Hello all! Since I haven't posted anything here before, I figure a short background is in order: basically, I've been trading CL for a few months on sim, trying to develop a strategy that worked well for me. I eventually found one that I felt comfortable with, and tested it with historical data as well as live data to see whether or not it would continue to work well for me before trading with actual money. Friday (June 7, 2013) was my first day trading live; and I've run into a few problems along in the short period of time that's elapsed since then. Hopefully, posting this will help keep me accountable to myself, and I more than welcome and advice that those of you more experienced than I may have.
As you may have guessed, the problem that I ran into was not one with my strategy, but with me. I found that I am more reluctant to enter trades when my strategy tells me to when I am live than when I am in sim.
Here's the setup I'm using:
Basically, my signal to go long is the black line (EMA) crossing above the yellow/salmon/blue line (ADXVMA). Short is the EMA crossing under the ADXVMA. My rules for closing a position are a little less rigid; it's either when the price touches the EMA, when the EMA crosses the ADXVMA again, or when I'm happy with how the trade has gone and want to take my profit. The Aggregated Time and Sales I try to use to avoid getting stuck in choppy range areas, and I'll get to that more a bit later. I also have a SuperTrend indicator on, though it doesn't play a huge part in my strategy; it can occasionally provide confirmation.
Anyway, let me get to some examples of the troubles that I've been having.
This chart shows the first two trades I made live:
The green area, marked "1," is my signal to go short. However as you can see, that's not what I do immediately. Instead, I wait a little while, meaning that I catch the very tail end of the run and only break even (technically losing money because of commission). Had I gone short as my rules told me, I'd have done much better.
Next up is the orange area, where the price is moving around in a range. I don't really like to trade these, and I try to use the T&S indicator to avoid trading them; however it's not perfect.
The next signal I get is labeled "2," to go long. Instead, I wait until about 3 minutes later, at "3". Granted, I do take 6 ticks, but it's still disappointing compared to the around 50 I would have made had I followed my rules.
Here's the next trade:
Two problems with this one: first, I wait to get in, going long at "5" instead of "4". Second, I get out way too quickly. I only make 1 tick on the trade, compared to more than 100 if I had followed my strategy (the run continues across to the next screenshot I have). Very disappointed with myself about this one.
Next up is the biggest winner I had this day:
This trade came on the heels of missing the entry on this large run. I made about 23 ticks with "6," though it was not ideal considering that I should have entered much much sooner.
Here's the only trade of the day that didn't at least break even, along with another one that I'm not too happy with:
First of all, I should have bought at "7." That being said, I placed my order at "8," and for whatever reason was not filled until 3 bars later, at a price about 8 ticks higher than I'd intended. Since I hesitated and didn't get the beginning of the run (though it was small), I wound up losing 7 ticks. Lesson learned from this one: market orders are bad when the market is moving very quickly. My best guess is that I anticipated the run continuing a lot longer than it actually did - with no real basis - and just wanted to get filled.
After that, I should have bought, as my rules said, at "9." However I once again waited, and bought 2 minutes later at "10," when a majority of the run was over; then, I got worried that I would lose the same way I did with the previous trade, …