Friday, November 29, 2013

November Trading Summary

Net breakdown (contracts traded):
ZS $1652(19), ES $207(2), TF $821(118), 6E -$194(4)
Net $P/L:2486

Fri. 11/29

12:25pm CST - Saw a nice gap open for ZS on this shortened day so decided to trade.  No luck and every trade went against me so glad to be out for even.  
ZS Contracts:8
Net $P/L: 9
Wins: 2
Losses: 2
Avg$Win: 92
Avg$Loss: -88

Wednesday, November 27, 2013

Wed. 11/27

11:25am CST - Happy Thanksgiving to all.
Net breakdown (contracts traded):
ZS $207(1), TF $102(3)
Net $P/L: 309
Wins: 3
Losses: 0
Avg$Win: 103
Avg$Loss: 0

Tuesday, November 26, 2013

Tues. 11/26 + Custom Audio Alerts

2:25pm CST - The first 45 min or so were so dead I did not expect anything much to happen today and passed on lots of buy signals on the slow crawl up!
TF Contracts:4
Net $P/L: 50
Wins: 1
Losses: 2
Avg$Win: 215
Avg$Loss: -83

Custom Audio Alerts

For those that like to have your trading software make noises at you when an indicator says it's time to enter a trade or time to look for a trade, did you know it's real easy to create custom .wav files? I watch several markets so I have custom wav files say "Soybeans" or "Nasdaq", etc. using Voice Recognition software. And to alert me to which indicator on a chart might be firing I combine wav files to create, for example, one that makes the "boing" noise followed instantly by the robotic voice saying "Soybeans". The sky is the limit. I guess you can record your own voice with your microphone but I don't want to hear myself bark out alerts to myself and the computer generated voices sound much more professional and allow you to select different voices and vary the pitch, etc.

Anyways, if interested, the links to the free software I use are below.
Speakonia - Voice Recognition Software
Audacity - Audio Editor (to combine .wav files)

For Ninja users, if you don't know how to allow the selection of a wav file in the indicator's parameters, here's the basic code you can add to the proper sections.  Be sure you put any custom wav files you create into the C:\Program Files (x86)\NinjaTrader 7\sounds folder.  Email me if you need any help.

#region Variables
private string alarmFilename = @"Bullet.wav"; //default alarm
private bool soundAlarm = false;

protected override void OnBarUpdate()
if (SoundAlarm)

#region Properties
[Description("Sound Alarm when triggered")]
public bool SoundAlarm
get { return soundAlarm; }
set { soundAlarm = value; }
[Description("Filename of Alarm from Ninja folder")]
public string AlarmFilename
get { return alarmFilename; }
set { alarmFilename = value; }

Monday, November 25, 2013

Mon. 11/25

3:30pm CST - Just 2 trades today, short TF and long ZS.
Net breakdown (contracts traded):
ZS $77(2), TF $307(1)
Net $P/L: 385
Wins: 2
Losses: 0
Avg$Win: 192
Avg$Loss: 0

Friday, November 22, 2013

Fri. 11/22

2:35pm CST - Tough day again but at least I eeked out a tiny gain.  For the week, net gain $788.  That's not even a tick per contract traded.  This week has been a bit of a break from strategy work and I plan to retool some things this weekend and perhaps test drive a new method next week.  We'll see. With Thanksgiving on Thurs., I expect a quiet week.
TF Contracts:28
Net $P/L: 27
Wins: 11
Losses: 10
Avg$Win: 93
Avg$Loss: -99

Thursday, November 21, 2013

Symbol Range, Part 2

For those that use NinjaTrader and are data geeks like me, I thought I'd share the indicator I made that you can use to pretty quickly analyze any chart data (see Sat. post).  You can download it here
(EDIT: - after selecting download link you will see a couple files. You don't want either of those but the ".zip" file.  At the top of page you'll see "File Edit View Help" menus.  Select File, then download to get the .zip file.)  and then in Ninja, "File - Utilities - Import NinjaScript..." and it should appear in your indicator list as SymbolRange.

It prints data to the Output Window in Ninja so be sure you have that open.  You can save that data as a .csv file and then open in Excel if you want to analyze further. I purposely put commas between the labels and the data just so I could import to Excel.  If you use a super fast chart (like a 1-tick) it will make your CPU crawl so be careful not to have too many days of data on your chart.  For a 1-tick chart, less than 15 days isn't bad!  For minute data, years is very quick.

Output examples looking at range for first two hours on 11/20:
11/20/2013 10:30:00 AM, 83000 to 103000, NQ, Total$Range=,385, TotalTickRange=,77, TickRangeEachBarSummed=,7827, (1 Tick chart), Ratio=,101.65

11/20/2013 10:30:00 AM, 83000 to 103000, TF, Total$Range=,890, TotalTickRange=,89, TickRangeEachBarSummed=,6769, (1 Tick chart), Ratio=,76.06

11/20/2013 10:30:00 AM, 83000 to 103000, YM, Total$Range=,340, TotalTickRange=,68, TickRangeEachBarSummed=,5606, (1 Tick chart), Ratio=,82.44

11/20/2013 10:30:00 AM, 83000 to 103000, ES, Total$Range=,425, TotalTickRange=,34, TickRangeEachBarSummed=,7348, (1 Tick chart), Ratio=,216.12

You can compare the range of any symbol against others or compare various time intervals of a day within the same symbol.

Another example looking at past 42 trading days, and averaging data in Excel, proves quantitatively what we all know, that the middle period of day (lunch time) is much less volatile.
"TickRangeEachBarSummed" for a 1-tick chart represents the total "travel" of every wiggle in price.  This is of course dependent on your data provider and may vary depending on if they filter the data you are charting.  "TickRangeEachBarSummed" for any other chart type is the addition of every bar's High minus its Low.

Thurs. 11/21

2:30pm CST - Should have quit after the first trade...
TF Contracts:30
Net $P/L: 101
Wins: 13
Losses: 9
Avg$Win: 89
Avg$Loss: -117

Wednesday, November 20, 2013

Wed. 11/20

3:15pm CST - One 6E system trade and too many TF trades (discretionary).
Net breakdown (contracts traded):
6E $441(2), TF -$164(32)
Net $P/L: 277
Wins: 18
Losses: 12
Avg$Win: 92
Avg$Loss: -115

Tuesday, November 19, 2013

Tues. 11/19

3:15pm CST -
TF Contracts:8
Net $P/L: 369
Wins: 5
Losses: 3
Avg$Win: 121
Avg$Loss: -79

If you missed this good news yesterday, Federal Court in New York Orders MF Global Inc. to Pay over $1 Billion in Restitution!

Monday, November 18, 2013

Mon. 11/18

3:25pm CST -
TF Contracts:10
Net $P/L: 14
Wins: 4
Losses: 5
Avg$Win: 109
Avg$Loss: -85

Saturday, November 16, 2013

Symbol Range

Daily figures updated on how much range various symbols cover, on average, each day during their opening 2 hours...

Friday, November 15, 2013

Fri. 11/15

11:20am CST - Still working on the plan forward but took 2 short TF trades today and got some lunch money after the potential proceeds for a wild weekend! :)
TF Contracts:2
Net $P/L: 15
Wins: 2
Losses: 0
Avg$Win: 7
Avg$Loss: 0

Monday, November 11, 2013

Mon. 11/11

2:35pm CST - Not worth mentioning, but took 1 trade at open last night that stopped out for a tick. Happy Veteran's day to all who have served!
ZS Contracts:1
Net $P/L: 7
Wins: 1
Losses: 0
Avg$Win: 7
Avg$Loss: 0

Friday, November 8, 2013

Fri. 11/08

1:45pm CST - Crazy day with NFP and Crop reports.  Mad at my self for moving a stop in a 6E system trade.  Some day I will learn to never break my rules.  Ever!
Net breakdown (contracts traded):
6E -$5(1), ES $207(2), ZS $1351(7)
Net $P/L: 1554
Wins: 6
Losses: 3
Avg$Win: 328
Avg$Loss: -138

Thursday, November 7, 2013

Thurs. 11/17

3:20pm CST - Took a full stop on a 6E system trade.
6E Contracts:1
Net $P/L: -630
Wins: 0
Losses: 1
Avg$Win: 0
Avg$Loss: -630

Monday, November 4, 2013

Mon. 11/04

3:20pm CST - No trades for me yet this month.  Working on the plan and new systems.  It's been 3 months since I've been focusing mostly on discretionary trading and I can't say I like the results.  For this reason, I'm going back to predominately mechanical system trading.  That's not to say there won't be some discretion on occasion but I plan to make it very limited.

The method I mentioned last week that I dusted off and thought was a good way forward I am less keen on now.  After more testing it does not produce enough profit per trade, ~2 ticks gross at best, and has too erratic of equity curve.

An update on my TF system I stopped trading 3 months ago now is that I've missed out on about $2400 in gains.  It's still performing below the average line but within expectations and I will continue to track this and may resume trading it if I don't find a better use of my time and capital.

The only other system I have right now which I have been trading is a 6E system. It only signals about 3-4 times a month and I've taken 2 trades in Sept. and one in Oct.  So far, all winners for about $1300 total.