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Pajot's Trading Journal
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Pajot's Trading Journal

  #61 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
Futures Experience: Advanced
Platform: IB and free NT
Broker/Data: IB
Favorite Futures: ES
 
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Posts: 3,249 since Dec 2010
Thanks: 1,168 given, 1,762 received
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Pajot View Post
Here is my first stab at sharing the chart on futures.io (formerly BMT) and, to be honest, ever. I just ran a replay of today, at 50x speed, at high speed. I usually clean up my database before I run replays, so the couple of trendlines from yesterday were not there. The channel I drew today is not there either. It's just a clean run with all default settings. The speed also alters the results a bit, because of the lag in reacting to the price. I will try to post a replay every day, but I will probably miss the start of some in my tick recordings. Enjoy!

March 8, 2012 ES replay - YouTube

Is there sound on this recording?
Thanks

Keep your mind in the future, in the now.
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  #62 (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


aquarian1 View Post
Is there sound on this recording?
Thanks

Sorry, no audio yet. I can see how it's not very interesting without it, but I am not at that skill level yet. Until I have the right hardware (doing this stuff in a VM and probably don't own a microphone), I am hoping the replay helps a bit seeing how I trade, on top of the list of trades and the snapshot at the end of the day. Thank you for your interest and, of course, for the PM recommending the video capture tool. Starting from what you recommended, I went with Camtasia, from the same page. I hope my use of Google's YouTube is not offensive to you, but I understand your point about the Chinese opposition. Cheers!

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  #63 (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 9th: video of the replay in NinjaTrader, 50x


March 9th, 2012 ES replay - YouTube
No sound on the video, only the quiet beauty of the market, tick by tick. For what you see on the screen, there is a reason for each arrow, each entry, level, line, rejected signal, a lot of meta data generated and much processing happening. I normally collect the details and correct what I see my indicator doing wrong, very careful not to enter exceptions as rules. I am not looking for a quick fix of the day to increase my profit. That's a trap, because I can always adjust the many parameters to generate a better day in replay, but it will not necessarily work tomorrow or ever again. The changes I introduce are sometimes in the making for a month.

One thing I've noticed is how important the ATM is. I have dedicated ATMs for all types of entries, so they can differ. I can also override the differences and decide to use one single ATM for all signals. Without exception, I can make the day better in replay by adjusting the ATM to take profits at certain levels or to trails stop starting at certain tick, having stops at certain levels. I am wondering what signals can the market offer in the first bars today or within the price action yesterday to allow the strategy to come up with optimized configuration for the ATM. I am thinking to correlate with the recent ATR, but haven't tried it yet.

Any ideas, anyone else has ever tried anything like this? I assume so, because it is obvious a trader would adjust the expectation for target/stop depending on the size of the day (range, bar), but I haven't seen a quantifiable method yet.

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  #64 (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 12th, 2012 - around -$156 so far

A lot of work in the code for the trade management should improve the PnL consistently. Right now, other than the bad entries, I am dying from the 1000 paper cuts, because of the tight stops. I can see how I need to have subsets of exceptions applied to individual entry types and that should also help. My strategy is avoiding entries altogether when certain conditions are met, but I know exceptions from exceptions that will make a difference.

When a breakout happens, I need code to look at the volume and, if the breakout was strong, I enter on a "with gap" or a breakout test.

Also, the code that keeps me from doubling down at less than the predefined distance is failing at times, so I am fixing that today. Too many times in the last week the strategy got me in with 2 cars at 1-2 ticks distance, which is not how I want to trade.

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Last edited by Pajot; March 12th, 2012 at 12:53 PM. Reason: Remove repetition
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  #65 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
Futures Experience: Advanced
Platform: IB and free NT
Broker/Data: IB
Favorite Futures: ES
 
aquarian1's Avatar
 
Posts: 3,249 since Dec 2010
Thanks: 1,168 given, 1,762 received
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Pajot View Post
I hope my use of Google's YouTube is not offensive to you, but I understand your point about the Chinese opposition. Cheers!

no worries -

chaq'un a son gout. (sp?)

Keep your mind in the future, in the now.
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  #66 (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 it wasn't hard, everyone would do it. It's the hard that makes it great.”

March 12th, -$300.96.
Here are the trades for today. Since I forgot my chart object only load on OnBarUpdate and I hit F5 after 4:15, I will have to run replay to generate the chart of today with all the signals.

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  #67 (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 12th, 2012 - ES EOD chart. Not my kind of days

I am really interested in finding out how people make money in days like these. I am not question the possibility, only what kind of strategy is better tailored to deal with the price action. I think the trading range code should help, but I don't have time for it now. Here is the replay chart. My indicator finds this kind of action tricky.

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  #68 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
Futures Experience: Advanced
Platform: IB and free NT
Broker/Data: IB
Favorite Futures: ES
 
aquarian1's Avatar
 
Posts: 3,249 since Dec 2010
Thanks: 1,168 given, 1,762 received
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Pajot View Post
I am really interested in finding out how people make money in days like these. I am not question the possibility, only what kind of strategy is better tailored to deal with the price action.

I don't have an automated system like you do. However, if I was was going to code one I would have strategy for trending days and one for non-trending days. This means the over-riding strategy would have to call the "trending strategy" or the "non-trending" strategy.

Does Ninja allow for program subroutines?

Unless you are averaging into a position, or very good, it is hard on narrow choppy days like this to make profit, IMHO. I hope it helps!
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Keep your mind in the future, in the now.
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  #69 (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


aquarian1 View Post
I don't have an automated system like you do. However, if I was was going to code one I would have strategy for trending days and one for non-trending days. This means the over-riding strategy would have to call the "trending strategy" or the "non-trending" strategy.

Does Ninja allow for program subroutines?

Unless you are averaging into a position, or very good, it is hard on narrow choppy days like this to make profit, IMHO. I hope it helps!
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

You can do pretty much what you want in NT and calling strategies depending on the day is a piece of cake. Now, identifying the type of day might be a different story... My strategy is a proxy to many strategies and I am not having good days because my code "falls" for signals that work on days with wider ranges, trending or not. I have code for trading ranges, but not for narrow ones. It would be probably best not to consider entries when the ATR is less than 1.5. The trending range code still sucks, but fixing that might make things better. Doubling down must be the way, but I am trying to first refine what I have without it. Thanks so much for your input. So hard to get others to share their ideas around here, unless is about how to combine existing indicators.

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  #70 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
Futures Experience: Advanced
Platform: IB and free NT
Broker/Data: IB
Favorite Futures: ES
 
aquarian1's Avatar
 
Posts: 3,249 since Dec 2010
Thanks: 1,168 given, 1,762 received
Forum Reputation: Legendary



Pajot View Post
You can do pretty much what you want in NT and calling strategies depending on the day is a piece of cake. Now, identifying the type of day might be a different story... My strategy is a proxy to many strategies and I am not having good days because my code "falls" for signals that work on days with wider ranges, trending or not. I have code for trading ranges, but not for narrow ones. It would be probably best not to consider entries when the ATR is less than 1.5. The trending range code still sucks, but fixing that might make things better. Doubling down must be the way, but I am trying to first refine what I have without it. Thanks so much for your input. So hard to get others to share their ideas around here, unless is about how to combine existing indicators.

"Now, identifying the type of day might be a different story" - le vrai mot

"My strategy is a proxy to many strategies" - sorry I'm not clear on your words here

"my code "falls" for signals that work on days with wider ranges, trending or not. I have code for trading ranges, but not for narrow ones" - In essence a wide ranging day can be though of as several minor trends, up and down within the range -assuming the range is wide enough. So for example an "N" day is three legs. (Certainly not the same as an upslash day.)
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Keep your mind in the future, in the now.
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