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Trade statistics spreadsheet - suggestions?


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Trade statistics spreadsheet - suggestions?

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  #1 (permalink)
 Gary 
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Hey everyone,

I am still fairly new to the CL, but like what I see as compared with the ES and ZN, and thus have been focusing much of my attention on this instrument for the last couple of weeks.

Something I started doing (which was long overdue) is keeping a basic spreadsheet with the following information:

Time / Entry / MAE / Max Pullback / MFE / Notes / $ / T-CT (trend or counter)

Example from today's CL:

8:03 CST / 65.16 / 8 / 12 / 49 / ATM stop / $360 / T

Now, with this particular trade, it went as much as 8 ticks against me, and during this trade, the largest pullback was 12 ticks. When I say 49 for the MFE, I mean, what is the maximum number of ticks I could have got from this trade. One contract would have net me $360 or 36 ticks based on the latest ATM I am using with a trailing stop, and this was with the larger trend.

I will record these settings for every time my setup occurs. I am currently starting a 10 tick stop, and thus the maximum MAE will be 10 for tracking purposes.

The idea is to gather several days/weeks/months of data and then change my stop/target/ATM accordingly based on the averages.

I have a running average for the day as well as a running total for all of the data collected. So, for example, the first 10 trades which happened this morning averaged about 6 ticks MAE and 20 ticks MFE, the average pull back was about 12 ticks. I will then adjust my initial stop/target and ATM strategy based on these numbers,and may make changes throughout the day.

ATM Example:



I am still working on the following:

1) Should I track a larger MAE even though I initially plan to use a 10 tick stop? Right now I put 10 as the maximum, but this may not serve me best for tracking purposes?
2) For my stopped trades, what should I be including in the statistics and what should be left out?
3) How to best trail my stop based on these statistics?
4) What other information should I be gathering?
5) Ideally, I want to have 2 or more contracts, and will use this information to help me decide where to scale in / scale out.

If you have read all of this, thank you. I would really love to hear your feedback or ideas on how I can best use this information or any other suggestions would be greatly appreciated.

I plan to add more to the thread once I have a little more in the spreadsheet.

Thanks!
Gary

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 caprica 
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Gary View Post
Hey everyone,

I am still fairly new to the CL, but like what I see as compared with the ES and ZN, and thus have been focusing much of my attention on this instrument for the last couple of weeks.

Something I started doing (which was long overdue) is keeping a basic spreadsheet with the following information:

Time / Entry / MAE / Max Pullback / MFE / Notes / $ / T-CT (trend or counter)

Example from today's CL:

8:03 CST / 65.16 / 8 / 12 / 49 / ATM stop / $360 / T

Now, with this particular trade, it went as much as 8 ticks against me, and during this trade, the largest pullback was 12 ticks. When I say 49 for the MFE, I mean, what is the maximum number of ticks I could have got from this trade. One contract would have net me $360 or 36 ticks based on the latest ATM I am using with a trailing stop, and this was with the larger trend.

I will record these settings for every time my setup occurs. I am currently starting a 10 tick stop, and thus the maximum MAE will be 10 for tracking purposes.

The idea is to gather several days/weeks/months of data and then change my stop/target/ATM accordingly based on the averages.

I have a running average for the day as well as a running total for all of the data collected. So, for example, the first 10 trades which happened this morning averaged about 6 ticks MAE and 20 ticks MFE, the average pull back was about 12 ticks. I will then adjust my initial stop/target and ATM strategy based on these numbers,and may make changes throughout the day.

This is an absolutely terrific approach. I really like how you've recorded the the MFE as this value is not available anywhere automatically it requires you to do the legwork to produce the correct value, and by doing so you can greatly improve your trading. Everyone needs to pay very close attention to your work.

By calculating the best possible MFE you have a value in which you can determine how "accurate" (for lack of a better word) your trading strategy is. How much of the move did you capture? 10%, 50%? You will never capture 100% of the maximum possible MFE on every move, but by using statistical information you can device a very nice ATM strategy that is based on factual data and not feelings or emotions about the market. Further, this data is based entirely on your trade setups specifically and not just market highs or lows.

You can take this MFE column and capture just the lowest say 25% percentile and use those averages as your first target. Then capture the entire spectrum of trades minus say the lowest 10% and highest 10% (throw those out) and use the mean of what is left as your second target. Then take the highest 75% percentile and use those averages as your third target. This is a system that is sure to be extremely profitable!


Gary View Post
I am still working on the following:

1) Should I track a larger MAE even though I initially plan to use a 10 tick stop? Right now I put 10 as the maximum, but this may not serve me best for tracking purposes?
2) For my stopped trades, what should I be including in the statistics and what should be left out?
3) How to best trail my stop based on these statistics?
4) What other information should I be gathering?
5) Ideally, I want to have 2 or more contracts, and will use this information to help me decide where to scale in / scale out.

If you have read all of this, thank you. I would really love to hear your feedback or ideas on how I can best use this information or any other suggestions would be greatly appreciated.

I plan to add more to the thread once I have a little more in the spreadsheet.

Thanks!
Gary

I think the following:
1) If your setup would have still worked with a larger MAE than 10 ticks, you need to have the ability to record that information. The whole point of the exercise should be to determine what is the optimum MAE for your setup? If you exclude trades that go beyond 10 ticks, but the entry signal was your setup, then you are hindering your efforts. What you've created is more a piece of statistical analysis of your trading plan and less of a trade journal, so don't get caught up in the journaling aspect.

2) Is there such a thing as a stopped trade for this spreadsheet? I guess a stopped trade would be one where the signal flat broke down to an unrealistic MAE with no favorable MFE worth mentioning. I believe the information that should be recorded in these situations is whatever will best help you to identify these patterns in the future. Was there some underlying event that you could have paid closer attention to?

3) I think I went into a lot of detail on my thoughts on this one above in my initial ramblings. But I would take those three sets of averages (for a 3 contract order) and use them as targets, then as for the distance of the trailing stop, I think you will need to analyze your pullback data and then apply some good sound money management to it. For instance, in order to hit the lowest 25% percentile target, a trailing stop is probably pretty tight. But to hit the middle 50% target it needs more room, and to hit the 75% target it needs a lot of room. In each case however (the 50% and 75%) you should lock in the profits that your factual data tells you to (what is the average pullback, place the trailing stop below that).

4) I wouldn't turn it into a journal. I would keep it separate. I see you posted it in the journal section but I really feel this is a money management system, a very innovative and fact-based one. It is not a journal and I wouldn't want it to be.

5) You are on the right track. This should really be a "light bulb" moment for fellow traders, people who read this post should be very excited to adopt this strategy. If they aren't then I'd venture a guess they don't understand how to really make money in the market.


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 Big Mike 
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I moved this to Money Management forum. I also endorse this approach, I just blogged about it in fact to reveal this to more people. This is where everyone should be focusing the majority of their time, not on indicators!

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 Saroj 
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1) Should I track a larger MAE even though I initially plan to use a 10 tick stop? Right now I put 10 as the maximum, but this may not serve me best for tracking purposes?
>> In my view, the reason for tracking trades is to prove out and tune (or redo if necessary) your trading plan... that's why my spreadsheet has a place to enter the trading plan... so if you tweak the plan, the next group of trades includes a cell for saying what it is and linking to it. Therefore, IMHO the MAE should represent the drawdown for the plan being tracked.

2) For my stopped trades, what should I be including in the statistics and what should be left out?
>> I would start out entering something in the comments section. Then, if you see a pattern, I would include additional information in a column(s) to aid in analyse additional aspects of the trade. Kind of back to the scientific method.. hypothesis, experiments, conclusions.. repeat

5) Ideally, I want to have 2 or more contracts, and will use this information to help me decide where to scale in / scale out.
>> include a calculation such as I have wherein you can change the t1 delta value and at the same time figure what the trade would have yielded in an AIAO method.

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 Moondialman 
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These posts couldn't be more timely for me.

Just this week I've started to give some serious thought about how to manage the risk / reward aspect of the trades I make against the ES on an ongoing basis.

Thanks to these ideas that exercise just became a whole lot easier :-)

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 caprica 
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Moondialman View Post
These posts couldn't be more timely for me.

Just this week I've started to give some serious thought about how to manage the risk / reward aspect of the trades I make against the ES on an ongoing basis.

Thanks to these ideas that exercise just became a whole lot easier :-)

I think this is great and also remember there are many ways to skin a cat. But anytime the conversation is about money management and not about an indicator I think progress is being made.

You can also use other methodology to minimize risk. For instance, don't trade the FOMC day, or don't trade triple witching day, those kinds of things. But at the end of the day I prefer money management to minimize risk, by scaling out of contracts at predetermined levels. Those levels are based on factual data in Gary's example but some may prefer to use a trailing stop indicator like ATRtrailing for example.

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 Moondialman 
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Hi Caprica,

Thanks for the response, it makes total sense.

I have actually found some advice a trusted trader gave me to be more valuable for my trading results than my indicators. It's called 'framing the market'. It involves trying to put the market in context for the day ahead. I mention this because it is actually helpful in reducing risk, which feeds into money management.

For me framing the market is now part of my daily routine. My rule is I can't trade until I have completed this task each day, and made some written notes. Somehow writing notes makes a difference in absorbing the information I look at.

One of the items on my framing list is a daily check of: Forex Factory for the data / reports that are due that day, the times of their release, and their expected level of impact on the market.

I've found this simple discipline has helped enormously, if something big is coming out, I know to be on the 'sidelines'. Hence, risk reduction, just like your FOMC comment.

What I didn't have on my pre-trading task list was a specific money management task. Now, I would suggest that checking the data collected from Gary's method to my pre-market /framing checks fits that area perfectly. You could then adjust your stops / profit levels when the data showed it appeared prudent to do so.

Triple Witching Day is a lovely expression that I've not heard before, what does it refer to?

Cheers,

MDM.

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 caprica 
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Moondialman View Post
Triple Witching Day is a lovely expression that I've not heard before, what does it refer to?


Quoting 
What Does Triple Witching Mean?
An event that occurs when the contracts for stock index futures, stock index options and stock options all expire on the same day. Triple witching days happen four times a year on the third Friday of March, June, September and December.

This phenomenon is sometimes referred to as "freaky Friday".

from Investopedia.

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bubola
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hi gary, i did the same thing on CL. the method is sound and tremendously useful, after some time of taking stats you'll know what to expect.

to me, the primary objective was to come up with the best possible stoploss. my records indicated that my average MAE was 8 tks, so now i use 12 just to give it more room.

also, i think it's very important to understand what happens when you're stopped out. does the move take off in the opposite direction of your entry? or does it shake you out and then resumes the original move?

i concentrated more on the loss than the profit. i've been sim trading crude for a couple of months now, and i use 2 contracts, 1st out at +8, 2nd is trailed from a safe distance, with a target of 30 tks.

keep doing your homework, your trading will benefit a lot from it.

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 Velocity 
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Gary,

A pivot table will reveal much more than a simple spreadsheet in evaluating data.

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 Gary 
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Hey Velocity,

Can you provide more details or an example of a pivot table with regards to trading?

Thanks,
Gary

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 caprica 
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gary what's new with this? i am looking forward to your results and how you interpret them. sorry i can't help with pivot tables i am no good at excel but Velocity sounds like he does so hopefully he will decide to show us something.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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 Gary 
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I have been gone all week. I am just now working on updating numbers from last week. I'll let you know once I make some notable advancements.

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 Gary 
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Still gathering more information, making small changes, and looking for more suggestions. I am exploring the pivot table option as well.

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 caprica 
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where's the pivot table? anything new on this? ihate to see such a brilliant idea die.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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 deltason 
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Useful thread. I'm looking to trade the ES with at least 2 contracts and wondered how to determine a good place to set the first target and stops. Thanks.

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 Gary 
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DeltaSon,

Can you tell me/us more about your setup that you are looking at testing/using with the ES?

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 deltason 
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Gary View Post
DeltaSon,

Can you tell me/us more about your setup that you are looking at testing/using with the ES?

For longs, I look for higher highs and higher lows and enter on breaks above resistance. For shorts, I look for lower lows and and lower highs and enter on breaks below support. I watch several timeframes and align my entries on the lower timeframes with what's happening on the higher timeframes. I use minute charts and tick charts and watch day session and 24 hour session price action. I trade multiple units (testing 2 and 4) with the goal of hitting a profit target on the first unit in the short term. This suits my psychology and often allows for some profit taking on false breakouts or whipsaws. The goal for the second unit is to give winners an opportunity to run. The exit is discretionary and executed at some logical place (S/R, end of day, trailing stop, etc.). After the first target is hit or if I believe the trade is going nowhere, I move stops to breakeven or exit with a loss. My catastrophic stop (currently placed at a percentage of the account balance) is usually not hit unless I miss something, but it does get hit too often for me. Experience will help in this area.

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 fesx 
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Prior today, I always believed that the pot of gold layed with that one indicator I would eventually come across. There are many great strategies, indicators, scalping techniques, but not much discussion regarding money management. I will only say that if as much time and effort was put into money management as what everyone puts into indicator development there would be alot of very wealthy individuals on this board. How do I know???? Today would have been my best day ever had I been live. I am consistently profitable on a daily basis and have been for years. Today, the strategy I worked on, got me a quick pop (on 2 contracts) and then let my winners run on the final 2 contracts.

I am open to some suggestions, criticism, improvements or whatever else you might want to share with me. I will attach a chart with some of the trades, and Excel spreadsheet, ATM Strategy and Stop.

I believe this is an important thread....lets share some ideas and keep this thread active. I am convinced more then ever the pot of gold is right before us, most just fail to realize where this gold lies.

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 jdella 
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looks really good and if your profitable to boot, then stick with what you have. What's your criteria for entering the trade?

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 fesx 
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jdella View Post
looks really good and if your profitable to boot, then stick with what you have. What's your criteria for entering the trade?

jdella...I purposely did not put a chart of my indicators because I did not want it to become a discussion about indicators. The intent of my post was to help keep this thread going and for others to share some of their experiences with money management. I will gladly share my setup in the future. The criteria for entering a trade is a very common setup that is discussed on the boards. All I have done is add a couple of indicators for confirmation of my entry.

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fesx View Post
Prior today, I always believed that the pot of gold layed with that one indicator I would eventually come across. There are many great strategies, indicators, scalping techniques, but not much discussion regarding money management. I will only say that if as much time and effort was put into money management as what everyone puts into indicator development there would be alot of very wealthy individuals on this board. How do I know???? Today would have been my best day ever had I been live. I am consistently profitable on a daily basis and have been for years. Today, the strategy I worked on, got me a quick pop (on 2 contracts) and then let my winners run on the final 2 contracts.

I am open to some suggestions, criticism, improvements or whatever else you might want to share with me. I will attach a chart with some of the trades, and Excel spreadsheet, ATM Strategy and Stop.

I believe this is an important thread....lets share some ideas and keep this thread active. I am convinced more then ever the pot of gold is right before us, most just fail to realize where this gold lies.

I agree. Over the last 4 or so weeks I've abandoned looking at indicators and building strategies in favor of learning better trade/money management. I currently have a strategy that uses one indicator and it seems to be right about 40% of the time (sim). I wanted something that was wrong more often than right so that I can test some different ideas with regards to managing the trade/money.

I am building an external app that communicates with NT. The app has all the money management logic as well as a UI for setting different settings etc. Nothing mind shattering but eventually I'm planning on using it as a framework to use in conjunction with a strategy.

Things I've played with:

- scaling in/out of a trade
- increasing/decreasing the number of contracts based on strategy performance
- dynamic trailing stops

I still have a lot to learn and a bunch of crazy ideas, so if anyone has any suggestion I would also love to hear them.

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 jdella 
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fesx View Post
jdella...I purposely did not put a chart of my indicators because I did not want it to become a discussion about indicators. The intent of my post was to help keep this thread going and for others to share some of their experiences with money management. I will gladly share my setup in the future. The criteria for entering a trade is a very common setup that is discussed on the boards. All I have done is add a couple of indicators for confirmation of my entry.

Sure I understand completely. I didn't want you to do that either, but was just curious since you said that you have been profitable for years.

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 Riverend 
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Just found this thread today. Thanks for starting it Gary.

Vic

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 sam028 
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Sorry if I'm a bit off-topic, but does someone here have a very basic strategy, which use ATM stuff ?
I just to see how we integrate this, and don't want to reinvent the wheel...

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 jonesr9 
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sam028 View Post
Sorry if I'm a bit off-topic, but does someone here have a very basic strategy, which use ATM stuff ?
I just to see how we integrate this, and don't want to reinvent the wheel...

Hey Sam, check out this post. It might be able to help you. Go to page 2, 3, etc...
AutoTrader for Woodies - Page 2 - NinjaTrader Support Forum

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 Gary 
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Sam,

I tell you what, you share your EOD robot code, and I will share a complex strategy which uses ATM.

Gary

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 sam028 
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jonesr9 View Post
Hey Sam, check out this post. It might be able to help you. Go to page 2, 3, etc...
AutoTrader for Woodies - Page 2 - NinjaTrader Support Forum

Thanks.
But I think we don't have the same definition of a "very basic strategy" .

@Gary:

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 Gary 
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Sam,

I am hurt.

Seriously, I have some code I can share with you, which Mike did for me. Have you already talked to Mike about the subject?

Gary

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 zeller4 
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systrader View Post
I agree. Over the last 4 or so weeks I've abandoned looking at indicators and building strategies in favor of learning better trade/money management. I currently have a strategy that uses one indicator and it seems to be right about 40% of the time (sim). I wanted something that was wrong more often than right so that I can test some different ideas with regards to managing the trade/money.

I am building an external app that communicates with NT. The app has all the money management logic as well as a UI for setting different settings etc. Nothing mind shattering but eventually I'm planning on using it as a framework to use in conjunction with a strategy.

Things I've played with:

- scaling in/out of a trade
- increasing/decreasing the number of contracts based on strategy performance
- dynamic trailing stops

I still have a lot to learn and a bunch of crazy ideas, so if anyone has any suggestion I would also love to hear them.

glad to see you're back!
if you're on VIP, check the Elite section for one more of my crazy ideas
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 zeller4 
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sam028 View Post
Sorry if I'm a bit off-topic, but does someone here have a very basic strategy, which use ATM stuff ?
I just to see how we integrate this, and don't want to reinvent the wheel...

hey sam28

i like the sampleatmstrategy attached as a starting point
i'm currently working with an atm that looks like the attached screenshots with only 2 contracts - these work pretty well for CL
first contract is target 10ticks and after 8 or 9 go to breakeven + 1 tick
(can't figure how to post screenshots of the atm setup windows)

https://screencast.com/t/FHJXv9F782Ri
https://screencast.com/t/mn2ghvmhIP
Kirk

Attached Files
Register to download File Type: zip SampleAtmStrategy_v01.zip (3.5 KB, 68 views)
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 zeller4 
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fesx View Post
Prior today, I always believed that the pot of gold layed with that one indicator I would eventually come across. There are many great strategies, indicators, scalping techniques, but not much discussion regarding money management. I will only say that if as much time and effort was put into money management as what everyone puts into indicator development there would be alot of very wealthy individuals on this board. How do I know???? Today would have been my best day ever had I been live. I am consistently profitable on a daily basis and have been for years. Today, the strategy I worked on, got me a quick pop (on 2 contracts) and then let my winners run on the final 2 contracts.

I am open to some suggestions, criticism, improvements or whatever else you might want to share with me. I will attach a chart with some of the trades, and Excel spreadsheet, ATM Strategy and Stop.

I believe this is an important thread....lets share some ideas and keep this thread active. I am convinced more then ever the pot of gold is right before us, most just fail to realize where this gold lies.

Hi fesx,
Is your data downloading to excel via .csv? or manual entries...

Please explain data transporting method you use.

thx.
kz

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 Gary 
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Keep the thread alive.

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  #34 (permalink)
 Zwaen 
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Hello,



very nice statistics to keep I see. I already kept track of some sort of MAE, but not yet MFE. Thanks for sharing that idea. The statistics can be very insightful in your trading. E.g. you will get a feeling for what are normal losses. For example, it is nice to know if 3 stops being hit ( demoralizing) in a row is “a relatively normal occurrence” or not and it is better to stop trading for the day.


I keep track of 1 more statistic. I like to keep track of some sort of time-based stop loss. What I found out ( in the Eurodollar currency futures 3 min chart) is that if the trade doesn’t move in my direction in 3 1-minute bars ( 180 seconds ) the odds of a profitable trade will become very small. For sake of simplicity:


1) If position in profit after 3 1-minute bars then my SL -> to BE/entry
2) If position in loss after 3 1-minute bars exit immediately. This is more difficult( feelings->accepting the loss). But when after 3 1-minute bars my position is for example in loss for -2 pip it is most of the time( lets say 8/9 out of 10) better to scratch the trade immediately instead of waiting for my hard stoploss to get hit.


The great benefit of this “rule” is that I can minimize losses of the bad trades.


I must say I haven’t got hard statistics of this 180 seconds rule, but it is more from experience (which offcourse could be biased by heuristics).


Maybe it can be valuable for you to track some kind of own version of this statistic. If you have a better idea or think there are flaws in this approach, I would love to hear.


Kind regards,



Willem

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 Big Mike 
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 Gary 
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Where'd you go Caprica?


caprica View Post
where's the pivot table? anything new on this? ihate to see such a brilliant idea die.


As consistently profitable traders.. "We get paid to wait, and we wait to get paid."
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 Zwaen 
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I can't edit my posting of 7th july ( second prior posting) but with testing this timebased stoploss in eurodollar failed miserably. There were too many stopouts and just holding the stoploss (instead of moving it quickly to breakeven) yielded far better results.
Offcourse the management of the stoploss is all dependend on your tradestyle as a whole, so no hard rules can be given. It's the whole combination of entry, exit, trademanagement and moneymanagement which must have a positive NPV.

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 JPx2 
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Gary,
As a newbie with NT7, I'm having difficulty setting up my CL charts/Indicators/Strategies to match yours.
Do you have a post where I can download your trading methods ?
Regards,
Jim

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