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GruttePier's trading journal to getting profitable
Started:October 11th, 2015 (12:20 PM) by GruttePier Views / Replies:37,714 / 707
Last Reply:December 2nd, 2016 (03:26 PM) Attachments:286

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GruttePier's trading journal to getting profitable

Old October 14th, 2015, 04:03 PM   #11 (permalink)
Market Wizard
Amsterdam, The Netherlands
 
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Oct 14, afternoon session

Took 2 trades today in the afternoon session (starting at 14.00h)
First one a loosing L1, loss is limited to 2 x 1 pts instead of 2 x 1.5 pts previously.
Second one a re-entry (L@) with a small profit of 1 + 1.25 = 2.25.

Average winning trade is now 0.58R, the average losing trade is 0.74R.
I have sincere doubts if the RR of this system (and my behaviour) will be around 1:2.

I'm thinking about experimenting with intraday swing trading to get a better RR.
Will do some backtesting this weekend.

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GP

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Old October 15th, 2015, 03:54 PM   #12 (permalink)
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Oct 15, afternoon session

Today's profit 2.75 pts.

I closed the trade too early instead of just letting it run and be stopped out eventually, leaving 1.25 pts unbanked.
Will no longer do that and apply the new rule (close a trade when it feels bad) only to trades that are not breakeven yet.

Anyway, getting closer to RR ratio of 1:1 which is a good basis for better RR ratio.
Winning trade 0.60R
Losing trade 0.77R
Percentage profitable 60%


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Last edited by GruttePier; October 15th, 2015 at 03:56 PM. Reason: Typo
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Old October 16th, 2015, 05:22 PM   #13 (permalink)
Trading Apprentice
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GruttePier View Post

So...I can either increase the profit per trade or decrease the risk per trade.
Since I let the profits run and I get stopped out when price makes a reversal or significant pullback, there is little I can do to increase the profit per trade.

My mission is clear, I must work on reducing the loss per losing trade.

Within the current trading rules, I can do this by:
(1) reducing the max stoploss. So instead of 6 tick risk for ATR <= 2.5, I can take a 4 tick risk.
I notice that profitable trades often take off immediatly, so a 6 tick risk is not required. A tighter stoploss will however reduce the percentage profitable.

(2) getting out of a trade earlier instead of waiting for the stop to get hit.
This is probably the most challanging to master. However, in most cases I feel that the trade is not going my way and see the warning signs in the T&S already. Instead of sitting like a rabbit and watch the headlights coming at me, I should learn to exit immediatly.

I went through my trade log.
Suppose I'd be able to reduce an average losing trade with 0.5 points, the average loosing trade would be 0.51R instead of 0.78R. That's significant!

This probably sounds very obvious and stupid, but it's my current thought process which I'd like to share in this journal.
Feedback is very much appreciated!

Thanks.
GP

Hi, welcome to the board, I wish you patience with your journal here.
Not an expert, but my two cents (ES experience, around 1500 SIM trades, 50 live trades, my market is YM now)

In trading you have small losers, small winners, BE, you must never have big losers, and you need big winners to pay for it all.

You described in your posts, that you trade with 2 contracts. 1 contract has fixed target 4t, other one has no target, only trailing SL 4t. Initial SL is flexible in range 4-8t. What I see is that your fixed target contract earns too little, and your trailing SL contract has too tight SL

Firstly fixed target 4t. You always have negative RRR on this contract. If target is 4t, and SL is 4-8t + commision, your average RRR is negative (not taking into account win rate). For ES market 4t target, that is pretty small. 2-3 points is pretty easy to get, that is 8 ticks at least. Maybe you should look into it, and do some statistic what is distribution of swing size (Zig-Zag study can help, one other study I used for this can't recall the name). I really think there is more to get in ES.

Secondary, you are thinking about decreasing Stop-Loss size. In other sentence you also mention that you usually get stopped out when market makes a significant pullback. I would not call 4t pullback in ES on 10k volume chart significant. It is quiet a tight trailing SL. Your stop loss is smaller than ATR size of bar in ES market. You allow almost no pullback space. I see profits below 2 points only.Having automatically trailing SL excludes any decision making, so we avoid possibility of making mistake. On the other hand, it is ignoring structure in the market, last swing H/L, breakout levels, etc. Again you need to take a look at how many of those stop outs would eventually move your way. This also depends on your risk tolerance

From my experience 6-10t initial stop loss in ES market is good, for small time frames. Trailing SL more generous.

When you are testing different combinations of target and stop loss size, remember to keep good statistics and journal.

Good luck, have fun

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Old October 17th, 2015, 04:29 PM   #14 (permalink)
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Doing some backtesting currently

Hi SadPraetor,

Thanks for looking into my journal and your analysis of the results.

The stops and trailing are indeed way to small. The strategy concentrates on catching an upswing of downswing only, big profits are not possible. BTW, did you read Aneks journal on ET? He also said that there should be small winner, small losers, breakevens and big winners. No big losers.

I'm doing some backtesting at this moment and found that a initial stoploss of 2.5 pts is good enough. This matches the stoploss you mention. Also, moving to breakeven in 2 pts instead of 1 pt is also realistic and prevents getting stopped out too early.
Will post tomorrow once I've done some more backtesting on new rules.

GP

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Old October 17th, 2015, 04:37 PM   #15 (permalink)
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GruttePier View Post
BTW, did you read Aneks journal on ET? He also said that there should be small winner, small losers, breakevens and big winners. No big losers.

GP

Author of that quote is some big trader, read it somewhere in the books. I can't recall his name


GruttePier View Post
The strategy concentrates on catching an upswing of downswing only, big profits are not possible
GP

So you are fading the move? Catching a pullback?

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Old October 17th, 2015, 07:45 PM   #16 (permalink)
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Updated rules to come

Grammar: The strategy concentrates on catching an upswing or downswing only


SadPraetor View Post
So you are fading the move? Catching a pullback?

Yes, trading a pullback and then fading out on 1 tick and when it pullback again (4 tick stop).

I'm now backtesting with wider stops and find that I can bank larger profits, 70 something % profitability and healthy RRR.
Take for example a swing low in an uptrend.
The entry remains 2 contracts on a H1 or H2 (break of the high of the signal bar), but with a stoploss of 2.5 pts.
The stop will be set to breakeven at 2 pts profit.
The stop of the 1st contract is then placed below the low of each previous bar, no profit target.
The stop of the 2nd contract is placed under the low of the next swingpoint. Until then, it remains at breakeven.

The profit made with the 1st contract is very satisfactory.
The profit of the 2nd contract is very disappointing in the bar-by-bar backtests sofar.
I'll continue backtesting and hopefully will catch some 20 pt mover so I change my mind on the 2nd contract :-).
If not, I might trade with 1 contract or need to think of something else.

Anyway, I'll continue backtesting.
Will post the stats and updated trading rules tomorrow.

GP

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Old October 18th, 2015, 11:34 AM   #17 (permalink)
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Updated rules

Did some backtesting of September and October this weekend.
My goal was to update my rules in order to get a better RRR.

As mentioned by SadPraetor already, my stoploss and trailing were too tight.
I backtested with 1 contract trailing the swing with a stoploss 1 tick below the close of the latest bar and got satisfactory results. The second contract was used for catching the big trends, so I'd put the stop below each next swingpoint (in case of uptrends). However, I found out that this was not very profitable. I got stopped out at breakeven mostly and several consecutive swingpoints seldom occur, strangely.
Anyway, I decided, as with my previous rules, to use a fixed profit target for this contract because itīs much more profitable than preserving it for catching larger trends.

So:
- The entry rules remain the same
- Stoploss is below (or above) the swingpoint, with a max of 2.5 pts (ATR >= 2.5) or 2.0 (ATR < 2.5)
- Stoploss to breakeven at 2 pts (ATR >= 2.5) or 1.5 (ATR < 2.5)
- Contract 1 has a fixed profit target of 2 pts
- Contract 2 has no profit target but will be trailed with a stoploss 1 tick under (or above) the last closed bar
I feel the stoploss of 2.5 pts is very wide, however I will try it out and might thighten it in the future.

Below are the stats of backtesting. Allthough the actuals of live trading will not be like this, these stats show a clear edge and are better than my previous stats.

Oh, I was able to catch a 9 point move! Yeah, I know it's a backtest....but I still caught the mover

Will try these new rules as of tomorrow.

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Old October 18th, 2015, 11:45 AM   #18 (permalink)
Trading Apprentice
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Looks good

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Old October 18th, 2015, 11:54 AM   #19 (permalink)
Market Wizard
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Yeah....we'll see.
Looking forward to try it out tomorrow.

But backtesting, in my case anyway, always has nicer stats than in reality.

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Old October 18th, 2015, 02:49 PM   #20 (permalink)
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2.5 isn't a wide stop at all.

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