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Good trades, bad trades, winning trades & losing trades


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Good trades, bad trades, winning trades & losing trades

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  #1 (permalink)
Tokyo, Japan
 
Experience: Intermediate
Platform: S5
Broker: Stage5
Trading: Commodities
 
Posts: 38 since Dec 2015
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I have studied trading extensively for the last 5 years and by studying I mean reading everything I can online, buying books, watching videos, buying videos and paying for trade coaching from professionals. I started by trading options, selling premium, and was successful for 2 years without really understanding why. I was then unsuccessful for 2 years again without understanding why until I realized my strategy and my execution didn't match. So I have made lots of donations to the markets, my startup costs.

I trade futures for the leverage and ease of going either long or short. I trade a trend following strategy, simply a breakout strategy and it works well. I struggle to say in profitable trades that pull back but have not yet reached my strategy stop.

I will use this trade journal as a way to keep myself accountable and share with the Futures.io community.

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  #3 (permalink)
Tokyo, Japan
 
Experience: Intermediate
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Trading: Commodities
 
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I went flat last week before traveling and now ready to get back into the market. My strategy is 20 day (or 55 day if I'm not able to take the 20 day for portfolio/risk management reasons) breakout but today is a reversal day and all of the markets in my universe are pulling back from trends as of close before traveling. I don't have a clear directive for how to handle this in my trade plan, please weigh in.

Here is an example, ES closed yesterday at 1,873 which is about a 60 day low yet now it is 1,903. If I had gotten in the trade at 1,873 I would not get out at 1,903 but now that it has pulled back I'm hesitant to open a new short position. Should I initiate a new short position starting from the higher position or pass on the trade and wait for a fresh trend to emerge?

Olly

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  #4 (permalink)
Luxembourg, Luxembourg
 
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Broker: Interactive Brokers
Trading: Stocks
 
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AsymOlly View Post
Should I initiate a new short position starting from the higher position or pass on the trade and wait for a fresh trend to emerge?

You should probably include a rule for this in your trading plan. There is really no right or wrong answer and there are a couple of scenarios that could play out.
  1. Short now and get a better entry, market goes lower and you potentially get a higher profit.
  2. Short now and get a better entry, market goes up and you still get stopped out (assuming your risk parameters stay the same).
  3. Short now and get a better entry, market goes nowhere - at least you have a good entry...
  4. Short later with a worse entry, market goes lower and you make slightly less in profits.
  5. Short later with a worse entry, market goes up and you may get stopped out. Had you shorted now, there is a chance that it may not happen - in effect if you short now, market goes down and retraces, you may be in better shape.
  6. Do nothing and wait which could protect you from a losing trade right now.

Using 20 day and 55 day breakouts makes me think of the Turtle system. Usually with a TF system of that nature, you would either take a new breakout, i.e. once it goes below the 1,873 low, or you wait for the next opposing signal, i.e. the first long.

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  #5 (permalink)
Tokyo, Japan
 
Experience: Intermediate
Platform: S5
Broker: Stage5
Trading: Commodities
 
Posts: 38 since Dec 2015
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grausch View Post
You should probably include a rule for this in your trading plan. There is really no right or wrong answer and there are a couple of scenarios that could play out.
  1. Short now and get a better entry, market goes lower and you potentially get a higher profit.
  2. Short now and get a better entry, market goes up and you still get stopped out (assuming your risk parameters stay the same).
  3. Short now and get a better entry, market goes nowhere - at least you have a good entry...
  4. Short later with a worse entry, market goes lower and you make slightly less in profits.
  5. Short later with a worse entry, market goes up and you may get stopped out. Had you shorted now, there is a chance that it may not happen - in effect if you short now, market goes down and retraces, you may be in better shape.
  6. Do nothing and wait which could protect you from a losing trade right now.

Using 20 day and 55 day breakouts makes me think of the Turtle system. Usually with a TF system of that nature, you would either take a new breakout, i.e. once it goes below the 1,873 low, or you wait for the next opposing signal, i.e. the first long.

You're right grausch, this is the turtle strategy. It's simple, adapts well to changing market conditions and has a sound portfolio management framework so it's working well for me. Thanks for your feedback, I like the idea of taking the position at current prices using the stop as if I had taken the trade at 1,873.

4 trades put on

T1: Short CL @ 30.25
T2: Short PL @ 832.5
T3: Short OJ @ 1.2575
T4: Long ZN @ 128'09

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  #6 (permalink)
Luxembourg, Luxembourg
 
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AsymOlly View Post
I like the idea of taking the position at current prices using the stop as if I had taken the trade at 1,873.

You are welcome. I actually meant that you would short now, but still base your stops 2 ATR away (I think this is where the Turtles placed them). Tightening up your stop could result in you being stopped out easier although if you are not stopped out, then it presents a nicer reward to risk ratio.

You should also read this thread relating to the performance of the system and how it degraded in recent years - Dead Turtles - Traders' Roundtable. Not sure if you can access that without registering on the Trading Blox forum. Curtis Faith (an original Turtle) developed Trading Blox to test the Turtle system (called Veritrader back then) and a lot of analysis was done in the forums on the system. Unfortunately due to legal disputes his name has been removed from the forum, but all of his posts are still there under different "forum names".

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  #7 (permalink)
Tokyo, Japan
 
Experience: Intermediate
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Trading: Commodities
 
Posts: 38 since Dec 2015
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Today I find myself in a good position. Trades put on yesterday are continuing to trend and making good profits. This is where the mental game starts to play it's part. So many times I have seen good profits and taken them for fear of losing them only to watch the trend continue and lose out on the gains the market was only too willing to give me. Today I will sit on my hands for the positions working for me.

1 new position.

T1: Long HE @ 67.65

I read through the Turtle Trader obituary from 2006 and it has motivated me to read up on Donchian but not going to throw in the towel on this system just yet.

Olly

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  #8 (permalink)
Tokyo, Japan
 
Experience: Intermediate
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Trading: Commodities
 
Posts: 38 since Dec 2015
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Nearly all markets in my universe are trending right now. Amazing situation but feels surreal, contracts whipsawing so again I just sit on my hands.

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  #9 (permalink)
Luxembourg, Luxembourg
 
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AsymOlly View Post
I read through the Turtle Trader obituary from 2006 and it has motivated me to read up on Donchian but not going to throw in the towel on this system just yet.

When Veritrader was first released, one of the trading magazines at the time tested the system (can't recall exact details as this is almost 10 years ago), and their testing clearly showed that the system was unprofitable but could be profitable again if there was no pyramiding.

On the TradingBlox forum several of the back-testers found that removing pyramding and adding profit targets where trades are scaled out partially increased profitability quite nicely. The obvious conclusion was that markets were more volatile and thus holding for bigger gains did not work as well as pyramided positions become more likely to be stopped out. Also, due to the volatility trends have become more choppy and taking partial gains along the way helps to both reduce the volatility of the equity curve and protect open profits.

The base system is probably still profitable, but you need to be careful when adding things like pyramiding to the mix.

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  #10 (permalink)
Tokyo, Japan
 
Experience: Intermediate
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Trading: Commodities
 
Posts: 38 since Dec 2015
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grausch View Post
When Veritrader was first released, one of the trading magazines at the time tested the system (can't recall exact details as this is almost 10 years ago), and their testing clearly showed that the system was unprofitable but could be profitable again if there was no pyramiding.

On the TradingBlox forum several of the back-testers found that removing pyramding and adding profit targets where trades are scaled out partially increased profitability quite nicely. The obvious conclusion was that markets were more volatile and thus holding for bigger gains did not work as well as pyramided positions become more likely to be stopped out. Also, due to the volatility trends have become more choppy and taking partial gains along the way helps to both reduce the volatility of the equity curve and protect open profits.

The base system is probably still profitable, but you need to be careful when adding things like pyramiding to the mix.

I understand and thanks again for sharing so much with me. I'm not dogmatic to the turtle strategy it's just how I learned about trend following and find it matches with my available trading hours and trading goals. I want to take asymmetric risks and achieve big returns even if they are lumpy.

That being said I rarely add to winning positions because the volatility is frightening. While I'm looking for great returns I understand that you need to stay in the game to get them. Profit targets are interesting and would smooth out volatility of returns.

Yesterday I was stopped out of my short CL position @ 32 for a loss and my other positions lost most of the gains but not yet stopped out. Hind sight being 20/20 taking profits would be have been nice.

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  #11 (permalink)
Tokyo, Japan
 
Experience: Intermediate
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I wasn't able to trade last week so just let my stops do the work for me.

T1: OJ buy to close @ 128 for a loss
T2: PL buy to close @ 856 for a loss

ZN and HE are still going strong. Today I opened a new position.

T3: SB short @ 0.1311

Very tough to take all of those losses when those positions were up so large earlier in the month. Profit targets are sounding really nice about now.

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  #12 (permalink)
Tokyo, Japan
 
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For the last few weeks I haven't posted my trades but have gone through ups and downs. I broke my trading plan over and over. I broke my trading plan because I was afraid that it wouldn't work. Looking back it would have been very profitable and my scared trading was just profitable. I know my fear is due to insufficient back testing of my strategy, so now I'm working on a way to test it properly and give me the confidence to trade it as designed.

An example that is eating at is NQ and ZN. I was long both from earlier in the week and while my stops weren't hit and both were going my way I exited after the NFP came out. Had I stayed with my trades I would have more profit and would be better prepared for drawdowns to come.

I'm beating the market even though I don't have the SP500 as my benchmark. If I was losing money I might learn the lesson properly. It's starting to sink in and I'm ready to view each trade as a bullet once fired can't be altered. Fear of losing profits is a bigger risk than a few losing trades.

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  #13 (permalink)
Tokyo, Japan
 
Experience: Intermediate
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Back on track. 2 new trades today.

Short HG @ 2.1480
Long NG @ 2.043

NG feels like a disaster in the making. Short NG has been a much better trade in the past year but there is a breakout signal to the upside so I take it. Risk management is in place, stops set GTC with an amount I'm willing to risk. This is the key, I need to be willing to risk a loss in order to make a gain. HG was off to the races as soon as I put it on, feels good. NG is slowly moving against me as I type, feels less good.

Must not touch it, the bullet is out of the gun.

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  #14 (permalink)
Tokyo, Japan
 
Experience: Intermediate
Platform: S5
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Trading: Commodities
 
Posts: 38 since Dec 2015
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As feared NG is a total disaster and HG has been tough on the nerves. New trade today is short NKD (Nikkei 225 USD) @ 15,605.

Very painful that NG has fallen so fast but not yet hit my stop so I'm still in.

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  #15 (permalink)
Tokyo, Japan
 
Experience: Intermediate
Platform: S5
Broker: Stage5
Trading: Commodities
 
Posts: 38 since Dec 2015
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NG made a strong come back today but HG is the real performer crashing much lower. NKD is also performing nicely. New trade for today is short SB @ 0.1463.

It's generally times like these that I have a tendency to take profits even though the trend is still running. Today I will resist the urge. The system works and I will be rewarded for following the working system over the long run.

The biggest question for me now is how security selection will affect my performance over time. I am getting multiple signals that I am not taking due to high correlation to existing positions or volatility that would put stops outside my risk tolerance. I haven't yet been able to model that in my back testing so that is next on my list. I downloaded AmiBroker and started learning AFL to improve my back testing capabilities.

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  #16 (permalink)
Tokyo, Japan
 
Experience: Intermediate
Platform: S5
Broker: Stage5
Trading: Commodities
 
Posts: 38 since Dec 2015
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NG has come nearly all the way back so that is nice to see but now NKD has taken an overnight (day time in Tokyo) huge gap up and is causing significant pain. SB performing well and happy that it's not as volatile as the other guys right now.

New trade for today is long ZN @ 130'29.

I'm strongly considering closing the NKD trade due to the news that the BOJ will increase their purchase of stocks and ETF's as a means to support the Japanese economy. It's clear that news is driving the index future up. It's getting so close to my stop that I'm doubting my decision to not take the trade off much earlier when it was clear the news was driving this move. The rationale for not taking the trade off earlier was that news is included in all my back tests and over the long run this is a profitable system so no touch.

As I write this post HG is shooting up and I am tempted to close. MUST RESIST!

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  #17 (permalink)
Tokyo, Japan
 
Experience: Intermediate
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Hard markets with nearly all positions reversing trend and losing money. Stops not hit so still in the trades.

2 new positions today long S @ 921 and short ZW @ 451 1/4. Both not doing so hot out of the gate but I would be happy with some slow movers that stay in the direction of the trend.

The markets have been just wild whipsawing back and forth making life uncomfortable for this trend follower. I wanted to smash my phone to bits looking at the price action for ZN, NG, NKD and HG during the Asian session. It's just so frustrating to watch profits disappear in a flash.

I listened to Jerry Parker, Turtle Trader, on chat with traders yesterday and he made some great points about trend following. He talked about the importance of sticking with your system and getting used to being uncomfortable. I'm not nearly there but I've missed out on enough profits by either closing a losing trade before my stop was hit or taking profits for fear of losing gains to keep me trading strictly with my system now.

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  #18 (permalink)
Tokyo, Japan
 
Experience: Intermediate
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Trading: Commodities
 
Posts: 38 since Dec 2015
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The market is full of air gaps these days. I have been on both sides of these moves but it is so stressful watching profits disappear in an instant or watch losses get very close to stop losses in a day. ZS moved rapidly in my favor, up, but NG, HG, ZN and NKD all took me to the woodshed. Stops not hit but it hurts like hell. In the span of a few hours half of this year's profit just vanished. I may also wake up and find it all back (but not likely).

From a fundamental perspective I don't understand why HG is rallying. NKD makes sense because BOJ governor Kuroda claims he'll do anything to save the Yen and Japanese economy but HG seems beyond reason to me.

I opened a new trade and now I'm at my position max, long CT @ 6160. CT has been a widow maker for me as it is extremely volatile but I'm trusting my system.

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  #19 (permalink)
Luxembourg, Luxembourg
 
Experience: Advanced
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Trading: Stocks
 
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Hi AsymOlly,

Great point on Jerry Parker and feeling uncomfortable. Here is a link to his performance although you will need to register with IASG - Chesapeake Capital : Diversified - IASG. I will point out that he was the only Turtle to target lower volatility returns and he still recommends getting used to feeling uncomfortable. I wonder how Richard Dennis felt whenever he bet his left nut.

With regards to backtesting, you can get a trial copy of TradingBlox and it already has the Turtle system built in. So no need to program anything and you have a lot of comfort that the code is correct. Other than frequenting their forums in the past, I have no affiliation with them.

Regarding market selection - yes, it is pretty important however it is difficult to determine in advance which markets to trade. Which is why most trend-following managers try and trade all markets. Unfortunately that is probably part of the reason why these funds have not performing that great as of late.

A final note would be that understanding why things move may be a hindrance to trend trading. Generally, when markets make big moves these moves are not understood by most and only become obvious after the fact. Usually people will comment that the move is overdone, etc. Just look at when Greenspan made his "irrational exuberance" comment. Therefore, most of the time wanting to understand why something moves could just lead to exiting good trades prematurely.

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  #20 (permalink)
Tokyo, Japan
 
Experience: Intermediate
Platform: S5
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Trading: Commodities
 
Posts: 38 since Dec 2015
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grausch View Post
Hi AsymOlly,

Great point on Jerry Parker and feeling uncomfortable. Here is a link to his performance although you will need to register with IASG - Chesapeake Capital : Diversified - IASG. I will point out that he was the only Turtle to target lower volatility returns and he still recommends getting used to feeling uncomfortable. I wonder how Richard Dennis felt whenever he bet his left nut.

With regards to backtesting, you can get a trial copy of TradingBlox and it already has the Turtle system built in. So no need to program anything and you have a lot of comfort that the code is correct. Other than frequenting their forums in the past, I have no affiliation with them.

Regarding market selection - yes, it is pretty important however it is difficult to determine in advance which markets to trade. Which is why most trend-following managers try and trade all markets. Unfortunately that is probably part of the reason why these funds have not performing that great as of late.

A final note would be that understanding why things move may be a hindrance to trend trading. Generally, when markets make big moves these moves are not understood by most and only become obvious after the fact. Usually people will comment that the move is overdone, etc. Just look at when Greenspan made his "irrational exuberance" comment. Therefore, most of the time wanting to understand why something moves could just lead to exiting good trades prematurely.

Thanks grausch. I will check out TradingBlox.

Just got stopped out of ZW @ 456. The one day move was too big and bounced me from the trade. Very close to getting bounced from NKD. That loss would hurt and will most likely come to pass if not now then tomorrow when Tokyo opens and piles on from this massive move.

I am uncomfortable and taking trades based on system signals alone. I named this trade journal good trades, bad trades, winning trades & losing trades because I know that good trades can be losing trades and today I have a lot of them.

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  #21 (permalink)
Tokyo, Japan
 
Experience: Intermediate
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Trading: Commodities
 
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The pain trade, NKD cover @ 16,490 and HG @ 2.1665 for position max losses. HG is most painful because it was a big winner 3 days ago and like a slow motion car wreck the pain started and then yesterday all day long just watch my profit disappear. Maddening beyond belief but that's how trading goes, 2 steps forward and 1 step back.

ZS is performing nicely so happy make up some of those losses.

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  #22 (permalink)
Tokyo, Japan
 
Experience: Intermediate
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Grausch, great call on TradingBlox. I downloaded the trial version and started testing out the Turtle strategy over 30 years. Naturally in the wonderful world of back tests in 30 years I will have millions of dollars and be a very successful trader, even factoring in 5% quarterly withdrawals. I really to see those types of back tests in a week like this one when the whip saw bugaboos have got me.

CT dropped down out of nowhere and hit my 1 day move limit @ 60.41. ZN stopped out at 130'09.5 so closed for a loss. Opened 1 new position long AD @ 0.7678.

Now ZS profits are slipping away just like HG. I'm not eager to see that happen again so may just close the position and wait for new trends to start.

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  #23 (permalink)
Luxembourg, Luxembourg
 
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AsymOlly View Post
Grausch, great call on TradingBlox. I downloaded the trial version and started testing out the Turtle strategy over 30 years. Naturally in the wonderful world of back tests in 30 years I will have millions of dollars and be a very successful trader, even factoring in 5% quarterly withdrawals. I really to see those types of back tests in a week like this one when the whip saw bugaboos have got me.

I'd also suggest running the backtests over various periods, not only so that you get a better picture over several periods, but also so that you have some out-of-sample data left. The system did extremely well in the 80s, but thereafter performance degraded significantly and while this is correctly shown in the backtest, most people will gloss over this fact after seeing how they could have made millions.

You can probably break the data down into 5 year periods, and then perhaps get a better feel for how it has performed during several periods in history. Also, if you are going to optimise, always ensure you have some out-of-sample data left so that the optimised system can run on that.

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  #24 (permalink)
Tokyo, Japan
 
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Yes, in the world of backtest we are all rich. I understand not only that the future and the past aren't similar enough to bet the bank on it but also that I am not a computer and my trading isn't fully automated so will not have exactly the same results. Emotions play a large factor, I'm struggling right now through a rough draw down.

There are years of flat performance and continuous years of negative performance follow by great triple digit return years. Can't be predicted so must just keep going with the system even when the market is kicking you down. The system automatically reduces trading size when losses build up so capital preservation is built in.

Thanks for all your advice. It helps when I feel like every trade is destined to fail. I'm just reducing my risk and letting them fly. If I don't then I may not catch the next trend that could have made all the difference.

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  #25 (permalink)
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Hey Olly,

Just curious if you're still selling options? I've been selling for the last two years and just moved over to Futures this year. It's been the most consistent strategy for me so far.

I've been working on a swing trading setup for the last 5 months and currently testing Ichimoku w/ RSI for confirmation. I'm still playing around with the timeframes but it make be worth a peak. There are some great videos on here.

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  #26 (permalink)
Tokyo, Japan
 
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hazlewood View Post
Hey Olly,



Just curious if you're still selling options? I've been selling for the last two years and just moved over to Futures this year. It's been the most consistent strategy for me so far.



I've been working on a swing trading setup for the last 5 months and currently testing Ichimoku w/ RSI for confirmation. I'm still playing around with the timeframes but it make be worth a peak. There are some great videos on here.



Hi Hazelwood,

I don't trade options anymore as I prefer the leverage and trading hours that commodity futures offers.

Based on everything I've read, seen and experienced I feel like being profitable in trading is all about risk management. That can be a broad term so I define it as position sizing, stop losses and profit taking exits. Timeframes for entry and more importantly exits play a large role.

I'm not familiar with Ichimoku but RSI has the mean reversion assumption built into it which doesn't fit my beliefs about the market. There may be a mean for each market out there but I don't believe I'm smart enough to figure it out so I don't try.

I'd be interested to hear more about your trading style for swing trades.

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  #27 (permalink)
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A weekend can be just what you need sometimes. I spent some quality time with the wife and kids, spent some quality time at the gym and had a few laughs with the boys and now it's back to trading.

I traded out of ZS @ 948 and went long ZC @ 3.7925. I rolled into July ZC @ 3.8350 having realized the last day of trading is next week. AD had a great big scare this morning Asia time but has come all the way back to where it left off on Friday.

I did quite a bit of back testing over the weekend running 32,000+ tests of the turtle strategy using trading blox over different time periods and with different entry / exit parameters. The graph below is the best looking equity curve for 2005 to 2015.



I found when I tested further back I was making upwards of 1bn USD but performance was not great after 2005 so I did tests from 2005 and some test from 2010. Even this wonderful looking performance has a 50% loss in 2015 and it was one of the least volatile results. The win percentage for all of the Turtle simulations were around 15% - 20%. I also found that different starting capital provided very different results so being under capitalized is a problem. Trading blox is a great tool although I haven't purchased it yet it seems very easy to use not only for backtesting but to generate trades using current data.

Parameters for the backtest were 1.5% capital at risk per position, 84 day break out entry and 32 day retrace exit.

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Initiated long on CT @ .6228. CT has proven to be an extremely volatile market. I'm not eager to hold this position so may break plan to take an opportunistic profit soon.

ZN has jumped as well as AD but ZN seems to be running out of steam. I hope this trend continues for quite a bit so I can earn back some of those losses from last week. No revenge trading, just following the trend but would be happy to see it go my way.

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  #29 (permalink)
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AsymOlly View Post
I did quite a bit of back testing over the weekend running 32,000+ tests of the turtle strategy using trading blox over different time periods and with different entry / exit parameters. The graph below is the best looking equity curve for 2005 to 2015.

TradingBlox makes it quite easy to test systems like this. Compared to my excel backtests, it is lightning-fast. Only "downside" is that it is too easy in that you may just end up testing systems with the hope of finding something that works (at least that is what happened to me). While it does not look like you have done so, always remember that before a system is backtested, it needs to have a sound and well thought-out idea behind it. A backtest should provide comfort that a system works - it should not be used to try and find systems.


AsymOlly View Post
I found when I tested further back I was making upwards of 1bn USD but performance was not great after 2005 so I did tests from 2005 and some test from 2010. Even this wonderful looking performance has a 50% loss in 2015 and it was one of the least volatile results. The win percentage for all of the Turtle simulations were around 15% - 20%. I also found that different starting capital provided very different results so being under capitalized is a problem. Trading blox is a great tool although I haven't purchased it yet it seems very easy to use not only for backtesting but to generate trades using current data.

Since you mention this being one of the least volatile results, just be aware that should a system's results fluctuate wildly when using different parameters, i.e. n-day breakouts / exits, then the system itself may not be that sound. With regards to you other observations, i.e. 50% drawdown & low win-rate, I do not think that Richard Dennis cared too much for that. He was aiming for home-runs and mentions in Market Wizards that single trades could double his equity. With regards to the capitalisation issue, Trading Blox rejects trades when the account can not handle the risk (not sure if it can be disabled). With a lot of the normal instruments an account of less than $1 million won't place all of its trades during a backtest.


AsymOlly View Post
Parameters for the backtest were 1.5% capital at risk per position, 84 day break out entry and 32 day retrace exit.

As noted above, see how the results fluctuate whenever you modify these entry and exit parameters. Try to stay within the same theme, i.e. medium-term or long-term, but analyse how the performance varies. Wildly varying performance will mean the backtested results are most likely not reproducible. Sometimes it is due to being curve-fit, other times the system is just not as good as we hope for.

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grausch View Post
TradingBlox makes it quite easy to test systems like this. Compared to my excel backtests, it is lightning-fast. Only "downside" is that it is too easy in that you may just end up testing systems with the hope of finding something that works (at least that is what happened to me). While it does not look like you have done so, always remember that before a system is backtested, it needs to have a sound and well thought-out idea behind it. A backtest should provide comfort that a system works - it should not be used to try and find systems.







Since you mention this being one of the least volatile results, just be aware that should a system's results fluctuate wildly when using different parameters, i.e. n-day breakouts / exits, then the system itself may not be that sound. With regards to you other observations, i.e. 50% drawdown & low win-rate, I do not think that Richard Dennis cared too much for that. He was aiming for home-runs and mentions in Market Wizards that single trades could double his equity. With regards to the capitalisation issue, Trading Blox rejects trades when the account can not handle the risk (not sure if it can be disabled). With a lot of the normal instruments an account of less than $1 million won't place all of its trades during a backtest.







As noted above, see how the results fluctuate whenever you modify these entry and exit parameters. Try to stay within the same theme, i.e. medium-term or long-term, but analyse how the performance varies. Wildly varying performance will mean the backtested results are most likely not reproducible. Sometimes it is due to being curve-fit, other times the system is just not as good as we hope for.



Grausch, your comments are spot on. The test results informed me that short breakouts have been historically less profitable than longer breakouts. Roughly 1/3 retracement seems to work so it's a starting point. I'm wary of curve fitting so the longer time frame working for a small account like mine was one of my key takeaways. The exact day breakout is less important than the ratio for me.

Based on my experience so far I don't know if I could handle consecutive years of double digits losses so the win percentage might make this system a nonstarter for me.

Now my win percentage is around 40% and making 20 - 30% a year so when the trend is with me I feel invincible and when against me I feel like a loser. I don't know if a trader can ever or should ever feel comfortable trading so until I can build up enough capital to go full time this will just be a wonderful hobby.

As always, thank you for you're advice and guidance.

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  #31 (permalink)
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AsymOlly View Post
Grausch, your comments are spot on. The test results informed me that short breakouts have been historically less profitable than longer breakouts. Roughly 1/3 retracement seems to work so it's a starting point. I'm wary of curve fitting so the longer time frame working for a small account like mine was one of my key takeaways. The exact day breakout is less important than the ratio for me.

The reason short trades tend to be less profitable is that they usually occur during periods of higher volatility so stops are further away and getting a decent return to risk becomes difficult. Other than that uptrends can cause a price to more than double (or triple or quadruple, etc.), whereas with downtrends it can only move to zero (100% gain). For the Turtle system to work, you would need to stick to a longer term system. Shorter term systems just don't get the required return / risk multiples for this to work.


AsymOlly View Post
Based on my experience so far I don't know if I could handle consecutive years of double digits losses so the win percentage might make this system a nonstarter for me.

I think it was in Market Wizards where Stanley Druckenmiller mentioned that Soros just does not care about losers. He has the required self-confidence to know he can make it all back (and then some) on the next trade. Richard Dennis seems to share a similar trait. I am still working on acquiring it though


AsymOlly View Post
Now my win percentage is around 40% and making 20 - 30% a year so when the trend is with me I feel invincible and when against me I feel like a loser. I don't know if a trader can ever or should ever feel comfortable trading so until I can build up enough capital to go full time this will just be a wonderful hobby.

As always, thank you for you're advice and guidance.

The Turtle system was really designed to capitalise on the home runs where a bigger position will capture a large trend. With systems like this the win% is less important. During the 70s when the Hunt brothers tried to corner silver, all you need for an excellent year was to get a big part of that move. To me it seemed like that was Richard Dennis's mindset at the time, but he has obviously changed what he is doing in recent years. To be fair though, most people are very uncomfortable with this attitude towards making money.

You're welcome. The Turtle system was my first foray into trading and I learnt quite a lot from it in those early years. Probably one of the reasons why I still enjoy discussions about it.

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  #32 (permalink)
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Markets are whipsawing around and I'm getting stopped out for losses on some trades and watching large profits disappear on news. I have stops in for every trade so my losses are all within acceptable limits and I am profitable for the year yet frustrated.

A few trades that I'm late in posting - all are closed.

Short ZL - closed for a small gain.
Long BP (6B) - closed for a small gain having watched large profits disappear in minutes on BoE commentary.
Long ZR - closed for a small gain. I won't be trading ZR anymore as the volume leads to huge slippage.
Short ZN - closed for a half size loss (well ahead of US NFP).
Long CT - closed for a half size loss.
Long AD (6A) - closed for a half size gain having watched large profits disappear in minutes on RBA inflation expectation release.
Long GCG - closed for a small gain even though the trend was still going as I went on vacation and couldn't monitor the trade.

The results of my back tests are weighing on my mind. I haven't followed my rules strictly and when looking at my back tests if I had I would have made less money. Draw downs are part of any strategy and attempting to eliminate them altogether will probably lead to disaster so I'm looking at how I can combine multiple strategies that are uncorrelated to improve average returns with less combined volatility. Considering my base strategy is trend following it makes sense to consider counter trend trading. I am also looking into volume profile trading which I have no idea how to back test so I am going to forward test it for a few months.

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  #33 (permalink)
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Getting ready for Brexit, feels like what ever the move is after the vote comes in it will continue for at least a few days. So if the vote is to remain then I will go long the pound and if the vote is leave then short. I also feel like gold will move up on a leave vote and down on a remain vote. Anybody else have any ideas?

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  #34 (permalink)
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AsymOlly View Post
...I also feel like gold will move up on a leave vote and down on a remain vote. Anybody else have any ideas?

I have the same sentiment as well AsymOlly, but based on my limited experience, I have decided to just stay the hell out for now due to "the craziness of it all." Dec GC seems to be undervalued as of today because of the news, but I am still trying to learn GC forward-month futures. Let's see what happens!

FX traders trading the GBP pairs must be going insane with this next upcoming week. I couldn't deal with it. God bless them if they can profit this mess.

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  #35 (permalink)
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So the Brexit vote has come out leave and the cable, GBP/USD, move has already happened, at least to a large degree. As so much movement was clear to happen during the vote I traded like an idiot madman, scalping ticks here and there. Luckily I have a very low commission on the cable future (I'm happy to share how to get but not sure if it would be advertising if I add it here), so my broker profited nicely and it wasn't too bad for me either, 100+ trades and I came out with an increase in my account size for the night.



Where to go from here? Wait for British markets to open? US markets to open for more downside? A short covering rally here? Soros predicted a drop far below where we are trading now but I don't have the account size he does to take big risks so fear I could be stopped out with volatility even on a single contract.

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  #36 (permalink)
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I was much more disciplined yesterday, one trade short 6B at 1.3430 and closed at 1.3420, scared of the volume and speed of movement. I then found my discipline and went short 6B at 1.3313 and held until it seemed there was support from what I imagined to be HM Treasury at 1.3180. I was happy to get the winning trades but happier that the second trade was a good trade as I let the winner run even when several pull backs were evident.

Today value for 6B is much higher, around 1.3350, so I can only imagine that HM Treasury waited for the initial down movement to exhaust itself and then started their support program. If that is indeed the case then for the time being it is working. The economy looks to have many struggles ahead so it's hard to see how this will play out.

Irrespective of Brexit I have again learned that trading is hard and the emotions of the trader are so important. I had a strategy planned for the Brexit and even outlined it on this journal. Then when it came time to execute I looked for additional confirmation and delayed the execution far longer than planned. At the same time I ended up taking 200+ trades on Thur/Fri. Doing an analysis of the trades I was cutting my winners short and taking losses out of fear instead of planning. I was pure retail scared kitten and looking back on it I am disappointed. Of course I made money because there is nobody that couldn't make money shorting the 6B on Thur/Fri last week but the strategy I had planned was both a good trade and a winning trade. Those are the trades that I need to take and hold to pay for the good losing trades and the inevitable bad trades I will take from time to time.

You really do get to learn about yourself as a trader and since I am trading alone it is easy to see what I need to work on. At this point I believe it comes down to confidence that the style, trend trading combined with volume profile, has an edge and it's just a matter of risk management and number of trading occurrences to ensure profitability. That confidence is hard to maintain in markets such as these.

For anyone reading please share your thoughts.

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AsymOlly View Post
...You really do get to learn about yourself as a trader and since I am trading alone it is easy to see what I need to work on...

I have found, on this journey to trying to be a successful trader, is that you also learn about your own self. It kind of dregs up everything about you, and can sometimes cause you to take pause about what you discover about yourself that you never knew. It's totally fascinating! Sigmund Freud got nothing on trading! Hah!

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  #38 (permalink)
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Great points HoopyTrading. I have also found that trading has changed me. It's made me a calmer person away from the desk, more analytical and less likely to react to little things.

Better than therapy with Freud and less costly too!


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  #39 (permalink)
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The pound has been steadily rising over the last 3 days but I just can't get on board and buy it. I have a strong suspicion the BoE or HM Treasury is behind the buying and their ammunition is limited. Meanwhile the news about companies planning to leave the UK or considering leaving/moving a portion of their business out is rising. So I am undecided on what level to sell the pound. Using a volume profile approach it seems that 1.3510 and above (the yellow box in the image) would be a good level



I'll be monitoring the situation to see if the level is hit and will looking to make a trade there. If anyone else can see a good level to short please shout it out.

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I am experimenting with volume profile based trading on the pound. I took a few trades at 1.3347 short and closed for 20 ticks. The profile suggested I could get 37 (targeted 1.3310 VPOC) yet I was just fine with 20 at this stage. Just testing and so far so good.



As I am typing this the pound hit 1.3310. I know that being right at the start of a trading strategy can be a bad thing. Gives over confidence when even the volume profile is just an edge and appropriate risk management is the real way to make that edge turn into profits.

I am confident I am enough of a chicken to use appropriate risk management regularly. Now I just need to have the confidence to use appropriate size in my trades to ensure the winners are big enough to pay for the little losers.

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  #41 (permalink)
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My new plan is to use a combination of trend following and volume profile to flatten out my equity curve. The way I have been defining a trend is 20 day breakout. This definition of a trend gets quite a few false breakouts where there is a gap up/down or just big move after 19 days of low volatility.

I've been testing 3 moving averages moving in the same direction to get an entry and cross of moving averages to exit or 2 * 20 day ATR in opposition of trend. Tests are looking positive but need to do more.

Please share how you define trends in your trading, I'm interested in finding whatever edge I can find.

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  #42 (permalink)
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2 trades on now, long gold @ 1,368.9 and short pound @ 1.28850. Both trades are underwater but far away from my stops. I am nervous ahead of US NFP but am hesitant close my positions as I have been trading so scared since BREXIT I have missed out on a fortune in profits had I stuck to my strategy. I am now in a hurry to further automate my trading so that I can remove my fear and greed from trading.

I had assumed the positive jobs report data and subsequent rally in DXY and ES would drive the pound down but after a lot of big vol it ended unchanged. There is a huge bid under this market either in short covering, government support or this is market consensus of value and I should get out. The move may continue lower is just lost a lot of steam, not a reason to get out of a trend following play so I'll stay in. Need to spend more time on automation!!

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  #43 (permalink)
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Earlier today the pound was moving my way, lower, and my trade was in the green. Around noon UK time Andrea Leadsom decided the PM race was not for her and now I'm getting my head kicked in on the pound once again. The trend is still down and so I'm still in it.

In my work to re-examine how I define a trend I can see that a simple moving average cross has promise. I haven't purchased AmiBroker full version yet so haven't been able to do optimization testing. Initial testing I can see that energy, metals and softs work well but indices, currencies and rates perform horribly. I don't expect all sectors to perform well, that would mean I was curve fitting or only using correlated markets, so as long as over the long run I have a positive expectation then I will start implementing this new style for trading.

This is what happened with the new PM for the UK became clear. I can't imagine that this is good for the UK as it bring them closer to leaving the UK. When countries want to punish other countries they bar them trading and from immigration via UN sanction so a UK self imposed sanction doesn't seem like a positive step to me.


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