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Pajot's Trading Journal

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  #101 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

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)
Toronto, ON
 
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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)
Toronto, ON
 
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Posts: 148 since May 2010
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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)
Toronto, ON
 
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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)
Toronto, ON
 
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And $28.14 in commissions for IB. Working hard for IB here; they should put me on payroll.


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  #106 (permalink)
Toronto, ON
 
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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)
Toronto, ON
 
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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)
Toronto, ON
 
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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)
Toronto, ON
 
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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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  #110 (permalink)
Toronto, ON
 
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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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  #111 (permalink)
Toronto, ON
 
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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)
Toronto, ON
 
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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:





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)
Toronto, ON
 
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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)
Toronto, ON
 
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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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  #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



Mike

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  #116 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
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Trading: ES, CL
 
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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)
Toronto, ON
 
Experience: Intermediate
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Trading: ES, CL
 
Posts: 148 since May 2010
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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)
Toronto, ON
 
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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)
Toronto, ON
 
Experience: Intermediate
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Posts: 148 since May 2010
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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)
Point Roberts, WA, USA
 
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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

..........
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  #121 (permalink)
Toronto, ON
 
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aquarian1 View Post
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

Hey again, aquarian1!

By the way, I like the username. Thank you for thinking about my system and giving your opinion. 2 ticks + commission would actually be $29.02, but I completely get your point and it's a good one. I tend to forget about that and expect the swings to give me my 1-2 points. One thing I could do is acknowledging the kind of day and, if I still want to be in, to go for 3 ticks instead of 4.

What may have seemed like many entries at the same level in quick succession was not actually that. When I get again at the same price or very close, then there is a bug in my strategy. I found the problem today and will fix it tonight, so I should not see that again. On the chart, when you see the little triangles, only the red and blue are actually entries validated by the indicator and even those may be invalidated by the strategy if the distance from an existing open entry is at less than the number of ticks I set in my configuration (usually 8 ticks). I also have a parameter that may allow or not another entry on the same bar, no matter if the first one is open or not.

I can definitely work with the expiration of an open trade. For most of them, the bounce should happen and, if not, then it is not going to happen. There are situation when the market takes its time figuring out my level is a good on (LOL) and the bounce turns into a slow motion reversal, with a lot of fighting, but I don't like to stay in too much. I will work on the expiration. I have timer code I use for when an order placed is not executed within the next bar and I decide to cancel it and look for another entry.

Thanks much!

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  #122 (permalink)
Toronto, ON
 
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With today's price action, I would probably not trade with real money at all, but that's partly why I am writing the code: to get me in when I am too scared to do it myself. Well, the indicator should not get me in either, unless I figure out how to deal with days like this. I hinted at some possibilities in a previous post, so I'll investigate when I get the time. So, if the code avoids ES, I still need to trade something and will probably start adjusting my indicators to CL or something.

Here are the details:




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  #123 (permalink)
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Pajot View Post
I really don’t know how to trade a day with a range of 4 points.

Please don't use Word or some other editor to write your post, then copy into the forum, because it makes it extremely hard to quote your reply (all the crazy formatting).

As for trading a narrow range day, my only advice is "slowly". On this type of day you should probably have only one entry, and then you can let it sit until end of day then exit if you have a no overnight policy, or you might want out after realizing we are in a tight consolidation range.

I also would advise focusing on trading a particular direction, and not flip-flopping back and forth between long and short throughout the day. A lot of traders get chewed up doing this, but it will largely depend on your trading style and what size chart you are trading.

Mike

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  #124 (permalink)
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Pajot View Post

2 ticks + commission would actually be $29.02, ...

-- oops yes you're right!


Pajot View Post
What may have seemed like many entries at the same level in quick succession was not actually that. When I get again at the same price or very close, then there is a bug in my strategy. I found the problem today and will fix it tonight, so I should not see that again.



--- I realized you fixed it, but here's the thing.

Let us say someone shares an idea.

Instead of engaging the side of the mind that marshalls rebuttals, instead look at it and say:

" Well I've fixed the too-frequent order thing. But I've never tried delaying an order and entering with a limit order at a better price or not entering the trade at all. Why don't I give it a try? - Easy enough to add a subroutine that runs off and executes the delay without messing up any of my strategy code.

Let's see what happens - it might be fun to test it."

----
Now here's the key point - I'm not selling the idea,nor arguing for it.

I'm speaking more philosophically. If one is open to messages one may receive then the Creator can send us gifts 'though the words of fools.' the 'signs of birds' etc. Some won't work out. Some (or one) might. Regardless, we grow through the process of being open to the spontanetity of the Universe. It is important, I believe, that we be open-minded, to become flexible minded.

-- just an idea to consider!




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  #125 (permalink)
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Big Mike View Post
Please don't use Word or some other editor to write your post, then copy into the forum, because it makes it extremely hard to quote your reply (all the crazy formatting).

As for trading a narrow range day, my only advice is "slowly". On this type of day you should probably have only one entry, and then you can let it sit until end of day then exit if you have a no overnight policy, or you might want out after realizing we are in a tight consolidation range.

I also would advise focusing on trading a particular direction, and not flip-flopping back and forth between long and short throughout the day. A lot of traders get chewed up doing this, but it will largely depend on your trading style and what size chart you are trading.

Mike

About Word: sure, no problem. I wasn't aware of the issue.

Thank you for the advice on trading slow and narrow days! The problem with yesterday, at least for me, was that I could not make up my mind on a direction. I could have probably used higher time frame charts and other signs to identify the "always in" direction, but it oscillated a lot between long and shorts for me. I think one way to handle this is to still go both long and short, but less often and only on signals around the extremes. Of course, only until the bulls or the bears do something to nudge the sentiment in their favor.

I think the code for channels would work here, once I complete it. The way I see it, on a day like this, the price is trying to figure out the proper channels to stay within. Some of them are obvious and, before they are confirmed, there are always a number of options and I can just decide to enter on tests of the channel lines. For sure, I would avoid stop entries both directions, long entries at the top of the range, and short entries at the bottom.

Simple ideas, but my day would have gone a lot better if any of them would have been applied.

Thank you, Mike!

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aquarian1 View Post
-- oops yes you're right!



--- I realized you fixed it, but here's the thing.

Let us say someone shares an idea.

Instead of engaging the side of the mind that marshalls rebuttals, instead look at it and say:

" Well I've fixed the too-frequent order thing. But I've never tried delaying an order and entering with a limit order at a better price or not entering the trade at all. Why don't I give it a try? - Easy enough to add a subroutine that runs off and executes the delay without messing up any of my strategy code.

Let's see what happens - it might be fun to test it."

----
Now here's the key point - I'm not selling the idea,nor arguing for it.

I'm speaking more philosophically. If one is open to messages one may receive then the Creator can send us gifts 'though the words of fools.' the 'signs of birds' etc. Some won't work out. Some (or one) might. Regardless, we grow through the process of being open to the spontanetity of the Universe. It is important, I believe, that we be open-minded, to become flexible minded.

-- just an idea to consider!



I am not into all the Creator stuff, but I hear you. I like the idea of having an open mind and try things. You should see my code and how many things are configurable, how many signals disabled, code commented, etc.

I was actually agreeing with you and only letting you know that the multiple entries at the same level should not happen. Also, I am sure the chart is hard to read for whoever looks at it and does not know what each symbol means and I don't have a legend how I should.

I like the delay idea and it is on my list to try as soon as possible. The bug I mentioned yesterday is not fully fixed, as it will require some additional data structures, but I have eliminated a bunch of cases already. I am honestly and openly asking for ideas, I am no "know it all", and I am very willing to listen and learn. I love doing this and it is a lot more fun when we're bouncing ideas around.

Thanks again!

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Somehow, today looks a lot better, at least from a trending perspective, direction clarity, the size of the bounces at key levels. I am minimally up, $51.32 after 9 trades, but it is still profit generated by my code, so I cannot be too upset.

I need to manage the alleged trading ranges better and draw less when the range is not confirmed by the price action. The chart is too busy with stuff that does not mean much...


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Minimally up, but up nonetheless. The trades will be posted soon, as I am experiencing technical difficulties uploading from iPad.


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Many of the signals worked today and I like that. I helped the indicator with a manual line from a higher timeframe (the entry at 1386.25 on the red line at the bottom) and the indicator did pretty well today. I was up some $220 and something weird happened. The OCO stop and target orders for a closed transaction were left on the chart, so they started trade(s) and kept on cascading, since there was always a balance of extra stop and target orders. I will have to either run replay or figure out how to clean the current list before I post it.

The legit indicator driven entries are still visible on the chart, where the red and blue triangles show, not the gray ones:


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Pajot View Post
... I like the idea of having an open mind and try things. You should see my code and how many things are configurable, how many signals disabled, code commented, etc.

.....
I like the delay idea and it is on my list to try as soon as possible.

I am honestly and openly asking for ideas, I am no "know it all", and I am very willing to listen and learn. I love doing this and it is a lot more fun when we're bouncing ideas around.

Hi Pajot,

Thanks for sharing your ideas in your journal.

(I guess I'll have to learn how to code and try out my crazy ideas! LOL )

..........
peace, love and joy to you
.........
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I have the chart at the end of the day, but am deep into coding now, brain smashing, tough stuff. Can't see straight anymore, as I am working on some failure in the logic for horizontal lines. I will get back with the trades at a later time, but it seems some of the winning ones today were caused by the problem with the orphaned OCO stop and target orders. I will try to run a replay once the I can compile the code again.

Enjoy the chart:


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Done with the code for today. Some things have been bugging me for a long time (hehe, bugs, but no pun intended) and I couldn't put them off anymore. Pending more tests, I am done with those particular issues, I can compile, and replay is over. I like that I am on plus, but it's only one day. Oh, I should rerun replay with the manual line I added today to have comparable charts and results close to the live session.

I will post chart and trades in the morning.

I also had 2 live trades today. One QM with 2 ticks drawdown, 18 ticks potential profit, but eventually stopped at break-even. The other one was 1 ES point.

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Pajot View Post
Done with the code for today. Some things have been bugging me for a long time (hehe, bugs, but no pun intended) and I couldn't put them off anymore. Pending more tests, I am done with those particular issues, I can compile, and replay is over. I like that I am on plus, but it's only one day. Oh, I should rerun replay with the manual line I added today to have comparable charts and results close to the live session.

I will post chart and trades in the morning.

I also had 2 live trades today. One QM with 2 ticks drawdown, 18 ticks potential profit, but eventually stopped at break-even. The other one was 1 ES point.

As promissed, the chart and the trades:




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Only three trades so far, 2 x 1 point loss, 1 point profit. The indicator keeps me out for most of today, one of the reason being the lack of respect for the EMA(20) and unusually long moves in one direction. I will update with the end of the day later.


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No more trades after the last post, mainly because of the small ATR. I have reinstated the exception that keeps me out of the market if the average of the last few bars is below 1 point. I am going to make a change now, to include the size of the current bar, so I take advantage of moves that happen now, after a few slow/small bars. Very small and effective change, that would have gotten me in at the bottom of bar 76, for instance.

Here are the details:




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Congratulations on your journal!



In the spirit of our March Trading Journal contest, I am asking everyone to spend a few minutes and share their journaling experience.

A) What are the top five benefits you have seen as a result of regularly posting in this journal?

B) What are the top five problem areas you have identified as a result of regularly posting in this journal?

C) Were you initially reluctant to start this trading journal? If yes, why?

D) How do you feel, overall, about your journaling experience?

E) Would you recommend to others that they should also start a trading journal?

Thank you for taking the time to answer my questions. I appreciate your posts, and I hope you have benefited from your journal. I also know that others will benefit as well, just by reading about your own experiences.

Enjoy your weekend,
Mike

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Big Mike View Post
Congratulations on your journal!

In the spirit of our March Trading Journal contest, I am asking everyone to spend a few minutes and share their journaling experience.

A) What are the top five benefits you have seen as a result of regularly posting in this journal?

1. Because my thoughts are in almost numeric and algorithmic form when I go for long stretches of coding, being "forced" to share and maybe explain the results in English brings the extra clarity I find useful. It also forces me to go sequentially through what I am doing and "translate" for someone who has no idea about the details. Still, I am sure I can do a better job explaining and this is a start.

2. I was hoping for a lot more interaction, interest, dialogs, bouncing ideas, learning from the best around here. Huge thanks to aquarian1 and Big Mike who, on a few occasions, have shown interest in what I was writing in my journal.

I still think that having feedback from others is a major benefit for more interesting or more "thanks" friendly journals. I feel the number of "thanks" is a currency around here and it took me a while to understand. A bit silly if people contribute only with the expectation that the "thanks" button is pressed. I was saying "THANKS" in my posts and I thought that was more valuable. Oh, well... Human nature is interesting and futures.io (formerly BMT), on top of other extraordinary benefits for traders, also delivers the ego boosting features we can find in social media.

3. I am supposed to journal my activity even without participating in the March challenge, which I have not done consistently before this month. Therefore, since I consider every single trader should journal and review every single day, this is another major benefit. futures.io (formerly BMT) is a good platform for it, readily available online, and I am finding myself going back to my posts to see certain details of the days I have posted, instead of turning on my laptop and see the files there.

4. The need to improve more because the performance is now in the public eye. Well, you may say this is the egotistical monkey speaking. While I am not feeling any pressure to come up with huge profits, have no problem with bad results and still follow my plan, it is a bit useless not to take all these opportunities to learn every day, adjust and correct things, so the posts have an impact.

5. Introduce myself and what I do to the traders' community. I have been doing things on my own, without much thought to all the people who are in the same business, working hard every day, sharing my dreams, goals, suffering, despair, hopes... Well, it is very nice to meet you all; this is me, part of this community, and I am here to stay and improve, even contribute here and there if anyone is interested!

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  #139 (permalink)
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personally, i visited your journal several times, but just did not stop to leave any message.

take heart, my trading friend, there are many who care but just could not squeeze out additional time to express their opinion just yet, K?

keep up the journal, it is a stepping stone to higher level of trading, unless of course you already have a copy of your broker's daily summary on hand electronically, then daily journal perhaps would be redundant.

do not give up just yet, alright, friend?

cheers up, and three cheers for you and your efforts.



Pajot View Post
1. Because my thoughts are in almost numeric and algorithmic form when I go for long stretches of coding, being "forced" to share and maybe explain the results in English brings the extra clarity I find useful. It also forces me to go sequentially through what I am doing and "translate" for someone who has no idea about the details. Still, I am sure I can do a better job explaining and this is a start.

2. I was hoping for a lot more interaction, interest, dialogs, bouncing ideas, learning from the best around here. Huge thanks to aquarian1 and Big Mike who, on a few occasions, have shown interest in what I was writing in my journal.

I still think that having feedback from others is a major benefit for more interesting or more "thanks" friendly journals. I feel the number of "thanks" is a currency around here and it took me a while to understand. A bit silly if people contribute only with the expectation that the "thanks" button is pressed. I was saying "THANKS" in my posts and I thought that was more valuable. Oh, well... Human nature is interesting and futures.io (formerly BMT), on top of other extraordinary benefits for traders, also delivers the ego boosting features we can find in social media.

3. I am supposed to journal my activity even without participating in the March challenge, which I have not done consistently before this month. Therefore, since I consider every single trader should journal and review every single day, this is another major benefit. futures.io (formerly BMT) is a good platform for it, readily available online, and I am finding myself going back to my posts to see certain details of the days I have posted, instead of turning on my laptop and see the files there.

4. The need to improve more because the performance is now in the public eye. Well, you may say this is the egotistical monkey speaking. While I am not feeling any pressure to come up with huge profits, have no problem with bad results and still follow my plan, it is a bit useless not to take all these opportunities to learn every day, adjust and correct things, so the posts have an impact.

5. Introduce myself and what I do to the traders' community. I have been doing things on my own, without much thought to all the people who are in the same business, working hard every day, sharing my dreams, goals, suffering, despair, hopes... Well, it is very nice to meet you all; this is me, part of this community, and I am here to stay and improve, even contribute here and there if anyone is interested!


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  #140 (permalink)
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Big Mike View Post
Congratulations on your journal!

In the spirit of our March Trading Journal contest, I am asking everyone to spend a few minutes and share their journaling experience.

B) What are the top five problem areas you have identified as a result of regularly posting in this journal?

The problems are mostly technical and there are plenty of items I identified and worked on this month. I know exactly where I stand as a trader, what my issues are, what I have to fix. Of course, I am sure only about what I know already and can't predict what I will find out as I move ahead.

In my posts, I have explained some of the things on the technical side, there are plenty more, and I don't see much sense in detailing in a list here.

I can't be trusted to trade manually yet, at least not for a living. I know I can be consistently profitable and I am for the last two years, even if in small absolute amounts. I can say what I see my problems being very common and shared by many traders:

1. Fear of trading. Since I have been watching the market for a few hours a day, tick by tick, for a few years now, I focus a lot on all the bad scenarios that may happen starting from the current tick, so I try to take into account the worst at any time. I am more on the side of waiting than trading.

2. Once in a trade with real money, everything changes. I can't see or think straight anymore and no, I am not turning gay . I become very biased for the direction I am in and find all sort of excuses to stay in trades that are not promising anymore.

3. I want my trading to be perfect because I can't withstand drawdown, hence my inclination towards the technical side, the measurements, the calculations. I am very accurate when I eventually enter, but trading is not about that. It is against my nature to take trades and let the market decide what happens with them, which is contradicting how the market actually works. This is one of my biggest flaws and I have a hunch my indicator will not offer me the 100% I seek. I think having the indicator doing the trading for me is acceptable. Once I know my code can be profitable, I don't need to suffer with each trade, so it's fine.

4. It is very hard for me to use stops. Once I am in for a few ticks profit, the drawdown can be any amount. I rationalize all sort of scenarios that make it acceptable to have a huge drawdown because I can double down and figure out a solution out of it later. Of course, I still get scared and get out at break-even when the market comes around. -$4.02 per contract became my signature trade . I have gotten out of big drawdowns by entering with the second contract at the perfect point, but that's not how I want to trade. I hate to be in the market and see it going against me: it makes me unhappy.

5. Not sure what should go to the 5th... Maybe that I care so much about every single dollar and I don't find it acceptable to lose. A while ago, I started making analogies between driving and trading and I have a long list of nice ones. The last one that popped into my head was about blowing your account and say it is part of learning. Well, the equivalent for a new driver is totaling the car, which I don't find it acceptable. I don't have money to risk or lose. Again, I am clear that this is fiction and not how the market works, but I will eventually make enough from very small trades to start risking more. I see no other way.

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nakachalet View Post
personally, i visited your journal several times, but just did not stop to leave any message.

take heart, my trading friend, there are many who care but just could not squeeze out additional time to express their opinion just yet, K?

keep up the journal, it is a stepping stone to higher level of trading, unless of course you already have a copy of your broker's daily summary on hand electronically, then daily journal perhaps would be redundant.

do not give up just yet, alright, friend?

cheers up, and three cheers for you and your efforts.

A very sincere thanks to you, nakachalet!

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Big Mike View Post
Congratulations on your journal!

C) Were you initially reluctant to start this trading journal? If yes, why?

A bit, but not enough to stop me from doing it. The main reasons:
- the reaction from other traders. I wasn't sure what to expect on futures.io (formerly BMT), since the journal started my posting here. I can vouch this is a very friendly community and the traders here are awesome.
- lack of time. Doing the journal took valuable time and focus from my work on my code. I can say it was time well spent, for the benefits I listed in an earlier post.

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Big Mike View Post
Congratulations on your journal!

In the spirit of our March Trading Journal contest, I am asking everyone to spend a few minutes and share their journaling experience.

D) How do you feel, overall, about your journaling experience?

I can't think of any negative aspect. I am not sure there is any benefit from reading for whoever stumbles upon my journal, but it works well for me. Making a journal public adds some zest to it, some honesty, order, self applied objectivity. All in all, a very good experience.

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Big Mike View Post
Congratulations on your journal!

In the spirit of our March Trading Journal contest, I am asking everyone to spend a few minutes and share their journaling experience.

E) Would you recommend to others that they should also start a trading journal?

It would be presumptuous for me to advise on starting a trading journal specifically on futures.io (formerly BMT), but journaling every trading day is a must if you are working on becoming profitable and are serious about trading at all. Start a journal no matter what and do it on futures.io (formerly BMT) for the obvious benefits, but that is to each her/his own.

The next best thing is to keep reading other people's journals. If you are not learning from your own mistakes, you should learn from others'. I have too many things I want to work on and very limited time right now, but just browsing and learning from what others are doing is experience that comes at no cost to you and may save you big bucks, frustration, and time in the future.

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Pajot View Post
It would be presumptuous for me to advise on starting a trading journal specifically on futures.io (formerly BMT), but journaling every trading day is a must if you are working on becoming profitable and are serious about trading at all. Start a journal no matter what and do it on futures.io (formerly BMT) for the obvious benefits, but that is to each her/his own.

The next best thing is to keep reading other people's journals. If you are not learning from your own mistakes, you should learn from others'. I have too many things I want to work on and very limited time right now, but just browsing and learning from what others are doing is experience that comes at no cost to you and may save you big bucks, frustration, and time in the future.

@Pajot

you appear wiser by the passing day.

i'll drink to what you said above.

two thumbs up for the very wise observation.

have fun. i'll visit your journal more often now....

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When I know it will reach a level, I can't stand knowing I may get drawdown, so I place the order exactly on the level. It works well in sim/replay, but I don't get filled in real trading.

I was waiting on ES at 1416.5 and my order did not get filled... Maybe it's for the best.

Going up, I like 1428.25, but not sure when that will happen, if it will happen.

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As I am working off-site and am involved in all day meetings, not much trading is going on, so I don't have much to update here.

Yesterday, I got stopped out three times in the morning, for a total of -$120 or so, and the automated strategy did not get me in again because of the small ATR. Obviously, the decision to base the entries on ATR did not work nicely on a day like yesterday, where the move up was strong and continuous.

One of the stopped trades in the morning was caused by a flaw in my code, which did not include the last bar when figuring out if a measured move was reached. I will check and fix.


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I started the strategy only a few minutes before 2pm, during a meeting break. It looked like 1402 would be a good reversal point and I placed an order to buy there, real money. After a few seconds, I get an email from the strategy about the upcoming FOMC minutes notes at 2pm, so I quickly removed the order. It would have been an order placed there with a tight ATM and left unattended. The thought I had was that, no matter how my sim works and how much I have to struggle to become profitable, the helper part of my indicator provides value right now and helps the discretionary manual trading. Got a bit of my motivation back right there.

One of the issues I noticed during March was that I put code in to keep me out a number of minutes before news, but nothing after the exact time of the news, so I was very exposed once the news was out. That included today and you can see three entries (blue triangles) against the large bar down at 2pm. Just sat down and fixed that issue, so I do not enter for a configurable number of minutes after the news, 5 for now.

Here is the chart, which is missing values for the indicators before 13:40, since I started late.


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I am happy with the fixes for preventing trades a number of minutes after the news and with for the measured move target miscalculation. In the process, I noticed another issue with the news dates, so good work last night.

The chart for now:


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  #150 (permalink)
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The first entry gave me two points. Well, there was more on it, but it got stopped by the auto trail. Can't complain. The chart:


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Not too many trades today, for various reasons. Since it's a profitable day, I don't mind too much, but will still study the rejected trades. Later...




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  #152 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

A slow day and a good occasion to learn one or two things, get new ideas for the code. I had a black-out period caused by problems with NT and I cannot even replay the last few days missing from the journal, so can't generate the charts and results after the fact.

It was weird... I am still using NT 6.5 and I have discovered there are situations when charts not visible on the screen run in the background, probably from the Default workspace when I am under a custom one. I guess it shouldn't be a problem with normal indicators, but it is a problem with the way my indicators run. It messes up everything and I had to look at what was going on, with clear evidence of what was happening and no effective way to address the problem. I had to go through guesses and various tries and ended up cleaning and closing the custom workspaces and running only the Default one. It seems fine now. I wonder if this issue is still there in NT 7 and if it is even considered an issue since any number of "normal" indicators can run on any number of charts. Mine have to be a sort of singleton. Not ready to move to NT 7 yet, as I have no idea what will be required to migrate my code and I don't want to shift focus to anything yet.

The code to limit the daily loss to a pre-defined amount is now working. I've played a bit with code that tells me when a strong bull or bear bar just closed and will tweak further. Another priority on my list is to add the code to decide which exceptions will apply to which entry types outside the code. As I come up with more rules, I don't like that I have to change everything in code when this is a classic configuration item that should go to either the database or the xml configuration file.

Pretty quiet day because of the small ATR. 6 out of 10 trades where scratches, my classic -$4.02 trade. This is caused by the trailing target code and I like how it works.

Here are the chart and the trades:




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  #153 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

I said in a previous post: I should switch to and use signals from charts on higher time frames when the ATR on 5min is too small. The swings may still be there and they can be captured by putting together more bars, hence the higher time frames. Big item to work on, as I have to adapt my code for charts that are not 5min. I really like the idea and it makes a lot of sense. I can currently send some signals from other charts, but only limited. Switching all the signals, with properly adjusted ATM, would add value here, I am sure. Sort of fractals for different timeframes .

Details for the day:




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  #154 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

A few things to change after today, nothing spectacular. Details:




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  #155 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

I could go back and replay one of the missing days, so here it is:




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  #156 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

Some profit after 18 trades today. Only the chart for now, as I can't process the screen shot for the trades on iPad.


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  #157 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received


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  #158 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

Some very interesting journals out there. I took the time to go through a few and I loved how some of the traders put everything on display: setups, feelings, techniques, thoughts, ideas, own philosophy of life and trading. Beautiful! Congrats to all participants and winners!

Verba volant, scripta manent, so I know the journals will always be here and I can get back to some of the posts in the future, including in my own journal.

From an exclusive March challenge perspective, very slight chances for new comers, as older journals and long(er) time traders took the spoils. There are journals in top 9 (10 is not in fashion anymore!?) that do not qualify for the March challenge as it was defined before we started. Some have only a handful of entries for the entire month, but they belong to popular people on futures.io (formerly BMT) and are, overall, popular and interesting journals.

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  #159 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

Yesterday, my strategy had a series of bad trades and it stopped trading once it reached a loss of -$200. I forgot to save the chart, so I will run reply at some point and post it here.

I started to play with CL a bit, trying to get used to the "beast" and automate a strategy based on a range chart. Some of the code I have for ES will apply, mostly around reasons to stay the hell out. I like the long swings in CL and they can be very profitable. If I manage to stay on my hands when the chop rules, then I am golden. Sounds easy in theory, I know it's not.

About my ES strategy, I will allow all the trades, including the normally rejected ones, so I can track how they perform. It is the best way to validate the exceptions, not only the entries. They will go into the database with all the info attached, so I can run reports afterwards.

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  #160 (permalink)
Mercer Island WA
 
Experience: Advanced
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Trading: TF/NQ/ES/Stocks
 
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Hi Pajot. This is an interesting journal. I noticed you are still using Ninja 6.5 and was wondering the reason why that was so. I'm not trying to influence your choice but will say Ninja 7 is quite a stepup from Ninja 6.5 in all areas and may at least be worth a trial.

Good luck
DJ

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  #161 (permalink)
Toronto, ON
 
Experience: Intermediate
Platform: NT
Broker: IB
Trading: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received


djkiwi View Post
Hi Pajot. This is an interesting journal. I noticed you are still using Ninja 6.5 and was wondering the reason why that was so. I'm not trying to influence your choice but will say Ninja 7 is quite a stepup from Ninja 6.5 in all areas and may at least be worth a trial.

Good luck
DJ

Hi DJ,

Sometimes, I am wondering the same thing. I don't have a compelling reason to upgrade yet and all my code is in 6.5; don't want to go through the install and setup process and, most of all, not sure what to expect about the code migration. Will do it at some point.

Cheers!

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  #162 (permalink)
Mercer Island WA
 
Experience: Advanced
Platform: Ninjatrader/Strategy Desk
Broker: Various
Trading: TF/NQ/ES/Stocks
 
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Posts: 561 since May 2010
Thanks: 981 given, 1,551 received

Hi, it's a bit like going from XP to Windows 7. I liked XP but once I tried windows 7 I forgot about XP. If you are curious the best thing to do is install Ninja 7 on another machine and load your indicators and see if they work ok. I didn't have any indicators that didn't transfer across without any problems.

Cheers
DJ

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