This is my second trade journal and will be used intended: posting trades and commentary. I'll continue the original one to record some trades from my automated systems.
Most of my trading has been systematic. I've written several automated trading systems. While overall this has been a success I'm at the point where I feel I need to go in a different direction.
To sum up the evolution of my trading beginning 2008:
* Break out trading stocks on the IBD 100 list. abject failure.
* Auto-trading ES opening Gap system . mixed results.
* Systematic stock portfolio system. initial success, then failure.
* Systematic trading IBD 50 and SnP500. some success.
* Swing trading ES end of day. some success but hesitated to take all signals.
* Auto trading ES end of day. <- success. consistent and good performance. only problem is it's slow. good signals take weeks.
* Auto systematic day trading ES. <- success, but recently has faded to mediocre.
* Auto systematic trading ES swing system. <- too new to determine success but presently in drawdown
I’ve avoided trading the ES manually for several reasons ( don’t trust myself, felt systematic is better, etc. ). But I may be prejudiced about it. The primary reason I’ve changed my mind about it is this site, futures.io (formerly BMT).
My challenge is what to do with my experience so far. Do I use it or suppress it? For example, in my day automated day trading I have not been able to generate consistent returns without using standard lagging indicators. Yet they’re shunned. Fair enough. I don’t like waiting for the ADX to hit 22 anyway. There can be days and days without a trade!
I’ve got a pretty good start and I’ll write about that in my next post.
Last edited by timendaGain; September 9th, 2015 at 04:34 PM.
Reason: Adding daily checklist
I’ll be trading the S&P 500 index using either the E-mini S&P 500 futures contract or an ETF such as the SPY, UPRO or SPXU. ETFs will be used early on to allow me to experience trading with real money, yet minimize the risk to a small pilot account.
I have been “tooling” my NInjaTrader platform with the mix of indicators that I want to use. The Ninja indicators I’m planning to use are as follows:
On ES time series data
200 ma on daily ETH bars for long term trend ADXVMA(50) on range 10 RTH bars for medium long term trend
On any ES timeframe ETH chart ( as they work the same on all ):
VWAP weekly for a volume based look at medium term trend
VWAP daily for a volume based look at short term trend
Volume LadderMetroEdition 10 session for long term
Volume LadderMetroEdition 5 session for medium
Volume LadderMetroEdition one session for intra day
I have not yet settled on my trading charts yet. I’m currently watching:
100,000 volume ETH
40,000 volume ETH
Range 10 ETH
Other data and indicators will be used and I’ll document them as I explain their use.
Some things that I’m missing is real time $VIX and having the $TICK in NinjaTrader ( I have it in TradeStation ). I'm running an "AdjustedTick" indicator there.
This trading experiment feels more risky to me than the systematic and automatic trading that I'm used to trading with. With systematic trading, the rules are concrete, durable, clear and testable. With discretionary trading all record of the impulse for trade initiation and management is vapor. I expect it to be near impossible to accurately capture a record of why trades I'll make were made.
I hope this journal will do something to help guide me through what will be an iterative process of trial and error.
To get started, I've written down, in English, a loose framework for candidate trading rules. It might be better to call them guidelines than rules.
One problem I face is that I work a full time job. I have enough time to watch the market most of the time. However, I'm watching it in a tiny window in the corner of my screen. I remote into my trading computer and the entire desktop is shrunk down on my work computer to about a 5x3 inch window. I use a magnification utility so that I can see parts of the screen.
Most people probably have 4 or 6 monitors with all kinds of information. Since I can't afford to spread out like that I'm confined in how much information I can put at my disposal. Part of me thinks this is a good thing. Too much information can create confusion.
I'm going to try and gather as much feedback from my trading as possible. One thing I'm going to try early on is to trade 2 sim accounts simultaneously. In the primary account I'll take the trade as I think it should be taken. In the 2nd account I will take the opposite side of every trade I make.
primary account, long @ 2045, target 2051, stop 2041.
opposite account, short @2045, target 2041, stop 2051.
By doing this I'm hoping that the net gain/loss will be nearly the opposite of the primary account. I'm also hoping that my trading in my primary account is either very bad or very good and not simply treading water.