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