Wednesday, April 18, 2018

Wed. 4/18 -0.7%

2:00pm CDT - The joys of system trading - sat on one trade all day, -1/2R, +3.5R, -1/2R, +4.5R, -1R stop at end of day. Target was +6R.  A+ for following rules at least, despite the sting.
RESULTS FOR DAY
CL Contracts:1
Net $P/L: -114
Wins: 0
Losses: 1
Win%:0
Avg$Win: 0
Avg$Loss: -114

Tuesday, April 17, 2018

Tues. 4/17 +4.5%

3:35pm CDT -
RESULTS FOR DAY
CL Contracts:1
Net $P/L: 706
Wins: 1
Losses: 0
Win%:100
Avg$Win: 706
Avg$Loss: 0

Monday, April 16, 2018

Mon. 4/16 -2.2%

2:40pm CDT -
RESULTS FOR DAY
CL Contracts:3
Net $P/L: -352
Wins: 0
Losses: 3
Win%:0
Avg$Win: 0
Avg$Loss: -117

Friday, April 13, 2018

Fri. 4/13 -3.6%

2:10pm CDT - Happy Friday the 13th! (as I type, listening to Ziggy Marley "Three Little Birds.") I have to remind myself that with a 19% win rate, 81% of trades will stop out with my system.  Plus there were 27 losers in a row in backtest.  But for the week, net +$737.
RESULTS FOR DAY
CL Contracts:4
Net $P/L: -606
Wins: 0
Losses: 4
Win%:0
Avg$Win: 0
Avg$Loss: -151

Thursday, April 12, 2018

Thurs. 4/12 -0.6%

4:10pm CDT -
RESULTS FOR DAY
CL Contracts:1
Net $P/L: -94
Wins: 0
Losses: 1
Win%:0
Avg$Win: 0
Avg$Loss: -94

Wednesday, April 11, 2018

Wed. 4/11 +1.3%

2:00pm CDT - No idea how the last trade will work out, stop 66.97, target 65.50. Will report tomorrow or update table below if it fills before I retire for the night.
EDIT: Stopped out 9:16pm CDT, table updated below.
RESULTS FOR DAY
CL Contracts:4
Net $P/L: 224
Wins: 1
Losses: 3
Win%:25
Avg$Win: 776
Avg$Loss: -184

Tuesday, April 10, 2018

Mon./Tues. 4/10-4/11 +7.8%

1:55pm CDT - Started trading CL 6R system, no discretion. And as luck would have it, had a nice winner to start which exited as I slept.  I had a look back in the logs to see when I last had a winner that size or larger.  Had to go back to 12/18/2013 for a 5-lot NQ trade. For a single lot trade, as this was, had to go way back to 9/24/2008 when I shorted ES at 1192.50 and bought 5 days later at 1165.00.  Maybe there's something to swing trading? Some may find it crazy I can look up pretty much every trade I've ever made since I started in this biz. #OCD
RESULTS FOR DAY
CL Contracts:2
Net $P/L: 1212
Wins: 1
Losses: 1
Win%:50
Avg$Win: 1316
Avg$Loss: -104

Friday, April 6, 2018

Fri. 4/06 +1.3%

2:45pm CDT - For the week, that was way too much work for a net +$25.  Back to the drawing board on my ES method.  Meanwhile, my CL system, if I had traded it, had 9 trades for +$2600!  Incubation may be ending next week...
RESULTS FOR DAY
ES Contracts:2
Net $P/L: 206
Wins: 1
Losses: 1
Win%:50
Avg$Win: 209
Avg$Loss: -3

Thursday, April 5, 2018

Thurs. 4/05 +0.1%

3:10pm CDT - Another digging out of hole day.
RESULTS FOR DAY
ES Contracts:9
Net $P/L: 20
Wins: 3
Losses: 5
Win%:38
Avg$Win: 183
Avg$Loss: -106

Wednesday, April 4, 2018

Wed. 4/04 +0.0%

3:15pm CDT - Huge day for the ES, not for me. Content to get back to even. Left lots on table with several trades.
RESULTS FOR DAY
ES Contracts:10
Net $P/L: 4
Wins: 4
Losses: 6
Win%:40
Avg$Win: 150
Avg$Loss: -99

Tuesday, April 3, 2018

Tues. 4/03 +2.5%

2:55pm CDT -
RESULTS FOR DAY
ES Contracts:4
Net $P/L: 374
Wins: 4
Losses: 0
Win%:100
Avg$Win: 94
Avg$Loss: 0

Monday, April 2, 2018

Mon. 4/02 -3.8%

3:20pm CDT - Volatility is great, until it isn't.  Too much to handle today.  Should have called it a day before I finally did.
RESULTS FOR DAY
ES Contracts:9
Net $P/L: -580
Wins: 3
Losses: 6
Win%:33
Avg$Win: 26
Avg$Loss: -110

Sunday, April 1, 2018

To BE or not to BE?

Worked on more programming of my CL strat which is incubating for now as I plan to continue trading ES method for this week.  Comments here, prodded me to examine this closer and the data is below.  Thoughts encouraged!  My conclusion, BE stops or trailing stops add complexity but can sometimes help smooth out profit curve a bit but generally degrade overall performance. I was a bit surprised though the 3rd and 4th results below (of the 6) were so close in overall profit to the 1st original (optimized) system.  It does feel like I'm potentially over-optimizing more variables by trying to improve results by manipulating stops, and that's not a good thing...

In other news, was this really 6 years ago?  LOL

Thursday, March 29, 2018

Quarter 1 2018 Trading Summary +2.4%

March Trading Summary -7.9%

Net breakdown (contracts traded):
CL -$1962(69), ES +$631(17)
RESULTS FOR MARCH
Contracts:86
Net $P/L:-1331
Wins:28
Losses:24
Win%:54
$Commissions:348
Avg$Win:193
Avg$Loss:-280

Thurs. 3/29 +1.5%

2:20pm CDT - Ending month on a high note even though I lost this month thanks to (3) $1000+ loss days on CL system early in month.  Guess I'm "incubating" that system for now.  Particularly if I can continue to string together ES days like I have this week.  For the week, net +$637.
RESULTS FOR DAY
ES Contracts:4
Net $P/L: 224
Wins: 3
Losses: 1
Win%:75
Avg$Win: 76
Avg$Loss: -3

Wednesday, March 28, 2018

Wed. 3/38 +1.4%

2:40pm CDT - ES was all over the place today as was my trading. Tough to hold for larger gains when price is jumping all up/down the DOM.
RESULTS FOR DAY
ES Contracts:10
Net $P/L: 205
Wins: 6
Losses: 4
Win%:60
Avg$Win: 120
Avg$Loss: -128

Tuesday, March 27, 2018

Tues. 3/27 +1.4%

12:25pm CDT - Tried to short CL right around 8:30 CDT, kept trading my limit order price 65.91 but no fill. That would have been a nice one!  Meanwhile, testing ES live (wish I had held that last one)...
RESULTS FOR DAY
ES Contracts:3
Net $P/L: 203
Wins: 3
Losses: 0
Win%:100
Avg$Win: 68
Avg$Loss: 0

Monday, March 26, 2018

Mon. 3/26 +0.0%

2:45pm CDT - Not sure I can trade my CL system with +6R settings that I should trade to maximize profit.  You'll notice from Ninja summary 2 posts ago there were 27 consecutive losers during test period.  Could anyone trade through that?  I guess a robot.  Last week system, if traded, would have netted $2500/contract though.  But that was an outlier week for sure.  I did trade it today and should still be short (no exit at close).  But after being up nearly 3R, I moved stopped to BE and got stopped. I've tested BE stops and they just don't help profits at all (the way I coded it anyways). Have another idea to test and will code soon.  Also may be going live soon on ES idea I've been SIM'ing...
RESULTS FOR DAY
CL Contracts:1
Net $P/L: 6
Wins: 1
Losses: 0
Win%:100
Avg$Win: 6
Avg$Loss: 0

Thursday, March 15, 2018

Tuesday, March 13, 2018

CL System Update

3:55pm CDT - Made some progress programming my system in Ninja and have some results to further scrutinize, analyze, compare trades to actual charts, etc. Ignorance is bliss in many ways but I now have the ability to change variables, do some optimization, walkforward analysis and really decide if I'm comfortable trading this armed with plenty of data. I can say I won't be trading it the way I had for past month using a 1:1 RR ratio. There just isn't enough edge there. Keep in mind, Ninja results below do not include commission or slippage so deduct $5 or more per trade to make things more real. I did find that simply changing the targets to 4, 5, 6 RR improved results significantly. I like to see an average trade of at least 3 ticks. Anyways, that's the short update for now...

Thursday, March 8, 2018

Thurs. 3/08 -6.4%

12:25pm CST - Taking a break to reassess and hopefully make progress on programming.  3 days out of last 6 with >$500 loss per contract is outside the norms and drawdown is now greater than any realized in backtest period.  YTD net -$274.
RESULTS FOR DAY
CL Contracts:8
Net $P/L: -1014
Wins: 1
Losses: 3
Win%:25
Avg$Win: 232
Avg$Loss: -415

Wednesday, March 7, 2018

Wed. 3/07 +1.7%

2:30pm CST - A tick or two difference on 4th trade would have been a $750 day...
RESULTS FOR DAY
CL Contracts:10
Net $P/L: 258
Wins: 3
Losses: 2
Win%:60
Avg$Win: 252
Avg$Loss: -249

Tuesday, March 6, 2018

Tues. 3/06 -6.9%

1:50pm CST - Well 5 losers in a row certainly sucks. Let's see, at a 40% lose rate in backtesting, 0.4^5 = 1% odds of this happening (in theory, not reality).
RESULTS FOR DAY
CL Contracts:10
Net $P/L: -1162
Wins: 0
Losses: 5
Win%:0
Avg$Win: 0
Avg$Loss: -232

Monday, March 5, 2018

Mon. 3/05 +3.6%

1:35pm CST -
RESULTS FOR DAY
CL Contracts:12
Net $P/L: 589
Wins: 4
Losses: 2
Win%:67
Avg$Win: 282
Avg$Loss: -269

Friday, March 2, 2018

Fri. 3/02 +2.8%

2:05pm CST - Good to bounce back a bit after yesterday. Still a game of ticks! For the week, mostly a scratch, net -$138.
RESULTS FOR DAY
CL Contracts:8
Net $P/L: 446
Wins: 3
Losses: 1
Win%:75
Avg$Win: 292
Avg$Loss: -429

In other news, found this Excel file I had done a long time ago. It's good to remember how easy it is to see patterns and trends in completely random data!  (Open in Excel and hit F9 to repopulate Chart2)

Thursday, March 1, 2018

Thurs. 3/01 -6.5%

1:50pm CST - Decided to trade 2 lots for March.  The day started nicely but then ended with 4 decent losers in a row.  This was an unusually volatile day in CL, judging from the number of signals I got. I traded them all perfectly but it still sucked to sit through the last 4.  Not much you can do. Tomorrow is a new day.
RESULTS FOR DAY
CL Contracts:20
Net $P/L: -1085
Wins: 4
Losses: 6
Win%:40
Avg$Win: 312
Avg$Loss: -389

Wednesday, February 28, 2018

February Trading Summary +3.8%

Net breakdown (contracts traded):
CL +$1097(49), YM -$475(6)
RESULTS FOR FEBRUARY
Contracts:55
Net $P/L:622
Wins:33
Losses:22
Win%:60
$Commissions:213
Avg$Win:130
Avg$Loss:-167

Wed. 2/28 +2.1%

2:34pm CST -  Not bad +$1097 net after the first 14 live trading days and 49 trades with CL system. Performing about as expected so far. 
RESULTS FOR DAY
CL Contracts:4
Net $P/L: 344
Wins: 3
Losses: 1
Win%:75
Avg$Win: 116
Avg$Loss: -4

Tuesday, February 27, 2018

Tues. 2/27 +0.0%

1:35pm CST - Scratch day thanks to some lucky fills.
RESULTS FOR DAY
CL Contracts:5
Net $P/L: 0
Wins: 3
Losses: 2
Win%:60
Avg$Win: 79
Avg$Loss: -119