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OKshunal Journal

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  #101 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
Experience: Intermediate
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Trading: Bonds, YM
 
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I only had a few hours this morning so tried only short term trades.

Gold trades.....net loss (60) 3 trades. two losers and on winner.

Crude Oil trades....gain 1150
5 single trades. All winners. Traded initially with Stop for entry. Then sold on retracements. That is harder for me emotionally but worked out great.
I am back above my September starting balance (barely).

The problem with trading is one needs to be right twice!
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  #102 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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Trading: Bonds, YM
 
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*************************************************************************

Today I did try my NFP trade in the bonds but the stop entry did not trigger.

*************************************************************************

I have been working on a purely mechanical system and am ready to test in real time simulated trades. I have two variations both trading the Euro attempting to trade when the market is over extended. They are both similar so I probably would not trade both but I am for this test.

THESE TEST RESULTS ARE SIMULATED but in real time. Entries are computer generated. I am not completely satisfied with my exits and may manage them in addition to auto exits.

Case MM2 3 trades, 2 short, 1 long, all winners for 212.50 Before commissions. ( I thought i had commissions included but alas, I do not.)

Case MM3 5 trades, 3 long (winners) 2 short (1 win 1 loss). Gross Profit 712.5, Gross loss 25. 687.50 Net BC. I made one mistake: I had an exit on Close and tried to sell to close at one tick gain and ended up short one contract. I closed for a 1 tick loss that will show up as a trade on July 3.



I am confused about the first trade as it is near the price based on the over-bought condition but it shows several bars after that price occurred.

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  #103 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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Besides the one pip loss, MM3 sold for 6 pips loss, total of 87.50.

Big drop on the last 15 minute bar in the 6E.

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  #104 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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7/5/15
Both MM2 and MM3 triggered on a reverse after the large drop on the opening bars (15 minute). MM2 bought at 1.1029 /sold at 1.1054 made $312.50 and MM3 bought 1.1028 /sold 1.1056made $350.

M3 bought again at 1.1043 and sold at 1.1065 for a additional $275


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  #105 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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MM2 had a couple of losses to net (387) BC.



MM3 continues positive at 725 BC






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  #106 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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MM2 Net PnL ($387.5)

7/8 night session Long 1 6E 09-15 @1.1083
covered @ 1.1088
$62.5

Short 1 6E 09-15 @1.1114
covered @ 1.1078
$450
7/9 Short 1 6E 09-15 @1.1059
1.1052
$87.5


Net PnL $150





There were no trades in system MM3 so it remains Net PnL $706.25

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  #107 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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So I had to change MM3 exit. Both systems are similar though their respective entries and exits are slightly different. I was trying to trail the stop on MM3 after a minimum number of bars and a minimum profit. However, my calculation was off and I essentially had no stop on those two conditions. It definitely had not adversely impacted the system yet and I don't believe it resulted in more favorable conditions, either. Therefore, I am continues my simulation.

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  #108 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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Trading: Bonds, YM
 
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3 trades on MM2 (6E 09-15)
Short @1.1131
Cover @1.1114
17 pips

Long @ 1.1134
Cover@ 1.1166
32 pips

Short @1.1172
Cover @1.1196
(24) pips


Net PnL for the day $306.26 BC so about $290



4 trades on MM3
Short@1.1127
Cover@1.1091
36 pips

Long@1.1114
Cover@1.1148
34

short@1.1171
Cover@1.1178
( 7 )

Short@a.1154
Cover@1.1169
(15)
Net PnL today $600 BC so about $580 net

Note: there was an 18.75 mistake I made trading a 6B 09-15 in this account earlier. It was not part of this system but it is a mistake I made trading this system when I tried exit manually.



These results I find very interesting. The are very similar and trade the same instrument but MM2 has a high winning percentage (75%) with a 1.36 profit factor.

System MM3 has just over a 50% winning ratio but the losses are smaller and therefore yeilds a profit factor of 2.21 after about 2 weeks.

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  #109 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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You can see that the entries are close to each other. MM3 actually take more trades and has more favorable fills than MM2. (The MM series were different money management algos but I changed the entry on MM3 also). MM2 waits a little longer to confirm the signal and thus has a higher percentage wins. I need to analyze why it has higher individual losses.

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  #110 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
Experience: Intermediate
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Trading: Bonds, YM
 
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MM3 produce the only trade today:


for $262.50 BC or ~$257.50 for a total for July of $1568.75 minus ~90 (for 18 trades) = 1480 for Net for July for system MM3 trading one contract of 6E-09-15 at a time.

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  #111 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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MM2 gained 525 on a short trade of 6E 09-15
MM3 gained 812.50 on a short by entering and exiting earlier than MM2.

I will try to keep my server running for the rest of the month and continue these SIM trades but I may not be able to post regularly.

thanks to @kevinkdog for his "Taking a Trading System Live" journal. I read it some time ago and used it to test these strategies.

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  #112 (permalink)
 OKshunalTrader 
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..another $25 on MM3


Checked it about 9:00 after the All Star Game and set a limit to Sell at the Ask attempting to get $100. Big reversal.



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  #113 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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When I said, "Big reversal"....I was speaking relative to the $100 of profit I had over the last 4 hours.

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  #114 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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I have some different results and unexpected results for running the two similar systems in real time next simultaneously.



MM2 has two trades (237.5) and 225.

Even in Sim, I missed a trade in MM3 because the strategy was not "ENABLED." Following the rules of the trade should have give 512.5.

In the chart above, MM3 seemed to chase the trades resulting in five small losses totaling (275). I need to re-look at the code as I did have a trailing stop but only after 12 bars. I guess that is why I am testing.

MM2 for July


MM3 for July

Includes the last trade this morning.
4765

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  #115 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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Totals for July
MM2 total net 1137.50
MM3 Total net 2243.75

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  #116 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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MM2 made tow trades and managed + 1 pip and minus 1 pip to break even.


MM3 made the first trade but over stayed and lost ($475).



July results
MM2

MM3

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  #117 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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My server shutdown with open shorts in both systems. (I am away and use ”TeamViewer” to see and control Ninja while away). When it was restarted locally, I left both positions in place and let the bots control. ( The program should have exercised my stops but I need to investigate more thoroughly).
All total MM2 lost 2237 and MM3 lost 1225.
This morning, both bots were disabled. (Don’t know why) so I missed a couple of small recovery trades.




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  #118 (permalink)
 OKshunalTrader 
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...both BOTS ended with a nice little trade for up $312.

July Total for MM2 (1125)
July Total for MM3 881.

What strikes me as interesting is MM3's performance on the long side. The Euro is in a down trend yet the system is ahead in long trades and is losing on short trades. I built it to try and capture reversions of excess independent of trend but it seems to harvest best counter to the dominant trend.



That is not just the recent losses. Note the difference in profitable trades for long and short.
Comments?

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  #119 (permalink)
 TheTradeSlinger 
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OKshunalTrader View Post
I built it to try and capture reversions of excess independent of trend

Can you explain how you measure "excess"?

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  #120 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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Since you asked...maybe the first to post to my journal, I will PM you.

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  #121 (permalink)
 OKshunalTrader 
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This trade pretty much tells the story of my entries.
I am not satisfied with my exits and would like to collaborate.

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  #122 (permalink)
 OKshunalTrader 
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MM2 finished in the red,



MM3 had a small gain after a large drawdown.



I am revising MM3r1 and abandoned MM2.

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  #123 (permalink)
 OKshunalTrader 
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I have learned a lot by watching my BOTS trade. I had a logic error allowing MM3 to over trade. There were multiple buy/sell transactions in the same bar. I had corrected that but somehow, in switching back and for between my desktop running the BOTs and my laptop, programming and testing, I reintroduced the original.

(Note: This was not an optimization but a eliminating multiple transaction within a single current bar).

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  #124 (permalink)
 OKshunalTrader 
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MM3r1 has been running since 30 July. ( left the 1 July start date).


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  #125 (permalink)
 OKshunalTrader 
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MM3r1


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 OKshunalTrader 
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Again, simulated real time testing of MM3r1

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  #127 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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  #128 (permalink)
 OKshunalTrader 
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Three trades for 75 net
I was away last week and my server shut down.


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  #129 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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Last week I lost 1620 on ten loosing trades in a row on my bot in sim. The biggest losers were in the short trades which have not been as good as in the Sim real time as in the back testing. The long trades have behaved better than the back testing so I have stayed with the testing. Glad I have not gone live. I need to watch this more closely in the future.



This week was better, but the short trades have a very low percentage of winners. I need to investigate what is happening.




One mistake I did make that is really inexcusable: When I rolled the new contract (6E 12-15) I set the strategy in the wrong account. My live account. I did make 62.50 but inexcusable.....







5480

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  #131 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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Last week I lost 1620 on ten loosing trades in a row on my bot in sim. The biggest losers were in the short trades which have not been as good as in the Sim real time as in the back testing. The long trades have behaved better than the back testing so I have stayed with the testing. Glad I have not gone live. I need to watch this more closely in the future.




This week was better, but the short trades have a very low percentage of winners. I need to investigate what is happening.





One mistake I did make that is really inexcusable: When I rolled the new contract (6E 12-15) I set the strategy in the wrong account. My live account. I did make 62.50 but inexcusable.....


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  #132 (permalink)
 OKshunalTrader 
Bakersfield, CA USA
 
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After another loosing week, I am abandoning the SIM bot and this Journal.
I would like to try a combine but plan to simulate a couple first. I may start an elite journal with my practice.

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