Tues. 7/02

5:00pm CDT -

RESULTS FOR DAY
TF Contracts:	2
Net $P/L:	-385
Wins:	0
Losses:	2
Win%:	0
Avg$Win:	0
Avg$Loss:	-193

Mon. 7/01

3:20pm CDT - A thrilling day of system trading (yawn). Out at close as neither stop nor target hit.

RESULTS FOR DAY
TF Contracts:	1
Net $P/L:	-63
Wins:	0
Losses:	1
Win%:	0
Avg$Win:	0
Avg$Loss:	-63

Quarter 2 2013 Trading Results

June Trading Summary

Net breakdown (contracts traded):
ZS -$35(14), TF $2828(39)

RESULTS FOR JUNE
Contracts:	53
Net $P/L:	2793
Wins:	21
Losses:	32
Win%:	40
$Commissions:	174
Avg$Win:	459
Avg$Loss:	-214

Fri. 6/28

3:55pm CDT - Overtraded ZS which moved all over the place after the acreage report came out.  I thought for sure my TF trade was going to be a small winner exiting at the close but the end of month or quarter gyrations in final 2 minutes took me out.  Nothing like a 20+ point spike down in a couple minutes!  For the week, net gain +$1734.
Net breakdown (contracts traded):
ZS -$130(13), TF -$263(1)

RESULTS FOR DAY
Contracts:	14
Net $P/L:	-392
Wins:	5
Losses:	4
Win%:	36
Avg$Win:	147
Avg$Loss:	-125

Updated performance curves for TF system after 1 month of live trading:

Thurs. 6/27 - MFGlobal News

3:00pm CDT - Took a test trade on a discretionary ZS system today for a couple cents. And a TF system long worked nicely, capture 77% of the day's range.

Net breakdown (contracts traded):
ZS $95(1), TF $917(1)

RESULTS FOR DAY
Contracts:	2
Net $P/L:	1012
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	506
Avg$Loss:	0

Great news out this afternoon. Not only is Corzine being sued, but MFGlobal customers are finally getting 100% restitution. It only took nearly 2 years!

Wed. 6/26

2:55pm CDT - Another slow day.  Was in the money nicely but a reversal stopped me out.

RESULTS FOR DAY
TF Contracts:	1
Net $P/L:	-263
Wins:	0
Losses:	1
Win%:	0
Avg$Win:	0
Avg$Loss:	-263

Tues. 6/25

3:15pm CDT - Slow day today in emini land. 

RESULTS FOR DAY
TF Contracts:	2
Net $P/L:	-235
Wins:	1
Losses:	1
Win%:	50
Avg$Win:	27
Avg$Loss:	-263

In other news, it's nice to see civil charges in the works against John Corzine for the MFGlobal theft!

AND, our little hometown hockey team won a trophy last night! :)

Mon. 6/24

2:50pm CDT - Nice start to the week!

RESULTS FOR DAY
TF Contracts:	3
Net $P/L:	1612
Wins:	2
Losses:	1
Win%:	67
Avg$Win:	932
Avg$Loss:	-253

Fri. 6/21

3:30pm CDT - 4 losers today to end the week.  Was up over $800 on the 1st trade but it couldn't quite make the final push to the target!  Net results for the week, +$776.

I liked Kevin's graph format so much I decided to copy it so I could keep visual tabs on how my strategy is doing.  "Ninja(Perfect)" represents what Ninja's Strategy Analyzer would report at the end of the day if I ran a backtest on trades that should have been taken, minus commission and slippage.  Overall, after 2 weeks of live trading, it is performing exactly as expected so far!

RESULTS FOR DAY
TF Contracts:	4
Net $P/L:	-970
Wins:	0
Losses:	4
Win%:	0
Avg$Win:	0
Avg$Loss:	-243

Thurs. 6/20

3:05pm CDT - Just my luck, as I guessed yesterday when I had to leave early, I missed a late day short and market crashed into close so I missed what would have been a $600+ winner.  Today, a similar signal happens late in day but I'm here this time so I take the trade.  Market rallies into close and stops me out.  I may not like it but I get an A+ for executing my system when I'm at my desk!

RESULTS FOR DAY
TF Contracts:	2
Net $P/L:	685
Wins:	1
Losses:	1
Win%:	50
Avg$Win:	927
Avg$Loss:	-243

Wed. 6/19

2:20pm CDT - One winner today and managed to watch it swing around wildly after the FOMC news came out.  It came close to my stop but ultimately hit my target.  Good chance I'll miss another signal in the final half hour but I have to leave early today for an appointment.

RESULTS FOR DAY
TF Contracts:	1
Net $P/L:	927
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	927
Avg$Loss:	0

Tues. 6/18

3:55pm CDT - Got out at close again, this time with a little profit.

RESULTS FOR DAY
TF Contracts:	1
Net $P/L:	167
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	167
Avg$Loss:	0

Here's the weekly and monthly backtest data plotted for my TF System.

As a commenter pointed out yesterday, it helps to keep the big picture in mind when system trading. There's just no way to predict what outcome your current trade will produce so what's the point in deviating from your plan and taking the trade off early?

I mentioned yesterday that my system doesn't trail stops and got several suggestions that I might consider doing that. Thanks btw.  Kevin had the best idea to actually test and see what results are.  Well I had done that before but never shared the "hypothetical, backtested' results so thought I'd post some now.

For past 3.5 years, system as-is with no trail stops nets $74k with $54 avg. profit per trade.
If after 50 ticks in profit the stop is moved to BE, system nets $69k with $50 avg. profit per trade.
If after 50 ticks in profit the stop is moved to +20 ticks, system nets $65k with $47 avg. profit per trade.

Other combinations of various trigger levels, show a similar pattern.  Keep in mind too that my system always lets each trade play out to its target or stop and ignores any new signals that might enter the picture while a position is on.  As you can imagine, if you trail stops, you WILL exit some trades earlier than originally planned.  For my system this means you will start looking for the next trade sooner and overall, you end up with more trades.  If I include these "extra" trades in the backtests above, the net profit drops even more when trailing stops.  So that I could actually compare apples with apples, I coded a strategy so that if a trailed stop got hit, the system would assume the position was still on until either the original target or original stop were hit.  That way, the same number of trades in total are taken for the 3.5 year backtest regardless of stops being trailed or not.

Bottom line, as I have seen in nearly all systems I have tested, trailing stops diminishes overall system performance.  Generally, the only advantage is a potentially smoother equity curve with reduced drawdowns.  So if that is an important goal of the system, trailing stops may make sense.

Mon. 6/17

3:20pm CDT - Tough watching a $700 winner turn into a loss. Them's the breaks when you don't trail stops.

RESULTS FOR DAY
TF Contracts:	1
Net $P/L:	-33
Wins:	0
Losses:	1
Win%:	0
Avg$Win:	0
Avg$Loss:	-33

Fri. 6/14

3:15pm CDT - Out at the close today as neither stop nor target hit on a single short on the day.  For the week, net P/L +$1499.

RESULTS FOR DAY
TF Contracts:	1
Net $P/L:	487
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	487
Avg$Loss:	0

Happy Flag Day America!

Thurs. 6/13

2:25pm CDT - Yesterday repeated but on the long side.  I had to look at backtest results to see how often system winners exited with limit orders (not at market end of day for lesser profit) occur back-to-back.  In past 3.5 years, it averages about once every 5 weeks.  So less than 2 weeks trading system, I'll take it!

RESULTS FOR DAY
TF Contracts:	1
Net $P/L:	917
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	917
Avg$Loss:	0

Wed. 6/12

3:25pm CDT - Finally a winner. This is a great example of why you should trade your plan and not deviate.  I had thoughts about not placing a short when I got a signal because price had already made a significant down move on the day.  It can't possibly go lower, especially 9 pts. lower where my target would be, can it?! But as any robot would, the trade was put on and held to target, just 4 min. before I would have closed at market.

RESULTS FOR DAY
TF Contracts:	1
Net $P/L:	927
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	927
Avg$Loss:	0

In other news: Interesting article on day trading in Japan.

Tues. 6/11

3:05pm CDT - Patiently trading system and waiting for a couple winners show up.  2nd trade today was up $500 before stalling and taking out stop. 

RESULTS FOR DAY
TF Contracts:	3
Net $P/L:	-778
Wins:	0
Losses:	3
Win%:	0
Avg$Win:	0
Avg$Loss:	-259

Mon. 6/10

7:30pm CDT - Late to report but nothing much to report anyways...

RESULTS FOR DAY
TF Contracts:	2
Net $P/L:	-55
Wins:	1
Losses:	1
Win%:	50
Avg$Win:	237
Avg$Loss:	-293

Fri. 6/07

2:50pm CDT - 2 losses today.  The 1-tick winner reported was an entry error and I exited right away. For the week, net loss -$1217.

RESULTS FOR DAY
TF Contracts:	3
Net $P/L:	-528
Wins:	1
Losses:	2
Win%:	33
Avg$Win:	7
Avg$Loss:	-267

Thurs. 6/06

3:30pm CDT - Finally had a winner.  Maybe I'm not cursed?  The system only wins 35% of the time on average and so far my win% stands at 27% after 11 trades.  Well within the expected range of results but still it would have been nice to start out with live results on the higher side of expectations!

RESULTS FOR DAY
TF Contracts:	3
Net $P/L:	412
Wins:	1
Losses:	2
Win%:	33
Avg$Win:	927
Avg$Loss:	-258

Wed. 6/05

3:55pm CDT - I swear I am cursed sometimes!  Like yesterday, only worse, this was very nearly an excellent day.  I would have booked over $1000 at end of day had my initial short not stopped out to the exact tick (977.4).  I'm doing great at following my system so I guess that's good.

In other news, it's good to see CFTC still cracking down on the PFG theft!

RESULTS FOR DAY
TF Contracts:	4
Net $P/L:	-690
Wins:	1
Losses:	3
Win%:	25
Avg$Win:	107
Avg$Loss:	-266

Tues. 6/04

2:20pm CDT - I've decided to commit to trading the TF system shown yesterday for at least the month of June with 1 lots.  I've done some walkforward testing and the results are pretty much the same.  I'm not satisfied with the WF Ninja results yet, however, so I may tweak my parameters before the month ends.  The genetic optimizer runs quickly but I'm not convinced they are as good as the default optimizer which takes forever and I have yet to complete.  Plus I need to research to see what WF optimization period and test period lengths I should use.  So far I've been optimizing 90 days and using those parameters for next 30, and repeating.  Who's to say 60 & 30 or 180 & 90 or 30 & 30 or some other combo isn't better?  You can certainly get bogged down with all the permutations available...

Today was very nearly good with my 2nd trade stopping out by just 2 ticks before reversing and hitting my $900 target.  So close...

RESULTS FOR DAY
TF Contracts:	3
Net $P/L:	-778
Wins:	0
Losses:	3
Win%:	0
Avg$Win:	0
Avg$Loss:	-259

Mon. 6/03

3:15pm CDT - TF testing again.  This should have been more than double since my target would have hit but when I dragged my stop to tighten it, I actually covered at market right then! :(

RESULTS FOR DAY
TF Contracts:	1
Net $P/L:	367
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	367
Avg$Loss:	0

This is my latest TF system. Curve looks great for past 3.5 years. Before that it's not bad but not as pretty. Need to do some walk forward testing. No commissions or slippage are included so the avg net profit per trade is likely only 2.5 - 3 ticks per trade per contract.

May Trading Summary

Note: Only traded 8 days
Net breakdown (contracts traded):
ZS $240(2), 6E -$614(53), TF -$961(12)

RESULTS FOR MAY
Contracts:	67
Net $P/L:	-1335
Wins:	27
Losses:	21
Win%:	56
$Commissions:	293
Avg$Win:	78
Avg$Loss:	-164

Fri. 5/31

3:55pm CDT - TF testing today. Didn't go too well but as usual with live testing, I thought of some ideas for improvement.

RESULTS FOR DAY
TF Contracts:	12
Net $P/L:	-961
Wins:	1
Losses:	6
Win%:	14
Avg$Win:	107
Avg$Loss:	-178

Tues. 5/28

11:30am CDT - OK, this may conclude my discretionary test drive.  Time for more coding and backtesting to find a more mechanical method to my madness!

RESULTS FOR DAY
6E Contracts:	10
Net $P/L:	-685
Wins:	3
Losses:	4
Win%:	43
Avg$Win:	54
Avg$Loss:	-212

Fri. 5/24

9:10am CDT - Just $71 to show for my test drive this week of a new method.  Sure beats sim trading though which I absolutely hate.  You really do learn so much by actually live trading a system. 

RESULTS FOR DAY
6E Contracts:	7
Net $P/L:	117
Wins:	4
Losses:	3
Win%:	57
Avg$Win:	67
Avg$Loss:	-51

Thurs. 5/23

10:30am CDT - Choppy morning in the red and decided to hold final trade of day, short, with wide 25 pips between my stop and target. It came within 2 ticks of target then shot up and took me out at high tick of day 1.2924.

RESULTS FOR DAY
6E Contracts:	15
Net $P/L:	-559
Wins:	5
Losses:	4
Win%:	56
Avg$Win:	105
Avg$Loss:	-271

Wed. 5/22

10:10am CDT - It took some time to get used to an actual moving market after the last 2 days. I missed quite a few trades and didn't hold for as long as I should have on many of the ones I did take.

RESULTS FOR DAY
6E Contracts:	10
Net $P/L:	265
Wins:	5
Losses:	3
Win%:	63
Avg$Win:	105
Avg$Loss:	-87