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Short term TF trading


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Short term TF trading

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  #551 (permalink)
Legendary Market Wizard
Georgia, US
 
Experience: None
Platform: SC
Broker: AMP+CQG
Trading: ES, HSI, Nikkei
 
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futuretrader View Post
On a separate note, I have been exploring NT's stats via Excel, and I can't see the logic in NT's MAE/MFE calcs when you are scaling into and out of a trade. Even the reporting by individual contract is inaccurate. So the only way I can see to get these stats accurately is to go back over the bars (I'm thinking of adding a 1-tick range series) and calculate them myself. Have you (or anyone else) also found this, or am I missing something?

You are correct. Here is the reason why you see what you see. Using an example from yesterday, I sold some at 1387. I scaled out half at 1383.50, and scaled back in to the full position at 1382.50. At this point I have banked 3.50, but for the purposes of the ATM strategy I am short now from 1385.50 (1387*2 + 1382.50). Now, based on THIS price (1385.50), it will calculate all the stats. So even though I took literally 1 tick of heat as I hit the bid to sell 1387 and 1387.25 never even went offer again, it calculates that during the duration of the trade, the high price was 1387, so based on the recalculated entry of 1385.50, it thinks I took 6 ticks of heat on my full position. And on top of that, let's say you short 2, scale out 1, and add 1 back. Your max size at any one time is 2, but NT says that you traded 3, so it will say you took heat on 3, when you took none on 2!

This is why I do not export from NT, because these stats are not correct. Also, duration of time in a trade (exit time) is off when scaling as well. I can't imagine why--entry time should be earliest of all trades, exit time should be latest of all trades, but even this is wrong. It only takes about 30 seconds per trade, and if I can't do it during the day I will do if afterward. This way I actually can verify what happened and go over the trade as well.

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  #552 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012


josh View Post
You are correct. Here is the reason why you see what you see. Using an example from yesterday, I sold some at 1387. I scaled out half at 1383.50, and scaled back in to the full position at 1382.50. At this point I have banked 3.50, but for the purposes of the ATM strategy I am short now from 1385.50 (1387*2 + 1382.50). Now, based on THIS price (1385.50), it will calculate all the stats. So even though I took literally 1 tick of heat as I hit the bid to sell 1387 and 1387.25 never even went offer again, it calculates that during the duration of the trade, the high price was 1387, so based on the recalculated entry of 1385.50, it thinks I took 6 ticks of heat on my full position. And on top of that, let's say you short 2, scale out 1, and add 1 back. Your max size at any one time is 2, but NT says that you traded 3, so it will say you took heat on 3, when you took none on 2!

This is why I do not export from NT, because these stats are not correct. Also, duration of time in a trade (exit time) is off when scaling as well. I can't imagine why--entry time should be earliest of all trades, exit time should be latest of all trades, but even this is wrong. It only takes about 30 seconds per trade, and if I can't do it during the day I will do if afterward. This way I actually can verify what happened and go over the trade as well.

+1 Have to do MAE and such on my own.

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  #553 (permalink)
Como Italy
 
Experience: Intermediate
Platform: Ninjatrader, customized
Trading: ES
 
Posts: 526 since Feb 2010
Thanks: 471 given, 640 received


Thanks Josh, I'd forgotten about NT recalculating the entry price; that explains it. I had noticed (and corrected for) the exit times.

I know entering the numbers doesn't take long, but I prefer to get it set up and just push a button, so I can focus on entering reasons and psychology....

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  #554 (permalink)
denver, colorado
 
Experience: Intermediate
Platform: NT
Trading: ZS
 
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indextrader7 View Post
If you were going to develop a role for:

- a trading risk manager
- physically in the room with you (has his own computer setup/monitors), but a remote option would be a plus.
- using whatever software/hardware necessary to
- monitor individual trade risk (making sure it didn't exceed thresholds)
- monitor daily loss timeout threshold and daily loss stop trading threshold
- also monitor basic trading rules such as checking logic behind entries and making sure stops aren't widened and positions aren't doubled down.

How would you PHYSICALLY set this arrangement up. Ninjatrader doesn't allow multiple versions of the same account running simultaneously, so the only idea I have would be to run a duplicate image of one of my monitors to a monitor of his, so he can monitor something like open p/l, cumulative p/l, and a chart (which would show position size and stop placement). Screen sharing software is another idea, as well as solves the remote problem.

Any thoughts on this are much welcomed and appreciated.

Might as well reply while I wait for ES to get down to yesterday's low....

Check out Teamviewer software (teamviewer.com) - they have software solutions for the "physical" aspect of what you're trying to do and they are free for personal use.

I think if you can find someone (or pay someone) to do these things for you (position size, stop loss, and daily threshold management) that would be helpful in a lot of ways. I think there is a slippery slope aspect to outsourcing these aspects of personal discipline but the reality is that trading involves the emotions and can trigger unwanted behaviors in us. Thinking for myself - I would view such oversight as a "crutch" that I used while I worked on developing the proper personal discipline on my own over time. In your list the job of "checking logic behind entries" seems very difficult for someone else to do in realtime for your style of trading and (IMHO) would be better done by you during the process of trade review after finishing trading.

Something I'm beginning to work more on is dividing up the various roles of trading (analyst, entry manager, trade manager, risk manager, etc) and assigning goals and tasks to these various roles. In this way I can assign process goals for each role and work on not letting the goals of one role "bleed into" the goals of another role (e.g., not let my "analyst" role start affecting my "risk management" role).

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  #555 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012

Just a few failed attempts at joining this downtrend so far. A couple limit entries not filled as price fell below.

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  #556 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012

Ended up getting in on a few shorts after that last post. 2 winners 1 loser.


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  #557 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012

I'm off to the beach. May trade in the AM, may not...

Happy trading to all, and to all a good money management system.

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  #558 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012

Hit the wrong button on my first trade today. Haven't done that in a while. Should be 2 for 2 today, but I'm down 3 ticks.


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  #559 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012

Decent trading today, up 0.5%. Did not like that I had a losing trade larger than any of my winners; it was still well within risk parameters.... The problem was more on the winning side of the equation. I had two trades that I managed too tightly that I only took 25% and 50% of the swing in profits. On the larger losing trade, CLEARLY my entry wasn't valid after the very next candle.

Overall banked some ticks today though.


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  #560 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012


Screenr - indextrader7: 8-9-12 recap

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