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Pajot's Trading Journal
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Pajot's Trading Journal

  #101 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

March 16th, EOD, ES: -$73.68

Today was not a bad day, as I managed to get back to coding a bit. I cleared 5 items from my ToDo list, including fixing EMA15 and EMA60 plots on the 5min chart, adding a new exception and fine tuning for the orders around the EMA(20).

The code for trading ranges was turned on again, so some of the results are affected. The code is rudimentary at this time and needs my attention as soon as possible. The ATR kept the ATM strategy with an RRR of 4:4 active today, all day.

I have to run replay for the last days for which I have the recorded tick data and will post other charts and results, to cover the latest changes.

Here are the details:

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  #102 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

March 16th, EOD, ES replay -$23.68

With the new code in, the replay did better. It did better than it seems by comparing the PnL at the end of the day, because I started the strategy late in the morning, I avoided the first two losing trades that are there in the replay results (-$58 or so).

I will have to test and re-test the new code, to make sure the new rules are generally applicable, not only today.

Again, I need to revisit the code that says a bar like bar 2 was a strong bull bar. I think the code looks mainly at the tail at the top, less at the body and the bottom tail.

The details:

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  #103 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

March 15th, EOD, ES replay with the correct instrument on strategy


When I realized some of the damage in the -$386 yesterday was caused by the fact that the indicator was sending signals with levels on ES June contract and they were executed on the ES March one, I said I would replay yesterday. The net result is -$2.26 after commissions (well, I already said "net", but I wanted to emphasize how a full day was spent making IB money ).

I remember the first trades yesterday being 6 one point losses, so whatever damage was prevented today is obviously caused by the right contract being used. I hope some more is a result of the extra coding today. It feels good to get back to coding and I have a long list of things to do. I am becoming more enthusiastic about using the volume, above and at ask, below and at bid. I have spent the time writing some basic indicators and it's only an extra step to using them. A bit worried about the IB data feed, but let's see extra edge I get, maybe it will be worth the DTN IQFeed fees.

The details:

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  #104 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

If ES goes up, ...

I like 1407.5-1408 for a bounce from horizontal level. Then 1411 and above for a sloping target.

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  #105 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

March 19th, ES, $21.86 so far

And $28.14 in commissions for IB. Working hard for IB here; they should put me on payroll.

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  #106 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received


Pajot View Post
I like 1407.5-1408 for a bounce from horizontal level. Then 1411 and above for a sloping target.


Enjoying the bounce at 1408. It is a melt-up kind of day, so I think they will not allow too much profit on this bounce and it probably moved sideways waiting for the EMA. The sloping target got to around 1415 and maybe another bounce at 1410.5.

I am not upset at all when the bounce is not too big and the fact that it even hesitates and moves horizontally for 10 bars is enough confirmation for this particular calculation. It is about understanding what the market does and why. Even with a few ticks, if I manage to increase the probability of the reads enough, I only need to add contracts in order to scale and grow. Still, part of the learning process...

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  #107 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

March 19th, ES, $59.80 so far

I had 4 trades that had 3 ticks profit only to get stopped at break-even before getting the 4th tick. The trading range code got updated over the week-end and does slightly different things. A lot of work to go.

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  #108 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received


Pajot View Post
Enjoying the bounce at 1408. It is a melt-up kind of day, so I think they will not allow too much profit on this bounce and it probably moved sideways waiting for the EMA. The sloping target got to around 1415 and maybe another bounce at 1410.5.

I am not upset at all when the bounce is not too big and the fact that it even hesitates and moves horizontally for 10 bars is enough confirmation for this particular calculation. It is about understanding what the market does and why. Even with a few ticks, if I manage to increase the probability of the reads enough, I only need to add contracts in order to scale and grow. Still, part of the learning process...

1408 was THE bounce, gave some 4 points and no drawdown. It needed to double-top to get some juice on the way to EMA and EMA15min.

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  #109 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

March 19th, ES EOD, $59.80

The PnL stayed as in the last post. NT crashed on me, so I couldn't save the chart as it was at the end of the day. I had to run replay. Slightly different trades in replay. One of them is because I forced a chart refresh earlier and the cached orders for the day didn't load properly; the second trade seems to be caused by a speed error. When I run at 50x, some stuff is not loaded fast enough in the strategy, from the indicator or database. For both, I need to investigate and fix.

The trading ranges in the EOD picture, the one from replay, look a bit tighter because I put some code to make the chart cleaner. The change only affects the way I see the chart once the range is invalidated and it would not affect the result. The code for trading ranges is still in its infancy, but I am encouraged by the progress and have a good number of ideas on the long ToDo list.

Here is the chart and it has to be paired with the trades in the previous post for the complete picture of the day.

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Last edited by Pajot; March 20th, 2012 at 10:19 AM. Reason: English
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  #110 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

Plagued by bugs... March 20th EOD: -$173.24


With the latest changes, I have introduced a couple of bugs that rendered the indicator useless for most of today. That includes debugging and trying stuff, as well. It is better now, I just ran replay and here is the chart and the list of trades. A reason for the larger loss is that I changed the condition for the 1 point scalp from ATR under 2 to ATR under 1.5, opening the door for various ATMs with larger risk and reward.

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