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Pajot's Trading Journal
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Pajot's Trading Journal

  #111 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Intermediate
Platform: NT
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Favorite Futures: ES, CL
 
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Another coding day...

Still having a number of issues, now that I am paying more attention to each signal that is generated and sent or rejected. The list of things to do gets longer and the trading takes the back seat until I am satisfied I can rely on my indicator again.

Because I was in debug for good chunks of time during today, it seems NT did not record the ticks for replay later. Not sure that's the case, so I will have to try it. I can see breaks in my indicators, which makes sense, so maybe NT kept on recording. Bummer if not!

Here is the chart for today, so far:

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  #112 (permalink)
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March 21st, ES EOD, some -$300

Still problems with the code, but I will list here all the trades that executed today, anyway. Here is the chart and the list of trades:

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An obvious signs of malfunction is how the strategy allowed three entries within the last 5 minutes of the day and within one tick of each other, all stopped at 1 point, bypassing the rule that prevents doubling down at less than the configured amount of ticks. Coding these days, so stuff will happen.

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  #113 (permalink)
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Chart EMA singularity? Planets aligned?


Funny to notice how all the EMAs I have on my chart crowded the bottom tick of the two tick doji bar 54. EMA(5) and EMA(20) on 5min, EMA(20) on 15min, EMA(20) on 60min. Curious what the algorithms do with the code handling the price relative to any of these EMA, in case there are algos out there working like that.

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  #114 (permalink)
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FT71 says "be a good loser". "OK", says my indicator: -$483.98

March 22, EOD ES: -$483.98. My indicator/strategy managed to be a very good loser today. I am not even going into the anatomy of the disaster, but that time will come soon. Still having issues with the trade management; I did not care about it today. I've figured I really really want to collect all the results of all the trades passing through my indicator, allowed and rejected.

Because the cached chart objects would not re-draw properly once a new day starts and all the "absolute" bar numbers will slide to the right by 81 (the number of 5min bars in a day) and because I am still not making a distinction between replay and live cached objects, the code to correct that is still outstanding. To go around it, I normally clear my database of all the signals, all alerts, lines, orders, etc. that get generated in a day (live or replay), hence losing all the details that were relevant for that run, learning only what I collect with the image and the list of trades I post here. So, I am taking some time to create the back-end support for the stats collection. Working on it, I realized I should capture the snapshot of the conditions at the time of the trade, so I can try to learn something from there, even if my code does not cover the logic yet.

This is the chart for the day and the list of trades:

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Last edited by Pajot; March 23rd, 2012 at 12:31 AM. Reason: English
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  #115 (permalink)
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Pajot View Post
FT71 says "be a good loser". "OK", says my indicator: -$483.98

If you followed your plan, didn't lose control of your trades, but still had a losing day - then you are in fine shape. Losing days happen. If you have a string of losses that is outside of your normal results (built from forward tests), then your edge may have changed.

But if you didn't follow the plan, over traded, lost control of your emotions, revenge traded, or otherwise made big mistakes.... well, you weren't a good loser



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  #116 (permalink)
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Big Mike View Post
If you followed your plan, didn't lose control of your trades, but still had a losing day - then you are in fine shape. Losing days happen. If you have a string of losses that is outside of your normal results (built from forward tests), then your edge may have changed.

But if you didn't follow the plan, over traded, lost control of your emotions, revenge traded, or otherwise made big mistakes.... well, you weren't a good loser



Mike

Thank you for the encouragement, Mike! There was a little self inflicted sarcasm in my message. Nevertheless, I am pleased the indicator worked the way it worked, even with the obvious bugs wreaking havoc. I try to include some of my emotions and reactions in how I exit a losing trade and the indicator helps me keep the stops. I have all sort of rules, not sure how good yet, for exiting a trade based on the PnL, conditions of the entry not being satisfied anymore, trailing stop and target, trend direction, etc. In manual live trading, my monkey would keep me in a bad situation for any drawdown, it would prevent me from taking chances, and so on: the reasons I focus so much on coding.

I think it is time to have a daily limit for the loss, so I should not post anything worse than maybe -250 for the day, at this stage. Good webinar. Not a lot of actionable items or technical details, but it helped me realize I will not be a good trader before I deal with my monkey. We know each other very well, my monkey and I. I am giving him the Sim treatment after being so disobedient, but we both know who the master will be in the end...

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  #117 (permalink)
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March 23rd, ES EOD: -$45.10

Well, it should be +$0.88, because I was in debug when a signal for 1 point came and I would have gotten it. Quite happy today, not with the PnL, but with the bug fixing activity. I have managed to find the problems with the trade management and, while not completely fixed, I am almost there. The 1 hour time difference on the news is also fixed for the whole year. A type of measured move entry was also defective because I was sending the barsAgo value instead of the absolute bar numbers to the function dealing with the signals.

On top of all the good work with the code, I am really happy with how the trading range code behaved today, mostly with the last range. I will soon refine the entries to match a confirmed trading range, but this is more than encouraging for me. I see how my trading ranges start as candidates and then they decide to turn into something else (like a passing from the lower left corner to the upper right corner) or they obey the range and get stronger with the time spent oscillating. Somewhere in the future code, I will add trading range scores to keep up with how the range evolves.

At around 11:25am, one of the more obvious targets was 1394.25 and it was achieved with the last breath of the last bar of the day. The indicator got me in and I see how I should stay out even from the best signals when there are seconds to go in the day/week. Another ToDo for me.

Not all trades are relevant. For instance, a bug was not allowing the strategy to switch to the 1 point scalp ATM for the small ATR, so it got me in with the ATM for a bigger day, hence the 3 points loss. The fact that orders where marked as terminated while still beeing open prevented the strategy from reducing the loss once the trend direction changed. I am still workin on this bug and need to understand why GetAtmStrategyMarketPosition returns Flat for open orders, sometimes.

Can't wait to run replay for the last few days. Here are the chart and the trades:

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  #118 (permalink)
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March 26th, ES EOD: -$36.18

4 trades reached the 1 point target, 4 were stopped at 1 point, one scratch, 9 times round trip commissions...

The details:

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  #119 (permalink)
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So easy to become disheartened…

During days like this, with my style of trading, I get stopped over and over again. I am seriously considering reversing all the signals or building a platform that just generates the inverse of the price action. If I have a strategy so good at losing money, it makes sense to inverse it if I want to make money.

I really don’t know how to trade a day with a range of 4 points. My code looks mainly for bounces and for some entries with the trend. Regardless, with so much overlap between bars and with my “smart” trade management, which checks for adverse signs, I get out of trades quickly with some loss.

So far, I am at some -$261 after 9 trades, with the most profitable trade making me $21. That was the only profitable trade.

The only thing I can do is to keep coding and try to figure out how to deal with days like this. One thing could be to stay out altogether from symbols that do not have healthy swings and focus on others that have. Another option could be to have stops beyond the limits of the narrow range and targets within. The code around the EMA, mostly for the exceptions, is not valid when the entire day is spent on both sides of a flat EMA, so I can just disable the EMA specific code.

Anyone out there being successful without doubling down, with accurate entries, who figured out what to do in ES during days like this?

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  #120 (permalink)
The fun is in the numbers
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Pajot View Post
During days like this, with my style of trading, I get stopped over and over again. I am seriously considering reversing all the signals or building a platform that just generates the inverse of the price action. If I have a strategy so good at losing money, it makes sense to inverse it if I want to make money.

I really don’t know how to trade a day with a range of 4 points. My code looks mainly for bounces and for some entries with the trend. Regardless, with so much overlap between bars and with my “smart” trade management, which checks for adverse signs, I get out of trades quickly with some loss.

So far, I am at some -$261 after 9 trades, with the most profitable trade making me $21. That was the only profitable trade.

The only thing I can do is to keep coding and try to figure out how to deal with days like this. One thing could be to stay out altogether from symbols that do not have healthy swings and focus on others that have. Another option could be to have stops beyond the limits of the narrow range and targets within. The code around the EMA, mostly for the exceptions, is not valid when the entire day is spent on both sides of a flat EMA, so I can just disable the EMA specific code.

Anyone out there being successful without doubling down, with accurate entries, who figured out what to do in ES during days like this?

Hi Pajot,

I don't trade NR days like today. The way look at it to simply enter and exit cost you 0.25pts *2 = $50
Some people look at the opening range to get information on the day as it unfolds.

A thought I had about your system a few days ago - so it doesn't apply to today specifically - but a day when you were in and out at the same price many times in quick succession:

Could you try a delay? That is instead of the order being executed right away it waits one minute and enters a limit order at the low of the bar the prior minute for going long or the high of the bar the prior minute for going short. Then force your exit to be no sooner than 3 minutes. (I know this sounds counter-intuitive, LOL)

I hope it helps

Keep your mind in the future, in the now.
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