2015 Trade Analysis

It was a mostly up year but there were a couple sizable drawdowns, the last of which I'm still in the middle of.  Overall my accounts gained net +$5,701 or +24% of my trading equity at the start of the year.  Nothing to write home about but percentage-wise, better than most hedge funds and better than the stock indexes this year.

The data:

My biggest success was system trading 6E but it's good to know I had some slight success discretionary trading CL.  I'll have to think more in days and weeks ahead to finalize a plan for 2016.  Stay tuned and Happy New Year!

Quarter 4 2015 Trading Results

December Trading Summary

Net breakdown (contracts traded):
ES -$700(4), CL -$2800(76)

RESULTS FOR DECEMBER
Contracts:	80
Net $P/L:	-3501
Wins:	25
Losses:	32
Win%:	44
$Commissions:	303
Avg$Win:	133
Avg$Loss:	-214

Wed. 12/23

11:25am CST - Last day testing my current method based on these results! I patiently waited until after inventory report release.  Got a good long signal but then got a reverse signal and took a full stop on 3 lot 2-ticks from high.  Then I got another long signal which I passed on which would have taken another full stop.  Just goes to show no matter how much backtesting and confidence you may have in your given method, anything can happen on any given trade.  For the week, net -$450.  On average, my loss days still greatly exceed my win days which is something I will be addressing in the trade plan for 2016.  Merry Christmas to all!

RESULTS FOR DAY
CL Contracts:	6
Net $P/L:	-873
Wins:	1
Losses:	2
Win%:	33
Avg$Win:	42
Avg$Loss:	-457

Tues. 12/22

1:30pm CST - Holiday volume doldrums on my last trade waiting for a break for over 2 hours that finally went somewhere, the wrong way.

RESULTS FOR DAY
CL Contracts:	3
Net $P/L:	149
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	74
Avg$Loss:	0

Mon. 12/21

1:30pm CST - Guess I'm too stubborn to throw the towel in on the year just yet. Testing a tweaked trade plan today and likely will continue in days ahead before I really close out the year.

RESULTS FOR DAY
CL Contracts:	4
Net $P/L:	275
Wins:	3
Losses:	0
Win%:	100
Avg$Win:	91
Avg$Loss:	0

Fri. 12/18

10:30am CST - It was a good attempt to end the year on an up note but I am just totally out of sync and my trade plans are just not fitting with recent CL action.  Looking for trends where there's relentless chop before a nice move happens feels futile and wider stops don't help.  It's been an interesting year trading mostly discretionary to say the least.

RESULTS FOR DAY
CL Contracts:	9
Net $P/L:	-1074
Wins:	0
Losses:	4
Win%:	0
Avg$Win:	0
Avg$Loss:	-269

Wed. 12/16

2:10pm CST - Went off plan today, really off plan!  I guess it started when I got 32 ticks of slippage on my CL stop at inventory release.  I should have known better.  I even traded ES after the Fed rate announcement. Caught the chop beautifully!  I may quit for the year right here up 30% YTD.  Or may not.  Hate to end the year on a down note. Que Sera, Sera...

Net breakdown (contracts traded):
CL -$673(6), ES -$700(4)

RESULTS FOR DAY
Contracts:	10
Net $P/L:	-1373
Wins:	1
Losses:	7
Win%:	13
Avg$Win:	482
Avg$Loss:	-265

Tues. 12/15

1:20pm CST - Needed this.

RESULTS FOR DAY
CL Contracts:	3
Net $P/L:	619
Wins:	2
Losses:	1
Win%:	67
Avg$Win:	361
Avg$Loss:	-104

Mon. 12/14

1:40pm CST - Drawdown continues. Haven't had 3 losing days in a row since July. Started some work over weekend on a new method.  We'll see where it leads me.

RESULTS FOR DAY
CL Contracts:	7
Net $P/L:	-427
Wins:	3
Losses:	4
Win%:	43
Avg$Win:	100
Avg$Loss:	-181

Fri. 12/11

9:35am CST - At least I stopped when I was supposed to today.  Initial long got ticked out at the low and gave me a reversal signal which was dead wrong. Final nail was then a long signal on a fake upside breakout.  Time to rethink things over the weekend.  For the week, net -$797.

RESULTS FOR DAY
CL Contracts:	4
Net $P/L:	-595
Wins:	0
Losses:	3
Win%:	0
Avg$Win:	0
Avg$Loss:	-198

In other news, in case you hadn't already heard, 6E (Euro futures) will be splitting ticks even finer beginning Jan. 11th so a tick will be worth $6.25 instead of $12.50 if my math is correct. 

Thurs. 12/10

1:05pm CST - My method works like crap in choppy conditions, especially when I don't recognize said conditions and quit trading.  I try to limit loss days to no more than equivalent gain of 2 win days but didn't do that today.  Days like this make you want to tweak things!

RESULTS FOR DAY
CL Contracts:	11
Net $P/L:	-822
Wins:	2
Losses:	5
Win%:	29
Avg$Win:	9
Avg$Loss:	-168

Wed. 12/09

1:45pm CST - Nearly a one a done day but price traded at my limit order price of 38.18 but no fill and got trailed out.  Took one more which got the job done before Inventory report.

RESULTS FOR DAY
CL Contracts:	3
Net $P/L:	309
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	151
Avg$Loss:	0

Tues. 12/08

1:50pm CST - Missed the pre-market selloff but got enough ticks after that to quit before 9am.

RESULTS FOR DAY
CL Contracts:	10
Net $P/L:	312
Wins:	5
Losses:	2
Win%:	71
Avg$Win:	58
Avg$Loss:	-201

Mon. 12/07

1:50pm CST - Crude down 5% but a scratch day for me.  A bit rusty after a break perhaps?

RESULTS FOR DAY
CL Contracts:	10
Net $P/L:	2
Wins:	4
Losses:	4
Win%:	50
Avg$Win:	81
Avg$Loss:	-81

In other news, a good example of why futures are less risky than stocks. Poor Joe Campbell.
http://gawker.com/pharmaceuticals-rapscallion-martin-shkreli-now-playing-1745408324

November Trading Summary

Net breakdown (contracts traded):
6E $21(1), CL $2055(106)

RESULTS FOR NOVEMBER
Contracts:	107
Net $P/L:	2076
Wins:	53
Losses:	28
Win%:	65
$Commissions:	409
Avg$Win:	137
Avg$Loss:	-186

Mon. 11/23

1:45pm CST - Taking a holiday break rest of week and likely the next week too. Happy Thanksgiving to all!

RESULTS FOR DAY
CL Contracts:	11
Net $P/L:	448
Wins:	4
Losses:	4
Win%:	50
Avg$Win:	291
Avg$Loss:	-179

Fri. 11/20

12:55pm CST - Tough conditions again. I'm seeing very poor trade management decisions lately on when I add to a trade.  Only 5 of past 15 "2-contract" trades have been winners. I'm going to have to study this more. For the week, net -$338.

RESULTS FOR DAY
CL Contracts:	7
Net $P/L:	-587
Wins:	2
Losses:	3
Win%:	40
Avg$Win:	82
Avg$Loss:	-250

Thurs. 11/19

1:30pm CST - Glad to be done before the dead chop.

RESULTS FOR DAY
CL Contracts:	3
Net $P/L:	309
Wins:	3
Losses:	0
Win%:	100
Avg$Win:	103
Avg$Loss:	0

Wed. 11/18 + Trade idea

1:55pm CST - Much better day.

RESULTS FOR DAY
CL Contracts:	5
Net $P/L:	311
Wins:	3
Losses:	2
Win%:	60
Avg$Win:	183
Avg$Loss:	-119

A quick pic of something I noticed today I plan to investigate as a trade idea. I literally have hundreds of snapshots on my hard drive of various ideas I've come up with over the years. 99% of them are junk but it only takes one...

Tues. 11/17

12:50pm CST - Holding for a bit larger targets on a choppy day does not work so well.  Another frustrating day.

RESULTS FOR DAY
CL Contracts:	13
Net $P/L:	-680
Wins:	4
Losses:	6
Win%:	40
Avg$Win:	60
Avg$Loss:	-153

Mon. 11/16

12:50pm CST - Gave the 1st trade a bit too much rope and it eventually hung itself and nearly me.

RESULTS FOR DAY
CL Contracts:	8
Net $P/L:	309
Wins:	4
Losses:	2
Win%:	67
Avg$Win:	248
Avg$Loss:	-341

Fri. 11/13

1:35pm CST - I'm my own worst obstacle to success.  Could have been 1 and done or 2 and done but had to battle it out with a couple more trades.  Overall good week though, net +$620.

RESULTS FOR DAY
CL Contracts:	6
Net $P/L:	307
Wins:	3
Losses:	2
Win%:	60
Avg$Win:	128
Avg$Loss:	-39

Thurs. 11/12

1:45pm CST - Extreme frustration after 2nd trade stop out but kept composure and finished for day with a couple more trades.

RESULTS FOR DAY
CL Contracts:	6
Net $P/L:	307
Wins:	3
Losses:	1
Win%:	75
Avg$Win:	140
Avg$Loss:	-112

Wed. 11/11

10:45am CST - Back to BE on the week. Happy Veteran's Day!

RESULTS FOR DAY
CL Contracts:	3
Net $P/L:	309
Wins:	3
Losses:	0
Win%:	100
Avg$Win:	103
Avg$Loss:	0

Tues. 11/10

1:25pm CST - Went a bit off plan today and was rewarded for it. This is not really a good thing.

RESULTS FOR DAY
CL Contracts:	12
Net $P/L:	364
Wins:	5
Losses:	3
Win%:	63
Avg$Win:	183
Avg$Loss:	-183

Mon. 11/09

1:45pm CST - Not my day.

RESULTS FOR DAY
CL Contracts:	7
Net $P/L:	-667
Wins:	2
Losses:	3
Win%:	40
Avg$Win:	6
Avg$Loss:	-226

Fri. 11/06

1:40pm CST - One Euro system trade after NFP report went 24 pips against me and 21 pips in favor over the course of whole day. I settled for 2.  Better results with CL but took 1st trade off too early again. Interestingly, of the 135 days I've tracked my MFE and MAE on CL trades, this is only the 3rd day (2%) where total MFE < total MAE but I managed to be in the green.  These are for sure lucky outlier days!  On the other hand, there have been 16 days (12%) with total MFE > total MAE but I ended up red.  [Note: this involved summing each days total MFE and total MAE, subtracting them and comparing to gross ticks gain or loss that day. Easy to do with MS Query and Excel.]
For the week, net +$1345.

Net breakdown (contracts traded):
CL $307(6), 6E $21(1)

RESULTS FOR DAY
Contracts:	7
Net $P/L:	328
Wins:	5
Losses:	0
Win%:	100
Avg$Win:	66
Avg$Loss:	0

Thurs. 11/05

1:25pm CST -

RESULTS FOR DAY
CL Contracts:	2
Net $P/L:	302
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	151
Avg$Loss:	0

Wed. 11/04

1:30pm CST - Tough day but battled above water at least. Inventory days are often tricky for me, uncertain how much to trade before the release and too cautious afterwards at times.

RESULTS FOR DAY
CL Contracts:	11
Net $P/L:	108
Wins:	6
Losses:	2
Win%:	75
Avg$Win:	98
Avg$Loss:	-241

Tues. 11/03

1:25pm CST - Got lucky on 2nd trade, exited within a buck of goal so quit for day.

RESULTS FOR DAY
CL Contracts:	3
Net $P/L:	299
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	149
Avg$Loss:	0

Mon. 11/02

12:10pm CST - Good start to month despite leaving cash strewn all over the table.

RESULTS FOR DAY
CL Contracts:	3
Net $P/L:	309
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	153
Avg$Loss:	0

October Trading Summary

Net breakdown (contracts traded):
6E $763(3), CL $1708(121)

RESULTS FOR OCTOBER
Contracts:	124
Net $P/L:	2470
Wins:	64
Losses:	46
Win%:	58
$Commissions:	475
Avg$Win:	128
Avg$Loss:	-125

Fri. 10/30

1:35pm CDT - A couple ticks different on the 1st trade stop would have made all the difference on my day.  On to November!  For the week, net +$149.

RESULTS FOR DAY
CL Contracts:	6
Net $P/L:	-493
Wins:	1
Losses:	4
Win%:	20
Avg$Win:	6
Avg$Loss:	-125

Thurs. 10/29

1:30pm CDT - Done just a minute after the open today.

RESULTS FOR DAY
CL Contracts:	1
Net $P/L:	306
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	306
Avg$Loss:	0

I trolled through the TopStepTrader blog to update benchmarks for winning CL combines. Left table is last time I posted this, right column is latest CL combines.  Seems CL traders are getting better or the market is giving more.

Wed. 10/28 + Snapshot of 2015 YTD

2:15pm CDT - CL was explosive today and I'm kicking myself for limiting, literally with limit orders, my profits.  It's a continual conscience effort to be content with a daily take.

RESULTS FOR DAY
CL Contracts:	5
Net $P/L:	301
Wins:	5
Losses:	0
Win%:	100
Avg$Win:	60
Avg$Loss:	0

More kicking was involved with missing a Euro system signal which was a nice winner.  At least I didn't chase the entry.  This got me to wondering how my Euro system has been doing this year so I tallied up things so far this year.  "Euro" in table below is all system trades and other symbols have some discretion involved.  More thoughts on all this after year ends.

Euro System since 2012:

Tues. 10/27

1:40pm CDT - Could have been a one and done day or I could have hit the daily goal on final trade but neither were in the cards today.  The price action this week has left me second guessing myself and my lack of patience.  I must remind myself it's okay not to trade sometimes.

RESULTS FOR DAY
CL Contracts:	9
Net $P/L:	16
Wins:	3
Losses:	3
Win%:	50
Avg$Win:	94
Avg$Loss:	-88

In other news, spoofing and HFT under the spotlight in a federal trial taking place this week.

Mon. 10/26

1:35pm CDT - Slow day, felt like I was trading the globex session.

RESULTS FOR DAY
CL Contracts:	8
Net $P/L:	19
Wins:	5
Losses:	3
Win%:	63
Avg$Win:	58
Avg$Loss:	-91

Fri. 10/23

2:00pm CDT - So rare to have a Euro system trade 2 days in a row.  I took this one off after 12 ticks instead of 5 hours later for +33 as the system called for.  I really should have held it but didn't want the week to end on a bad note in case it stopped out.

I updated my CL trading tick chart, last reported in June.  I'm deducting 2.3 ticks from MFE - MAE to keep that curve close to my realized curve.  It's nice the changes I've made the past couple months have resulted in an upturn in the P/L.

For the week, net +$1358.

Net breakdown (contracts traded):
CL $312(1), 6E $146(1)

RESULTS FOR DAY
Contracts:	3
Net $P/L:	458
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	259
Avg$Loss:	0

In other news, 35% of Forex traders make money, if I'm reading this correctly. I thought it was much lower. 

Thurs. 10/22

1:40pm CDT - One Euro system trade early morning was a great start but CL was really tough for me today.  It seemed extra spurty/spastic this morning and mostly dead after that.  Shorts stopped out twice a tick or two from swing highs.

Net breakdown (contracts traded):
CL -$193(14), 6E $371(1)

RESULTS FOR DAY
Contracts:	15
Net $P/L:	177
Wins:	8
Losses:	5
Win%:	62
Avg$Win:	108
Avg$Loss:	-137

Wed. 10/21

1:20pm CDT - Felt like a huge loser day but I ended up green so can't complain much.

RESULTS FOR DAY
CL Contracts:	8
Net $P/L:	99
Wins:	3
Losses:	5
Win%:	38
Avg$Win:	163
Avg$Loss:	-78

Tues. 10/20

1:15pm CDT -

RESULTS FOR DAY
CL Contracts:	4
Net $P/L:	305
Wins:	2
Losses:	1
Win%:	67
Avg$Win:	266
Avg$Loss:	-228