Quarter 2 2011 Trading Results

June Trading Summary

Net breakdown:
ZS -$7158

RESULTS FOR JUNE
Contracts:	314
Net $P/L:	-7158
Wins:	10
Losses:	30
Win%:	25
$Commissions:	1620
Avg$Win:	1379
Avg$Loss:	-698

Thurs. 6/30

2:25pm CDT - And so ends the month, quarter, and 1st half of 2011. Lots of catching up to do in the 2nd half to get back to at least breakeven on the year.

Net breakdown (contracts traded):
ZS -$1555(18)

RESULTS FOR DAY
Contracts:	18
Net $P/L:	-1555
Wins:	0
Losses:	3
Win%:	0
Avg$Win:	0
Avg$Loss:	-518

Wed. 6/29

1:50pm CDT - Nothing but 2 losers today. I'm getting more excited about adding a couple more systems in July as I see the signals form in real-time. Still lots more backtesting needed over the long upcoming weekend. FYI, I finally got a chance to respond to some comments from Thursday's post.

Net breakdown (contracts traded):
ZS -$1283(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	-1283
Wins:	0
Losses:	2
Win%:	0
Avg$Win:	0
Avg$Loss:	-641

Tues. 6/28

1:15pm CDT - Missed a $1500 trade this morning (was out and about) but did catch 1 winner and a loser after I got back to salvage the day. Missed all of yesterday too but that was actually a good thing as my system would have produced two stop-outs! I'm behind on comments but hope to catch up on that front soon.

Net breakdown (contracts traded):
ZS $517(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	517
Wins:	1
Losses:	1
Win%:	50
Avg$Win:	1159
Avg$Loss:	-641

Fri. 6/24

10:50am CDT - Quick 2 system trades as I head out the door. Messed up the loser as my stop limit didn't let me out and I got out much worse than I should have. Scratch day. For the week, net loss of -$3554.

Net breakdown (contracts traded):
ZS $17(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	17
Wins:	1
Losses:	1
Win%:	50
Avg$Win:	1759
Avg$Loss:	-1741

Thurs. 6/23

12:55pm CDT - The streak bottomed out after the first trade today at 14 losers in a row, same as in March. It's a mind numbing occurrence when a streak like this happens but it is about the maximum number of losers in a row that should occur with my system. Or am I just unlucky!!!??!

Here's how you can figure out your expected maximum losing streak:
Streak = ln(1/#trades)/ln(losing%). ln = natural log, found on most scientific calculators
Streak = ln(1/500) / ln(.65) = -6.21/-.43 = 14.4 or round up to 15 losers in a row expected in a sample of 500 trades (over a year's worth for my system). Even a system that wins 50% of the time can have a string of 9 losers in a row.

I may or may not be able to trade for the next few trading days due to other commitments so if you don't see a post, that is why. Of course with my luck, any system trades I am not around to take will likely be winners!

Net breakdown (contracts traded):
ZS $917(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	917
Wins:	1
Losses:	1
Win%:	50
Avg$Win:	1559
Avg$Loss:	-641

Wed. 6/22

1:20pm CDT -

Net breakdown (contracts traded):
ZS -$1283(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	-1283
Wins:	0
Losses:	2
Win%:	0
Avg$Win:	0
Avg$Loss:	-641

Tues. 6/21

1:30pm CDT - 11 in a row.... Last time I quit trading my ZS system (in March) it was 14 in a row. And as blog followers know, system rebounded to new highs after that. It seems I am to be put to the test yet again as my equity hit a new low on the year today, just below $60k.

Net breakdown (contracts traded):
ZS -$1283(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	-1283
Wins:	0
Losses:	2
Win%:	0
Avg$Win:	0
Avg$Loss:	-641

Mon. 6/20

1:50pm CDT - I'm up to 9 losers in a row now. If ever I was due for a winner or two, the time is ripe. Technically, I made an extra trade today. I was watching both the N and X contracts as volume shifts to the X and one of losers in the N didn't fire in the X so I decided to take the next signal in the X. As with all trades, it could have gone the other way...

I'm getting close to starting trading in 1 or 2 other systems I've been working on. Need more backtesting time to feel confident but hope to be ready in July if the results pan out.

Net breakdown (contracts traded):
ZS -$1924(24)

RESULTS FOR DAY
Contracts:	24
Net $P/L:	-1924
Wins:	0
Losses:	3
Win%:	0
Avg$Win:	0
Avg$Loss:	-641

Fri. 6/17

12:30pm CDT - Not the week for my system but it's in the books. Grains are all rolling over. I will likely switch to the Nov. ZS next week as volume dictates. For the week, net loss of -$4222.

Net breakdown (contracts traded):
ZS -$1283(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	-1283
Wins:	0
Losses:	2
Win%:	0
Avg$Win:	0
Avg$Loss:	-641

Thurs. 6/16

1:00pm CDT - 2 trades, 2 losers again today. Nothing out of the ordinary for this system.

Net breakdown (contracts traded):
ZS -$1683(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	-1683
Wins:	0
Losses:	2
Win%:	0
Avg$Win:	0
Avg$Loss:	-841

Wed. 6/15

1:15pm CDT - The new norm in grains continues, ZW down 21 cents, ZC down 29 cents, ZS up 2 cents! Took my 2 system trades in the early chop and missed the fun later.

Net breakdown (contracts traded):
ZS -$1283(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	-1283
Wins:	0
Losses:	2
Win%:	0
Avg$Win:	0
Avg$Loss:	-641

Tues. 6/14

11:00am CDT - One trade on short side took awhile (as ZW and ZC plummeted) but eventually worked out. Beans seem to be the dog of the grains lately with corn and wheat swinging bigger swings. I guess if I cared about fundamentals I could find out why, but I don't.

Good article on HFT and the fairness of the markets. Nothing we didn't already know...

Net breakdown (contracts traded):
ZS $1559(8)

RESULTS FOR DAY
Contracts:	8
Net $P/L:	1559
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	1559
Avg$Loss:	0

Mon. 6/13

1:30pm CDT - If beans had behaved early in day like corn or wheat it would have been a good day. 2 stops with slippage instead.

Net breakdown (contracts traded):
ZS -$1533(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	-1533
Wins:	0
Losses:	2
Win%:	0
Avg$Win:	0
Avg$Loss:	-766

Fri. 6/10

12:00pm CDT - A late morning long in ZS was agonizingly slow to sit through but finally hit target 40 min. after entry. For the week, net gain of $4095.

CME said they have no plans to investigate a natural gas futures flash crash that occurred during normally illiquid Asian trading hours on Wed. A nearly 8% move took place in 5 seconds! Just another warning not to get caught without a stop. Can you imagine the slippage? Yikes.

Net breakdown (contracts traded):
ZS $767(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	767
Wins:	1
Losses:	1
Win%:	50
Avg$Win:	1509
Avg$Loss:	-741

Thurs. 6/09

1:15pm CDT - So close to another one winner day. But the "winner" ended up a breakeven trade as I was only filled on 2 contracts at my target (price didn't trade through) and I was stopped on remaining 6. Then on the next trade, I was stopped out to the tick as I then watched price hit my target. Markets move miles but this is a game of inches most days!

Net breakdown (contracts traded):
ZS -$658(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	-658
Wins:	1
Losses:	1
Win%:	50
Avg$Win:	59
Avg$Loss:	-716

Wed. 6/08

11:25am CDT - One and done again today. From the moves in grains, there was lots of potential to catch at least one 4+ cent move. Corn touched lock limit up (766.50).

I'm doing a trial of NinjaTrader with DTN:IQFeed data. So far I'm liking it and this would save me about $600/year over eSignal pricing. If anyone has anything they don't like about Ninja or IQFeed, I'd love to hear it.

Net breakdown (contracts traded):
ZS $1559(8)

RESULTS FOR DAY
Contracts:	8
Net $P/L:	1559
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	1559
Avg$Loss:	0

Tues. 6/07

11:10am CDT - One and done today.

Net breakdown (contracts traded):
ZS $1559(8)

RESULTS FOR DAY
Contracts:	8
Net $P/L:	1559
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	1559
Avg$Loss:	0

Mon. 6/06

1:25pm CDT - 1 for 2 today. Price dropped 18 cents after I exited my short but I executed my system flawlessly so no complaints.

Net breakdown (contracts traded):
ZS $867(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	867
Wins:	1
Losses:	1
Win%:	50
Avg$Win:	1508
Avg$Loss:	-641

Fri. 6/03

1:15pm CDT - 2 more losers today. Came within a tick of a profitable day on the one trade but it was not to be. For the week, net loss of -$3524.

Net breakdown (contracts traded):
ZS -$1283(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	-1283
Wins:	0
Losses:	2
Win%:	0
Avg$Win:	0
Avg$Loss:	-641

Thurs. 6/02

1:20pm CDT - 2 losers today. If only my system had caught part of the initial 20 cent move up in the first couple minutes, but it did not.

Net breakdown (contracts traded):
ZS -$1433(16)

RESULTS FOR DAY
Contracts:	16
Net $P/L:	-1433
Wins:	0
Losses:	2
Win%:	0
Avg$Win:	0
Avg$Loss:	-716

Wed. 6/01

11:10am CDT - Back to trading my old ZS system which takes a max of 2 trades a day. This gives me lots of time to work on other systems as well. Below is the performance over past 17 months and how impeccable my timing has been in trading the system. I don't remember exactly when I resumed trading it late last year as my results I record daily are mixed in with another ZS system I was trading at that time.

Net breakdown (contracts traded):
ZS $1559(8)

RESULTS FOR DAY
Contracts:	8
Net $P/L:	1559
Wins:	1
Losses:	0
Win%:	100
Avg$Win:	1559
Avg$Loss:	0