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Deetee’s DAX Trading Journal (time based)


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Deetee’s DAX Trading Journal (time based)

  #291 (permalink)
 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,821
Thanks Received: 785

Thursday

FDAX
Gap: down gap
Gap closed during IB: no
Position price at 9:30: below prior day HL
IB direction: short

Not enough data for a trade.

FESX same.

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  #292 (permalink)
 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,821
Thanks Received: 785

Friday

FDAX
Gap: no gap
Gap closed during IB: x
Position price at 9:30: inside prior day HL
IB direction: short

Again it doesn't look good for a trade:



Most days, FESX doesn't give good trades. It does give good win % but not many points. I'm looking at minimum of 5 pts per historical trade.

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  #293 (permalink)
 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,821
Thanks Received: 785


Results

This week I had 1 FDAX trade in this journal, -45 points profit.

Total results for this journal:


Next week better

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  #294 (permalink)
 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,821
Thanks Received: 785

Monday

FDAX
Gap: no gap
Gap closed during IB: x
Position price at 9:30: inside prior day HL
IB direction: short 72pts

DAX Long trade
Entry 10:30 @ 15935
Exit 13:00 @ 15891 (SL)
SL 44 pts
Result -44 pts

Historical results with this setup:
455 pts (28 trades/win% 71%)


Let’s see




FESX not enough historical trades

edit 10:30: Not very happy with the entry, but, let's go (added some pts to the SL)

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  #295 (permalink)
 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,821
Thanks Received: 785

Tuesday

FDAX
Gap: no gap
Gap closed during IB: x
Position price at 9:30: inside prior day HL
IB direction: flat

DAX Long trade
Entry 10:30 @ 15938
Exit 11:30 @ 15937
SL 37 pts
Result -1 pts

Historical results with this setup:
373 pts (32 trades/win% 66%)

Let’s see

FESX not good


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  #296 (permalink)
 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,821
Thanks Received: 785

SumR

A trade will only be taken, when historically the win rate is good, the points profit per trade is good and the number of trades is good. Nothing new here.

What is good?
Well, that depends on a mix of these 3, but I’m trying to stick (for FDAX) to >67% win rate, >10 points per trade and >8 trades.
And then some sub rules, like only trade based on 8 trades if it has a 100% win rate.
Also, like today, when the number of trades (32 today) is higher than the often 15-20, a slightly lower win rate is ok.

Today I’ll started working with SumR.
In 2010 the 10 points per trade (that I want to see as a minimum for a trade) with a DAX price of 6000 has more value than 10 points today (>25 pts).
So, we created a relative result, which is the result in points divided by 9:00 open price of the FDAX. We multiply this by 10000 to have a number that we can work with.
With the DAX on 16000, I’m looking at the number 6,25. So, when the SumR is 464,4 based on 32 trades, that would correspond with about 23 points today.

I hope that makes sense, to me it totally does

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  #297 (permalink)
 
homerus's Avatar
 homerus 
The Netherlands
 
Experience: Advanced
Platform: SC
Trading: FDAX, BTC
Posts: 27 since Jul 2010
Thanks Given: 54
Thanks Received: 51

Hello Deetee,

I have been reading through your journey/thread; congratulations on the progress that you have achieved since (almost) a year ago, and thanks for sharing it here. It takes a lot of endurance and self motivation to persevere in sailing through the mist, knowing there is a shore somewhere.

I wish you all the success moving forward, and will be following

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  #298 (permalink)
 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,821
Thanks Received: 785


homerus View Post
Hello Deetee,

I have been reading through your journey/thread; congratulations on the progress that you have achieved since (almost) a year ago, and thanks for sharing it here. It takes a lot of endurance and self motivation to persevere in sailing through the mist, knowing there is a shore somewhere.

I wish you all the success moving forward, and will be following

Thank you Homerus

The recent losses are creating doubts, but I hope that's all in my head and that the system continues to prove its profitability.

I see you are trading crypto. Do you hold positions for short or long term? And are you using a 'system'?

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  #299 (permalink)
 Deetee 
Amsterdam, The Netherlands
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader / IB /Rithmic
Broker: EdgeClear / InteractiveBrokers / Rithmic
Trading: DAX / (M)NQ / (M)ES
Frequency: Daily
Duration: Hours
Posts: 630 since Jul 2019
Thanks Given: 2,821
Thanks Received: 785

Wednesday

FDAX
Gap: up gap
Gap closed during IB: Let's say yes
Position price at 9:30: inside/above prior day HL (on the edge)
IB direction: short

Not giving a solid trade

FESX also not

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  #300 (permalink)
 
homerus's Avatar
 homerus 
The Netherlands
 
Experience: Advanced
Platform: SC
Trading: FDAX, BTC
Posts: 27 since Jul 2010
Thanks Given: 54
Thanks Received: 51


Good morning,

Yes I am, I created an algorithm designed for crypto volatility, based on mean reversion on small and medium timeframes, it is designed to hold for a short term with a maximum of 8-12 hours.
The alpha plays out in the first 30 minutes generally.

I am looking to diversify and want to make my move back to futures this year, I am still in my decision making process, I have been a user of (too) many different platforms and data providers in the past.
Also been developing strategies/research in many different languages and backends. However my last (DAX) future trade must have been 4-5 years ago, and a lot has changed.

One thing algo trading has teached me is to focus on the process, and then let the edge play out, so I am now very picky in my workflow selection. But I need to decide on things like if I am going to run my research on a platform or if I am going to use/develop my own, or perhaps a combination. I've been using Investor/RT (and others) in the past for studies, but now also have my own scripts in R for example. I am not sure where to go yet, more research is needed. Journals like yours are a good way of collecting other people experiences, so thanks



Deetee View Post
Thank you Homerus

The recent losses are creating doubts, but I hope that's all in my head and that the system continues to prove its profitability.

I see you are trading crypto. Do you hold positions for short or long term? And are you using a 'system'?


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