market aren’t on the same schedule. (Few ever do this). Hitting the reset button is a psychological palliative. In other words, not to change the subject, when your positions have little relevance to the current market, liquidate and reset.
• When all your trades are going incredibly well, when you’re seeing the market as if you’ve already read tomorrow’s papers and you’re just about ready to thicken the callous that resides just below your left shoulder with your right hand, get out Webster’s and reread the definition of coincidence.
• Markets are thematic. In fact, those flashing numbers are always trying to tell or sell a story. Become a better reader.
• Don’t think of the market as an opponent to be bulled, bloodied, battered and beaten. Its resources are far greater than yours. It’s better to concede the conceit of market as ocean in all its obvious metaphoric diversity.
• The Myth of Sisyphus resonates in the experience of trading.
• Remember that irony is alive, well and constantly at work in the universe; irony, the cornerstone to the construct of the Divine Comedy.
• Trading isn’t about winning or losing, it’s about building equity. Taking strategic losses is a key to building equity. Winning or losing on any one particular trade is meaningless.
• A market is a market. It can do anything it wants. It doesn’t have to make sense. A market is only obliged to itself. In fact, exploiting this fact will lead to your best profits.
• One aspect of a period of successful trading is to convince you into believing that you actually know what you’re doing.
• Just as persistence allows mediocrity to soar, a persistent, rule driven trading approach seasoned with just the right touch of intuition can turn your sow’s ear into a silk purse.
• What you want to have happen in a market often prevents you from doing what you should be doing in a market.
• That which is true, never changes. A market, a dynamic reevaluating, discounting mechanism, always changes. There’s very little that’s true about a market.
• Beware of the new paradigm; it may not be wearing any clothes.
• Beware the talking heads; they are only talking their positions and aren’t seeking the truth; they are far more interested in acquiring your money.
• If you don’t crave profit, profit may be attracted to you. If you don’t fear loss, loss may not be attracted to you.
• If you want to be condemned, keep doing what you’ve always done.
• Worst positions leave last.
• To capitulate isn’t easy.
• Trading is like procreation; if you’re nervous it just isn’t going to work that well.
• The market is an imperfect game. Chess is a perfect game. All information is transparent. Either you are a smart player and can see the board or you are a challenged player. There is no luck. Poker is an imperfect game. You don’t know all variables and bluff by itself can win the day.
• You only learn from losing trades. A winning trade is simply a confirmation of your current infallibility.
• Do everything you can to keep a losing trade an annoyance rather than a memorable event.
• If you are in a winning position, remain aware that just as the sea reclaims land, the market wants its money back.
• Never disrespect the possible (especially option expirations).
• A trade is a trade. It is a financial event. It is not a justification or repudiation of your current geopolitical or eco-political model.
• Don’t convince yourself that you’ve figured out the puzzle. The puzzle keeps changing. Eventually the puzzle just disappears.
• You have to be willing to give back, to fold, to square your position to cash. If you don’t give something back the market will end up taking it back on its terms, not yours.
• Markets spend as much time going up as they do going down, the only difference is amplitude.
• As the futures market is a zero sum game and the instruments of trade expire continually, regression to the mean should be a frequent event. The stock market is totally different; for every buyer there doesn’t have to be a seller and the life of a stock is theoretically, potentially, infinite. Regression to the mean should be a “less frequent” event at Wall and Broad.
• Good trades are often counter intuitive.
• There’s far greater skill in trading well when you’re behind than in trading well when you’re ahead.
• Ascertaining the correct value for 6 variables before making a trading decision is not better than ascertaining the correct value for 3 variables.
• When it comes to heuristics, kiss.
• All your answers have questions.
• Markets are mechanisms that foster irrational behavior. Don’t let your trading be held hostage to the need for discernment.
• As soon as market action can be explained and generally understood, expect the market to change.
• Before entering a trade, mentally understand and accept all potential losses.
• If you have to win you’ll lose. If you have to lose, you will. The seeds of doubt are self sown.
• The market doesn’t care about your positions. No one but you cares about your positions.
• On initial order placement, never be impetuous. Wait for your price.
• Look for ways to take action. Idle brilliance addles.
• Good trades usually set up with a sense of inevitability and unfold in slow motion.
• Remembrance may be the inability to let go.
• In trading, feeling comfortable should be an uncomfortable feeling.
• Great windfall profits tend to remain paper profits.
• You can’t continue to court disaster without eventually landing a date.
• You’re only as young as your last winning trade.
• People feel more comfortable with losing positions and more nervous with winning positions.
• When do you place a stop? When you put the trade on in the first place. It’s at that exact moment when you are most capable of managing risk.
• If you have a position in a market and the average true range of that market is 128 points and the market has only had a range of 28 points so far, start figuring out which side of the market is going to deliver the next 100 points.
• When asked to play a game, then stopped mid game and asked how they are doing, people invariably state that they are performing at better levels than they actually are.
• Work on four things: fear, anger, frustration and judgment; it’s all derived from fear.
• Anger is the clash of desires.
• Whatever you believe is undoubtedly correct until the passage of time offers another suggestion.
• Simplify. If you are using 4 indicators to trade, use three. If you are trading 5 markets, trade 4, then reexamine the number of indicators you’re using.
• Never trade out of boredom.
• Markets generally lack conviction, especially post 9/11. That’s why trend traders have a low incidence of winning. Take advantage of that. 9/11 taught traders that anything is possible.
• What funds buy, they sell. Few funds are ever going to take delivery of a barrel of oil or a bag of coffee. Take advantage of that.
• You manifest the world through interpretation.
• Life is, at least, the non-annihilating coexistence of opposites.
• Ultimate sorrow is to love as gravity is to mass.
• Don’t be so eager to burn today in the hopes of a better tomorrow. Death hides in the folds of the future.
• There is no failure, only feedback.
• Trying is being in a state of failure.
• The fool only seems unenlightened to the unenlightened.
• Only when you really look at something does it begin to disappear.

Friday, October 19, 2012

Fri. 10/19

2:40pm CDT - Got up to breakeven on the week then a few CL trades got caught in the midday chop. For the week, net loss -$442
Net breakdown (contracts traded):
CL -$608(4), NQ $77(1), ZS $1079(4)
RESULTS FOR DAY
Contracts:9
Net $P/L:549
Wins:2
Losses:4
Win%:33
Avg$Win:578
Avg$Loss:-152

Thursday, October 18, 2012

Thurs. 10/18

2:25pm CDT - Another frustrating day.  No signals again in ZS which had a huge upside move.  That's the problem with systems that trade infrequently, you miss some good action often!
RESULTS FOR DAY
NQ Contracts:7
Net $P/L:2
Wins:3
Losses:3
Win%:50
Avg$Win:77
Avg$Loss:-76

Wednesday, October 17, 2012

Wed. 10/17

3:05pm CDT - Nothing worked today.  Nearly had a ZS signal to buy which would have worked nicely but it wasn't meant to be.

Net breakdown (contracts traded):
CL -$99(2), NQ -$326(6)
RESULTS FOR DAY
Contracts:8
Net $P/L:-425
Wins:2
Losses:4
Win%:33
Avg$Win:75
Avg$Loss:-144

Tuesday, October 16, 2012

Tues. 10/16

2:00pm CDT - Rollercoaster of a day - was up $1200 unrealized at one point but got stopped and further ZS trading sucked the rest away.

Net breakdown (contracts traded):
CL -$59(2), ZS -$915(32)
RESULTS FOR DAY
Contracts:34
Net $P/L:-974
Wins:3
Losses:4
Win%:43
Avg$Win:628
Avg$Loss:-714

Monday, October 15, 2012

Mon. 10/15

2:35pm CDT - Only 1 trade today in CL.  Had more signals in a new CLsystem I'm testing but didn't take as I've only backtested 30 days of data.  And wouldn't ya know it?  Today would have been the best day in the previous 30 if I had traded all signals.  LOL
RESULTS FOR DAY
CL Contracts:1
Net $P/L:406
Wins:1
Losses:0
Win%:100
Avg$Win:406
Avg$Loss:0

Friday, October 12, 2012

Fri. 10/12

2:25pm CDT - No real damage to end the week.  Net for week +$2586.  What I made in CL, I lost in NQ, and ZS made the rest.  Still testing things out with CL and NQ systems and may tweak these next week depending on weekend progress backtesting.

Net breakdown (contracts traded):
CL $151(2), NQ -$343(5)
RESULTS FOR DAY
Contracts:7
Net $P/L:-192
Wins:2
Losses:4
Win%:33
Avg$Win:186
Avg$Loss:-141

Thursday, October 11, 2012

Thurs. 10/11

2:20pm CDT - 2 winners had me up a grand but then 3 losers dinged the results.  The grains were crazy early on with the crop reports, ZS below...
Net breakdown (contracts traded):
ZS $259(8), NQ -$208(3), CL $246(1)
RESULTS FOR DAY
Contracts:12
Net $P/L:296
Wins:2
Losses:3
Win%:40
Avg$Win:513
Avg$Loss:-243

Wednesday, October 10, 2012

Wed. 10/10

2:40pm CDT -
Net breakdown (contracts traded):
NQ $197(7), CL $305(1)
RESULTS FOR DAY
Contracts:8
Net $P/L:502
Wins:4
Losses:2
Win%:67
Avg$Win:154
Avg$Loss:-58

Tuesday, October 9, 2012

Tues. 10/09

1:35pm CDT - More patient today.  One ZS trade came within 3 ticks of target.  I stayed in for another 1.5 hrs. before it finally worked lower to fill my order.

Net breakdown (contracts traded):
ZS $1038(12), NQ -$68(7), CL $6(1)
RESULTS FOR DAY
Contracts:20
Net $P/L:975
Wins:4
Losses:4
Win%:50
Avg$Win:484
Avg$Loss:-240

Monday, October 8, 2012

Mon. 10/08

2:35pm CDT - Didn't fully execute properly today and my target on ZS of 15.52 eventually hit but it was inside the final minute of trading so who can fault me for getting out earlier??   Had a long NQ trade that I bailed on late in day when P/L went over a grand.  Missed $280 in profits on that one and $300 on ZS.  It's hard to follow your rules sometimes but I like to think I'm making progress.

Net breakdown (contracts traded):
ZS $1367(16), NQ -$363(7)
RESULTS FOR DAY
Contracts:23
Net $P/L:1004
Wins:3
Losses:5
Win%:38
Avg$Win:810
Avg$Loss:-285

Friday, October 5, 2012

Fri. 10/05

12:25pm CDT - Good end to the week. Missed an $80 trade in NQ.  CL reminded me how fast you can lose in that symbol.  Results for a volatile week, net gain $1707.

Net breakdown (contracts traded):
ZS $1459(8), NQ -$3(1), CL -$423(3)
RESULTS FOR DAY
Contracts:12
Net $P/L:1033
Wins:2
Losses:3
Win%:40
Avg$Win:729
Avg$Loss:-142

Thursday, October 4, 2012

Thurs. 10/04

12:15pm CDT - Short day.  Got to get out and enjoy this nice weather before it ends!
Net breakdown (contracts traded):
ZS $829(4), NQ $170(4), CL $156(1)
RESULTS FOR DAY
Contracts:9
Net $P/L:1154
Wins:4
Losses:1
Win%:80
Avg$Win:309
Avg$Loss:-83

Wednesday, October 3, 2012

Wed. 10/03

1:35pm CDT - Technically, today I should have been down $3400 before ending the day down $2000. But instead, I moved my target and got out for a gain on one big loser (trade 5). My plan does not call for moving stops or targets but after the past 2 days of live trading, I’m going to revisit this. This may introduce a degree of “optimization” to my system but that's okay, as long as I don’t overly optimize as I have done in my past.
Net breakdown (contracts traded):
ZS $1076(24), NQ $170(4)
RESULTS FOR DAY
Contracts:28
Net $P/L:1246
Wins:5
Losses:3
Win%:63
Avg$Win:503
Avg$Loss:-423

Tuesday, October 2, 2012

Tues. 10/02

2:00pm CDT - Easy come, easy go.  The good news is that I did follow my plan.  The bad news is that today's result slightly exceeded the worst day in my backtest period.  That's never a good sign.

Net breakdown (contracts traded):
ZS -$3612(12), NQ -$173(5)
RESULTS FOR DAY
Contracts:17
Net $P/L:-3785
Wins:2
Losses:4
Win%:33
Avg$Win:77
Avg$Loss:-985

Monday, October 1, 2012

Mon. 10/01

2:05pm CDT - Best day of the last year.  Expect to have more like this but since I increased size on ZS, my losers will be larger too.
Net breakdown (contracts traded):
ZS $1968(16), NQ $92(3)
RESULTS FOR DAY
Contracts:19
Net $P/L:2060
Wins:3
Losses:2
Win%:60
Avg$Win:848
Avg$Loss:-242