July Trading Summary

Net breakdown:
ZS $2809

RESULTS FOR JULY
Contracts:	209
Net $P/L:	2809
Wins:	42
Losses:	38
Win%:	53
$Commissions:	1078
Avg$Win:	291
Avg$Loss:	-248

SYSTEM NET $P/L
ZSRO:	2726
ZSMAG:	-56
ZSDOE:	139
Discretionary:	0

Fri. 7/29

2:05pm CDT - Good end to the week and month! 1 winner in all 3 systems today. I did make one mistake that cost me 2 ticks when I set a target limit order in wrong spot. To err is human! For the week, net gain of $861.

Net breakdown (contracts traded):

ZS $784(8)

RESULTS FOR DAY
Contracts:	8
Net $P/L:	784
Wins:	3
Losses:	0
Win%:	100
Avg$Win:	26
Avg$Loss:	0

No offense, but it turns out my readers aren't as smart as I thought you all were! IE users have lower IQs.

Thurs. 7/28

1:40pm CDT - Another tough day and results show it this time. Losers in DOE and RO. Only "winner" was a measly 2 ticks in ZSDOE.

Net breakdown (contracts traded):

ZS -$724(12)

RESULTS FOR DAY
Contracts:	12
Net $P/L:	-724
Wins:	1
Losses:	3
Win%:	25
Avg$Win:	60
Avg$Loss:	-262

Wed. 7/27

1:25pm CDT - Tough day at the office. 2 losers in ZSRO ends the streak there. Mess ups followed after that as I missed a ZSMAG signal so I got in late on a retrace and ended up with same result. Good right? Not really as that isn't part of my system. Then mid-morning I completely missed a signal that would have been a 3-lot, 2 cent, $285 winner. Finally, had 2 winners in ZSDOE but on one I only got filled on 1 contract instead of 3. So it was a green day hypothetically but not in reality. Such is trading...

Net breakdown (contracts traded):

ZS -$30(13)

RESULTS FOR DAY
Contracts:	13
Net $P/L:	-30
Wins:	3
Losses:	2
Win%:	60
Avg$Win:	159
Avg$Loss:	-253

Tues. 7/26

1:25pm CDT - ZSRO is on a winning streak* with another solid winner. The other two systems were mixed today with a win and loss each plus a botched entry that I exited at par (officially records as a loss with commissions).
* knock on wood

Net breakdown (contracts traded):

ZS $398(15)

RESULTS FOR DAY
Contracts:	15
Net $P/L:	398
Wins:	3
Losses:	3
Win%:	50
Avg$Win:	295
Avg$Loss:	-162

Mon. 7/25

1:30pm CDT - 2 for 3 today with winners in ZSMAG and ZSRO. DOE was a dog with a quick spike to stop me out. Oh well. Not bad for a Monday.

Net breakdown (contracts traded):

ZS $439(7)

RESULTS FOR DAY
Contracts:	8
Net $P/L:	434
Wins:	2
Losses:	1
Win%:	67
Avg$Win:	337
Avg$Loss:	-240

Fri. 7/22

1:20pm CDT - Nice way to end the week with a winner in each system! Technically, the ZSMAG trade would have been a loser as it hit target but didn't fill me so I moved target down a tick so it would fill. It would have eventually stopped me out if I hadn't adjusted that. "Don't be a dick for a tick," they say! Results for the week, net gain of $1318.

Net breakdown (contracts traded):
ZS $934(8)

RESULTS FOR DAY
Contracts:	8
Net $P/L:	934
Wins:	3
Losses:	0
Win%:	100
Avg$Win:	311
Avg$Loss:	0

Thurs. 7/21

1:30pm CDT - Slow day but a winner in ZSRO and another in ZSDOE. Not sure if it's the market or the dog days of summer but I'm feeling sleepy.

Net breakdown (contracts traded):
ZS $757(6)

RESULTS FOR DAY
Contracts:	6
Net $P/L:	757
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	378
Avg$Loss:	0

Wed. 7/21

1:25pm CDT - A winner in ZSRO for $585, 3 losers in ZSMAG for -$979 and 2 winners in ZSDOE for $419. I should have been up another $210 but I missed a signal in DOE. I'll blame it on the current 107 deg. F heat index in Chicago! Never mind that I have the A/C on!

Net breakdown (contracts traded):

ZS $25(17)

RESULTS FOR DAY
Contracts:	17
Net $P/L:	25
Wins:	3
Losses:	3
Win%:	50
Avg$Win:	335
Avg$Loss:	-326

Tues. 7/19

1:25pm CDT - 2 losers in ZSRO. A winner and loser in ZSMAG for a tiny loss there. And a winner and 2 losers in ZSDOE for a loss there. All in all, a loser of a day.

Net breakdown (contracts traded):
ZS -$816(20)

RESULTS FOR DAY
Contracts:	20
Net $P/L:	-816
Wins:	2
Losses:	5
Win%:	29
Avg$Win:	325
Avg$Loss:	-293

Mon. 7/18

1:25pm CDT - A winner finally in ZSRO and a loser in ZSDOE is all I got today.

Net breakdown (contracts traded):

ZS $419(6)

RESULTS FOR DAY
Contracts:	6
Net $P/L:	419
Wins:	1
Losses:	1
Win%:	50
Avg$Win:	584
Avg$Loss:	-164

Fri. 7/15

1:25pm CDT - 2 losers in ZSRO again. A loser in ZSMAG and a winner in ZSDOE. What the systems made last week, they lost this week. Net loss for the week of -$1890.

Net breakdown (contracts traded):
ZS -$599(12)

RESULTS FOR DAY
Contracts:	12
Net $P/L:	-599
Wins:	1
Losses:	3
Win%:	25
Avg$Win:	210
Avg$Loss:	-270

Thurs. 7/14

1:35pm CDT - Losers in ZSRO again. Loser and a tiny winner in ZSDOE.

Net breakdown (contracts traded):
ZS -$699(12)

RESULTS FOR DAY
Contracts:	12
Net $P/L:	-699
Wins:	1
Losses:	3
Win%:	25
Avg$Win:	60
Avg$Loss:	-253

Wed. 7/13

1:20pm CDT - ZSRO sucked wind again with 2 losers. ZSMAG had no signals and 1 small winner in ZSDOE.

Net breakdown (contracts traded):
ZS -$341(8)

RESULTS FOR DAY
Contracts:	8
Net $P/L:	-341
Wins:	1
Losses:	2
Win%:	33
Avg$Win:	140
Avg$Loss:	-240

Tues. 7/12

2:05pm CDT - 2 losing trades in ZSRO system, 2 winners in ZSMAG and 1 winner in ZSDOE. Both MAG and DOE normally have R:R of 1.0 and I expect them to average 55-60% winners. This will help smooth out the equity curve if nothing else since ZSRO is closer to 35% and a 2.4 R:R.

Net breakdown (contracts traded):

ZS $213(12)

RESULTS FOR DAY
Contracts:	12
Net $P/L:	213
Wins:	3
Losses:	2
Win%:	60
Avg$Win:	231
Avg$Loss:	-240

Mon. 7/11

1:35pm CDT - ZSMAG did good today with 3 winners out of 4 tries for $389 net. But ZSRO and ZSDOE both had 2 losers each to weigh the day down in red. But at least I can go get a free Slurpee! It's 7-Eleven Day!

Net breakdown (contracts traded):
ZS -$463(17)

RESULTS FOR DAY
Contracts:	17
Net $P/L:	-463
Wins:	3
Losses:	5
Win%:	38
Avg$Win:	241
Avg$Loss:	-237

Fri. 7/08

1:45pm CDT - 1 winner in each system today. I can handle results like that quite well. Results for the week, net gain of $1795.

You can see how ZSRO system has had a string of nice trades this week. It's still in drawdown but looking okay. Past update more than a month ago here.

Net breakdown (contracts traded):
ZS $882(6)

RESULTS FOR DAY
Contracts:	6
Net $P/L:	882
Wins:	3
Losses:	0
Win%:	100
Avg$Win:	294
Avg$Loss:	0

Thurs. 7/07

2:25pm CDT - 2 signals in my ZSRO system, none in the others. Quiet day.

Net breakdown (contracts traded):

ZS $344(6)

RESULTS FOR DAY
Contracts:	6
Net $P/L:	344
Wins:	1
Losses:	1
Win%:	50
Avg$Win:	585
Avg$Loss:	-240

Wed. 7/06 CME K Algo

1:45pm CDT - I'm realizing I need names for my ZS systems. Going forward, my original core ZS system which I've been posting about for awhile now, will be known as ZSRO. My 2 new systems will be known as ZSMAG and ZSDOE. These are abbreviations that don't really mean anything but will allow me to keep them straight when I report on results. Ironically, since I reduced size in ZSRO, I've had 3 winners in a row. So although I'm not missing all the equity curve bounce back as I have in past when I quit trading after a drawdown, I'm still missing some of it. But I'm okay with this as it frees up some risk for the other systems. Also had a winner in ZSDOE and a loser in ZSMAG today.

Net breakdown (contracts traded):

ZS $439(7)

RESULTS FOR DAY
Contracts:	7
Net $P/L:	439
Wins:	2
Losses:	1
Win%:	67
Avg$Win:	362
Avg$Loss:	-285

You learn something everyday. CME was able to enlighten me regarding my slow fill on Friday. Turns out, grains do not operate under the F algorithm (FIFO) but under K instead. F seems to be the rule for everything else I’ve traded: ES, CL, 6E, etc.

CME’s response:
-----------------------
Grains operate on the K algorithm, which has multiple steps. All three of your orders were resting when acted upon, and due to their small size they were most likely not eligible for the Pro Rata portion of the match. They may have been filled in FIFO (either the initial portion of the algorithm or the last step of the algorithm), or they may have been filled during the Pro Rata Leveling step (just before the last FIFO step in the algorithm). What step your orders were filled in is not publicly or privately disseminated.

Orders entered after you do not jump ahead of you in terms of time, however they may get filled during the Pro Rata portion of the algorithm if they are of sufficient size and percentage participation. Orders entered at a different price likewise do not affect your match.

Split FIFO/Pro-Rata Algo:
The Split FIFO/Pro-Rata algorithm (K) is a hybrid which integrates a percent-based allocation on both a FIFO and Pro-Rata formula to the resting order book. This algorithm has been developed with the flexibility to calibrate the level of tradable quantity that is allocated on a FIFO and pro-rata basis (X% FIFO, Y% pro-rata for every tradable quantity).

Additionally, an order that does not receive an allocation during the Pro-Rata stage is eligible for a one lot fill through pro-rata leveling. The allocations for this component are prioritized for orders with the largest remaining quantity. If multiple orders have the same remaining quantity time priority will be the determining factor.

This algorithm can also incorporate a TOP order and LMM components before the FIFO and pro-rata allocations are calculated.

The Split FIFO/Pro-Rata algorithm follows these stages to match trades:
- Assigns a TOP order percent allocation (with min and/or max)
- LMM may be applied
- FIFO percent may be configured from 0 to 100%
- Pro-rata with min may be configured from 0 to 100%
- Pro-rata leveling
- FIFO for any residual quantity

You can find quite a bit of information on our website under the header: Electronic Trading, then click Introduction to CME Globex. http://www.cmegroup.com/globex/introduction/
At the drop-down menu underneath the heading "Platform Overview" please look for the menu item called "Matching Algorithms." At that section the various algos are described.

If you choose the drop-down menu item “Price Banding”, you'll see the highlighted link for the price banding document: http://www.cmegroup.com/globex/files/PriceBanding.pdf. Matching algorithms are available on this document.

Tues. 7/05

1:35pm CDT - I have started trading 2 additional ZS systems and will be keeping size small for awhile until they prove worthy of more. I'm still working out some of the specific entry/exit rules on the 1 system but have most scenarios worked out. Stopped out to the tick on 1 trade otherwise it would have been a nice day.

Net breakdown (contracts traded):

ZS $131(11)

RESULTS FOR DAY
Contracts:	11
Net $P/L:	131
Wins:	2
Losses:	3
Win%:	40
Avg$Win:	337
Avg$Loss:	-181

Fri. 7/01

2:00pm CDT - As per the end of month review of trading plan, I’m cutting back size on my ZS system. From 8 lots to 3 lots. I would drop down to just 6 lots/trade but since I will soon be trading a couple other strategies, I need to be able to reduce overall risk to prevent any really ugly days. Of course this limits the upside too but if things go well, July’s end of month review may call for increasing size? I’m down net $21k so far this year and plan to end in the black. One day at at time...

One of today’s trades was troubling and I haven’t heard back yet from my broker as to why. It didn’t affect my P/L but I had to wait longer than I thought I should have to get completely filled. If anyone has any ideas, let me know.

Net breakdown (contracts traded):
ZS $724(5)

RESULTS FOR DAY
Contracts:	5
Net $P/L:	724
Wins:	2
Losses:	0
Win%:	100
Avg$Win:	362
Avg$Loss:	0