Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Sorry I missed my Monday journal entry. It was a very busy day all around and I didn't wrap up until almost 11pm. I was testing an old strategy that I developed a while ago and added some new conditions my partner requested, as she was testing on Natural Gas (NG). It shows some promise, but far back testings yields some *meh* results.
I also tested a strategy I developed against a sample of equities to see if it might have some use. It works well on some, not on others. It is a random sample, so I am just picking based on those with high daily volume. My strategy works well with stocks with which I'm very familiar (GLW, MTZ, GE, PBR/PBR.A, AMD). I know this isn't a futures thing, but I do trade a couple of custodial equities accounts (long entries only) and I am looking for a system that I can trade.
I also tested my strategy against the VIX, with some interesting results. I will continue some of my work on that later this week, specifically around the VM and VX.
Monday, Monday was not so good to me (apologies to the Mamas and the Papas) My trading day wasn't good, with some more losses to put me about even for the month. I spent some time looking at some of the other futures I might switch to, as I haven't found a system that works well consistently. I'm going to sit on the sidelines for a day or two or three. I need to take a little more care in how my trades are setting up.
No charts or pretty pictures for now. I'll try to give a better update at the end of today.
Just a mid-day update, I have decided to shelve the YM for now. My partner had thought YM might be a good market to get started with based on the performance of our strategy over 2018, but 2018 was an outlier compared to other years. Unfortunately, that strategy did not perform well, nor did any other subsequent strategy. I know this is a tradable market, but I would only do so as a day trader or scalper. I see a lot of opportunities with that contract, but I prefer to allow our algos to do the work.
And speaking of algos, I am currently testing one of my existing strategies on the VX (VXJ19 to be precise), on one of my sim accounts. The strategy is based on change of trend, but it actually works as a scalping strategy on short term charts. It appears to work well over various timeframes, if I zoom in or out of 1 to 15 minute charts. If I works, I will shut down this journal and start a new one for the VX.
Whew, another long day and another late journal entry. And now it is Wednesday afternoon, so I guess this is Tuesday/Wednesday update.
Anyhow, here is my update on YM and VX. I'll start with the VX futures. For those who may not know or understand the VIX, it is a measure of volatility in a market, sometimes known as the fear index (see: https://en.wikipedia.org/wiki/VIX). In summary, it is calculated using S&P 500 options data (my highly simplified explanation). Anyhow, I have been looking at this for a few years, but I didn't realize there was a future traded for it (it is an ETF, for what it's worth). The ETF's tend to be highly liquid and, as the V suggests, volatile.
Anyhow, I applied one of my strategies to VXK19, 1 minute chart. I optimized for a period in March, so I could figure some parameters to use. Then I set my strategy to run from April 1-9. The results were good enough to test on one of my SIM accounts. I have a few kinks to work out with limit versus market orders. Now I am doing a walk-forward optimization (WFO) along with my SIM run to check optimization parameters. I'm new to WFO, so
My strategy is a trend following strategy, but since it is using such a short time-frame, I have set the profit and stop loss to essentially act like a scalping strategy. Results in backtesting (adding for $2.40 commission), worst case (on unseen data):
There are some limitations around the VX, so it's not all rainbows and sunshine. There is one distinct advantage: there is no slippage (this instrument does not allow market orders). Also, this is not like trading a physical equity or even a normal index based futures contract. The margin requirements are high and it looks like they eliminated the e-mini they used to have.
And on the YM front.... my partner identified a high probability trade (if her conditions are true) that I've setup. She wants to see it make a new low against yesterday for one additional confirmation. It is a swing trade that I will make if the market breaks south and meets our other criteria. So this is my last stab at the YM, while I explore the other instruments. For now we are on hold, but may take an entry today on the short side.
Tuesday's Results:
Tested an existing strategy against VX, performed well enough to sim test
Rewrote my strategy for the VX to accomodate limit orders only
Started sim trading the VX strategy
Learned that I cannot make market trades on the VX
Wednesday's Activities:
Walk-Forward Optimization of the VX strategy (multiple iterations)
Monte Carlo analysis of VX strategy
Learning as much as I can about WFO and Monte Carlo
Pass strategy along to my partner for testing on index futures
Additional research on the VX
Poking holes in my strategy and looking for weaknesses
As mentioned on yesterday's update, I will just start a new journal specific to VX if I decide to start trading. The biggest thing right now is to not get too excited and let the testing guide us to the next logical step.
Okay, I've been writing this update over the past 5 hours. I have to go get some stuff done. I will post my sim results for VX after the close.
I have not seen a strategy that I've been able to develop that actually trades in a range and is profitable (on paper at least). Granted, I'm scalping that range, but I like what I see.
Today's Results:
No YM trade *whew*
Sim results: Over 26 hour period, trading between 930 and 1614 EDT >> +$314
I intervened in a couple of trades late last night and early this morning, which cost about $300. I did this because I wasn't sure what the strategy was doing a few times.
If all orders had been accepted, it wouldn't be a bad day's work. The thing that I like is that I'm not carrying trades overnight. Like my other strategies, it is full-auto.
Tomorrow:
Test on EC, just for fun (and profit!)
Let the VX sim run on auto
Report my results here
Now I have a bunch of other stuff to do not related to trading. So for now, I bid you all adieu.
I left off yesterday raving about VX, blah blah blah. Today, let me touch on YM, then get into the VX stuff I've been testing.
We did not enter YM on the short side, as we would have been stopped out, then probably back in again on the short side. It costs us $0 to sit on the sideline (aside from data fees). YM broke our support line, but I prefer to sit on the sideline for now.
I continued to run our VX (May 2019 contract) strategy on sim, and results are good. I went for a haircut, came back, earned $240 in funny money while I was there. The strategy missed one entry that shows up on my strategy report ($100 profit). I think this might be a Tradestation thing.
Borrowing from @snax's method of journaling (unlike snax, I'm too lazy to calculate expectancy, though I know I should...):
What I liked:
The VX strategy just runs, like it is printing money. Or burning money.
Losses are minimal
It has me working banker's hours now (see below)
What I didn't like:
The wait. The best time to trade, in terms of liquidity, is normal NYSE trading hours. Waiting for 930 was torturous. Banker's hours.
Waiting around for a limit order to get filled on a one minute chart can make 30 seconds feel like 30 minutes
We lost one trade for some reason
One of the trades lasted 58 minutes, an eternity (average is about 11 minutes). A later one went over an hour. I may test limiting number of bars/minutes I stay in a position.
I don't have level 2 data yet. It would be nice to see the other orders out there so I have a better understanding about what is happening. I'll probably add it if my sim test completes it's cycle successfully.
Today's Results:
YM no trade; on hold
VX in sim: profit $326 (+$640 since inception, 2 full trading days)
I manually exited my last trade of the day, as it was drifting in a range for over an hour. Not exactly a scalp trade.
I have a little bit of anxiety, mainly because if something looks too good to be true, in life and in trading, it probably is. This strategy is performing well in sim. It performs well over different time periods, volatile and quiet market periods. It passes all of the smell tests. Will it perform well live? Will my limit orders get filled? As it stands, I have at least three working days of agonizing sim trading before we decide to green-light this strategy, or run it for longer in sim.
So now I just sit back and watch my sim play out, like a B-movie that is so bad, you just have to keep watching to the end.
Happy Friday everyone! I'll cut to the chase, as I'm super busy and need to wrap up before market close.
YM:
I did not trade last night or today. As I mentioned yesterday, I put myself on the bench. I missed a good $1,000 move, but there were a couple of false breakouts. In any case, I probably would be up and still in this trade according to my strategy.
End of week results - YM (real money):
April P/L: $385.60 (hooray!)
This week's P/L: -990.20 (boo!) > this was all Monday and Tuesday trading
VX:
Testing is successful for three straight days. I have backtested the crap out of this strategy, even plugging in different parameters, and it is still robust. I have tested against volatile times and sleepy times, and it is all good. John Ehlers states that a good strategy should be profitable when using a variety of parameters. I believe this strategy meets that criteria.
Today's Results (VX, sim)
13 trades: 12 wins, 1 loss (this is an outlier of a day's performance, btw)
+$818 (this strategy loves a little volatility, either up or down)
I am really looking forward to continuing this test Monday. I have been really frustrated at times with other strategies.
I liked going to the dentist (before market open), and coming home at 1100 to find I was up $300.
I like going into my weekend knowing I don't have to do a doggone thing with trading.
What I didn't like
My strategy can sometimes get me stuck in a trade for a long time, greater than 50 minutes, as noted yesterday. I may be missing out on other opportunities along the way.
There are some missed trades between my strategy report (all trades that could/should have happened) versus the trades taken in sim. I am not sure I missed any today, but I'm being very cautious and away. I don't want a leak in the dyke.
I didn't like my impatience. There were a couple of times I wanted to pull the plug on an order, but I resisted the temptation (my patience earned me $100 in Monopoly money).
I don't like waiting until Monday morning to trade again.
It is all funny money, so nothing to get too excited about. I would actually like to see a down or flat day. In backtesting yesterday, I actually started with 2 down days, then up from there.
I have a modest starting goal of $200 per day (1 contract), both with sim and live trading. My actual goal, once I trade live, is $500 per day.
Next week:
Read all of the small print on trading the VX, to see if there are any 'gotchas' in there
Complete testing Monday and Tuesday
Decide if we trade VX
Start trading live Wednesday on VX and start a new journal for VX
Everyone have a fine weekend and I'll see you all Monday! Peace! Out! (I'd drop a mic if I had one)
Don't be fooled by the title; there is no sarcasm intended. I have been waiting for this day since I have started sim trading. There were several things that I learned today about trading the VX with my strategy. Thankfully I learned this in simulation.
Lesson #1: Stop orders in Tradestation don't work
....at all, for this market. Of course, I should have known this. But the way Tradestation handles stop orders is as market orders. I can code around this. But it cost me $500 in fake money to learn.
Lesson #2: Don't meddle with the strategy
...except if you have a problem as seen in Lesson #1. After exiting my short position that did not take the stop loss, I went long. Somehow it ended up being 2 long positions, too late. So then I lost $202 in fake money.
I have an unwritten mantra for moves that my strategy misses because it is not part of my rule. Everyone hates to see that beautiful move that just escapes you, like the firebird's feather. I will now write that mantra here: "That move wasn't my move".
I'm going to turn it into a bumper sticker, I swear.
Lesson #3: Do not hit the panic button, hit the reset button instead
Another potential bumper sticker. After making a mistake, like I did in Lesson #2, just reset and let the strategy continue to run. I know the strategy is good. The money lost in Lessons 1 & 2 will come back. But reset quickly and let the strategy do it's thing.
Lesson #4: Tradestation still stinks
The Tradestation application flaked out and I could not get the position graph bar or trade bar rendering, essentially making me fly blind. The only thing that got me rolling again was a reboot. If I had been live trading and the market ran away from me. then I might have been in a bad spot. I think the lesson here is, when live trading, start each day with a clean boot.
The market threw me a slider, which I cannot take credit for, but was happy to see
I liked that I was able to mentally recover from Lesson #2 quickly
I liked the failure in #1; it was hugely important to correcting a flaw in our automated strategy
I noticed some opportunity to manually day trade this market, if I wanted. There were some profitable moves today that would have been very profitable. I'll have to look into that next week.
Things I didn't like:
See Lesson 2 above.... I know better
Tradestation started to malfunction to where I couldn't place manual orders, requiring a reboot; totally unacceptable
Only four trades generated (five by strategy), so it was a peculiar day; we average 12 trades per day on this strategy
My strategy failed to execute an end of day trade. I was able to manually do it after the regular session close.
This outlier day is just weird and it somewhat undermines my confidence in the strategy. Tomorrow's test will provide a reality check to see if we should be concerned.
-$764 net loss (some of this self-inflicted) over 4 trades
Strategy report, which shows what would have happened if all orders were executed perfectly, shows -$709. Pretty accurate for today.
Up +$792 since starting 3.5 days ago
Today's result is an outlier in terms of number of trades and the loss. The nearest day within this year was -$326 over 11 trades, on Valentine's day. Today's action may have been a result of a big profit day last Friday, the short trading week, or just one of those day. I saw a couple of back-to-back days with losses sometime in 2018, so I will have to see what was happening. The chart above was different than usual
Tomorrow:
Keep running the strategy
Review 2018 for similar day(s) to today
Modify the strategy to create the stop limit orders (if possible)
Determine at end of day if we trade the strategy live
