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Trading journal ES system trading.


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Trading journal ES system trading.

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  #1 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
 
Posts: 201 since Jul 2017
Thanks: 348 given, 404 received

Hi. I would like to keep a journal for my trading.

This will help me to keep record of my result of my trading system and hope you guys don't mind. It is not, by far, the most attractive looking strategy but it is the best I can come up with. Using ninjatrader strategy builder(I cant do the codes), I have tested many different ideas and spent many hours and realized that I have no edge over fast moving chart. So I moved onto a little bit longer time frame(5min) and applied my theory about market and was be able to come up with strategies that have worked in last 12 years.

System trades about 100 times a year. and back test is at 53% probability with 1.2 R/R ratio.(After comm) Max historic draw down was around 3000 per contract. Therefore I know I will be having a down year or two on the road.

I have been testing it over this summer and it looked OK in real time so on 10/12 I funded trading account to 24,684.06 to begin the journey. I went with 6 cars to trade(yes. It was risky) but luckily, I met the first goal of 30K on 11/8 and continuing to trade to next goal which is at 36000. At 36k, account will be able to handle 50% draw down.(Doubling historic draw down) Some might say it is risky to trade this way and I do accept the risk.

I have chosen to trade ES only because it's liquidity and lack of slippage compare to other thin market. I will continue to add contracts as account grows.

---10/12 Starting capital 24,684.06
---11/18/2017 First goal achieved. bring account to 30k. Next goal is at 36K.

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  #3 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
 
Posts: 201 since Jul 2017
Thanks: 348 given, 404 received


so far.

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  #4 (permalink)
 JMP3 
rochester new york
 
Experience: Intermediate
Platform: NinjaTrader
Trading: ES, YM, 6E
 
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Posts: 160 since Nov 2017
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kanepa View Post
so far.

Welcome Kanapa, great looking performance, JP.

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  #5 (permalink)
 sixtyseven 
Golden Bay, New Zealand
 
Experience: Beginner
Platform: Sierra Chart
Trading: ES, NQ
 
Posts: 186 since May 2012
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How many of the 12 years of data is out of sample? What were the metrics for the out of sample vs the in sample?

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  #6 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
 
Posts: 201 since Jul 2017
Thanks: 348 given, 404 received


sixtyseven View Post
How many of the 12 years of data is out of sample? What were the metrics for the out of sample vs the in sample?

Hi sistyseven. Not sure if I understood your question completely, but 12 yrs result was from running strategy from ninja trader and picture I have posted were from real time trading.

Thanks.

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  #7 (permalink)
 matthew28 
Legendary Elite_Member
Wiltshire, United Kingdom
 
Experience: Beginner
Platform: Tradovate
Trading: US Equity Index Futures
 
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kanepa View Post
Hi sistyseven. Not sure if I understood your question completely, but 12 yrs result was from running strategy from ninja trader and picture I have posted were from real time trading.

Thanks.

In your first post you say your current results are slightly out of norm. You show the current results but don't show a results table for the back test. As sixtyseven says, it would be interesting to see the backtest results also to see how representative the current results are. Not regarding profit but whether the win rates, long short ratios etc are generally similar would be interesting to look at for those interested in backtesting and how the strategies compare when working forward live.

Trading, ideally structured, is a vehicle for expanding consciousness, not damaging it. - Brett Steenbarger
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  #8 (permalink)
 sptrader 
Colorado
 
Experience: Advanced
Platform: MultiCharts
Broker: IB & Iqfeed
Trading: ES , CL
 
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Don't forget, for the past 10 years we've been in a raging bull market (and still are). That will skew your results to the long side.
When testing your system make sure it works in all types of markets, up, down and sideways. You may need to go back
20+ years to get a valid system test over all market conditions. Try to find out where the system performs poorly and filter
it out or shut the system off, when those conditions arise. Have it turn on again when conditions are more favorable.
I know that its easier said than done. Good Luck !

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  #9 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
 
Posts: 201 since Jul 2017
Thanks: 348 given, 404 received

Here is the system's back test result. Long and short strategy and one long only. Limit to enter, Unchecked entry on touch. default contract was 2. Commission box also checked.

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  #10 (permalink)
 kanepa 
philadelphia pa
 
Experience: Intermediate
Platform: ninja
Broker: NinjaTrader Brokerage
Trading: es
 
Posts: 201 since Jul 2017
Thanks: 348 given, 404 received



sptrader View Post
Don't forget, for the past 10 years we've been in a raging bull market (and still are). That will skew your results to the long side.
When testing your system make sure it works in all types of markets, up, down and sideways. You may need to go back
20+ years to get a valid system test over all market conditions. Try to find out where the system performs poorly and filter
it out or shut the system off, when those conditions arise. Have it turn on again when conditions are more favorable.
I know that its easier said than done. Good Luck !

Hi, SPTRADER. Thank you for your input.

I do agree but ninja trader only had 12 yrs of back testing data.

I feel better because the system made out good on 2008 and 2009. They were both profitable. Not saying it will work out in future for sure, but made a bit easier for me to take on the risk.

System originate from my thoughts about market and I have put enough filter to reduce amount of trading it did. At first, it was trading 3 times more with similar results and I was not happy about it. So I worked on reducing number of trades. As you know the commission is also big part of this game.

Thank you.
Kanepa

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