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Trading journal ES system trading.
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Trading journal ES system trading.

  #121 (permalink)
Elite Member
philadelphia pa
 
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Thank you


tihfa View Post
Kanepa,

did you introduce an additional filter to cut down on the System 2 trade number by 50% or are you just tightening already existing filters?

I assume you ran the modified system against all of your historical data ( backtest, forward test and data since you started trading live)?

Tihfa

Thank you, Tihfa.

No additional filter was introduced into the system. As I like to keep it simple, I was be able to filter out using existing indicators that I had on my system. No settings or periods of studies were changed. Left is before and right is after.
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Changes were made to long side. Long trades are about 70% of total trades of my system.

Yes. I have been forward testing it and trading it in SIM real time as well. Also yes on the back test. Going back 12 years, 6 years at a time and 3 years at a time to see it was not curve-fitted.

Doing all these...I still have to be lucky to be profitable...Because I have no clue what market will bring tomorrow, next week or next year.

Thank you,
Kanepa.

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  #122 (permalink)
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philadelphia pa
 
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thoughts

System is still trading and it is holding the low as for now. About 5k loss from the top. Max allowed risk is about 8k so I am 3k away from stopping my system.(per unit)

I found myself being very uncomfortable watching trades. Wishing market to go up when long and down when short. I did not like that. Thought I have made a progress as a trader. Also did not enjoy that gambler side of me getting excited about uncertain outcome and getting high on the process. I began to wonder where was the trigger for this problem.

I accepted risk. I played many times that account reaching max risk level and pulling the plug of my system. I know anything can happen with market. With low probability system like mine, losers are sure to come and often in a row and already witnessed many of them. Then where?

It was my unfounded expectation of system turning around and becoming profitable again. As system plunged down to new low, I thought the bottom was in and now it has to go up. Therefore, expecting winning trades to come in and start to make money. But it did not happen. Rather, system is slowing down on losing money. So as current result did not meet my expectation, I began to feel frustrated. And that lead to the uncomfortable feelings on trades.

Solution was reviewing trades, checking back tests results daily, weekly, monthly and yearly. There was times which system did not make money, or very little in 24 months. Watching and re visiting those results helped me to eliminate this false expectation.

Thank you.

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  #123 (permalink)
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a note


System is still trading but not near the first target of crossing over 54400.

On Friday, system had a record profitable day. $9000.00 before comm. It was long and market kept on going lower and it was 1 tick away from stopping out. Then market began to turn and up we went. Held it till closing to squeeze every last bit of the rally. But November's result is down slightly. about -900.00

Market will do it's thing. Sometimes it will stop me out and take off. Leaving me in dust. Or just like Friday's trade, it will come very near the stop loss point then take off with me in it.

What I am trying to tell myself is that do not expect anything. Just accept it and move along with it. Which has been improving....think about it. If you are long at 2700 and placed stop at 2695. Market hit your stop at exactly 2695 and that turn to be the low of that move and shoot up to 2720. What would you feel? It will more likely put you in position to make FOMO or revenge trading.

To prevent those emotional traps, it helps to going over back testing trades but as I am viewing what has been done before in chart, it still does not fully prepare you on how to handle extreme situations like above. However, somewhat prepared IS so much better than zero preparation. After two mistakes I have made(trade manually) near at the beginning, I have not altered or bypassed system.

So, do recognize emotional state when stressful trades happens but leave it as they are. Do not bring actions because of them. Just concentrate and follow plans.

Merry Christmas and Happy Holidays to all.

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  #124 (permalink)
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left behind.

Left in dust. I talked about it last post and it did happen today. System shorted 2595 area and stopped out with 4point loss. Market went up about 4 points higher then the down trend began. If the position held, it could have been a 40 point per contract day.

It hurts me a little but not as bad. I believe I will get this kind of home run soon or later. Just have to keep on trading.


Last edited by kanepa; December 17th, 2018 at 06:16 PM. Reason: time
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  #125 (permalink)
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Live Trading MAE vs Backtesting MAE


kanepa View Post
Left in dust. I talked about it last post and it did happen today. System shorted 2595 area and stopped out with 4point loss. Market went up about 4 points higher then the down trend began. If the position held, it could have been a 40 point per contract day.

It hurts me a little but not as bad. I believe I will get this kind of home run soon or later. Just have to keep on trading.

Kanepa,

Do you find MAE in live trading to match the MAE measured during backtesting?

Is your system depending on getting occasional home run [ r: r = 1 : 10]? Your shorting stats were risk:reward = 1 : 5

I always keep coming back with whether live trading data matches the backtesting data.

Hope you come across a winning series streak.

Tihfa

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  #126 (permalink)
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tihfa View Post
Kanepa,

Do you find MAE in live trading to match the MAE measured during backtesting?

Is your system depending on getting occasional home run [ r: r = 1 : 10]? Your shorting stats were risk:reward = 1 : 5

I always keep coming back with whether live trading data matches the backtesting data.

Hope you come across a winning series streak.

Tihfa

MAE can be tricky depending on which time period(losing or winning streak) I am looking at. but with system's backtest MAE average being about 10 ticks, is not inline with my current real time trading MAE of 22 ticks. However, Real time data is just about 14 month worth and back test is from 13 years. So I do believe that real time MAE will catch up to back test MAE in future.

Part of system takes profit on target and other part of system will let the profit run. They are different strategies.

Correct on short average being 1:5 and they are 30% profitable. About 10% of the back tested data produced 1:10 result. However, So far, real trading numbers showing 42% probability and 1.52 R/R.

System trades .43 per day. Which is not a lot. I need more time to see if they will be in line with back tested results..Perhaps 5 years or so. If I can survive that long.

Thank you..maybe in 2019.

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  #127 (permalink)
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2018

Well, here it is. Numbers are little off comparing trading performances VS account balance data but as trading performance does not include fees(data, routing), the correct number would be comparing beginning and ending balance.
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Total deposit to account was 3500(10k withdraw and 13500 deposit) for 2018. After all, I am looking at -3785.12 or 11% loss for the year.

Here is trade performance

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And the GOOD times followed by BAAAD times


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System started the draw down from May. Which I introduced new system. But the original system started to draw down as well. Current system looks very different than what I initiated with but it appears to be bottomed out in November. I can not say that for sure but time will tell..

in 2 years. I have survived and showing net gain of around $4000. Hope I get to survive 2019 and maybe produce a profitable year. Will be posting thoughts and notes later.

Happy New Year to all.
Kanepa.

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  #128 (permalink)
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long time

It has been a long time since last trade.(12/17/18) First trade for 19 was a winner. As my system do not trade on high volatility market condition there was no trades since 12/17 till now. Still long way to climb up to $54,400. Curently is at $34,291.68

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I might have to withdraw large sum from the account. I am in negotiation in starting up a new business and might require pulling in most of cash into this deal.....it it works out. But until then, I will keep on trading.

Thank you,
Kanepa.

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  #129 (permalink)
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Trading Experience: Intermediate
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Posts: 123 since Jul 2017
Thanks: 296 given, 261 received

I will be back

As I mentioned in earlier post, I have withdrew all the funds from trading account. As far as this year goes, just a few trades to break even. Did not think it was wise thing to keep on trading while I might be needing those funds very soon.

Estimated come back time would be the last quarter of 2019.

Stay safe and best wishes to all,
Kanepa.

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