February Trading Summary

Net breakdown (contracts traded):
6E $1112(3), ZS $190(2), NQ -$250(17), CL $21(52)

RESULTS FOR FEBRUARY
Contracts:	74
Net $P/L:	1070
Wins:	36
Losses:	35
Win%:	51
$Commissions:	277
Avg$Win:	123
Avg$Loss:	-96

Fri. 2/20

2:05pm CST - EDIT - Updated below table for a Euro system trade that came after my earlier post. I actually messed up and traded a 2-lot instead of 1 and got 10 more ticks/contract than I was supposed to.  I'll take it!
-----------------------------
10:50am CST - Well that was as frustrating a day as they come. Once again my overall MFE was greater than MAE (only by +4 ticks today). Back to the drawing board for next week or two.

Net breakdown (contracts traded):
CL -$385(9), 6E $416(2)

RESULTS FOR DAY
Contracts:	11
Net $P/L:	31
Wins:	5
Losses:	5
Win%:	50
Avg$Win:	104
Avg$Loss:	-98

In other news, Female Investors Often Beat Men and
Forex Trading is Far More Hazardous to your Wealth than Commonly Believed.

Thurs. 2/19

2:25pm CST - Well I needed a day like today trading this system to reveal its weakness. Lower timeframe signals got mostly caught in the chop and the whippy price action didn't help matters. Higher timeframes did not fire off any signals.  The Stage 5 Trade Analyzer data was telling too. Unacceptable to have overall higher MFEs than MAEs and come out with a losing day.

RESULTS FOR DAY
CL Contracts:	17
Net $P/L:	-575
Wins:	6
Losses:	11
Win%:	35
Avg$Win:	113
Avg$Loss:	-114

Wed. 2/18

1:35pm CST - Day turned out okay after missing an early trade in the March contract because broker prematurely set that to "liquidation only" a day earlier than normal. No harm done in this case on rollover day.

RESULTS FOR DAY
CL Contracts:	4
Net $P/L:	315
Wins:	4
Losses:	0
Win%:	100
Avg$Win:	79
Avg$Loss:	0

Tues. 2/17

1:50pm CST - Opportunity galore today.

RESULTS FOR DAY
CL Contracts:	6
Net $P/L:	317
Wins:	4
Losses:	2
Win%:	67
Avg$Win:	139
Avg$Loss:	-119

Fri. 2/13

1:25pm CST - For the week, net +$539.

RESULTS FOR DAY
CL Contracts:	4
Net $P/L:	265
Wins:	3
Losses:	1
Win%:	75
Avg$Win:	116
Avg$Loss:	-84

Thurs. 2/12

2:00pm CST -

RESULTS FOR DAY
CL Contracts:	4
Net $P/L:	235
Wins:	3
Losses:	1
Win%:	75
Avg$Win:	116
Avg$Loss:	-114

In other news, hedge funds underperform because investors are irrational.

Wed. 2/11

2:10pm CST - Traded a CL strat today I've been working on. Have some things to work out with the rules but nothing like live trading to show you where the deficiencies are.

RESULTS FOR DAY
CL Contracts:	8
Net $P/L:	-151
Wins:	4
Losses:	4
Win%:	50
Avg$Win:	84
Avg$Loss:	-121

Tues. 2/10

2:15pm CST - Crop Report trade plus a fat finger entry I exited right away.  I hate making dumb errors like this.  I normally close my DOM or set quantity to zero when I'm not trading to avoid this but didn't today and happened to accidentally clicked on "market buy" part of DOM.

RESULTS FOR DAY
ZS Contracts:	2
Net $P/L:	190
Wins:	1
Losses:	1
Win%:	50
Avg$Win:	208
Avg$Loss:	-17

Fri. 2/06

2:00pm CST - 1 system trade that was painful to watch in the afternoon as it came just a few ticks from target but wouldn't quite get there.  So I took it off early, instead of the pit close* where my system calls for an exit when neither stop or target is hit.  (*Won't be able to say that much longer.)

RESULTS FOR DAY
6E Contracts:	1
Net $P/L:	696
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	696
Avg$Loss:	0

For weekend viewing, this is a great clip.

Tues. 2/03

4:00pm CST - Bad testing day today in NQ. Plus I missed a $220 Euro system trade this morning because I was in the kitchen when it signaled.

RESULTS FOR DAY
NQ Contracts:	14
Net $P/L:	-355
Wins:	3
Losses:	9
Win%:	25
Avg$Win:	71
Avg$Loss:	-63

In other news, just noticed when my P/L was slightly off that CME fees changed on Feb. 1st. We are paying a penny more per side for the E-minis and looks like 2 pennies for the YM.

Mon. 2/02

2:35pm CST - Continuing with NQ system testing this week and monitoring/incubating the TF system for the time being.  And still trading the 6E system in the rare cases it actually signals a trade!
Happy Groundhog Day! 19" of snow in Chicago over past 36 hours making this the 5th biggest snowstorm on record. It's a mess out there!

RESULTS FOR DAY
NQ Contracts:	3
Net $P/L:	105
Wins:	2
Losses:	1
Win%:	67
Avg$Win:	104
Avg$Loss:	-103

January Trading Summary

Net breakdown (contracts traded):
6E $759(4), TF -$116(5), NQ $102(15)

RESULTS FOR JANUARY
Contracts:	24
Net $P/L:	744
Wins:	14
Losses:	10
Win%:	58
$Commissions:	81
Avg$Win:	159
Avg$Loss:	-148

Fri. 1/30

3:35pm CST - Tested out another system today that trades more frequently, especially on days like today.

RESULTS FOR DAY
NQ Contracts:	15
Net $P/L:	102
Wins:	9
Losses:	6
Win%:	60
Avg$Win:	57
Avg$Loss:	-68

Thurs. 1/29

3:20pm CST - Well I either need to sh!t or get off the pot! I still haven't fully committed to trading my TF system but have taken a few signals this week to feel things out. Perhaps I'm just waiting for a new month to start.  This has resulted in a nice missed winner yesterday and today.  I nearly took today's but didn't like the location (near resistance). System trading requires taking ALL signals, no human bias allowed. 

RESULTS FOR DAY
TF Contracts:	3
Net $P/L:	-110
Wins:	1
Losses:	2
Win%:	33
Avg$Win:	197
Avg$Loss:	-153

In other news, I was surprised to read this yesterday that FXCM is joining with Gain and others to forgive "most" of the negative balances from the SNB announcement.  What surprised me is that they still plan to go after higher net worth individuals!  I wonder what net worth qualifies this determination?  And is it based only on your account history (max. balance) or does your net worth stated on account application come into play?  Something to think about if/when I sign up for my next account someday.

Tues. 1/27

3:05pm CST -

RESULTS FOR DAY
TF Contracts:	1
Net $P/L:	127
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	127
Avg$Loss:	0

Mon. 1/26

2:50pm CST - 1 system trade in TF today. Not ready to go live yet but wanted to test. Have an issue with slightly different signals between my OEC programming vs. NinjaTrader.  This always seems to be a problem when you don't use minute-based bars.

RESULTS FOR DAY
TF Contracts:	1
Net $P/L:	-133
Wins:	0
Losses:	1
Win%:	0
Avg$Win:	0
Avg$Loss:	-133

Thurs. 1/22

2:40pm CST - I like system trading days like this one. Thanks Mario.

RESULTS FOR DAY
6E Contracts:	2
Net $P/L:	1167
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	583
Avg$Loss:	0

Wed. 1/21

3:55pm CST - One 6E system trade loser today after the morning spike down triggered a short, followed by a 100+ pip spurt higher to take out all the stops including mine!  Still coding systems mostly and getting frustrated with Ninjatrader performance, my CPU's power, or my ability to write efficient code, not sure which.  I'm also experimenting with automating system fills in OEC but that's a whole other can of worms I'm not sure I should be considering.

RESULTS FOR DAY
6E Contracts:	1
Net $P/L:	-629
Wins:	0
Losses:	1
Win%:	0
Avg$Win:	0
Avg$Loss:	-629

Weekend Viewing

Weekend viewing:

RISK: (why most people can't be traders)


FIBONACCI: (made with 3D Printer - click Vimeo logo to learn more)

Futures Extreme

Today's move by the Swiss central bank to remove a cap on their currency reminds us all what can happen. Over $30,000 move per contract in less than a half hour.  Odds are someone in the world was short with too much leverage and no stop in place.  And vice versa!

Wed. 1/14

5:40pm CST - One 6E system trade to start off the month and year on the right food.  I was kicking myself yesterday as I watched my new TF system make $2300, if only I had been trading it!

RESULTS FOR DAY
6E Contracts:	1
Net $P/L:	221
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	221
Avg$Loss:	0

The Way Forward

2:45pm CST - As mentioned end of last year, the way forward for me has to include system trading. I know myself well enough and have enough history of my trading to conclude this is the least painful way to get my equity curve rising again.  I could be envious of the discretionary traders out there who seem to post winning days endlessly but what point is there in that?  Good for them. I wish them continued success, except for times they may coincidentally be on the other side of my trades!

I've been doing a lot of Ninjatrader strategy coding and continue to improve. I never run out of ideas but it's so rare to find anything that produces some results with good merit.  And that sometimes causes frustration and/or procrastination when backtested results, after days of work, are almost always bad.  But you just have to keep moving ahead to find a gem.

My main criteria for "good merit" includes:  decent Profit Factor (usually >1.5), low Drawdown, high NetProfit to Drawdown ratio (usually >2) for all 1-year periods, sufficiently high Average Trade Profit to overcome slippage/commissions, and of course, a decent looking profit curve.  Lots of intangibles come into consideration too like how robust the system seems to be with various tweaks and optimizations to the variables as well as different timeframes.

I hope to start trading again soon and I may be adding TF back into the mix. More work to do tweaking my latest system but these results look good enough for me.

The monthly crop report was today and I resisted the urge to trade that (I don't have a system for it). The first minute or so was not for the faint of heart...

Range

I've updated my spreadsheet which shows the daily range covered by various symbols in the same 2-hour period each day, 8:30-10:30 AM Central Time.  If anyone wants a copy of the data, email me and I'll send you the Excel file.

Gold lost some of its movement last year and TF and NQ moved around significantly more on average compared to 2013.

Retail Forex

The ugly truth about this industry.  I couldn't agree more with this:
"Obliging operators to disclose more about the performance of their clients — such as average returns and churn rates — would help, too."
Same goes for FCMs too, not just Forex!

From:  More scrutiny needed of retail forex trading platforms
------------------------------------------------------------------------------------------------------
...
retail foreign exchange trading accounts for some 6 per cent of global daily forex volumes, or about $300bn.
....
According to the Autorité des Marchés Financiers in France, nearly nine-tenths of the clients it surveyed over four years lost money, with the average loss being almost €11,000. Worse, the AMF concluded that there was no correlation between trading experience and making money. The most active and regular punters simply saw their losses pile up steadily over time.

This is not entirely incidental to the way in which platforms conduct their business. Punters are encouraged to leverage their stake several hundred times its underlying value. Ratios of 200:1 are not uncommon, with more aggressive operators going as high as 500:1.

High leverage may provide investors with the opportunity to magnify gain in the case of a winning trade. But it also means that only a tiny adverse shift in exchange rates can wipe them out.

The trading platforms tilt the odds further by urging clients to put stop-losses on their bets. The consequent blend of market volatility and high leverage means that many trades are stopped early, even if the investor’s underlying view of rates is correct.

Heavy client losses help make platforms profitable. Most operators run flat books overall, simply pocketing the spread from each punter. Plus500, for instance, boasts a pre-tax profit margin of nearly 70 per cent.

But it also requires operators constantly to replenish the legions of burned-out clients. In its interim statement last year, Plus500 put its active client base at 67,000, but said it was adding 5,500 customers a month.

To fill these gaps, operators rely on affiliates. Some make use of so-called “educators” to provide a steady stream of ingenues. Lulled by images of helicopters and beach houses, potential investors are persuaded that “trading skill” will allow them to make a killing. Yet many of these “educators” earn their living from referral fees rather than trading.

It is not the function of the regulator to keep a fool and his money from being parted, but a few steps could offer a more realistic prospectus to the would-be client. Capping leverage would prevent platforms from cynically gearing punters with a view to profiting from volatility. The US has done this, operating a 50:1 limit since 2010. Significantly, much of the growth in the market has occurred elsewhere.

Obliging operators to disclose more about the performance of their clients — such as average returns and churn rates — would help, too.

None of this will stop more hapless souls from taking the plunge, but it might put a little more grit into the machinery. It would at least alert investors to the quality of companies they are increasingly being invited to back.

2014 Trade Analysis

This was the worst year I've had in quite awhile.  Overall, I took a hit of -$19,344 or -45% of my trading equity at the start of the year.

Delving into the data...

The only symbol, 6E, that I was positive on I primarily system traded. That should tell me something!

Avg. Time in a trade doesn't show much really other than that I'm either very short term focused, get stopped out pretty quickly, or both.

These show that I did tighten up my risk a bit as my drawdown got deeper throughout the year. That -24 lot position was on ES early in the year. Don't ask!

Deja vu from past years, trades held for less than 5 or 6 minutes are generally losers and get stopped out.  I don't recall seeing a pattern before but the 2nd chart below, shows that I consistently lost any trade I put on before 11am. Perhaps I trade slightly better during the quieter parts of the day?

Overall my take away is that I'm a lousy discretionary trader. I've had this conclusion before and can't say it ever fully sinks in but the facts don't lie. My sole system I traded this year was in 6E which was the only symbol I made money. For this reason, my focus in 2015 will be system trading. Since the start of this blog, my equity high was just over $90k in 2011 and I am down 74% from that point. A sobering fact but one that does not scream RUN AWAY, to me anyways! I am eternally optimistic, perhaps to a fault, and know that past performance is just that, PAST. That said, my leash is now much shorter which makes trading success that much harder to accomplish. I'm no longer that well capitalized but continue to trade with money I do not need anytime soon.  Does 2015 have to be my year to turn things around?  Maybe. Time will tell.  More on plans forward after the new year. I'll likely be coding Ninjascript with a hangover tomorrow!

Quarter 4 2014 Trading Results

December Trading Summary

Net breakdown (contracts traded):
6E $184(4), ZS $247(3), CL -$873(48)

RESULTS FOR DECEMBER
Contracts:	55
Net $P/L:	-443
Wins:	23
Losses:	32
Win%:	42
$Commissions:	216
Avg$Win:	135
Avg$Loss:	-111

Wed. 12/31

10:30am CST - Fitting end for my atrocious year.  Another losing month and closing out the year at my equity lows.  The goal was just to make $130 today to close breakeven for the month.  I would have accomplished that if not for the spike which took out my short.  No psychological victories to be handed out by CL today.  Onto next year!

RESULTS FOR DAY
CL Contracts:	8
Net $P/L:	-321
Wins:	3
Losses:	5
Win%:	38
Avg$Win:	69
Avg$Loss:	-106

Wed. 12/17

2:00pm CST - Just 1 short 6E system trade at end of day. Been working on system R&D and plan for next year.

RESULTS FOR DAY
6E Contracts:	1
Net $P/L:	221
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	221
Avg$Loss:	0