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Zach's Log
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Created: by Zachary Standley Attachments:73

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Zach's Log

  #41 (permalink)
Elite Member
Newport, Maine
 
Trading Experience: Beginner
Platform: NinjaTrader 8
Favorite Futures: Emini ES
 
Zachary Standley's Avatar
 
Posts: 64 since Sep 2018
Thanks: 55 given, 42 received

To generalize and simplify my thoughts as of late, there are two schools of thought on how to trade and/or approach markets that you could reasonably separate as their own sub-fields of trading, and both of them are necessary and incredibly valuable perspectives/methods: There's the concrete, data-driven way of making sense of price action in order to discover or confirm edge (I'm in this phase right now) that's "market deterministic", and then there's the seasoned/experienced, forward-testing discretionary trading that deals with technical analysis for decision making that suggests trading is a skill. Depending on your personality, you'll inevitably lean towards one camp v.s. another in prioritization, and I'm aware it's not this black and white as some of you traders are probably more balanced in this regard. This is equivalent to science v.s. art in a sense; the left hemisphere of the brain v.s. the right hemisphere of the brain (once again, it's not that simplistic- the brain is more complicated than that).

At the beginning of my career, I was very eager to start making money and to become consistent but I didn't want to do the grunt work (back-testing, analysis of the data, empirically finding potential edge, etc.) because I've always been more of an improviser/artsy type. I thought I would get away with not back-testing, that I could learn technical analysis and get some screen time under my belt and in due time I would become an excellent discretionary trader. Turns out I'm/was horse-shit. 30% win rate and couldn't hold my trades past 1:1. I did advance, evident through my trading log here, but even that wasn't enough- because I had a very hard time incorporating the hard science and proper psychology of trading; the patience to see if a system works, the discipline to follow the system to the T. Now here I am, putting in the hours towards the science, because I never truly utilized this approach/perspective in the first place.

Here's my goal right now: Discover potential edge through back-testing (be scientific). Find an edge for the three main market conditions: Range, Bull market, and Bear market. Once I have some sound results, I will return to SIM and test my possible edges out there. This may take quite a long time but I'm ready to really get the ball rolling. What I was doing in the past simply wasn't working, and the actions I'm taking now are promising as I'm doing something totally different. If you are a trader and haven't back-tested your strategy, please do so for your sake- I know back-testing isn't the end-all be-all and it's not as fun as trading, but it represents a rough idea of how your strategy will hold up in the market(s) in the long-run, given the sample size is large enough. Anyways, I guess what I'm trying to say overall is, don't neglect the science, the data (thank you iantg). It's radically important in trading.

To those who are interested, I'll keep updating this log on my back-testing progress.

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  #42 (permalink)
Elite Member
Newport, Maine
 
Trading Experience: Beginner
Platform: NinjaTrader 8
Favorite Futures: Emini ES
 
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Posts: 64 since Sep 2018
Thanks: 55 given, 42 received

First back-test results of an experimental strategy and set-up

100 trades were taken on the same pattern between March 20, 2018 and September 28, 2018. Each set-up/pattern was unique in shape and size, the only discretion there was, was in the determination of whether or not the set-up was developing (this was a minor mistake in retrospect). The entry was always in the same spot relative to the size/scale of the pattern with the use of Fibonacci retracements, and I always used a "stop loss". No discretion after entry.

R:R was always asymmetrical to the upside for every trade (1:1.5+ but most often 1:3). R:R was always custom as well and depended on the size of the pattern/set-up.

Win rate: ~34%
March win rate: ~64% (best month)
April win rate: ~32%
May win rate: ~23%
June win rate: ~33%
July win rate: ~16% (worst month)
August win rate: ~44%
September win rate: ~37%

Total winning trades PnL: $10,350
Total losing trades PnL: $10,237
Net PnL: $113
*Commissions not included*

Longest winning streak: 6
Longest losing streak: 10

"There's a qualitative difference in the appearance of the set-ups I acted on in March compared to July."

--------------------------------------------------------------------------------------------------------------------------------------

I'm analyzing the data and screening it to see what's common among the winning and losing trades. This strategy and set-up combination has potential as long as I can determine the negative determining factors and eliminate them and capitalize on the positive qualities of winning trades. A larger sample size wouldn't hurt either. I'm going to try to automate set-up selection as well in the next back-test, after I fully utilize and play with this information.

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  #43 (permalink)
Elite Member
Newport, Maine
 
Trading Experience: Beginner
Platform: NinjaTrader 8
Favorite Futures: Emini ES
 
Zachary Standley's Avatar
 
Posts: 64 since Sep 2018
Thanks: 55 given, 42 received


Alright so it's been too long since I posted here last. In the time I've been absent, I've been back-testing with a couple days off here and there because like I said, this is a very tedious process and to do this manually, breaks are required. I started a new back-test with some of the things I did correctly in the first one, and added some more specificity to my approach. Instead of discriminating set-ups/patterns by my own internal standards with somewhat vague set-up selection (compared to now, at least), I took what I learned from the first back-test and applied even more rigid entry conditions. I really know what I'm looking for now, so there's even more consistency in this back-test than the last- and it's 2x the size, making the back-test encompass 200 trades in total.

During this time/during the past 2 weeks or so, I haven't been watching price at the open of the ES or watching live price at all, for that matter. It's definitely a good thing to take a break and step back, and last time I was watching price I didn't trust my strategy and therefore I felt and thought that I didn't know what I was doing. I felt that I was very out in the open with only hopes that what I was doing would work, but in a sophisticated way. This back-testing is giving me solid ground to stand on- given that I actually have edge (it's promising so far) and I actually feel and think that I'll have more control over my trading because back-testing really puts trading into perspective.

When back-testing, you take these "trades" within 5 minutes or less of each other and you see the interaction of your set-up and strategy with historical price action over a period of months or years. You see all of the winning and losing streaks. You see that it's possible to lose 10 trades in a row and win 10 trades in a row and there's absolutely nothing you can do about the outcome. I've realized that you can only do so much and happenstance will take care of the rest- that's why developing a systematic, consistent approach matters a lot compared to haphazard discretion from a newbie trader.

I'll be dissecting this new data to find more clues as to where the edge is. I will be posting here more frequently as well- I've just been busy.

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  #44 (permalink)
Elite Member
Newport, Maine
 
Trading Experience: Beginner
Platform: NinjaTrader 8
Favorite Futures: Emini ES
 
Zachary Standley's Avatar
 
Posts: 64 since Sep 2018
Thanks: 55 given, 42 received

This journal has clearly become less of a priority the past couple of weeks; it's second to dealing with price data to discover edge. In the time that I've been away from direct trading, I've been putting in many, many hours towards doing what I consider to be the right thing for my trading career. Unfortunately, I do not have the same passion for scouring data as I do for trading in a discretionary manner; and this attitude has become ever more apparent to me over the course of the multiple back-tests I've done. In my absence I've had to re-do back-tests and re-establish my back-testing process more than once, because I discovered mid-back-test one evening that I was doing something totally wrong. How discouraging.

In this process I've fallen out of that passion that I used to have for trading in general, but just like a marriage- you cannot give up. Thinking about this lack of enthusiasm and apathy that I currently have, I equate it to being in a bear market. Life and trading is not always a positive process or is bullish. There's the other side that people refuse and neglect to talk about, for understandable but emotional reasons. With that being said, I will continue to work on my back-testing, as tedious as it may be, so I can reap the benefits of the time I've put in, in the future.

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