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Trading journal ES system trading.

  #101 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
Posts: 202 since Jul 2017
Thanks Given: 348
Thanks Received: 409

Having rough several months. From late May to now, My system has been losing. Account is still up from where I began in last October, but I am looking at 28k down from it's high. 3k below from previous Max DD which occurred in August.

When it was being profitable, 25k to 60k in a few month, I began to think words such as "financial freedom, Mercedes in garage, fat bank account, mortgages being paid off....but now, I think about where did I put those damn burger king coupons at? Isn't that funny how mind works? Just give it a little lead way and off it goes to extreme or is it just me....

Hope you guys don't mind me posting journals like this. I know that I am not contributing as much as others are in this forum but I am sharing real account history and my personal reaction to it. Like I said before in my previous posts, I will follow the rules that I have created and fight temptations with discipline.

Feels better a lot better sharing my thoughts. Thank you.

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  #102 (permalink)
 tihfa 
detroit, mi
 
Experience: Beginner
Platform: TradeStation
Trading: SPY
Posts: 78 since Nov 2011
Thanks Given: 1,524
Thanks Received: 80

Kanepa,

thanks for your journal. I certainly would like to see you continue journaling as it is encouraging for someone like me struggling to commit to pulling the trigger on trading based on my own research.

I do have questions that may help you analyze your drawdown or help reevaluate your initial analysis.

1) is your system based on a some pattern made up of some price behavior or sequence of bars only?
2) is it based on price behavior where you have been modelling price trending, price volatility?
3) is it 1) in the context of 2)
4) how about position management ( scaling in etc...)
5) did you run the strategy and your development only on ES, or some other non-index symbols?
6) how about position sizing, risk management?

I believe that you must have had some rationale other than X number of samples showed certain performance metric against Y number of data points in a Z time period

Perhaps you had discussed this type of analysis at the start of your journal, but do not recall it...

Take care and hope you will have this figured out.

Tihfa

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  #103 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
Posts: 202 since Jul 2017
Thanks Given: 348
Thanks Received: 409



tihfa View Post
Kanepa,


1) is your system based on a some pattern made up of some price behavior or sequence of bars only?
2) is it based on price behavior where you have been modelling price trending, price volatility?
3) is it 1) in the context of 2)
4) how about position management ( scaling in etc...)
5) did you run the strategy and your development only on ES, or some other non-index symbols?
6) how about position sizing, risk management?

Hi, tihfa.

Thank you for your comment. Here are the answers.

1)No patterns but price behavior.
2)Volatility comes into system as a filter to take trades or not. System trades low and mid level volatility and stays out on very high volatility.
3)Yes. Volatility condition then price behavior.
4)no scaling in or out. All in and All out. When back tested, position managing such as bring stops to be once it moves X amount of ticks in favor, trailing, or half out with 2 points and have runners. They all failed to perform.
5)I have. CL, NQ and YM. Results are similar. NQ is better but did not go with NQ due to possible slippages. I want to trade 100 lots and only ES was thick enough to support my idea of potentially trade with 100 contracts. But not looking good at this time huh?
6)yes. It;s all planned out and I trade accordingly. But I do not use typical risk 2%. Say I am going to bet $1 per trade, commit $100 to be able to trade 100 times. There is no reducing bet size because 100 became 50.

For last 12 years, 52% probability with 1.2 win/lost and 1.36 profit factor. Currently it is at 48% probability. A mediocre system but it is the best I could come up with. I will continue to bet on my system. With or without confidence.

Thank you,
Kanepa.

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  #104 (permalink)
MarkB
Ontario, Canada
 
Posts: 136 since Jan 2014
Thanks Given: 0
Thanks Received: 64


kanepa View Post
Having rough several months. From late May to now, My system has been losing. Account is still up from where I began in last October, but I am looking at 28k down from it's high. 3k below from previous Max DD which occurred in August.

When it was being profitable, 25k to 60k in a few month, I began to think words such as "financial freedom, Mercedes in garage, fat bank account, mortgages being paid off....but now, I think about where did I put those damn burger king coupons at? Isn't that funny how mind works? Just give it a little lead way and off it goes to extreme or is it just me....

Hope you guys don't mind me posting journals like this. I know that I am not contributing as much as others are in this forum but I am sharing real account history and my personal reaction to it. Like I said before in my previous posts, I will follow the rules that I have created and fight temptations with discipline.

Feels better a lot better sharing my thoughts. Thank you.

I wouldn’t be so quick to write off your emotional considerations as irrational. Lots of systems traders have, in hindsight, identified environments wherein their systems do not perform optimally (ie. high volatility, ranging environments, etc). When these elements occur, they shut down the systems,

There is definitely something wrong with a person who trusts implicitly in an untested system and does not qualify its ability to continue to produce in every environment. In your case, as a casual observer, I can’t tell if your self-proclaimed discipline is actually denial about your system’s real performance… but one way or the other YOU are the greatest resource that you have to fix the problem. Don’t discount your thoughts and emotions about your system simply because they are thoughts and emotions - your thinking and emoting combined with some ingenuity might help to avert disaster and continue to win.

The only reason I come to this forum is to read your thread, keep up the good work and keep tinkering.

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  #105 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
Posts: 202 since Jul 2017
Thanks Given: 348
Thanks Received: 409


MarkB View Post
I wouldn’t be so quick to write off your emotional considerations as irrational. Lots of systems traders have, in hindsight, identified environments wherein their systems do not perform optimally (ie. high volatility, ranging environments, etc). When these elements occur, they shut down the systems,

There is definitely something wrong with a person who trusts implicitly in an untested system and does not qualify its ability to continue to produce in every environment. In your case, as a casual observer, I can’t tell if your self-proclaimed discipline is actually denial about your system’s real performance… but one way or the other YOU are the greatest resource that you have to fix the problem. Don’t discount your thoughts and emotions about your system simply because they are thoughts and emotions - your thinking and emoting combined with some ingenuity might help to avert disaster and continue to win.

The only reason I come to this forum is to read your thread, keep up the good work and keep tinkering.

Hi, MarkB. Thank you for your comment. I appreciate you, @tihfa, @Sazon and many others who has helped me to do better.

Reason for me considering my emotion as irrational is there were no positive events that occurred if my decision was based on my emotion in trading. I do not view myself as a good trader. Can not read market well. Only thing I have and will try my best to do so is follow plan. Losing period is on going but I can not pull the plug on my system yet. When and if system reaches to my max risk point, then I will wave white flag and stop trading.

Of course! there are many things wrong with me. My proclaimed discipline might be denial of my system's performance. And further, my attempt to make profit using system was doomed from the get go.

MarkB. I do not know. I do not know what is going to happen. Discipline or denial, I will keep the system on because pulling the plug before it reaches maximum allowed loss was not part of original plan. Thank you for sharing your wisdom and kind words. Anytime, your thoughts are more than welcome and appreciated.

Thank you,
Kanepa.

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  #106 (permalink)
 tihfa 
detroit, mi
 
Experience: Beginner
Platform: TradeStation
Trading: SPY
Posts: 78 since Nov 2011
Thanks Given: 1,524
Thanks Received: 80


kanepa View Post
Hi, tihfa.

Thank you for your comment. Here are the answers.

1)No patterns but price behavior.
2)Volatility comes into system as a filter to take trades or not. System trades low and mid level volatility and stays out on very high volatility.
3)Yes. Volatility condition then price behavior.
4)no scaling in or out. All in and All out. When back tested, position managing such as bring stops to be once it moves X amount of ticks in favor, trailing, or half out with 2 points and have runners. They all failed to perform.
5)I have. CL, NQ and YM. Results are similar. NQ is better but did not go with NQ due to possible slippages. I want to trade 100 lots and only ES was thick enough to support my idea of potentially trade with 100 contracts. But not looking good at this time huh?
6)yes. It;s all planned out and I trade accordingly. But I do not use typical risk 2%. Say I am going to bet $1 per trade, commit $100 to be able to trade 100 times. There is no reducing bet size because 100 became 50.

For last 12 years, 52% probability with 1.2 win/lost and 1.36 profit factor. Currently it is at 48% probability. A mediocre system but it is the best I could come up with. I will continue to bet on my system. With or without confidence.

Thank you,
Kanepa.

Hi Kanepa,

so I am thinking that the results you are seeing are basically following your modeled price behavior with some normal variability ( W to L ratio, W and L series distributions, P to L ratio, average P per trade, average L per trade etc, best profit P single trade, worst loss single trade...)

And if that is the case, then you should feel good about having modeled well the behavior. Then it is the question of improving your model whether that is the context, or delineating context into trending and sideways/congestion type behavior, and capitalizing on volatility ( not avoiding it by filtering it out... I think of volatility as strong narrow band directional moves in the time frame of choice or lower time frame where you may be executing...btw volatility is still price behavior attribute just as trending or ranging is etc...)

Otherwise if the actual price behavior is not following your modeled price behavior then you should look at individual components of your strategy starting with the context and understand the divergence....again i think you would want to capitalize on price transition from low volatility to high volatility move in the anticipated direction or try to get in on already volatile move taking place...

The other thing is if you study the trades in lower time frame you may be able to the scale in your entries such that you maximize your profitable trades and minimize the loser traders unless you are basically scalping with no opportunity to add to or reduce position size for the duration of the trade...

Good luck,
Tihfa

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  #107 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
Posts: 202 since Jul 2017
Thanks Given: 348
Thanks Received: 409


tihfa View Post
Hi Kanepa,

so I am thinking that the results you are seeing are basically following your modeled price behavior with some normal variability ( W to L ratio, W and L series distributions, P to L ratio, average P per trade, average L per trade etc, best profit P single trade, worst loss single trade...)

And if that is the case, then you should feel good about having modeled well the behavior. Then it is the question of improving your model whether that is the context, or delineating context into trending and sideways/congestion type behavior, and capitalizing on volatility ( not avoiding it by filtering it out... I think of volatility as strong narrow band directional moves in the time frame of choice or lower time frame where you may be executing...btw volatility is still price behavior attribute just as trending or ranging is etc...)

Otherwise if the actual price behavior is not following your modeled price behavior then you should look at individual components of your strategy starting with the context and understand the divergence....again i think you would want to capitalize on price transition from low volatility to high volatility move in the anticipated direction or try to get in on already volatile move taking place...

The other thing is if you study the trades in lower time frame you may be able to the scale in your entries such that you maximize your profitable trades and minimize the loser traders unless you are basically scalping with no opportunity to add to or reduce position size for the duration of the trade...

Good luck,
Tihfa

Perhaps you are right. That is what I think as well. When system was not on(second system) it had very profitable year up until May. More than usual. so it might be on a correction mode. Time will tell.

As a newbie system trader, my feelings are mixed. both positive and negative. But the core of my belief and design a system around it still unchanged. I have spent some time past weekend to further test and study my system and changed a little. This I will update later.

One of main goal is reduce number of trades while not giving up too much of profit. The second system is very wild as it goes for home runs. But I am working hard to come up with a remedy to offset large swings in equity curve to less volatile but more steady growth.

While it is true that high volatile market's trading profit can be huge but I have not came up with something I can put money behind it. And those market condition tends to produces many losing trades in a row as well. And I have done some research on scaling in and out of position but not enough to put them in use in real time. Will continue to look at it when more time is allowed.

Appreciate your thoughts and suggestions.
kanepa.

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  #108 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
Posts: 202 since Jul 2017
Thanks Given: 348
Thanks Received: 409

2017
24,941 to 32597 +7656 +30%

2018 so far
32,597 to 34,740(current bal+10,000 withdraw) +2143 +6%

My total out of pocket risk
Initial deposit: 25,000
Withdraw :-10,000
Margin(600X10):-6000
Total Risk :9000

As first image shows, I have had a another losing month for September. Lost close to 5k.


Not much has been changed other than losing trades were slowing down. See you on next update in October.

Thank you.

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  #109 (permalink)
TraderEX
 
Posts: 96 since Sep 2018
Thanks Given: 68
Thanks Received: 177


kanepa View Post
The system is returning to normal rate. After initial fantastic numbers, it produced enough stop loss trades to bring W/L to 53.45% level. But W/L ratio is still high at 1.51. I do not know how the system will finish 2017 and what's to come in 2018. All I can do is follow the plan as it happens.

System sometimes trades where I would never consider myself to go long or short. I still do have urges to take over and trade manually, but seeing the back test results helps me not to do so. Just turn on the ninja trader and go to work. and It's getting easier for me to leave it alone.

Made a mistake on roll-over date. From now, I will roll over on Wednesday evening or Thursday morning of roll over week.

Trading is going real well as far as slippage goes. Only had 2 ticks went against me so far.

10/17 Starting capital:24684.06
12/20 current capital:31395.52
Next Goal: 35000.
Risk per unit: 5000
Contracts: 6

thanks for the thread. I see some good action there and saw you write that something regarding commissions are part of the game. I am ES only and use Tradovate for over 2 years now. I started with their intermediate plan, $99/month flat fee plus $0.19 cents per side(.38 rt). I am now using the -$199/month commission free trading so only $199.00 If you pay the entire year in advance, it is $179.00 per month unlimited. Like all, 2 weeks to test it gratis.
Thank you-

TraderEX.

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  #110 (permalink)
TraderEX
 
Posts: 96 since Sep 2018
Thanks Given: 68
Thanks Received: 177



kanepa View Post
Have to re-balance the risk and margin. 20k which I have put aside is no longer available due to a personal/business reasons. To continue to trade two systems, I have reduced margin requirement to 600 from 1000 and number of contracts to be traded. Account is at 33k

System Walker.

Start
Risk: 3600
Margin: 1000
total: 4600 per unit

Now
Risk: 2000(From 3600 system have been losing. Down 1600)
Margin:600
Total: 2600 per unit X 10 contract= 26,000

Trading stops if account is at 6000.
Adding a unit 42000(BE point)+4200=44200

System Runner
start
Risk:4500
margin:1000
Total:5500 per unit

Now
Risk: 2800(system also has been losing. 1700 per unit)
Margin: 600
Total:3400 per unit. X 2 contract= 6800.

trading stop if account is at 1200.
Add a unit at 15300(4500 Risk+600 Margin=5100. BE point is at 10200.)

The max risk stays the same but it is cheaper now because two system was losing past couple of month. Tried my best to re-balance. A regular guy trying to play this game. Sorry if it looks messy.

My total out of pocket risk
Initial deposit: 25,000
Withdraw :-10,000
Margin(600X12):-7200
Total Risk :7800

Looks messy? I am newbie but this is not my first message board. Had to leave another because of trolls after 2 months and 500 or so posts. Before I left, I read past ES stuff for the last 9 years. Hundreds, maybe thousands of posts.

My mind works just like yours with the number crunching and each step is a plan. So,
this is the most AWESOME ES journal to date.

I am sorry things turned on you. I have some suggestions about your plan since I tried this type of scaling but on a smaller scale, 1 to 5. I will finish reading and enter one post for efficiency
Thank you so much for sharing through the good and bad.

EX

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