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2019 Dow E-Mini YM Trading Journal
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2019 Dow E-Mini YM Trading Journal

  #41 (permalink)
Elite Member
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vmodus View Post

~vmodus >> out

~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~

Here is a comparable period from the YM daily chart, dating back to August 24th 2011 running to about October 4th. There is a clear exit from this 'hot mess' and then the market just runs, with an exit of a minimum of a $5,000 profit.
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This period is not totally untradable, but it needs an appropriate strategy, one that we do not possess. Yet.

I am very intrigued by these "hot-mess sine-waves" as well. I feel like these little price-oscillations are tradeable, but they
will take their own kind of finesse.

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  #42 (permalink)
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snax View Post
I am very intrigued by these "hot-mess sine-waves" as well. I feel like these little price-oscillations are tradeable, but they will take their own kind of finesse.

I am doing research on distinguishing range from trend, programmatically. The Ehlers research is useful, but it takes multiple readings as it is pretty dense stuff, unless you're a mathematician or electrical engineer. I'll keep updating my journal as I continue to learn.

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  #43 (permalink)
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End of the Week - Friday is the new Friday




So I called my week a little too soon, thinking I wasn't going to trade today. Last night I was thinking that I probably should not have turned off my strategy. So sure enough, I missed one trade worth $400. I did activate it (it starts at 5:00 EDT) before I went to bed. Overnight it took a short order, then was stopped out and took a long order on the same bar as the momentum shifted. I rode that order all day and have a standing profit of about $515 at the close.

Today's Results:
  • 1 short order, -$364 net loss
  • 1 long order, still open, +$515 net gain at close
  • Tested a strategy from Rocket Science for Traders, which evaluates whether we are in a range or trend, and makes trades according to that. It didn't work.
  • Following that same idea, I wrote my own version around the Instantaneous Trendline. It works really well on the daily chart in 2017, but just the long side: 4.15/1 win/loss ratio, not optimized. It is really just an idea, but something I'm following. If I can see a range on a chart, I can see the range in numbers.
I don't have my weekly results, but will post those over the weekend or Monday. I will also list trades the old system would have taken versus trades the new system. I know the old system would have also taken the trade that we are in right now, but a lot sooner.

Now I am just happy that my new system is not bleeding out like the old system, and is actually identifying and taking good trades. I'll need to build up our equity, but I can keep muddling along until I am consistent with profitability.

Next week:
  • It will be a busy week for me outside of trading, so I will probably just let my system run.
  • I may try to recreate a lost strategy (from my Black Tuesday crash), which is based on Fibonacci retracements. I had something really cool going, but it totally died in the crash.
  • As time permits, I am going to spend some time continuing my work to identify ranges in a timely manner (trends are easy).
Thanks for reading and I hope you have a great weekend!

~vmodus

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  #44 (permalink)
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End of Week - Last week of March 2019

As promised, here are my end of the week results:
  • Closed P/L: - $1385
  • P/L with current open position: -$85
  • Despite a few errors on my part, my loss differed from my automated strategy calculations by only $24.
Also, as promised, here is a comparison of the two strategies that I've been running.
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The old strategy was doing worse than the new up to the last trade, which is still open. The old strategy detected the long movement sooner than my new strategy. The exits on the old strategy stink, so the give back when it closes will be much worse, unless it hits profit target. I may be integrating the better parts of the strategy into one to improve our profitability. This sample is to small to be meaningful, but I thought I would share in the interest of keeping myself honest.

So I ended the week only a little bit down, but this has been my best week yet. It was my first full month of trading and I feel pretty good. I expect a good profit from this trade and a profitable April.

Have a great trading week, everyone!

~vmodus

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  #45 (permalink)
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April Fools

I couldn't think of any clever April fools prank for my journal entry.

No fooling, though, my long entry from early Friday continues to run. I gave it a little 'help'. There is some price action that occurs overnight that affects my exit criteria. It creates, essentially a 'ripple', as shown here:
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The value of that ripple was .89, and my exit criteria is when that value is < .9. However, the problem I have is that the price action that caused the value to dip was over an extremely low volume period and essentially a range. But the impact on the indicator had as much impact as it would in a more volatile situation. As a result, I would have exited, with a profit, but too early. I turned off my strategy for a few minutes until the close of the 30 minute bar, and turned it on again. As I write this, that little adjustment has been worth $500.

The lesson here is that on the whole, an automated strategy can't capture all scenarios, like that one. Sometimes, it might need a little help. I could program around that little problem, but sometimes simpler is better.

Today's Results:
  • I exited my long position with a $1510 profit. It was safer at this point than using a stop limit order.
  • I re-entered using a limit order, 1 point ($5) below the exit (to cover my commission)
  • I exited my long position once more, to lock profits, and reentered: additional $410 profit
  • Still in, running a $40 profit as I write this
  • Started exploring the MAMA and FAMA indicators. If interested in learning more about MAMA (Mother of Adaptive Moving Averages), the link at the end of this post will provide details from the creator of this indicator.
  • Checked the feasibility of switching from swing trading to trend trading. I've been looking at different things with the Dow e-mini and the best trades for us may come 3-4 times per year, but we bypass a lot of good trending opportunities (in CL and YM for now).
  • Started the month in the black; total profit of $1920 after commission.
Tomorrow:
  • Continue monitoring this trend and my long position
  • Check daily trend for potential of continuation trend
  • Write a strategy for MAMA and FAMA, see if I can make anything of it
Still in my long position. It is really having an incredible run-up. If I switch to a trend following strategy, then I will be watching this very carefully. This could very well run for another few thousand dollars. Or reverse back.

See you all tomorrow, and as always, thank you for reading!

~vmodus

~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~
Here is a link to the whitepaper for the MAMA indicator:
https://www.mesasoftware.com/papers/MAMA.pdf

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  #46 (permalink)
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A quick entry about emotions



Okay, not emojis, emotions. I usually mention my emotional or psychological state only a little bit. For the most part, I try not to get too high or too low on anything. Today was my best day since trading futures live, but I'm not terribly excited. Okay, maybe a little giddy, but not cocky. Last week I basically lost a lot in the lead-up to this run. That didn't bother me all that much either.

I have to trust my systems, even if they don't always or immediately produce the expected results. I will be honest, there are times I'm finding myself gritting my teeth when something is not moving my way. Once an order is in, it is out of my hands, and the strategy is in charge. I'm disappointed when a trade goes south, like when my kids get in trouble at school and happy at a win, such as when they bring home a good grade.

The best thing for my psychology is to walk away and go do something else. If I go for a walk or run, then I'm not tempted to check on my positions. Going to lunch with my partner last week, which is about a mile walk from our home office, is perfect. I purposely do not have the TradeStation app installed on my phone, so I don't get alerts. I don't need them since my strategies are on full-auto mode.

I do get angry sometimes, but typically at some aspect of my system, such as the one I started with. I would see a run-up of $1000, just to take a $400 loss within a couple of hours. My discipline in following the plan requires that I don't mess with it. My recent trading does indicate some manual intervention, but those are risk management techniques that I have not been able to integrate into my systems (yet).

Overall, my emotions and ego are kept in check. I am very aware of the impact of psychology on trading and I do try to manage my emotions. I think one of the things that is causing me to consider trend trading over swing trading is that the intraday waves and ripples in the market aren't going to affect me emotionally as much, as long as my system is solid. That is one way that maybe I can manage my emotions. Just a thought.

So now my only emotion is tiredness, so I will say goodnight for now.

~vmodus

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  #47 (permalink)
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Boring Tuesday

Much ado about nothing.... the market retraced back from yesterday's euphoric literal and metaphorical highs (pun intended), to reality. The news really drives this market lately. Walgreens pushed the Dow down, along with a poor durable goods report.

Just weirdness all around. I did some extra-curricular trading, trying to stay on the short side of things and recoup earlier losses. It worked, kind of.

Today's Results:
  • My long exit from yesterday; -$45
  • Long Entry again this morning, -$160
  • A couple of short entries and exits, total of +$174
  • Holding a short position: +$10
  • Total daily closed P/L: -$31
Not a bad day of trading, especially because after a big movement day, there is usually a lot of profit taking. The bad news did not help push the market up. My strategy helped prevent any large losses.
Tomorrow:
  • I'm kind of busy on other non trading activities, so I will just monitor my trades
  • I will be testing another strategy built around the Instantaneous Trend indicator. It has an limit entry price component that interests me, which is something I've been contemplating developing.
Here is some commentary regarding the daily chart and overall trend:
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~vmodus


Late breaking news: there was a 101 point bar between 2030 and 2100, closing 86 ($430) points up. I was in a short position and essentially stopped out. Something went weird with TradeStation, my stop loss was ignored. Anyhow, that happened.

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  #48 (permalink)
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Hey, what kind of backtesting results did you get with this strategy before using it? Like win rate, avg win size/avg loss size?

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  #49 (permalink)
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CarpetHooligan View Post
Hey, what kind of backtesting results did you get with this strategy before using it? Like win rate, avg win size/avg loss size?

Here are some of my results, from Jan 1, 2019 to Mar 31, 2019, with my current parameters (YM, 30 minute chart, 1 contract only):
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This looks all fine and good, except I didn't start trading this strategy until a week and a half ago. The strategy needs way too much tuning to get it right and I am uncomfortably close to curve fitting. I have tried some variations, but it has to be tuned to either trend or consolidation. I am working on the successor to this strategy which adjusts when the market switches from trend to consolidation. It also doesn't work well in slowly trending markets. It generally does worse on the short side, as you can probably see, in this case losing for that time period.

I found this strategy works pretty good with equities, but I haven't used it in live trading yet (I manage a couple of education savings accounts). More testing is required.

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  #50 (permalink)
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Well it does have a positive expectancy so that a good thing. And 84 trades is a large enough sample size. But yes there definitely need to be bull and bear markets considered.

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