Monday, December 31, 2018

2018 Trade Analysis

Another down year (-$1679 or -11%) but minimal damage really.  Technically I was slightly green but couldn't cover commissions. Dec. was the best active trading month and offers a glimmer of hope going forward.  Overall the NQ stats for year don't reflect the system traded in Dec. as the Nov. NQ trading was entirely different including a -$2800 loss on one trade!  Cheers to a great 2019 to all!

Quarter 4 2018 Trading Summary -3.7%

December Trading Summary +12.4%

RESULTS FOR DECEMBER
NQ Contracts:233
Net $P/L:1479
Wins:119
Losses:114
Win%:51
$Commissions:743
Avg$Win:189
Avg$Loss:-184

Past Monthly Trading Summaries - link on the right
Equity Curve - updated link on the right

Mon. 12/31 -3.2%

3:10pm CST - A fitting end to my year I guess.  2018 net -$1718 or -11.4%.  Basically if I had not traded Friday I would have ended year at zero in this zero-sum-game!  Will post some stats tomorrow most likely and back trading within a week or two hopefully.  Need to rethink this latest system before diving into my shallow equity pool of next year.
RESULTS FOR DAY
NQ Contracts:11
Net $P/L: -446
Wins: 5
Losses: 6
Win%:45
Avg$Win: 127
Avg$Loss: -180

Friday, December 28, 2018

Fri. 12/28 -11.3%

3:10pm CST - F me is about all I can say.  All losers today.  I had an appt. mid-day and left for a couple hours and did miss 1 winner along with 2 losers if there is any silver lining today, severely tarnished as it is.  System was completely out of sync and was worst day in all my manual backtest history.  So much for being barely green on the year.  Will have a think about trading Monday and having a daily loss cap. -$548 net on week.
RESULTS FOR DAY
NQ Contracts:10
Net $P/L: -1753
Wins: 0
Losses: 10
Win%:0
Avg$Win: 0
Avg$Loss: -175

Thursday, December 27, 2018

Thurs. 12/27 +2.3%

3:10pm CST - Underwater most all day so was happy to quit 10 min. earlier than normal after getting up but then I missed a final $250 winner.  Feels like I never miss losers when I step away.
RESULTS FOR DAY
NQ Contracts:20
Net $P/L: 351
Wins: 11
Losses: 9
Win%:55
Avg$Win: 187
Avg$Loss: -190

Wednesday, December 26, 2018

Wed. 12/26 +5.9%

2:55pm CST - Holy Boxing Day Bounce in the indexes! Crude up 9% today too!  A couple mistakes trading signals and a missed trade today cost me 62 ticks or so.  But at least I flipped back to green on the year.

I was able to finally get my new system coded, sort of, in Ninja. It's not exact but really close.  The 2nd half of 2018 looks great!  The 1st half, not so much.  Perhaps it will continue to do well for a bit, or it may die an ugly death? No way to know.  I may try to improve things with some walkforward optimization or perhaps I can figure out a way to trade other markets with it.
RESULTS FOR DAY
NQ Contracts:16
Net $P/L: 847
Wins: 10
Losses: 6
Win%:63
Avg$Win: 193
Avg$Loss: -180

In other news Algos Broke the Market?

Monday, December 24, 2018

Mon. 12/24 +0.1%

12:05pm CST - Seemed like it was going to be a good day but then the Grinch struck my signals with losers on last 4 of 5 trades.  Missed 2 winners at start of day and a bathroom break. Grrrr...  Merry Christmas to all!
RESULTS FOR DAY
NQ Contracts:16
Net $P/L: 7
Wins: 8
Losses: 8
Win%:50
Avg$Win: 209
Avg$Loss: -208

Friday, December 21, 2018

Fri. 12/21 +3.5%

2:45pm CST - Missed a few trades but not much difference in P/L. For the week net +$2175.
RESULTS FOR DAY
NQ Contracts:24
Net $P/L: 481
Wins: 13
Losses: 11
Win%:54
Avg$Win: 200
Avg$Loss: -192

Thursday, December 20, 2018

Thurs. 12/20 +10.4%

3:20pm CST - Would have had another $600 or so if I had traded rest of day but I quit early again to protect profits?! Guess I don't have confidence yet in whatever edge may exist in this system. Same issue from a couple Mondays ago.  I'll get over.  Nice much needed day!
RESULTS FOR DAY
NQ Contracts:16
Net $P/L: 1302
Wins: 12
Losses: 4
Win%:75
Avg$Win: 156
Avg$Loss: -143

Wednesday, December 19, 2018

Wed. 12/19 -4.0%

3:10pm CST - Should have quit for day before FOMC.  Stupid me, took half hour break but the action was still too chaotic after that.  A mistake on last trade (limit order target set wrong) turned a winner into a loser and I finally threw in towel.
RESULTS FOR DAY
NQ Contracts:13
Net $P/L: -518
Wins: 5
Losses: 8
Win%:38
Avg$Win: 205
Avg$Loss: -193

Tuesday, December 18, 2018

Tues. 12/18 +4.3%

4:20pm CST - Had to quit at lunch today due to appointments.  Missed only one signal, a small loser.
RESULTS FOR DAY
NQ Contracts:3
Net $P/L: 535
Wins: 3
Losses: 0
Win%:100
Avg$Win: 178
Avg$Loss: 0

Monday, December 17, 2018

Mon. 12/17 +3.1%

3:25pm CST -
RESULTS FOR DAY
NQ Contracts:12
Net $P/L: 375
Wins: 7
Losses: 5
Win%:58
Avg$Win: 186
Avg$Loss: -185

Friday, December 14, 2018

Fri. 12/14 -9.1%

3:20pm CST - I guess I should be getting used to my system's volatility in results given the number of trades but today sucked all around.  For the week, net -$927. (would have been over a grand in the green if I had taken all of Monday's signals!)
RESULTS FOR DAY
NQ Contracts:9
Net $P/L: -1220
Wins: 1
Losses: 8
Win%:11
Avg$Win: 187
Avg$Loss: -176

Thursday, December 13, 2018

Thurs. 12/13 +6.8%

3:05pm CST - Not enough volume and as much as 6+ tick spreads on H contract so stuck with the Z.
RESULTS FOR DAY
NQ Contracts:11
Net $P/L: 854
Wins: 7
Losses: 4
Win%:64
Avg$Win: 225
Avg$Loss: -180

Wednesday, December 12, 2018

Wed. 12/12 -2.4%

3:00pm CST - Perfect system execution today.  4 ticks slippage total.
RESULTS FOR DAY
NQ Contracts:6
Net $P/L: -310
Wins: 2
Losses: 4
Win%:33
Avg$Win: 207
Avg$Loss: -181

Tuesday, December 11, 2018

Tues. 12/11 -6.6%

3:00pm CST - Easy come yesterday, easy go today.  Took all signals today except one winner I missed during lunch.
RESULTS FOR DAY
NQ Contracts:14
Net $P/L: -916
Wins: 5
Losses: 9
Win%:36
Avg$Win: 170
Avg$Loss: -196

Monday, December 10, 2018

Mon. 12/10 +5.1%

3:00pm CST - Kicking myself harder than usual today. I missed the first trade of day (a winner) as I was in the bathroom.  Then I elected to stop for day after 3 winners in a row.  A nice profit is good to sit back and relax on, no? Well, it could be if I make future decisions to stop trading after being down with a string of losers.  But I generally don't do this or believe in it.  And it's a crime to have outlier losing days but not allow outlier winning days!  This was one of those days.  If I had taken all signals, today would have been: 23 Wins, 6 Losses, Net $2900.  I didn't even get 1/4 of this!

Now I know if an edge is consistent throughout a trading day (if time of day is truly irrelevant), it really doesn't matter if you miss trades, go eat lunch, answer door, etc.  Just keep trading when you are able and the results will work themselves out.

I'm getting close to being able to get automated backtest results but my Ninjascript code is so inefficient it's hard to run on my computer.  Takes forever or locks up Ninja and I have to start over. Manual results so far I'm pleased with.  1:1 RR, just over 57% winners, reasonable drawdowns, and gross avg. gain is 5.4 ticks per trade per contract.
RESULTS FOR DAY
NQ Contracts:3
Net $P/L: 665
Wins: 3
Losses: 0
Win%:100
Avg$Win: 222
Avg$Loss: 0

Friday, December 7, 2018

Fri. 12/07 +2.8%

2:10pm CST - For the week, +$1228 net.
RESULTS FOR DAY
NQ Contracts:12
Net $P/L: 355
Wins: 7
Losses: 5
Win%:58
Avg$Win: 167
Avg$Loss: -162

Thursday, December 6, 2018

Thurs. 12/06 +3.0%

2:50pm CST - It was tough to keep up with all the signals in first hour or so as NQ was all over the place.  Bailed at BE on last trade that would have added another $200. And completely passed on another long after that that would have been another $200.  My gut said to protect profits with little time left in day but the plan was to take all signals until close.
RESULTS FOR DAY
NQ Contracts:22
Net $P/L: 372
Wins: 11
Losses: 11
Win%:50
Avg$Win: 209
Avg$Loss: -175

Tuesday, December 4, 2018

Tues. 12/04 +2.3%

3:05pm CST - Should have quit after first 3 trades...
RESULTS FOR DAY
NQ Contracts:12
Net $P/L: 280
Wins: 7
Losses: 5
Win%:58
Avg$Win: 190
Avg$Loss: -210

Monday, December 3, 2018

Mon. 12/03 +1.8%

3:25pm CST - Same method as ES Fri. but NQ backtest looks better so starting there.  Cautiously optimistic!
RESULTS FOR DAY
NQ Contracts:3
Net $P/L: 220
Wins: 2
Losses: 1
Win%:67
Avg$Win: 207
Avg$Loss: -193

Friday, November 30, 2018

November Trading Summary -9.8%

Net breakdown (contracts traded):
NQ -$1310(48), ES +$18(2)
RESULTS FOR NOVEMBER
Contracts:50
Net $P/L:-1291
Wins:14
Losses:2
Win%:88
$Commissions:136
Avg$Win:120
Avg$Loss:-1488

Fri. 11/30 +0.2%

2:55pm CST - New idea testing...
RESULTS FOR DAY
ES Contracts:2
Net $P/L: 18
Wins: 1
Losses: 1
Win%:50
Avg$Win: 147
Avg$Loss: -128

Tuesday, November 13, 2018

Tues. 11/13 -13.9%

1:45pm CST - Sometimes I have to relearn lessons the hard way. Maybe this would have been sustainable in a less volatile market but back to drawing board.  With most failures, I have new ideas.
RESULTS FOR DAY
NQ Contracts:23
Net $P/L: -1922
Wins: 7
Losses: 1
Win%:88
Avg$Win: 132
Avg$Loss: -2848

Monday, November 12, 2018

Mon. 11/12 +4.6%

3:20pm CST - $3600/contract range today in NQ may not have been the best day to go live.  I escaped several close calls with 4 digit MAEs.  So much different with real $ on the line than trading SIM.
RESULTS FOR DAY
NQ Contracts:25
Net $P/L: 613
Wins: 6
Losses: 0
Win%:100
Avg$Win: 102
Avg$Loss: 0

Friday, November 9, 2018

Demo Results

1:00pm CST - Traded demo account this week.  It's so easy a monkey do it!  Seriously though, my approach averaged into positions (5-lot NQ max) and scaled out too.  Lots of discretion and a bit reminiscent of my trading in 2007 when I was wildly successful until doubling down endlessly nearly killed me.  I may attempt to recreate some portion of this week's Sim success in live account soon. The key will be to be unbiased, quick, nimble, and rarely blow out of a 5-lot max position and when I do, limit loss to around a typical day's profit.

Wednesday, October 31, 2018

October Trading Summary -5.0%

RESULTS FOR OCTOBER
CL Contracts:18
Net $P/L:-694
Wins:10
Losses:8
Win%:56
$Commissions:71
Avg$Win:97
Avg$Loss:-208

Tuesday, October 30, 2018

Tues. 10/30 -1.3%

1:20pm CDT -
RESULTS FOR DAY
CL Contracts:1
Net $P/L: -174
Wins: 0
Losses: 1
Win%:0
Avg$Win: 0
Avg$Loss: -174

Wednesday, October 24, 2018

Wed. 10/24 -1.4%

2:00pm CDT - Time for another break.
RESULTS FOR DAY
CL Contracts:5
Net $P/L: -190
Wins: 3
Losses: 2
Win%:60
Avg$Win: 69
Avg$Loss: -199

Tuesday, October 23, 2018

Tues. 10/23 -5.9%

1:15pm CDT - Buying at high of day and selling at low for full stop outs does not help the results.
RESULTS FOR DAY
CL Contracts:6
Net $P/L: -854
Wins: 2
Losses: 4
Win%:33
Avg$Win: 116
Avg$Loss: -271

Monday, October 22, 2018

Mon. 10/22 +2.3%

1:40pm CDT -
RESULTS FOR DAY
CL Contracts:3
Net $P/L: 318
Wins: 3
Losses: 0
Win%:100
Avg$Win: 106
Avg$Loss: 0

Friday, October 19, 2018

Fri. 10/19 +1.5%

12:30pm CDT - 1st trades this month.. Testing a discretionary CL system that's very related to system I was mechanically trading before.
RESULTS FOR DAY
CL Contracts:3
Net $P/L: 208
Wins: 2
Losses: 1
Win%:67
Avg$Win: 106
Avg$Loss: -4

Friday, September 28, 2018

Quarter 3 2018 Trading Summary -10.7%

September Trading Summary -0.5%

RESULTS FOR SEPTEMBER
6E Contracts:11
Net $P/L:-72
Wins:7
Losses:4
Win%:74
$Commissions:46
Avg$Win:59
Avg$Loss:-121

Fri. 9/28 -1.8%

1:30pm CDT -
RESULTS FOR DAY
6E Contracts:2
Net $P/L: -252
Wins: 0
Losses: 2
Win%:0
Avg$Win: 0
Avg$Loss: -126

Thursday, September 27, 2018

Thurs. 9/27 +1.4%

1:20pm CDT - Less than 45 sec...
RESULTS FOR DAY
6E Contracts:1
Net $P/L: 196
Wins: 1
Losses: 0
Win%:100
Avg$Win: 196
Avg$Loss: 0

Wednesday, September 26, 2018

Wed. 9/26 +0.1%

3:25pm CDT -
RESULTS FOR DAY
6E Contracts:2
Net $P/L: 10
Wins: 2
Losses: 0
Win%:100
Avg$Win: 5
Avg$Loss: 0

Tuesday, September 25, 2018

Tues. 9/25 -0.0%

2:15pm CDT - Had +13 ticks MFE twice and +11 on last trade but Euro not moving today. 
RESULTS FOR DAY
6E Contracts:4
Net $P/L: -5
Wins: 3
Losses: 1
Win%:75
Avg$Win: 2
Avg$Loss: -10

Monday, September 24, 2018

Mon. 9/24 -1.6%

1:30pm CDT -
RESULTS FOR DAY
6E Contracts:1
Net $P/L: -223
Wins: 0
Losses: 1
Win%:0
Avg$Win: 0
Avg$Loss: -223

Friday, September 21, 2018

Fri. 9/21 +1.4%

12:15pm CDT - I'm back. Did some sim trading but hate that so back live testing tweaked 6E method.  I'm taking a break on CL system too, for now.  Of course the 3 trades missed so far grossed: -$130, +$770, +$1330.
RESULTS FOR DAY
6E Contracts:1
Net $P/L: 202
Wins: 1
Losses: 0
Win%:100
Avg$Win: 202
Avg$Loss: 0

Friday, August 31, 2018

August Trading Summary -10.9%

Net breakdown (contracts traded):
CL -$1679(10), 6E -$20(32)
RESULTS FOR AUGUST
Contracts:42
Net $P/L:-1699
Wins:21
Losses:20
Win%:51
$Commissions:172
Avg$Win:68
Avg$Loss:-156

Thursday, August 30, 2018

Thurs. 8/30 -1.3%

2:50pm CDT - Another losing CL system trade. Officially, it's 0 for 10 this month, down $2600.  But because I overrode a couple trades, I'm only down $1680 MTD on CL.  I do not feel like I won $920 however!   All trades in all symbols YTD I'm at -$1100 or -7.5% (~one CL system winner, in other words...)
RESULTS FOR DAY
CL Contracts:1
Net $P/L: -184
Wins: 0
Losses: 1
Win%:0
Avg$Win: 0
Avg$Loss: -184

Wednesday, August 29, 2018

Wed. 8/29 -3.0%

4:05pm CDT - Well that sucked all around...
Net breakdown (contracts traded):
CL -$124(1), 6E -$317(4)
RESULTS FOR DAY
Contracts:5
Net $P/L: -440
Wins: 0
Losses: 4
Win%:0
Avg$Win: 0
Avg$Loss: -110

Tuesday, August 28, 2018

Tues. 8/28 +0.0%

12:25pm CDT - Caught in chop but escaped in tact.
RESULTS FOR DAY
6E Contracts:4
Net $P/L: 2
Wins: 2
Losses: 2
Win%:50
Avg$Win: 55
Avg$Loss: -54

Monday, August 27, 2018

Mon. 8/27 +0.5%

2:35pm CDT -
RESULTS FOR DAY
6E Contracts:2
Net $P/L: 73
Wins: 1
Losses: 1
Win%:50
Avg$Win: 121
Avg$Loss: -48

Friday, August 24, 2018

Fri. 8/24 -1.1%

1:45pm CDT - The CL trade was really completed yesterday but reporting it today.  For the week, net -$306 all thanks to 2 CL trades.  Up $252 on 7 Euro trades.
Net breakdown (contracts traded):
CL -$224(1), 6E +$65(1)
RESULTS FOR DAY
Contracts:2
Net $P/L: -159
Wins: 1
Losses: 1
Win%:50
Avg$Win: 65
Avg$Loss: -224

Thursday, August 23, 2018

Thurs. 8/23 +0.4%

1:55pm CDT - I'm short a CL too. Expecting it to stop out! 
RESULTS FOR DAY
6E Contracts:3
Net $P/L: 63
Wins: 3
Losses: 0
Win%:100
Avg$Win: 21
Avg$Loss: 0

Wednesday, August 22, 2018

Wed 8/22 +0.2%

2:10pm CDT -
RESULTS FOR DAY
6E Contracts:2
Net $P/L: 23
Wins: 2
Losses: 0
Win%:100
Avg$Win: 11
Avg$Loss: 0

Tuesday, August 21, 2018

Tues. 8/21 -1.6%

2:35pm CDT - Further Euro testing.  And a loser CL system trade stopped early morning.
Net breakdown (contracts traded):
CL -$334(1), 6E +$102(1)
RESULTS FOR DAY
Contracts:2
Net $P/L: -232
Wins: 1
Losses: 1
Win%:50
Avg$Win: 102
Avg$Loss: -334

Friday, August 17, 2018

Fri. 8/17 +3.7%

3:05pm CDT - Should still be holding the 2nd trade. It had +$500 MFE so I went to BE.  Oh, and trade #1 came 5 ticks from target I overrode that later to exit...
RESULTS FOR DAY
CL Contracts:2
Net $P/L: 522
Wins: 2
Losses: 0
Win%:100
Avg$Win: 261
Avg$Loss: 0

Friday, August 10, 2018

Fri. 8/10 -2.7%

1:00pm CDT - CL from yesterday stopped out just before the open again today. It was up $850 while I slept but still short of target.  6E was extra bouncy today (due to Turkish turmoil?).  -$1310 net for this crappy week, all thanks to CL system trades.  6E was breakeven/barely up.
Net breakdown (contracts traded):
CL -$214(1), 6E -$185(4)
RESULTS FOR DAY
Contracts:5
Net $P/L: -399
Wins: 2
Losses: 3
Win%:40
Avg$Win: 36
Avg$Loss: -157