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Pajot's Trading Journal
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Pajot's Trading Journal

  #1 (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's Trading Journal

Starting the journal for the March challenge. I will try to get the list of trades from today and post them soon, then get back with more about myself, my trading strategy, and so on, tomorrow. Surprisingly, my strategy did well today, so I am starting the month on a positive note.

Wow: my first post on futures.io (formerly BMT)! So glad to be here, among traders...

Cheers,

Pajot

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

Trades for March 1st, 2011


I do sim and real. For sim, my goal is to interfere as little as possible with the strategy running in NT 6.5. It is work in progress and I need to see how it performs without my intervention. Here are the automated trades for March 1st. I will run the replay and will probably get slightly different result, but I will have a chart to post in my next post, covering the whole day. Database and NT issues fragmented the day, as I had to restart several times and the content of the chart refreshed. I have days when I also enter in one or two live trades, like 4 points on Feb 29th, but I am very cautious and focus on my code more than trying to enter real money trades for now.

The PnL for the day was $324.94, so I guess it was the kind of day my indicator/strategy is more prepared for. As you can see from the list below, I allow my strategy to enter short and long at the same time, because I am collecting stats about each type of entry. I will have to figure out better formatting for tables copied into these posts...

Trade-# Instrument Market Quantity Entry Exit EntryTime ExitTime Profit CumProfit Commission
1 ES 03-12 Short 1 1368.75 1370.75 3/1/2012 9:45 3/1/2012 9:50 -0.15% -0.15% 4.02
2 ES 03-12 Short 1 1372 1369.25 3/1/2012 9:51 3/1/2012 10:00 0.19% 0.04% 4.02
3 ES 03-12 Long 1 1369.25 1368.75 3/1/2012 10:00 3/1/2012 10:07 -0.04% 0.00% 4.02
4 ES 03-12 Long 1 1368.5 1370.25 3/1/2012 10:00 3/1/2012 10:13 0.12% 0.12% 4.02
5 ES 03-12 Long 1 1370.5 1370.75 3/1/2012 10:20 3/1/2012 10:24 0.01% 0.13% 4.02
6 ES 03-12 Long 1 1371.25 1371.25 3/1/2012 10:24 3/1/2012 10:28 -0.01% 0.13% 4.02
7 ES 03-12 Long 1 1371 1369.75 3/1/2012 10:30 3/1/2012 10:35 -0.10% 0.03% 4.02
8 ES 03-12 Long 1 1371 1369 3/1/2012 10:30 3/1/2012 10:38 -0.15% -0.12% 4.02
9 ES 03-12 Short 1 1370.75 1371 3/1/2012 11:03 3/1/2012 11:07 -0.02% -0.14% 4.02
10 ES 03-12 Short 1 1371 1369.75 3/1/2012 11:03 3/1/2012 11:08 0.09% -0.06% 4.02
11 ES 03-12 Long 1 1369.75 1369.75 3/1/2012 11:08 3/1/2012 11:09 -0.01% -0.07% 4.02
12 ES 03-12 Short 1 1369.5 1368.75 3/1/2012 11:10 3/1/2012 11:14 0.05% -0.02% 4.02
13 ES 03-12 Short 1 1370 1370.5 3/1/2012 11:29 3/1/2012 11:29 -0.04% -0.06% 4.02
14 ES 03-12 Short 1 1370.75 1370.5 3/1/2012 11:30 3/1/2012 11:32 0.01% -0.05% 4.02
15 ES 03-12 Long 1 1371.75 1373.75 3/1/2012 11:50 3/1/2012 12:21 0.14% 0.09% 4.02
16 ES 03-12 Long 1 1371.75 1373.75 3/1/2012 11:50 3/1/2012 12:21 0.14% 0.23% 4.02
17 ES 03-12 Long 1 1372.25 1372.5 3/1/2012 12:23 3/1/2012 12:59 0.01% 0.25% 4.02
18 ES 03-12 Short 1 1374.5 1373.5 3/1/2012 13:22 3/1/2012 14:23 0.07% 0.31% 4.02
19 ES 03-12 Short 1 1373.25 1372.75 3/1/2012 14:34 3/1/2012 14:45 0.03% 0.34% 4.02
20 ES 03-12 Long 1 1372.5 1372 3/1/2012 15:05 3/1/2012 15:05 -0.04% 0.30% 4.02
21 ES 03-12 Long 1 1369.5 1369.75 3/1/2012 15:19 3/1/2012 15:26 0.01% 0.31% 4.02
22 ES 03-12 Short 1 1370.5 1370.75 3/1/2012 15:27 3/1/2012 15:30 -0.02% 0.29% 4.02
23 ES 03-12 Short 1 1369.75 1368.75 3/1/2012 15:32 3/1/2012 15:33 0.07% 0.36% 4.02
24 ES 03-12 Short 1 1369.75 1369.75 3/1/2012 15:34 3/1/2012 15:34 -0.01% 0.35% 4.02
25 ES 03-12 Long 1 1368.75 1368.25 3/1/2012 15:37 3/1/2012 15:39 -0.04% 0.31% 4.02
26 ES 03-12 Short 1 1372.25 1372.75 3/1/2012 15:50 3/1/2012 15:50 -0.04% 0.27% 4.02
27 ES 03-12 Long 1 1372 1372.5 3/1/2012 15:55 3/1/2012 15:59 0.03% 0.30% 4.02
28 ES 03-12 Long 1 1372 1374.5 3/1/2012 15:55 3/1/2012 16:14 0.18% 0.47% 4.02

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  #4 (permalink)
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Futures Experience: Intermediate
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Favorite Futures: ES, CL
 
Posts: 148 since May 2010
Thanks: 13 given, 38 received

Introduction and the replay chart for March 1st

Here is the replay chart for the for March 1st. The PnL was considerably lower in this instance, because I did not touch it at all. I remember I manually tweaked some stops and targets yesterday. One of tweaks kept me in short during the big bar down (7), while running the replay got me out before the bar and I was long in the middle of it, stopped towards the bottom. I also had some channels there, which invalidated some of the signals with lower priority. On top of that, the chart looks a bit skewed, I think, because I missed good minutes of price action, so the signals come up at the wrong times.

Anyway, here is the chart, so you have an idea about what I am trying to accomplish. I think I may be close to consistent if I would manually trade every day, but I have certain flaws I am trying to overcome with the automated trading. One of the problems is that I am very cautious (read “scared”) and am usually waiting for setups that seem to be over 80%, at least in my mind. I am positive for last year, positive this year, but I am trading very small and I need to take it to the next level.

Therefore, I have decided to automate most of the things I do, the patterns I see, any little sign from the price action that can provide an iota of higher probability for the situation on the chart. Every line of code I write is meant to increase the overall probability in my favor. My default state is to wait, measure, try to understand why the market is doing what it’s doing, while my indicator + strategy are more on the “let’s do this!” side.

I can see how my indicator can take over one day, once I have the confidence most of the situations are handled, and the probability is at least at 55 – 60% to be profitable. Until then, I am seeing the indicator as a helping tool, which does stuff on the chart I don’t have to do manually, so I am happy with the progress anyway.

While I like Al Brooks’ way of describing the price action a lot, I am forming my own theory of the market. I am trying to incorporate ideas from what I see him doing, as an additional way to elevate my probability. I am not sure an indicator doing exactly what AB (Al Brooks) says would be profitable, since I think a lot has to do with money and trade management. In some months, I am in AB’s trading room online and I hear him telling us how he entered at certain levels that do not match the “theory”, so I am sure there is a lot I am missing from how he is consistently profitable. No access to his DOM either, but he is such a repository of patterns, idiosyncrasies, and a well rounded theory of the ES instrument.

A bit about what you see on the chart. Of course, I started, like many others, by looking at all sort of fancy indicators and trying hundreds of them. My chart was changing a few times a day until I decided these indicators look into the past and, while they give certain view of what may happen, the probability is not enough.

The next step was to leave the 5min chart “naked”, with only the 20 bar EMA on it, AB style. From there, I added the 5 bar EMA, as I have noticed certain behavior around crossings. Not sure how valid they are, but I like to have it there.
Next, I started to look at the 15min and 60min charts and I have code that brings trendlines from there to the 5min chart. Also, I am displaying the 20 bar EMA for the 15min and 60min on the 5min chart, as you can see. There is a plotting problem there, so the line has interruptions at times, but everything backfills from DB and I always know where they are on my 5min chart.

I also wrote some additional simple indicators, mostly because I needed a visual representation of numbers used in the main indicator + strategy. The MDTICK indicator shows me the real-time evolution of the ^TICK on the same 5min chart, with +1000 and -1000 levels.

The MDTimesAndSales indicator is a graphical depiction on the times and sales events that you can see in the corresponding NT window. I was browsing youtube one day and saw something like that, sold by I don’t know what company. It seemed like a good idea, so I wrote it before lunch. I added backfill for it at a later time, as the bars would disappear with every refresh of the chart. Same for TICK, they all load the history as long as it was recorded live or from the replay data.

From MDTimesAndSales, which shows at ask, at bid, above ask, below bid, the next step was to compound the quantities over time, so now I have MDCDTotal for it. Since I am using IB as my data feed, I know to take the levels with a grain of salt.

I also have the MDAlwaysIn indicator, with my own calculation about where the trend is and how strong. Work in progress, but I know what I put in there and it helps to see the levels. Over zero is bullish, below zero is bearish. The more above/below, the stronger the trend.

This is it for now. I will keep updating the journal with what the indicator does every day. I may add manual stuff. By the way, I have code to add trendlines and enter on them, as well as channels, gaps, trading ranges. I think I have 31 reasons to enter, but maybe only 15 of them turned on in the configuration. I keep on changing the code and trying different things, so the chart at the end of the day rarely contains all the signals and drawings done by the indicator. I will probably serialize everything and reload on refresh at a later time, but that’s not a priority right now.

Cheers!

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

Some more things to understand the chart

As I was adding the pic to the previous post, I realized nobody would understand the chart beside me, so here are some details

The arrows: the red arrows shown mean that a short trade at that level was placed. It doesn't mean it executed or was filled, only that a signal was sent. Blue arrows are the same for the long trades. In case of limit and stop entries, the arrows stay there even if the orders are not filled. Normally, I remove unfilled orders after one bar. The gray arrows show that the indicator generated a signal for the direction of the arrow, but was overridden by the "exception engine", which looks at the context and says "no" to certain trades.

Trendlines are generated automatically or I can draw them myself. The automated ones also serve as signals on touching, but they have to go through the "exception engine" before execution, like all other orders. The lines have different colors, showing how they are of different types. I will add more logic here, to judge the vailidity of a trendline after touch, depending on the next bars.

Blue and red rectangles for gaps. The trading range code is disabled, but they would look very similar.

Blue and red dots for swings high and low.

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  #6 (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

Videos

I wonder what you guys use to record videos of the chart in action, videos that can be uploaded to yotube. Please let me know what tool is preferred. Thanks!

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

Better view of the March 1st trades

Since the table didn't wrap nicely into the message, here is a picture of the spreadsheet.

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

Trading range in ES so far today

The signs: MDAlwaysIn alternating + and - every few bars, all gaps covered, ^TICK on both sides of zero, convincing trend bars each way, but no follow through beyond the range, CD going up and down, so no inventory held for either direction. I missed the first four bars today, so no proper quantities were recorded. Still, the evolution starting with bar 5 still helps. May try to break to the downside next, as we stay under the 20 5min EMA and the 20 15min EMA points lower. The odds are against it.

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  #9 (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

Patience is good, but may cause frustration at times

My style of trading gives me some frustration, because most of the days I am like one of the Observers in Fringe. I just stand there, taking notes, measuring, trying hard not to interact with the observed market. I make plenty of good calls and sometimes I wish I had entered at certain level. One of my problems as a human trader is that I am less inclined to work on which way the market will probably go from here, where we are now, but more on where the market will bounce if it goes up and where it would bounce if it goes down. As a beginner, I used to take mostly counter trend trades. Right now, I can say I filter a lot of the counter trend trades and take the best and for defined risk and profit, acknowledging I am against the trend.

I am pretty proud I can sit for so many hours and not feel the compulsion to trade without a good reason, but I need to start taking risks in order to make money.

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Speaking of frustration, here is where I placed my only live trade yesterday. I run my indicator on ES, but I also look at CL, took some trades there last week, and decided I can accommodate the risk better by trading QM. The only order I placed live in QM was a short at 110.60. I placed the order when the market was at around 108, after 2:30pm, so it really looked like a less likely shot. Well, as you may know, crude oil price came up and reached (in QM) the 110.575 level, one tick from me. Considering what happened after, the huge bounce back down, I am a bit frustrated I cannot accommodate any drawdown and I am looking for the very exact level in order to take a trade. The missed tick may be caused by how small the ticks look on the QM chart and the errors you may get measuring pixels. Oh, well…

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

Handling news in my indicator


I think the market moves too violently during news of certain expected impact. While there is 50% chance that I can make money, I also had the "pleasure" to be stopped out right before a big move my way, so I know better than to trade during news.

Until now, I had code that sends the list of news for the day, over email, when the indicator first loads. Then, as we approach news, I get an alert starting 30 minutes (configurable) before, once per 5 minutes bar.

Yesterday, I go nothing for the 10am news, so I stayed in the market, unaware. I discovered I missed March when I imported into the database the news for the year, problem fixed now.

I also added another exception today, which would keep me out 15 minutes (configurable) before news, so all signals to sell or buy within 15 minutes to the news will be rejected by the "exception engine". Of course, I will later add code to be kept out of the market a certain number of minutes after the news. I love how I get the email and now I know my strategy knows when to stay out, too.

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