* Keep a journal of trades using simple trend-following mechanical day trading system
* Determine if such a simple system has a positive expectancy
Methodology:
* When trend is well-defined on 2 timeframes and in the same direction, enter market using trade setup on lower timeframe.
* R:R ratio for trade on lower timeframe must be 2:1 or higher
* Entry price and stop price are determined by market structure and EW methodology.
* When ATR trailing stop reaches entry point, trail using ATR stop.
* Follow US E-minis, FDAX, FESX, 6B, 6C, 6E during US market hours.
Risk/Position sizing:
* Maximum risk per trade = 1% of $40,000 account = $400
* # contracts = FLOOR(400 / [ABS(entry price - stop price) * pointvalue])
Trade Record Format:
* Date Contract CST_Entry_Time Direction #_Contracts $_Risk P/L
The following 3 users say Thank You to kuratti for this post:
20121022 YM 12-12 8:50 L 5 375 -400
20121022 TF 12-12 9:09 S 3 390 330
20121022 6E 12-12 9:24 S 3 337 638
20121022 6E 12-12 10:24 L 6 375 0
20121022 ES 12-12 10:30 L 2 275 -275
20121022 6E 12-12 11:36 L 5 375 -375
20121022 NQ 12-12 12:54 L 2 330 220
20121022 FDAX 12-12 14:18 S 1 212 -212
20121022 ES 12-12 14:30 S 4 400 -400
20121022 NQ 12-12 14:30 S 6 390 -390
1st column - Trade date
2nd column - Futures contract (XX MM-YY)
3rd column - Time of trade setup (US CST)
4th column - Direction of trade (Long or Short)
5th column - Number of contracts
6th column - Initial $ Risk on trade (should always be less than $400)
7th column - Profit or Loss on trade
The following 2 users say Thank You to kuratti for this post:
Metric Value
1 Start Date 20121009
2 End Date 20121026
3 Starting Equity 40000
4 Equity High 46651
5 Equity Low 38775
6 Net Profit 5384
7 Final Equity 45384
8 Return on Starting 13.46
9 Number of Trades 96
10 Percent Profitable 46.88
11 Max Position Size 21
12 Avg Win 522.13
13 Max Consec Wins 5
14 Largest Win 1760
15 Avg Loss -355.14
16 Max Consec Losses 5
17 Largest Loss -425
18 Profit Factor 1.30
19 Win-Loss Ratio 0.88
20121031 TF 12-12 10:10 L 3 390 -360
20121031 ES 12-12 11:39 L 4 350 550
20121031 YM 12-12 11:39 L 7 385 665
20121031 6E 12-12 11:39 L 6 375 450
20121031 6C 12-12 12:05 S 6 360 -420
20121031 ES 12-12 14:20 S 4 350 -350
20111105 YM 12-12 11:45 L 11 385 -420
20121105 TF 12-12 11:57 L 3 390 660
20121105 6B 12-12 11:57 L 10 375 800
20121105 ES 12-12 12:00 L 5 375 1063
20121105 YM 12-12 12:09 L 8 400 400
20121105 NQ 12-12 13:09 S 8 400 -400
20121105 ES 12-12 13:58 S 4 350 -350
20121105 YM 12-12 14:10 S 8 400 -400
20121108 ES 12-12 9:30 L 3 338 -338
20121108 ES 12-12 9:45 L 2 325 -325
20121108 YM 12-12 9:45 L 3 330 -330
20121108 6E 12-12 9:45 L 3 375 225
20121108 6B 12-12 10:10 L 7 394 306
20121108 ES 12-12 10:24 L 4 400 -400
20121108 YM 12-12 10:24 L 6 390 -390
20121108 TF 12-12 10:24 L 4 360 -360
20121108 YM 12-12 10:39 L 3 360 -360
20121108 ES 12-12 10:39 L 2 325 -325
20121108 NQ 12-12 13:42 L 4 380 -380
For a system where the probability of failure for a trade is 55%, the probability of facing a minimum of K consecutive losing trades in 100 total trades is
This looks like a simple but effective approach to multi-instrument trading. The number of contracts traded suggests you are scalping. What are the typical stop and target sizes with your approach?
As far as the number of contracts, I'm position sizing based on 1% of a $40000 account and entering trades where the projected R:R is > 2:1.
I'm using 3 and 5 min charts for entry, so the entry price to stop price will be smaller than on larger time frames. Smaller bars mean larger numbers of contracts to scale up to the 1% $ risk.
For markets with smaller point values like the 6E, 6B, and 6C, I'm definitely trading more contracts per trade than say the TF or ES.
I'm also using an ATR trailing stop to capture those trade that move past the projected targets. So, P/L would differ from the projected R:R.
After a large run-up, the system had a drawdown and is chopping around a bit.
The following 2 users say Thank You to kuratti for this post:
20121115 YM 12-12 10:25 L 3 315 -300
20121115 TF 12-12 10:33 L 3 390 -390
20121115 ES 12-12 11:30 L 4 350 350
20121115 ES 12-12 12:15 S 4 350 -350
20121115 6E 12-12 12:10 L 5 375 -375
20121115 6B 12-12 12:10 L 10 375 62.5
20121115 TF 12-12 14:12 L 2 280 -280
20121115 ES 12-12 14:12 L 2 275 -275