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Back in business

  #1 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,422 received

Back in business

Hi,

Sorry if this trading journal is also a kind of introduction and an open post for many question that I have.

Iíve chosen this forum because after having browsed the internet for a couple of months this is the place where Iíve found most value and what looks like a good ďatmosphereĒ. And Iím also here because I want your help and learn from you (and also Iím willing to provide some help if Iím asked in the fields I think I have a little experience).

Iíve been a floor trader for almost 10 years between 1994 and 2004. During that time Iíve only worked from a screen for less than 2 years and it was not a real trading job but what I like to call a technical one since I was marketing OTC options on soy and rapeseed (a boring but well paid jobÖ). Iíve stopped working and trading since 2004.

The only systems Iíve have an experience with are Thomson and Bloomberg, Iíve never touch something like NT or esignal or Sierra Chart (Iím currently testing Sierra and NT and I donít like them but itís another story), Iíve never shop for a data feed, nor worried about the API with the broker of if it accept or managed OCA orders, nor the quality of my internet line and a lot of technical but somewhat important things like that. I will have a lot of questions that I will post in the appropriated part of the forum later. And I must say after having done some research on all that subjects that the life of the retail trader is far from being easyÖ I miss the time when I want a line or the screen I just had to call or email a guy.

So as you can imagine if Iím here itís because I want to be ďback in businessĒ but at smaller scale and from home. After having read countless posts on many forums and after having tried many indicators (without faith since Iíve never found one of value in the past, apart the most basic ones) I came to the logical conclusion that I should try to use the available retail tools (Sierra, NT etcÖ) to recreate what Iíve learn and more importantly how Iíve learn to trade. And this is where I would really appreciate your help and comments and this is one of the reason of this trading journal.

Before posting trading result or strategy I think that the most valuable feature of a trading journal is to put in writting the rules you have chosen to live by.

Let start with the rules (to be continued).

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,422 received

Rules


How I trade: My rules (feel free to comment, critic, improve, that is why I post that).
  1. Iím not scalping since it is impossible for a retail trader. (You need an hedge to scalp. For electronic market the edge is called HFT, for outcry it is what I call human information, you know the brokers the locals, who works for who, you know their psychology their body language, you can hear and feel the noise etcÖ you have an edge. At home you have no edge.)
  2. But I like to sleep like a baby and since the only thing I know at 100% is that I donít know what the market will do I prefer to not have any positions when I stop working. So I play intraday trends (some may see that as scalping but it has nothing to do with real scalping). I consider a good day is when I can earn 2 times the max range of the day (and yes it is possible with discipline).
  3. Since Iím a very small player I always enter my stop in the market at each entry and at the same time (never later because I know that I canít trust me at 100% at that I may be lenient).
  4. I never put a target (because as I said I donít know what the market will do. Targets are so tempting but they are in my mind the quickest way to the poorhouse. Iíve always heard that retail are ruined because they donít have stop loss and pro are ruined because they have profit target. Itís exaggerated (for pro) but true Ė Iíve often read or ear retail saying I have a good strategy with an 80% win ratio and I put my stop at 20 ticks and my profit target at 10. In that case Iíve always want to tell them give me all your money now it will a less painful agony).
  5. My stop loss is always based on the same parameter: the size of my wallet (no funky thing like volat, or ATR or other, because my wallet has unfortunately a fixed size in the short term he is not bigger or smaller depending on the volatility of the market).
  6. My rule for risk per trade is 1% of 2 times the full margin per contract (ex: if the full margin is at 5k I maintain 10k per contract and put my stop loss at 100$ per contract) It may sound conservative but it means that my stop loss could be hit 50 times in the day before I have to reduce my size and so my potential gain for the day (I believe that reduced margins for intraday are criminal but it is another story).
  7. My size is always the max I could afford base on my max risk rule. I donít scale in or out. Not because I think it is bad but because the trends that I play donít give me this opportunity (they are too short in time). It is always full in or full out.
  8. I play all markets. In fact most of the time I really donít need to even know the name of the market (I just check the calendar for important news and avoid roll over time). But only 1 at a time. This is not a hard rule this is just for me a physical limitation. Maybe one day I will be fully automated and I could play 10 markets at the same time? My preferred one in crude oil at this moment (nice intraday trends).
  9. I never play on outcry markets (brokers and locals will screw youÖ). I never play markets that have a limit up/down that lock the market for the day (donít what to be stuck in limits for days: quickest way to poorhouse because when it happens it is always in the wrong way). I like globex, I can work 18 hours a day if I have fun and I hate to see a market closed.
  10. I never play options because I think that buying them is stupid but selling them does not fit with my hard rule about max risk (maintaining 2% of the notional value is too much in one hand and too short in the other for me) and also because it is a market maker market and they are here to screw you (Iíve been one for some time).

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #4 (permalink)
Capt. Johnny Jameson
Fort Lauderdale
 
Futures Experience: None
Platform: NinjaTrader 7
Broker/Data: CQG
Favorite Futures: ES
 
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Posts: 645 since Oct 2009
Thanks: 1,890 given, 901 received
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@Okina you've come to the right place...there a plenty of former floor traders around here who made the transition to retail screens, I'm sure someone will chime in.

two threads I find beneficial and should be mandatory reading are:
https://futures.io/index-futures-trading/13452-es-s-p-500-futures-contract-sp500-spoo-nalysis.html
and:
https://futures.io/elite-trading-journals/1415-big-mike-s-day-trading-method-advice-335.html#post522521

hope this helps and wish you great trading


Johnny

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  #5 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,422 received

Trading System

Trading:

Iíve try to replicate the way people behave on a trading floor. And of course itís by definition imperfect since it is an electronic market (so no sounds, no personal interaction, etcÖ).
Most traders on the floor are not brilliant people capable of making accurate long/medium term prediction about the market but they are very efficient and very well trained to react to the trend (Iíve almost always been wrong trying to predict a market).

My system is based on the simplest rule of the market: something that has started to rise tends to go higher; something that has started to decline tends to decline more.

I donít want to use indicators because I never see one really working and the more degree of freedom you introduce in your system the more it will be optimize to react to the past but the less it will be optimize to react to the future.

I donít want to use time-based chart because I think they donít tell the real story. They put emphasis on open and close prices. But honestly on the floor who care about a close or an open price. When you are trading you are not looking you watch and say: Ēhey, Iíve just traded the open price of the 1 min candleÖĒ.

I use range charts and I set my range for my primary graph at Ĺ R. I also use Renko has an indicator of congestion, support and resistance level (here again renko boxes set as Ĺ R). I donít take a trade based on renko but I use them to avoid some trades.

Range charts tell me 2 things: of course the direction of the market but also its pace (do I have 10 bars in 1 min or do I have 3 bars in 10 min).

The system has at this point only 2 degree of freedom (2 free parameters):
  1. Entry Long: buy if you have N highest high in range bars in the X time frame.
  2. Entry Short: sell if you have N lowest low in range bars in the X time frame.
  3. Exit Long: stop lose reached or entry short signal.
  4. Exit Short: stop lose reached or entry long signal.
  5. Ignore Entry when renko is on a congestion level or if it failed to brake support/resistance.
  6. When in congestion use entry short and entry long rules only has exit rules if you have an existing position at this point.
  7. Stop set at 1R (see above for R). No trailing stop, no profit targets.
  8. And the most important rule is of course no discretionary decisions : donít override a stop because you believe in your position, donít cut a position because you think it has reach a max profit. This is by far the most difficult one to follow.
  9. The other important rule is : be consistent. If you play what I call a session (since it has no real meaning in globex) play it till the end. If you play Asian close and Euro open stay in the market for the whole time, if you play US stay for the whole time. Donít be discourage if you have 4 or 6 loss in a row. Donít enter in the market if its for 1 or 2 hours, there is no part time job in this industry. The only mitigation for this rule is important economic news, play it or leave it but be consistent.
I will post more detailed results after and will comment them but in average this system generate 30 trades per day. The success ratio is around 55%. The average loss is at 0.8R, the average gain is at 2,5R.

This system seems to work on stocks but I think that the transaction cost will significantly reduce its interest. For futures my broker is IB the cost of a round trip is between 4$ up to 6$ per contract. Slippage is not a problem on very liquid contract with a bid ask spread of 1 tick (stop order always as market order, entry order could be market or limit depending on the pace of the market).

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #6 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,422 received

09/17/2015

The below result are paper trading results. So far too optimistic. I've tried first to do market replay with NT7 but I've found that the results were too good to be true (since my order were always filled, with no delay) in order to have something more realistic I've redone all my test by hand adding 2 ticks slippage and 5s delays. It's a real pain in the ass.

For 09/17/15

Instrument : CL

Start time 9AM
End time 2PM

I've try to trade during the FED meeting but I'm far too slow with my current setup and I really need more training in mouse and keyboard manipulation (I now understand why some ex video games champion are good day traders...). Very frustrating.

Results :
Average loss 7 ticks
Average gain 17 ticks
P&L : + 222 ticks
Number of trade : 49
loss/win ratio 50%



It could have been an exceptional day if I had less "fat fingers". Stop testing at the beginning of FED meeting because I was unable to react to market moves despite very good signals.
After that I've bought a gamer mouse with 12 programmable buttons. This is a major weakness that I need to address by practicing action games. I hate to miss potential profits.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #7 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,422 received

About delays

What kind of delays I can expect with the below results of ping and trace between me and IB trade server ?

Thanks.



Microsoft Windows [Version 6.1.7601]
Copyright (c) 2009 Microsoft Corporation. All rights reserved.

C:\Users\Okina Tora>ping gw1.ibllc.com

Pinging gw1.ibllc.com [208.245.107.3] with 32 bytes of data:
Reply from 208.245.107.3: bytes=32 time=17ms TTL=243
Reply from 208.245.107.3: bytes=32 time=17ms TTL=243
Reply from 208.245.107.3: bytes=32 time=18ms TTL=243
Reply from 208.245.107.3: bytes=32 time=17ms TTL=243

Ping statistics for 208.245.107.3:
Packets: Sent = 4, Received = 4, Lost = 0 (0% loss),
Approximate round trip times in milli-seconds:
Minimum = 17ms, Maximum = 18ms, Average = 17ms

C:\Users\Okina Tora>tracert gw1.ibllc.com

Tracing route to gw1.ibllc.com [208.245.107.3]
over a maximum of 30 hops:

1 <1 ms <1 ms <1 ms 10.0.1.1
2 8 ms 7 ms 7 ms 10.251.19.193
3 7 ms 8 ms 6 ms 10.170.180.169
4 8 ms 7 ms 7 ms b2b2c-cable-ix-1255-2-129-21.cust.b2b2c.ca [66.1
58.129.21]
5 6 ms 12 ms 8 ms ix-4-154.tcore2.MTT-Montreal.as6453.net [64.86.2
26.1]
6 16 ms 17 ms 15 ms if-5-2.tcore2.NYY-New-York.as6453.net [216.6.99.
29]
7 15 ms 16 ms 15 ms if-11-2.tcore1.NYY-New-York.as6453.net [216.6.99
.2]
8 15 ms 16 ms 16 ms if-5-5.tcore1.NTO-New-York.as6453.net [216.6.90.
6]
9 16 ms 15 ms 15 ms 0.ae20.BR2.NYC4.ALTER.NET [204.255.168.173]
10 16 ms 15 ms 20 ms 0.ae3.XL3.NYC1.ALTER.NET [140.222.226.31]
11 15 ms 17 ms 17 ms 0.xe-10-0-1.GW13.NYC1.ALTER.NET [152.63.20.169]

12 17 ms 17 ms 17 ms interactivebrokers-gw.customer.alter.net [157.13
0.249.134]
13 18 ms 17 ms 17 ms gw1.ibllc.com [208.245.107.3]

Trace complete.

C:\Users\Okina Tora>

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #8 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,422 received

My feeling at the end of the day... Between 14:00 and 14:01

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R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #9 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,422 received

Nice and smooth.

Nice intraday trends today. Still struggling with my gamer mouse and how to program the 12 buttons.

What I donít like with NT7 chart trading is that there is no REVERSE button. It takes 2 clicks instead of one to reverse a position. The global crosshair gives me headaches. The more I use this platform the less I like it. Iíve downloaded Sierra for a 2 weeks trial and I will also give a look to eSignal 12 after.

Sierra GUI is frankly out dated but it seems more reliable and flexible. The negative points at this point : 1) the support (Iím not picky but the kind of answers that Iíve read in their forum from their helpdesk did not encourage me to be a client, they almost answer to clients : you are a fucking idiot Ė even if they are it is a least not appropriate Ė By reading this I have the feeling to speak to the IT guys of my previous companyÖ) 2) the learning curve seems to be long.

Today 09/19/2015.
Start time 9AM
End time 4:15PM

39 Round trades.
21 Lossers
18 Gains

Average loss : 8 ticks
Averag Gain : 26 ticks

5 consecutive losses between 14:17 and 14:27. (congestion after a very nice move)
Nice trade between 13:04 and 14:11.

P&L : 267 ticks

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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  #10 (permalink)
Market Wizard
Sarasota FL
 
Futures Experience: Intermediate
Platform: NinjaTrader, Sierra Chart
Favorite Futures: ES
 
Posts: 3,642 since Jan 2013
Thanks: 26,780 given, 11,135 received
Forum Reputation: Legendary



Okina View Post
What I donít like with NT7 chart trading is that there is no REVERSE button. It takes 2 clicks instead of one to reverse a position. The global crosshair gives me headaches. The more I use this platform the less I like it. Iíve downloaded Sierra for a 2 weeks trial and I will also give a look to eSignal 12 after.

Hi, I'm enjoying your thread.

I was puzzled by the reverse button comment, though. Here it is:

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Is this different from what you want?

I can't add to the the NT/Sierra question. Sierra does look to have more capabilities, but my charts tend to be kind of simple, and I have not felt much need to change.

I do hope you find something that suits you and that you like.

Bob.

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