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Trading journal ES system trading.

  #111 (permalink)
TraderEX
 
Posts: 96 since Sep 2018
Thanks Given: 68
Thanks Received: 177

I have what i would consider more math experience than most. I was proficient through Calc II. i think it is important that the offer er of information should state a qualification or state this is an opinion. This is mathemaTICS FROM A TEXT.(ALSO A PLAY tics FROM MATH KNOWLEDGE.) BOOK.

i WROTE YOU A 1 HR LONG MESSAGE LAST NIGHT AND LOST IT AS i AM NEW TO THE SIGHT AND HIT THE WRONG BUTTON. i'LL TRY ANSWER IN SMALL PIECES BY TOPIC.

1 System Assume 50% winnng rate(make for easy understanding)
you should expect a some point in the future, 100 wins and 100 losses(50%). When considering your loss potential, to go broke you would have to lose so many more than won, those chances are very slim. correct money management of course so we will assume a constant amount of contracts, # doesn't matter.

probability distribution 50% next will be winner and 50 next will be loser (thats 50% win rate)

2 or more systems same assumptions for both as above meaning both have 50% win rates.

probability distribution 25% both will win(50% x 50%)= 25% you have double your run up potential by 2 now 50% chance one will win and the other will lose(pay fees) 25% chance that both will lose. You have double your drawdown potential at this point. If you are not aware that this is the case, now your premises are wrong and therefore your conclusions must be wrong unless by chance you guessed right. At this point you are not in control. if you had double your margin account or halved your cars you would have returned to equilibrium. Moreover, you increasing leverage when margin moves up was not accompanied by decreasing margin when margin moves down. That imbalance increases volatility.

So, when you increased to 2 systems and operated them at the same, adding in your money mismanagement, you were probably 4 to 5 times riskier than your one system approach. Totally doomed to fail. You're still around because the first system produced a war chest. I see you handle criticism well and therefore I was able to be blunt.

Your thread is awesome with honesty; a rare quality. There's an unnoticed richness there I believe. If you want more comments I will. If this is left field or offensive then all my other comments will be and why waste your time.

Hope this helps-

EX

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  #112 (permalink)
TraderEX
 
Posts: 96 since Sep 2018
Thanks Given: 68
Thanks Received: 177


kanepa View Post
Trading is going well. Good trades. Meaning not all of them are winners but in line with strategies running on sim account.(same strategies are running on SIM to compare slippage).

Short trades are only at 8% of total trades. Look forward to see it's performance when market conditions have changed.

Still wondering what Ninja trader start behavior should be at in case of power out or connection loss. It has not happened yet but I need to figure this out soon. Have read their online tutorial but still not understanding them..

Setting up a back up connection with hot spot and changing trading from desk top to a laptop for in case of power out/loss of connection.

Current max draw down was around 5k which is 833 per unit. Make sure to mentally prepared for when historic max draw down or gets close to it.(3700 per unit.) I do not know when it will be happening but it will. Just follow the plan and react accordingly.

Beginning balance(10/12/2017) 24,684.06
Investment per 1 contract: 5,000
Max risk per 1 contract : 4,000
current number of contract: 7

Current account balance : 35,230.00 (little less due to monthly market data payments)
Profit/lost from beginning : 10,657.30

Target 1: 30k met on 11/18/2017
next target: 35,000.00

Target 2: 35,000 met on 1/11/2018 adding 1 car. total 7 contract.
Next target: 40,000.00

Never react, only act as planned.

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  #113 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
Posts: 202 since Jul 2017
Thanks Given: 348
Thanks Received: 409



TraderEX View Post
I have what i would consider more math experience than most. I was proficient through Calc II. i think it is important that the offer er of information should state a qualification or state this is an opinion. This is mathemaTICS FROM A TEXT.(ALSO A PLAY tics FROM MATH KNOWLEDGE.) BOOK.

i WROTE YOU A 1 HR LONG MESSAGE LAST NIGHT AND LOST IT AS i AM NEW TO THE SIGHT AND HIT THE WRONG BUTTON. i'LL TRY ANSWER IN SMALL PIECES BY TOPIC.

1 System Assume 50% winnng rate(make for easy understanding)
you should expect a some point in the future, 100 wins and 100 losses(50%). When considering your loss potential, to go broke you would have to lose so many more than won, those chances are very slim. correct money management of course so we will assume a constant amount of contracts, # doesn't matter.

probability distribution 50% next will be winner and 50 next will be loser (thats 50% win rate)

2 or more systems same assumptions for both as above meaning both have 50% win rates.

probability distribution 25% both will win(50% x 50%)= 25% you have double your run up potential by 2 now 50% chance one will win and the other will lose(pay fees) 25% chance that both will lose. You have double your drawdown potential at this point. If you are not aware that this is the case, now your premises are wrong and therefore your conclusions must be wrong unless by chance you guessed right. At this point you are not in control. if you had double your margin account or halved your cars you would have returned to equilibrium. Moreover, you increasing leverage when margin moves up was not accompanied by decreasing margin when margin moves down. That imbalance increases volatility.

So, when you increased to 2 systems and operated them at the same, adding in your money mismanagement, you were probably 4 to 5 times riskier than your one system approach. Totally doomed to fail. You're still around because the first system produced a war chest. I see you handle criticism well and therefore I was able to be blunt.

Your thread is awesome with honesty; a rare quality. There's an unnoticed richness there I believe. If you want more comments I will. If this is left field or offensive then all my other comments will be and why waste your time.

Hope this helps-

EX

Thank you for your time on reviewing my journal and writing your thoughts and advice. It is a shame that 1 hr message did not make it to here.

I think I understand your point on probability. Hope I am right on this, not a math guy, but when I introduced new system in to existing one, I thought instead of 1 hand flipping a coin, now I have two hands flipping coins. Therefore, I expected more volatility to come in my way but not in this scale of mass.

However, those two systems are hardly in market together. They are design to enter in different conditions so they do not conflict with one another often. Also they do accompany each other well. If one was losing, the other system would win and etc. BUT, since I have designed that way, I have never looked at a potential of them having losing periods together. That was a number one problem. And number two was introducing new system into real trading too soon. Not going through proper testing periods. The new system had a much more unusual profitable months right before I introduced it to real market.

Very true on how I am still around because I got lucky in earlier game. My money management is a perhaps a poor one and I do understand that I am trying to catch a falling knife. But poor plan is still a plan and I am following it.

I will give more thoughts on this matter and see if I can re-adjust.

Your thoughts and comments are very welcome and I thank you for them. You told me exactly how you saw it. It did not look offensive at all.

Thank you,
Kanepa

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  #114 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
Posts: 202 since Jul 2017
Thanks Given: 348
Thanks Received: 409

Account hit 20k balance today after another losing trades. They are keep coming in. I do not know how to express it other than I am here to break one of my rules. I was going to keep on trading 10 cars until the end but looking at 2k balance remaining per unit risk made me breaking the rule.

Feels like a coward. I said I will trade this thing until the end but when I am actually very near by it, I caved. I wanted to give it a more room to move....a perhaps a better chance to survive because I believe this could make a come back. I did not say it will....it could..

Sometimes I think to myself. Man, you are chasing this thing more than 20 years now, don't you deserve a break? Yeah..I do. For the amount of effort, time and money, I sure do deserve a nice break. But guess what, me has a right to deserve a break means not a damn thing in this game.

My next update will be posted on the day of market taking me out or system reaches 44250 to add a unit. Thank you so much for your help guys and see you on my next update.

here are some numbers.
Balance: 20k
Risk per unit: 4400(Per trade risk: 200)
Margin: 600
Total per unit: 5,000.
4 Units of risk(4 contracts)

Goal to reach 8850 per unit including margin.(8850 X 4 = 35,400) will add a unit at 44250


2017
24,941 to 32597 +7656 +30%

2018 so far
32,597 to 30,689(current bal+10,000 withdraw) -1908 -5.8%

My total out of pocket risk
Initial deposit: 25,000
Withdraw :-10,000
Margin(600X4):-2400
Total Risk :12600

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  #115 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
Posts: 202 since Jul 2017
Thanks Given: 348
Thanks Received: 409


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  #116 (permalink)
TraderEX
 
Posts: 96 since Sep 2018
Thanks Given: 68
Thanks Received: 177


kanepa View Post
Thank you for your time on reviewing my journal and writing your thoughts and advice. It is a shame that 1 hr message did not make it to here.

I think I understand your point on probability. Hope I am right on this, not a math guy, but when I introduced new system in to existing one, I thought instead of 1 hand flipping a coin, now I have two hands flipping coins. Therefore, I expected more volatility to come in my way but not in this scale of mass.

However, those two systems are hardly in market together. They are design to enter in different conditions so they do not conflict with one another often. Also they do accompany each other well. If one was losing, the other system would win and etc. BUT, since I have designed that way, I have never looked at a potential of them having losing periods together. That was a number one problem. And number two was introducing new system into real trading too soon. Not going through proper testing periods. The new system had a much more unusual profitable months right before I introduced it to real market.

Very true on how I am still around because I got lucky in earlier game. My money management is a perhaps a poor one and I do understand that I am trying to catch a falling knife. But poor plan is still a plan and I am following it.

I will give more thoughts on this matter and see if I can re-adjust.

Your thoughts and comments are very welcome and I thank you for them. You told me exactly how you saw it. It did not look offensive at all.

Thank you,
Kanepa

I see we are watching each other and that's what we are here for.

Your response to my comment was accurate. When they both were in together, you need to have twice the margin to cover the swing size of the draw back. the other thing about not testing long enough, that is for you to decide for sure. With the increasing leverage at levels and and not decreasing as you draw back, just be aware that you have probably again double your risk so now 4 times the margin account to account for historical drawback potential as you put it. With that increased risk, your chances of going bust are 3 times as great and always the exact opposite positive will be true, increased 3 times profit swing.

You sir, have no idea how close to that 100k when both systems were being used at the same time. Just a little longer on that run of yours and BINGO. I like constant increases. For ex, 1,2,3,4,5,6 not then 11 at predetermined levels. I back down the same way for the same levels, 6,5,4,3,2,1 because equall number of 10 in a row wins and 10 in a row losers in a 50/50 probability distribution. It's a Marathon here and at your pace, easily 250k with that 22 in a row hot streak you posted. Or 22 in a row and busted. Always bipolar meaning whatever effects your results, loss or profit has the same multiplier.

Now, because you are humble enough to not project a know it all attitude. You now have the knowledge to do any combination of your systems. What is true here is that any system of worth just requires executional discipline and accuracy. Every wining trader is not identical to any other. Create an edge, you had one. Had you not sped up so incredibly from the opening 24k, it would be history by now and sunny beaches. At the 24k level and one system, that was your original historical risk factor. I think is was six contracts at the peak. So six times the original risk and then times a factor of 4 when you were in with 2 systems the few times, so 24x was the increased amount of margin you need to cover historical draw downs. Again, 100k was knocking on the door from 65k.

Now add in the volatility of the market...you did an exceptional job not busting with such a small margin account for the drawdown potential.. You did not see the worst, it was still hiding.

Now consider the fact that in a winning streak, you play above your 53% play. The only way to average back to 53% is have a series of losers. Doesn't have to be a losing streak, just more than winners. If you are running 10 points above 53%, say 63%, obvious you have lose to get back to the historical 53%. Only way averages and percentages work, a mathematical law.

You see what I do and only have 4k to play with and withdraw every week. Only a matter time if I continue exactly as I do to scale and riches. Based on my finances, hopefully after the holidays I can build my margin and go for pot of gold. You see today's post and other things get in our way, ie gambling itch I have. All problems to profitability were not my trading models, the "other" things I had to conquer. It was very hard to get the discipline and you see I blew up today. I NEVER am in a trade 5 minutes let alone over and hour. I had to turn the computer off and just leave my sell stop. My stop loss was 3k away and busted When the stop is hit, I hear from the other room, ORDER FILLED> I was sick as
dog with anxiety. I lose that account and no money for EX, it's my income and I need it not want it.

Driving and moving to Las Vegas. Son is going to UNLV. First stop is always, philly cheese steaks bro.

Keep up the good fight. Vegas people are not East Coast, live there before.

EX

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  #117 (permalink)
TraderEX
 
Posts: 96 since Sep 2018
Thanks Given: 68
Thanks Received: 177


kanepa View Post
Account hit 20k balance today after another losing trades. They are keep coming in. I do not know how to express it other than I am here to break one of my rules. I was going to keep on trading 10 cars until the end but looking at 2k balance remaining per unit risk made me breaking the rule.

Feels like a coward. I said I will trade this thing until the end but when I am actually very near by it, I caved. I wanted to give it a more room to move....a perhaps a better chance to survive because I believe this could make a come back. I did not say it will....it could..

Sometimes I think to myself. Man, you are chasing this thing more than 20 years now, don't you deserve a break? Yeah..I do. For the amount of effort, time and money, I sure do deserve a nice break. But guess what, me has a right to deserve a break means not a damn thing in this game.

My next update will be posted on the day of market taking me out or system reaches 44250 to add a unit. Thank you so much for your help guys and see you on my next update.

here are some numbers.
Balance: 20k
Risk per unit: 4400(Per trade risk: 200)
Margin: 600
Total per unit: 5,000.
4 Units of risk(4 contracts)

Goal to reach 8850 per unit including margin.(8850 X 4 = 35,400) will add a unit at 44250


2017
24,941 to 32597 +7656 +30%

2018 so far
32,597 to 30,689(current bal+10,000 withdraw) -1908 -5.8%

My total out of pocket risk
Initial deposit: 25,000
Withdraw :-10,000
Margin(600X4):-2400
Total Risk :12600

Don't be ridiculous. The correct word here would be fool. A fool would not adjust his plan. You are not a fool. An egomaniac would not adjust his plan. You are making correct decisions in this arena. The mistake you made was thinking you had to live up to your original claims for us or else.

You are 4k(-16%) from your starting point. Take a deep breath and realize that you gained tremendous experience here. Live trading experience; invaluable to the process to profitability. All the guys here kicked in and gave sound advice. Getting closer to that break you can't seem to get. It's called experience and skill building. this experience for you appears to be exceptional as a training tool.

I started my first journal ever, because your of post. Thank you. Going to make me a better trader too.

looking forward to that cheese steak.

EX

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  #118 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
Posts: 202 since Jul 2017
Thanks Given: 348
Thanks Received: 409


TraderEX View Post

Don't be ridiculous. The correct word here would be fool. A fool would not adjust his plan. You are not a fool. An egomaniac would not adjust his plan. You are making correct decisions in this arena. The mistake you made was thinking you had to live up to your original claims for us or else.

You are 4k(-16%) from your starting point. Take a deep breath and realize that you gained tremendous experience here. Live trading experience; invaluable to the process to profitability. All the guys here kicked in and gave sound advice. Getting closer to that break you can't seem to get. It's called experience and skill building. this experience for you appears to be exceptional as a training tool.

I started my first journal ever, because your of post. Thank you. Going to make me a better trader too.

looking forward to that cheese steak.

EX

Nothing have worked in 20 years of trading. There was times that made decent money in short period of time but ended up blowing the accounts. Why? I acted out of emotion often. Revenge trades, FOMO trades and other stupid trades. Also did not have a positive and back tested methodology to follow. Even when I had a solid method, Many times broke the rules because I caved into whatever the emotional state I was in. I am sure many of you out there can relate.

That is why I was stubborn and unwilling to change the system. It was my last attempt to make it in this game and discipline to follow original plan, does not matter how uncomfortable I was, was my buggiest goal in trading. Perhaps more important than making money.

There was mistakes in beginning but I have managed to trade without my emotion interrupting my system. And also finding myself more comfortable watching as trade unfolds. This is a huge gain for me. Not acting on emotions. They say you need three things if you want to succeed as a trader. 1.Method 2. discipline 3.patience. Before, I knew the words but now, I understand them. I dont know how to explain this but It has more meaning to it than before.

Account is hoovering around 20k. I am still up from my beginning balance of 25k because I withdraw 10k early this year. I am still trading and account update will be posted when my goal is met. 44250.00

Enjoy your journal and thank you for your advice.
Kanepa.

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  #119 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
Posts: 202 since Jul 2017
Thanks Given: 348
Thanks Received: 409

After some system analyzing and making adjustments, I have decided to send in 13,500 to add more units of risk. I have reduced number of trades by 50% of secondary system and giving up 30% of profit. The other half represent 70% of profit. shook off less quality trades.

Here are numbers.

Balance: 36800
Risk per unit: 4200(Per trade risk: 200)
Margin: 600
Total per unit: 4,800.
8 Units of risk

first Goal is to meet total risk+margin to 6800.00 It will bring account to 54,400
Second goal is to meet total risk+margin to 8850.00 It will bring account to 70,800
Third goal is crossing over 100 k mark.

If it works out. it should take 2-5 years to meet 100 k goal line.

My total out of pocket risk
Initial deposit: 25,000
Withdraw :-10,000
additional deposit: 13,500
Margin(600X8):-4800
Total Risk :23,700

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  #120 (permalink)
 tihfa 
detroit, mi
 
Experience: Beginner
Platform: TradeStation
Trading: SPY
Posts: 78 since Nov 2011
Thanks Given: 1,524
Thanks Received: 80



kanepa View Post
I have reduced number of trades by 50% of secondary system and giving up 30% of profit. The other half represent 70% of profit. shook off less quality trades.

0

Kanepa,

did you introduce an additional filter to cut down on the System 2 trade number by 50% or are you just tightening already existing filters?

I assume you ran the modified system against all of your historical data ( backtest, forward test and data since you started trading live)?

Tihfa

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