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

  #71 (permalink)
Elite Member
Newark, Delaware USA
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
vmodus's Avatar
 
Posts: 163 since Feb 2017
Thanks: 208 given, 211 received

Bad day - addendum

Just so I get this down for the record, I did some analysis back to 2018 with my strategy to see if a losing day like today is normal. I use the same parameters throughout and the results are comparable to what I've seen this year.

Here is what I found:
  • Worst two day period was Feb 6 and 7, which drew down -$1648. This was in a period in which the Dow fell about 2000 points and the S&P lost about 250 (falling knives)
  • There were no more than two days in a row that had a loss
  • Most big loss days were preceded by a big win day (or days), or followed by a big win day. Example: Feb 8-12 (three trading days) made up the Feb 6-7 loss.
  • Biggest loss was -$1066.8, but was preceded by +$2000 profit over the prior two days
So my confidence in the system is restored. I may decide to run one more day of testing if tomorrow is another big down day. The likelihood of two down days is about 1:50, so I like those odds.

nighty night!

~vmodus

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  #72 (permalink)
Elite Member
Newark, Delaware USA
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
vmodus's Avatar
 
Posts: 163 since Feb 2017
Thanks: 208 given, 211 received

One further follow-up to yesterday's bad day. I looked at the prior VX contract (VXJ19), which expires tomorrow, April 17. If I applied my strategy to that contract, it was +$700 profitable (approximately). I am wondering if some of the rollover had a negative impact. I'll look at prior months contract expiration to see if it is an issue.

I was able to modify my strategy to 'plug the leaks' with my stop losses, better manage my exits, and assure an end of day exit. The back-tested and walk-forward results are better than the first version of the strategy. The new system is up and running and performing as designed.

I'll post today's results later this evening or tomorrow morning (busy day at home).

Happy trading!

~vmodus

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  #73 (permalink)
Elite Member
Newark, Delaware USA
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
vmodus's Avatar
 
Posts: 163 since Feb 2017
Thanks: 208 given, 211 received

Decision Tuesday


Sounds like an election day, huh? Or Lebron James free agency announcement (fun fact at the end of this journal entry). Well, today is decision day as to whether or not I switch from YM to VX.

I worked late last night to recode my strategy to include the following three items:
  1. Stop loss (I was using a second strategy for targets and stops)
  2. Profit target (same as stop loss)
  3. Exit at close of day
So I now have everything in one single strategy.

I also cleaned my office and calculated my expectancy for fun, as @snax recommended (is $24 good?). I don't quite understand it... I'm so confused. Yeah, I've read Van Tharp's books and I understand the math, etc, but I still don't quite get it. My R value is about .25, which is supposed to be horrible. I can be a little dense sometimes (ask my wife). But my strategy is profitable..... Oh well, I guess expectancy and R-values are for another time.

What I liked:
  • My patience
  • My code > version 2 of my strategy outperforms the initial strategy as a result of the code changes
  • The work I've done on walk-forward optimization; I have a ton of work to do experimenting with WFO, but the parameters that are being generated are really good
  • The WFO that I did on my strategy passed all tests last night/early this morning
  • Monte Carlo analysis on the strategy all passed with flying colors (30,000 simulations)
What I didn't like:
  • Waiting (my impatience.... a little duality going on here?) >>> there is a little person inside my head stomping around like a 5-year old screaming, "I wanna trade NOW!!!"
  • I do not like how long some of my trades last. During WFO, trades greater than 40 bars (40 minutes) are the least profitable (see graph below). I will work on coding an exit after 'n' bars in my strategy, and test that to see if it improves things.
  • Tradestation prompts me when a limit order hasn't been filled in three minutes. I'm deciding whether I like it or not, but it feels like I'm manually intervening where I should not be.
  • I really don't like trading on the same computer that I'm doing other work. The seconds crawl by. I like to walk away, come back later and see what happened.
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I am struggling with one thing, and I suppose it is a good problem to have. This strategy is solid and has passed all tests. We have never had such a thing. There has always been something that has gone wrong. Of course, we're not live yet, but all indications are that this should work just fine. So it is an uneasiness, like 'Did I just get into Wharton School of Business' or 'Did she just say yes?' or 'You're pregnant?'. Yeah, I'm waxing a little philosophical here, but it is just surreal. I'm in a new space here. (For the record, I did not apply for, nor get into Wharton).

Today's Results (VX in sim):
  • Winning trades (# / $): 7 / +$484 (goal: $200)
  • Losing trades (# / $): 8 / -$20 >>> all of my exits were at the price I entered, weird
  • P/L: +$464 (should have been $514.... user error)
  • Running a new set of parameters that the WFO spit out, today would have been > +$1k in profit
  • No rejected orders
Decision:

We go live tomorrow with VX trading and new VX journal. We funded the account yesterday (higher margin requirements and no day trade margin). We are ready to roll. I have no fracking idea how this will look live, but since it is fully automated, I expect similar (maybe not same) results.

Tomorrow:
  • Promote the strategy to 'Production' status (new name)
  • Create new desktop and workspace (fancy word for chart) for trading the 1 minute VX
  • Set parameters and automation
  • Set my indicator (yeah....just one)
  • Setup the new journal; I'm deciding whether to put the journal in the Elite Circle area, but I'll put the link here for my last post and updated my profile
  • Close out this journal

That's about it. YM is dead. Long live VX! (I hope)

~vmodus

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

Fun fact: Lebron James and I went to the same high school, though not at the same time (I'm a little older). His principal was the father of one of my best friends. There, I'm done shamelessly name-dropping.

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  #74 (permalink)
Elite Member
Newark, Delaware USA
 
Trading Experience: Intermediate
Platform: TradeStation,Sierra Chart
Broker/Data: Tradestation Securities
Favorite Futures: VX, my kids
 
vmodus's Avatar
 
Posts: 163 since Feb 2017
Thanks: 208 given, 211 received

Goodbye, check out my new journal

Attention, attention, new journal!

Click here for minty fresh algo trading journal

This is my last post on this thread. See you over on the new one!

~vmodus >>> out

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  #75 (permalink)
Trading for Fun
Chicago
 
Trading Experience: Beginner
Favorite Futures: (April 18, 2019): /ESM9 - current expectancy = (12.0000 * 0.6875) - (8.00 * 0.3125) = 5.7500 ticks
 
Posts: 194 since Feb 2019
Thanks: 276 given, 251 received


vmodus View Post
Attention, attention, new journal!

Click here for minty fresh algo trading journal

This is my last post on this thread. See you over on the new one!

~vmodus >>> out

Can't wait to read the new journal! Cheers!

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