Quarter 2 2012 Trading Results

June Trading Summary

Net breakdown (contracts traded):
CL -$1249(29), NQ -$964(263)

RESULTS FOR JUNE
Contracts:	292
Net $P/L:	-2213
Wins:	58
Losses:	62
Win%:	48
$Commissions:	818
Avg$Win:	173
Avg$Loss:	-198

Fri. 6/29

9:30am CDT - Couldn't get a breakout on long side in the early spasms but sealed the day with a couple on short side.  For the week, net gain +$1941.  Look for my monthly and quarterly summaries later on.  It was an okay month except for the June 8th off-the-wagon detour.

RESULTS FOR DAY
NQ Contracts:	16
Net $P/L:	478
Wins:	3
Losses:	1
Win%:	75
Avg$Win:	163
Avg$Loss:	-11

Thurs. 6/28

8:45am CDT - A lucky one and done today. Did not expect that drop. Don't care what gyrations happen when SCOTUS announces the health care ruling in a half hour...

RESULTS FOR DAY
NQ Contracts:	4
Net $P/L:	1090
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	1090
Avg$Loss:	0

Wed. 6/27

3:05pm CDT - Under water all day in a very choppy market.

RESULTS FOR DAY
NQ Contracts:	44
Net $P/L:	-555
Wins:	3
Losses:	8
Win%:	27
Avg$Win:	283
Avg$Loss:	-176

Tues. 6/26

8:50am CDT - One and done this morning. Thought I had missed the trade as my limit order price traded but no fill.  Held firm, didn't chase (not in the plan) and a few minutes later it filled and took off to upside.  If only every day could be this easy!

RESULTS FOR DAY
NQ Contracts:	4
Net $P/L:	470
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	470
Avg$Loss:	0

Mon. 6/25

11:00am CDT - A short and a really quick long was enough for me to start the week.

RESULTS FOR DAY
NQ Contracts:	8
Net $P/L:	459
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	230
Avg$Loss:	0

Stock Prop Trading

_____________________________________________________
I don't plan to buy this book but this article was an interesting read:
A Look Inside Prop Stock Day Trading

Fri. 6/22

2:20pm CDT - Increased size to 4 lots on some trades, 2 on others.  I realize it's difficult to see the trade sequences on the chart with each triangle representing various number of contracts. One trade was even a 1-lot since limit order partially filled.  Therefore I may post Fill charts less frequently since I don't have time to mark them up.  If you have an opinion on this, let me know.  For the week, a very Satanic net gain of +$666.

RESULTS FOR DAY
NQ Contracts:	37
Net $P/L:	443
Wins:	6
Losses:	5
Win%:	55
Avg$Win:	136
Avg$Loss:	-75

Thurs. 6/21

3:20pm CDT - Lots of close calls to nearly miss targets today. Sure in hindsight the short side was the only side to play but that is not my system and I took all signals as per plan.

RESULTS FOR DAY
NQ Contracts:	20
Net $P/L:	-422
Wins:	4
Losses:	6
Win%:	40
Avg$Win:	122
Avg$Loss:	-152

Wed. 6/20

1:40pm CDT - Missed a couple trades but content with this on FOMC day.

RESULTS FOR DAY
NQ Contracts:	10
Net $P/L:	204
Wins:	3
Losses:	2
Win%:	60
Avg$Win:	131
Avg$Loss:	-95

Tues. 6/19

12:20pm CDT - 2 and done today. It's time for the beach in the upper 90s in Chicago!

RESULTS FOR DAY
NQ Contracts:	4
Net $P/L:	230
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	115
Avg$Loss:	0

Mon. 6/18

3:10pm CDT -

RESULTS FOR DAY
NQ Contracts:	22
Net $P/L:	212
Wins:	4
Losses:	5
Win%:	44
Avg$Win:	174
Avg$Loss:	-97

Fri. 6/15

12:00pm CDT - Choppy again. Decided to quit early on quadruple witching day and a very slow market. For the week, net +$570.

RESULTS FOR DAY
NQ Contracts:	24
Net $P/L:	-693
Wins:	1
Losses:	8
Win%:	11
Avg$Win:	235
Avg$Loss:	-116

Thurs. 6/14

3:10pm CDT - Added another system and was chopped early.  Good recovery and then took a signal minutes after the crazy central bank news hit the wire and chickened out for a point.

RESULTS FOR DAY
NQ Contracts:	26
Net $P/L:	242
Wins:	5
Losses:	7
Win%:	42
Avg$Win:	222
Avg$Loss:	-124

Wed. 6/13

2:50pm CDT - Lots of choppy swings and I did not capture any really but par is good.

RESULTS FOR DAY
NQ Contracts:	12
Net $P/L:	14
Wins:	2
Losses:	2
Win%:	50
Avg$Win:	190
Avg$Loss:	-183

Tues. 6/12

2:35pm CDT -

RESULTS FOR DAY
NQ Contracts:	12
Net $P/L:	709
Wins:	5
Losses:	0
Win%:	100
Avg$Win:	142
Avg$Loss:	0

Mon. 6/11

12:10pm CDT - Back to testing today. Day 1 of following the plan, followed consecutively by thousands to come!  Friday is history and will not be repeated.

RESULTS FOR DAY
NQ Contracts:	4
Net $P/L:	300
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	150
Avg$Loss:	0

Fri. 6/08

2:30pm CDT - Had an easy day planned testing a new system but got married to a short position and added to it thinking Obama talking would have a positive effect (on my NQ short).  How many more days do I need like this to prove I need stick to my plan?  None, thank you.  Back on the wagon Monday...

On another note, if I had traded my CL system the past 4 days, it would have grossed: +300, +400, -$750, -$900. 

RESULTS FOR DAY
NQ Contracts:	16
Net $P/L:	-4142
Wins:	0
Losses:	3
Win%:	0
Avg$Win:	0
Avg$Loss:	-1381

Bang for the Buck

In looking at other contracts to potentially trade, I decided to look at how much bang you get for your buck for day trading.  I looked at the past 21 trading days to get the averages.  I only looked at the range during the hours 8:30am - 3:15pm CST for all contacts (even though CL and 6E fall a bit out of that range for pit sessions I wanted to compare identical timeframes).

                                          ES            NQ          YM           TF           CL          6E

Avg. Daily Range (ticks)      69            160         133           134         160          69

$/tick                                12.5             5             5             10          10         12.5

Avg. $Range/contract        $859        $799        $667       $1341     $1602        $858

Take this for what it's worth! Obviously factoring in volatility, commissions and liquidity/slippage are considerations too....

Mon. 6/04

2:15pm CDT - Missed 1 winner at end of day because I am only human and wasn't quick enough.  I will likely limit further trading of this system for a bit so I have more time to further study filters and such. I didn't get as much done this weekend as I wanted to but did finish backtesting month of October 2011 where system, as is, would have lost $7800!  Obviously this reduces confidence in it greatly.

RESULTS FOR DAY
CL Contracts:	13
Net $P/L:	-568
Wins:	6
Losses:	7
Win%:	46
Avg$Win:	96
Avg$Loss:	-163

Fri. 6/01

2:05pm CDT - Another day too wild for my system.  But I have some ideas for filters as a result.  The work never ends...  For the week, a net gain of +$154.

RESULTS FOR DAY
CL Contracts:	16
Net $P/L:	-681
Wins:	8
Losses:	8
Win%:	50
Avg$Win:	96
Avg$Loss:	-181