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STRATEGYDESK JOURNAL
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STRATEGYDESK JOURNAL

  #11 (permalink)
Atlas
Bloomington
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: Interactive Brokers
Favorite Futures: Stocks
 
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Posts: 191 since Apr 2011
Thanks: 78 given, 74 received


Big Mike View Post
Not familar with strategy desk, but have you looked at MBTrading Desktop Pro? It's free with a MBT account, $4.95 per turn on equities, and it looks identical to your platform solely based on the screen shots... they could be OEM'ing it, I am not sure.

Mike

Thx Mike! I'll take a close look at it. Two things that I feel are essential for the way I trade.

1. The ability to backtest on a large portfolio of stocks at the same time. Unlike Tradestation which only allows you to choose one market at a time.
2. The ability to apply a multi-timeframe strategy to a real time screener - Unlike Tradestation which requires you to have a different tab for each time-frame and then there appears to be no easy way to merge them in any meaningful way.

If MBTrading Desktop Pro has those features then it maybe the thing for me!

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  #12 (permalink)
Atlas
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Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: Interactive Brokers
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Posts: 191 since Apr 2011
Thanks: 78 given, 74 received

TRADE NOTES FOR 5-26-11

Today was a tough day. I spent three hours following my trades and only $91 to show for it. My screener flagged the following stocks: ODP, NEM, EP, NOV, OXY, TIF, FHN AND AZO. Of those alerts only EP, NEM, AZO and FHN showed up on the end of day backtest. Of those, I traded only EP and NEM although a glance at some of the others would have yielded good trades even without a signal. I believe this is primarily due to the fact that the fundamental methodology from which I trade is sound enough to work even if i don't get perfect signals.

AZO triggered within the last 10 minutes of the day so that one is out. i don't keep positions overnight so even though it may turn out to be a winner it is automatically disqualified.

FHN triggered at 14:10 and would have netted me .09 cents about $80 after commissions but i needed to leave for the afternoon and didn't want to commit to another trade - signal or no signal. Besides, this stock has a very low ATR (Average True Range) and I knew ahead of time that price would not move enough for it to be worth committing capital

NEM worked out well. I entered it (and EP) late. Ironically the trigger occurred at the open and since I never trade immediately at the open i would have waiting anyway according to my trading rules. I was also out of power due to a major storm here in the Midwest which prevented me from even turning on my computer until after 11am. The next opportunity to enter came at 11:15. Because the distance to the nearest support (the low for the day) I chose to set my stop a penny below the last bar low instead to help contain my risk. This worked well and the price moved up in a relatively orderly manner throughout the day until my strategy triggered a sell point. Unfortunately a little fear got in the way and once again I exited before my strategy played out completely. This cost me about 10 cents and roughly $30. Once again, notice that my strategy did a pretty decent job of identifying the top of this cycle, less effective at finding the bottom. Fortunately my adaptation of Alexander Elders third screen applied here allowed me to find as close to the bottom as anyone probably can. This demonstrates that for this strategy to be effective I must use several different cues and not rely blindly on what the strategy dictates. Final note: Had I followed the strategy blindly, the trade would have still been a winner. Fortunately my rules allowed me to extract more from this trade than the raw strategy was able to offer.

EP gave me a bit of trouble. As with NEM I entered a couple of bars late. Since there is almost always a second bounce after
the initial signal, I ended up buying near the top of the first bounce. Not usually a problem because i'm often given a second chance on the second bounce to purchase more shares or reenter if I get stopped out. in this case price predictably fell soon after buying but instead of bouncing immediately up again it traded sideways for the next hour and a half. I got nervous that it would break down so set my stop too close and stopped out. just prior to that i actually purchased more shares to increase my leverage for the expected continuation upward. After stopping out at a modest loss I reentered with 1,000 shares just a bar before the price began it's move up. The move was much slower than I expected and again out of fear exited at the first sign of weakness rather than letting my strategy play out. Ironically had I followed the strategy through it would have stopped me out at essentially the same place so in this case, unlike NEM, my premature exit had no consequence.

ODP (chart not shown) never had an actual strategy trigger although the conditions at one point were favorable. Regardless I wouldn't have taken a trade with this stock because it's less than $5 and ATR was not high enough to be worth committing money to.

NOV (chart not shown) could have been traded however since I was already in two trades and didn't get a
clear buy signal from my strategy I chose not to trade it. I will occassionally trade a stock flagged by my screener if the conditions are favorable and I have no other options. this time however, i had two trades going and did not want my attention spread to any more stocks. A quick look at the 60 minute will show that it is in a clear uptrend, and had a solid bar closing above previous bar high at 11:15 which is where I would have entered had I traded it. My share calculation indicator suggested trading no more than 170 shares and I would have sold at end of day for a gain of about .45 - .50 cents.

OXY did not produce an actual signal but judging from the chart there were a couple of times where my indicator showed it was a good trade. Specifically at 11:10 where both the 5 minute and 10 minute bars closed above the previous bars high. I would have gained well over a dollar a share had I traded it according to my strategy. Regardless, since my share calculation based on $100 risk indicated I could only purchase about 130 shares my gains would have been limited to about $150

TIF never generated an actual signal even though my alerts flagged it as an opportunity to watch. Regardless, based on the price movement - huge gap up - I would not have traded it. My rules state that I cannot buy immediately following any large opening gap.

Well thats it for today. Starting tomorow I will begin explaining in greater detail the actual strategy..hopefully in a more structured format so any readers can more easily understand how I trade.

Attached Thumbnails
STRATEGYDESK JOURNAL-nem-5-26-11.jpg   STRATEGYDESK JOURNAL-ep-5-26-11.jpg  

Last edited by ShruggedAtlas; May 26th, 2011 at 10:23 PM. Reason: Additional information
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  #13 (permalink)
Atlas
Bloomington
 
Futures Experience: Beginner
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Broker/Data: Interactive Brokers
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Posts: 191 since Apr 2011
Thanks: 78 given, 74 received

CHANGING BROKER


I've come to the conclusion that I need to change brokers for my actual trades. Currently i'm with Ameritrade using StrategyDesk. I still like the SD platform, it's easy to use, powerful enough for the way I trade, is very stable and the fills have always been reasonably good. The commissions are very high. This is probably because the platforms, both StrategyDesk and Think or Swim are free and the commissions pay for the data I use as well. Still, for the volume I'm trading I now believe that I need to consider switching. I've done a lot of research and read a lot of posts on this forum and have now decided to switch to Lightspeed trading. They have some of the cheapest rates in bunch that I looked at and while the platform cannot offer me what Ameritrades platforms collectively offer me, I can at least use it to trade. Ameritrade account will stay open so I can use the StrategyDesk alerts screener features and charts. If anyone reading this can suggest a better alternative i'm open to suggestions. Basically I want what everyone else wants. I reliable broker that is competitive with commissions (stocks) and reasonably fast fills. The platform has to allow for accurate backtesting over a portfolio of stocks (S&P500) and I need to be able to apply a moderately complicated (multi-timeframe) strategy to alerts and screeners so that I can have a steady supply of opportunities during the day as I trade the 5 minute time frame.

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
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  #14 (permalink)
Atlas
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Posts: 191 since Apr 2011
Thanks: 78 given, 74 received

MY TRADING METHOD - PART 1 - TRADE WITH THE TREND

The 'sytem' I trade is based primarily on Alexander Elder's "Triple Screen" trading method. The basic idea is that you have to always trade with the longer term trend. Larger market forces exist on the longer time frames and therefore attempting to trade against these market forces on a shorter time frame will result in frustration. Ask yourself, if the daily trend is clearly up, and the hourly chart is trending down away from the daily trend and approaching a clear support level would you trade with the daily and go long or would you assume that this must be the end of the daily trend and fade the daily chart hoping that it breaks down from that support level? Most people instinctively consider it a buy opportunity. Obviously there are other factors to consider. Futures could be falling off a cliff because of some bad economic news, or a big market mover could have been downgraded or missed estimates by a large margin. But, removing those other influences, the logical choice would be to go with the longer term trend. While Alexander Elder claims to have invented this method, the basic concept is nothing new and I'm sure the idea of going with the longer term trend has been in many traders toolboxes for decades. Alas there is more to this method. If we take the Daily chart as the longer term trend to trade with then we can only trade in that direction thereby removing the prospect of fading it. The next screen we look at the chart we'll be trading from. Usually the chart we'll trade from is smaller than the longer term chart by a factor of 5 or 6. This means that we might trade the 60 minute chart. If we consider the 10 minute the long chart then dividing by a factor 5 would be the 2 minute chart. 30:5, 60:10 and many others are all possibilities. In my example, we're watching the Daily for trend information and trading the 60 minute (which is roughly 6 times shorter than the Daily).

How do we define a trend? There are a number of ways to do this. I will explain the way I use it in my trading. Unlike a lot of traders, I don't use the ADX indicator to define my trend. It is very very effective at identifying trends however I find that it filters out a lot of good opportunities and I want as many as I can get provided they don't introduce a lot of false signals. I have backtested this and discovered that the ADX limits my choices too much. Therefore, I have found a substitute. The StrategyDesk code for it is as follows:

ExpMovingAverage[EMA,Close,5,0,30] > ExpMovingAverage[EMA,Close,5,0,30,1] AND
MACD[Diff,Close,12,26,9,30] > MACD[Diff,Close,12,26,9,30,1]

(substitute the number 30 in this code for any longer term time frame; 60, D, W etc)

The first line simply watches for the a 30 minute move up from the previous bar which may or may not be up from the bar before that! The idea behind this alternative is that, while it is always better to trade with the trend, I also want to include occasions where the trend may have been sideways and is now showing signs up reversing. These reversals can be powerful and profitable - even if short lived or become failures. I'm day trading so I'm usually out of the position before it fails or my exit criterion kicks in and stops me out before I lose too much. Stops will be discussed in a later posting. I'll demonstrate in later posting why this method cannot lose very much money and it enables a very high reward:risk ratio.

The second code line is base on the 30 minute MACD difference. Similarly it is looking for a tick up from the bar before. This includes all solidly trending stocks but also includes stocks that maybe at the bottom of the cycle and ticking up. I've found that these stocks that are just coming out of the bottom of their cycle to be very profitable even if the MACD is below zero.

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion

Last edited by ShruggedAtlas; May 31st, 2011 at 03:20 PM. Reason: continuation & corrections
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  #15 (permalink)
Atlas
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Broker/Data: Interactive Brokers
Favorite Futures: Stocks
 
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Posts: 191 since Apr 2011
Thanks: 78 given, 74 received

MY TRADING METHOD - PART 2 - RETRACEMENT

Once you've found a stock that is clearly moving up on the longer term chart then the chart your trading on which is shorter by a factor of at least 5 should be retracing; moving against the longer term trend. All trending stocks do this at some point. The key is deciding on a way to discover the bottom of the retracement. There are many ways to do this. In most cases this will involve the use of some sort of stochastic. In other cases one may use recent support/resistance levels to pick the likely bottom of a cycle. It's best to do some combination of both. Oscillators that may be useful for tracking the retracement include Stochasics, RSI and CCI among others. S/R that can be used include price channels, trend lines and horizontal price levels among others. When I'm trading I primarily use a combination of the Slow Stochastic %D line and a non-standard variation of the RSI. I usually wait until %D < 10 and 2period Cummulative RSI is also < 10.

Let me explain the RSI calculation here: instead of a 14 period RSI which is standard, I use a 2 period RSI. I find this much more responsive than the 14 period. Additionally, I sum the last three RSI values to get a cumulative value in an attempt to 'smooth' the RSI. This is very different then averaging, I don't average in order to smooth. This distinction must be understood. I overlay this Cummulative RSI over the Stochastic %D to get a picture of all the cycles (bounces) that price makes over the course of the day. Below you'll see an example of what this looks like. Generally, when both CUMRSI and Stoch%D recede below 10 then the conditions are generally favorable for a bounce back up. In other words, a reversal is imminent. You may see bounces in the CUMRSI but they do not represent extreme bottoms. I avoid trading those. Because the RSI is bounded in a range 0-300 and Stoch%D is bounded in a range 0-100 you can see from the chart that it is very effective at expressing these bottoms as relatively sharp spikes down.

I won't go into detail here about it but these spikes can be used to detect divergences as well. Often, the second low (bounce) of a CUMRSI is higher than the original low (bounce) this suggests that the upwards price move will continue. Occassionally, price will continue to move lower while the CUMRSI continues to bounce higher. This forshadows a strong reversal in the direction of the long term trend. This are typical divergences and I won't go into detail except to say that I use them as cues about my exits or as opportunities to reenter a position i might have been stopped out of.

A couple of other items relating to the chart. The fat green lines are an indicator I created to more easily show when the CUMRSI and Stoch %D have collectively achieved the ideal conditions for a buy trigger. I will discuss the buy trigger in the next post. I use the price channels in Blue as a place to set my initial stop. That will also be discussed later.

The StrategyDesk code for this part of my method is as follows:

RSI[RSI,2,5] + RSI[RSI,2,5,1] + RSI[RSI,2,5,2] < 10 AND
Stochastic[StocD,14,3,1,5] < 10

All numbers shown in red represent the timeframe that I am trading.

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
Attached Thumbnails
STRATEGYDESK JOURNAL-gis-example.jpg  

Last edited by ShruggedAtlas; May 31st, 2011 at 04:06 PM.
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  #16 (permalink)
Atlas
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MY TRADING METHOD - PART 3 - TRIGGER

I learned from Jacnsteins book "The Ultimate Day Trader" that every trade begins with a setup then proceeds to a trigger before the final follow through. The setup refers to the general conditions that must exist where a trade has the highest probably for success. This can be pattern setups, indicator conditions, volume criterion or any other condition that the trader has back -tested and demonstrated has a better than 50% chance of success. This constitutes your 'edge' in trading. At some point however, something has to happen that sets the trade in motion. For many traders, this happens to be some sort of price movement. For me, I have adapted Alexander Elder's trigger for my own use. Elder taught that traders should watch for price to move a tick (a penny) above the high of the previous bars once the general conditions are in place. this works reasonably well however I found in my backtesting, paper trading and in my real trading that it is usually better to see price close above the previous high. Elders method often results in a false signal. Price may touch the level that triggers a trade and then immediate drop below that level and continue in the opposite direction. This has happened so often for me that I decided I needed a better way. I decided that waiting for a close above was the best option but often I would end up buying relatively high above nearest support if the trigger bar happens to be a long one. I came to my most recent adaptation not too long ago when I realized that I could watch a shorter time frame and enter at the close of the bar of the slightly shorter time-frame.

For example, If I was watching the 60 and 10 minutes charts for my setup, and I was trading on the 10 minute chart, rather than waiting for the close of a 10 minute chart I could enter using the 5 minute chart provided both the 5 minute and the 10 minute had very similar conditions. I've confirmed that this technique is effective in back-testing, paper-trading and in real trading. I have been able to get a better entry time and time again.

In summary:

Whatever chart I'm trading on I always look at the chart that is roughly half as short (10:5, 60:30, 5:2 etc) As long as the shorter term chart is showing similar conditions as the one your trading on you can trade on the shorter one and usually get a better entry. As you can see from the included chart, the 2 minute entry was clearly better than waiting for the 5 minute bar to complete. Thats a roughly 8 cent difference. Based on my predetermined risk I would have traded about 700 shares and those 8 cents would have yielded an additional $56 profit. (regrettably I did not trade this one today. It would have netted me around $200 and my reward:risk would have been roughly 3:1

The StrategyDesk code for this trigger is simple:

Bar[Close,2] > Bar[High,2,1]

The numbers in red represent the trigger time frame - remember that the chart i'm actually trading on is 2-3 times greater. In this case, based on the code you see here, I'm trading the 5 minute time frame.

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
Attached Thumbnails
STRATEGYDESK JOURNAL-gild-example-trigger.jpg  

Last edited by ShruggedAtlas; June 1st, 2011 at 10:35 AM.
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  #17 (permalink)
Atlas
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Futures Experience: Beginner
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Broker/Data: Interactive Brokers
Favorite Futures: Stocks
 
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Posts: 191 since Apr 2011
Thanks: 78 given, 74 received

MY TRADING METHOD - PART 4 - STOPS & EXIT

Stops are an essential part of the adage "cut your losses and let your profits run" I always set my initial stop just below nearest support. Support can be defined a number of ways. For the purposes of this strategy, support is defined by the nearest (most recent low). When I'm trading on the 5 minute chart this is more often than not the bar before my trigger bar. This point defines the extreme low from which I am entering the trade. I use price channels otherwise known as Donchian channels. Here I have been somewhat inconsistent in the past but have recently decided that the initial stop should be the Bid/Ask Spread below the current 10 period price channel (Donchian Channel) low. Below is a paper-trade I just entered several minutes ago showing part of my set up (CUMRSI and Stoch %D below 10 and the trigger is 2 minute bar closing above previous bar) It shows entry at about 10.17 which is below the 'official' entry point based solely on the 5 minute bar. I would place my stop at 1 penny below the lower blue line (10 period Price channel) which is showing 10.14. The theory is that if price drops, it very often bounces along this support line. I want to make sure that I stay in the trade because the likelihood of price going back up is pretty good given my setup conditions.

Note: This trade actually does not fully meet my entry conditions based on the longer term chart. I have technically entered this paper-trade in violation of my rules. However, this system is robust enough that 'close enough' will often work. I will post a picture of this trade later on to show you how it turned out.

Once I've entered the initial stop the distance of the B/A spread below the lower price channel (10 period) then I've contained my loss. In this particular trade, my reward:risk is set to be excellent. I won't be able to lose much more than $40 (not including commissions/slippage) but based on the 5 minute chart you can see that the upwards potential is great. I don't usually set price targets but I always have them in mind. In this case I would expect to be stopped out somewhere around 10.40. If I let fear guide me then I could exit a the first sign of trouble (CUMRSI begins to turn down) and alway take at least some kind of very small profit but then that would violate the concept of letting profits run. In this case I will exit based on the 5 minute chart only and once price has moved above PSAR then I would set my exit rules in place with an alert.

Note: because this trade was entered in violation of my rules and the probabilities of success are therefore unknown I would in fact exit at the first sign of weakness. I would not call this an impulse trade because the conditions were favorable for a bounce but just the same, it would be wise to get out with at least some profit rather than take the loss. I never got a signal so it would be advisable to be more cautious then usual.

My exit rules are the reverse of my longer term chart entry rules shown in an earlier post.

MACD[Diff,Close,12,26,9,30] < MACD[Diff,Close,12,26,9,30,1] OR
ExpMovingAverage[EMA,Close,5,0,30] < ExpMovingAverage[EMA,Close,5,0,30,1] OR

Bar[Close,5] < PriceRangeChannels[Lower,10,0,5] - BidAskSpread

The code in orange represents the initial stop (cut losses short); the code in blue represents the longer term exit (letting profits run)

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
Attached Thumbnails
STRATEGYDESK JOURNAL-fhn-paper-trade-part-1.jpg   STRATEGYDESK JOURNAL-fhn-paper-trade-part-2.jpg  

Last edited by ShruggedAtlas; June 1st, 2011 at 11:07 PM. Reason: CONTINUATION AND CORRECTIONS
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  #18 (permalink)
Atlas
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Posts: 191 since Apr 2011
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PAPER TRADES FOR 6-1-11

Since my money is tied up these last couple of days in the transfer to Lightspeed trading I cannot trade with real money. Just as well since the markets took a bloodbath today. S&P 500 down 30 points. My end of day backtest unsurprisingly came up with only one long trade shown below. I paper traded FHN as well which did not actually generate a signal but I traded it just the same because short term conditions were favorable for a bounce. I caught the bounce nicely on the paper trade (see previous post) but did not trade BCR which generated a stable signal. The chart is shown below. It failed early after only about 1/2 hour but that is when my strategy told me to exit. Traded with 500 shares; $65 risk and exit at $145 gain for a 2:1 reward risk ratio. Not particularly good but considering the general market conditions, i'm surprised I was able to get any long signals at all.

In my opinion, we're likely to see many more bad days like today in the near future as S&P bounces down from 1345 which was a previous resistance level. We'll need some better economic news and a string of strong earnings announcements from some big market movers before we see price move strongly above 1345. I'm skeptical that this is going to happen.

I plan on shorting more. My strategy works pretty well on the short side as well as the long side. I have been avoiding shorts only because my screener generates too many signals when I have both long and short alerts running.

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
Attached Thumbnails
STRATEGYDESK JOURNAL-bcr-backtest-result.jpg  
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  #19 (permalink)
Atlas
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Posts: 191 since Apr 2011
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FRUSTRATIONS WITH STRATEGYDESK ALERTS

I usually do an end of day backtest to compare my alerts to actual trades that met my strategy conditions. Today I received only 4 real time alerts and 9 total backtest results. this is very disappointing because I'm obviously expecting the alerts to catch in real time any condition I have set in my strategy. As you can see from the backtest results shown below, the 9 trades yielded over 77% winners 7 out of 9 with only 2 losers. Even more important, the reward:risk ratio is very good. The average winner is about $80 today based on a flat $10,000 traded on each trade. The largest loser was $10 so overall this is very good. These are typical results that I get most days that show a lot of trades. I'll begin to show these every day so readers can examine them.

What i'm most frustrated at is that none of the trades that my alerts triggered showed up in my backtest. In other words, I got a few alerts but none actually ended up on my backtest. This has happened a lot and it is causing me to be suspicious of the effectiveness of StrategyDesks alerts and screeners. I've got to get along to dinner with my family now but i'll post more later.

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
Attached Thumbnails
STRATEGYDESK JOURNAL-6-2-11-backtest-results.jpg   STRATEGYDESK JOURNAL-6-2-11-alert-results.jpg  
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  #20 (permalink)
Atlas
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Posts: 191 since Apr 2011
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GREAT DAY FOR AN OPENING GAP PLAY


Markets tumbled in the premarket paving the way for some classic gap down long positions. Once again, my alerts sat idle while backtesting showed a couple of really nice profitable trades. Specifically AEE and ED as of 11:20am I have a support request in with Ameritrade on this issue. My hope is to better understand the limitations of the alerts and screeners offered with Ameritrade's StrategyDesk.

I'm still I'm on the prowl for a real time screener where I can apply my multi-timeframe strategy and that can be applied to a portfolio of stocks such as the S&P 500 at the same time in real time. I'll pay good money for that ability. Anyone reading this know of such a screener out there?

"I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game-winning shot and missed. I've failed over and over and over again in my life. And that is why I succeed."
- Michael Jordan, 5-Time NBA Most Valuable Player, 6-Time NBA Champion
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