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2019 Dow E-Mini YM Trading Journal


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2019 Dow E-Mini YM Trading Journal

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  #1 (permalink)
 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
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I took a long break from trading due to some other opportunities in 2018, but I'm back and trading with my partner.

I am using TradeStation and am trading a pivot strategy my partner developed for another market, but which appears to work well with Dow E-Mini (YM). This is a semi-automated strategy, which means I have to manually reset parameters every morning, but it otherwise runs without intervention after that.


I was supposed to start at the beginning of February, but there was a delay at our broker. The first signal for trading was last Friday (2/15), but that turned out to be a disaster, as we did not have the correct data subscription and missed the huge move and would have been very profitable.

This strategy, for Dow E-Mini, has me sitting out 24 hours after a highly profitable trade (> $1k per contract), so I sat on the bench Tuesday, and started Wednesday.

Wednesday was all chop, so we hit 4 losses in a row, which can happen with our strategy. One trade continued overnight exited this morning with a small loss.

So it was not the best start, but it does not really bother me. The strategy is performing as it did and I'm following the rules (i.e. do not fiddle with the strategy). This strategy has a win:loss ratio of 1:2, more or less, but the wins are always really good. If we're batting .333, then we're in the baseball hall of fame. (I know, way overused metaphor, but that's all I've got this morning).

So for now the strategy will run and I will see how it performs over the coming weeks.

I will try to update this log daily.

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  #3 (permalink)
 vmodus 
Legendary Systematic Algo Trader
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Today was better than yesterday, currently in a winning position on YMH19 (Dow E-Mini) and no additional losses other than the one we had when we exited pre-market. The strategy runs as expected, which is great. Trade execution had one little bump, as I didn't realize TradeStation turns off automation when changing strategy parameters. I was able to manually put in my order at the price my strategy would have, so all is well.

I spent the day rewriting my long and short strategies, and I believe that I can put this on full-auto. I have some additional testing to do and probably won't be able to put this in 'production' until next week. If all goes well, I can just let it run and work on building other systems.

Hopefully our position continues it's winning ways, but the Dow is just really uncertain right now. Given the range we are rambling along in, something is bound to happen one way or the other.

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 vmodus 
Legendary Systematic Algo Trader
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My strategy exited early this morning (2am) with a profit: $5. I covered my commissions! I'm trading one contract for now until I get used to trading this strategy live. I am happy that the strategy is working as it did during.

One of the keys for our trading is liquidity, which is why we trade Dow E-Mini (YMH19). I haven't seen any slippage thus far with any of our trades.

We are currently bouncing around a channel and looking for a breakout at some point. With yesterday's movements the channel opened a little wider than from previous days. We may be looking at an entry this morning if breach our resistance point.
[IMG] [/IMG]

Sorry for the ugly color of my trading screen. I use that color so I don't confuse my other desktops in TradeStation. I need to come up with a color palette that works for me, preferable white/off-white.

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jigg
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I am looking to get into emini, can I ask what you use as confluence for your trades? it looks like your chart is naked.

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  #6 (permalink)
 vmodus 
Legendary Systematic Algo Trader
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jigg View Post
I am looking to get into emini, can I ask what you use as confluence for your trades? it looks like your chart is naked.

I'm not too familiar with the term confluence, but assuming you are referring to our strategies. For us, simpler is better, which is why you don't see much on screen. I didn't show stochastics, but we have them on screen. However, they are only used for reference, meaning we only use them to make sure the strategy is executing correctly. The magic happens under the hood. The main takeaway is that we are removing human intervention in the strategy, which eliminates the psychological factors that can negatively impact our trading.

My strategy is written in EasyLanguage, so it is mostly automated. In other words, it is a black box strategy, except I know what's going on in the box. It uses a combination of price history and momentum indicators (stochastic, to be precise), to determine the conditions for entry and exit points. We also look at multiple time frames.

This is what the strategy does:
  1. Determine support and resistance levels for the day
  2. Get the stochastics for two different time frames
  3. If we break support or resistance, then we look at stochastics to determine if our conditions are met for entry
  4. If conditions are met, then enter a position
  5. If in a position, exit when our profit target is hit, stop loss is hit, or when a stochastic indicates it is time to exit

We are toying with RSI for some other markets and you may have a preferred momentum tool. This is what we use now, but we are always working on new and improved systems, and different markets.

So that is the long explanation as to why the chart is mostly naked. But for me, that is all I need, aside from double-checking stochastics.

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 vmodus 
Legendary Systematic Algo Trader
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Here is my end of Friday update:
My strategy executed a long entry at 1600. We generally don't like to carry positions over the weekend, but we are following our own rules. Friday was mildly profitable at $325.10 after commissions.

The mystery for me is that the profit should have been $.10 (yes, ten cents). I'm still trying to figure out how we were profitable. TradeStation is weird.

End of the Week Results for our trading of YM:
  • 1 long open position
  • Down $1356.40 for the week (including commissions)
I'm not thrilled at the losses, but the strategy is working and losses can be expected. This was just three days of trading. The longer we drift in this channel, the greater the move I expect.

See you all Monday!

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 vmodus 
Legendary Systematic Algo Trader
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The trade we entered over the weekend exited today with a $374 profit (1 contract, after commission). We left some money on the table, but are still following our strategy. Everything is executing as expected.

For what it's worth, we're not totally thrilled with our exits. I spent the day researching and testing some exits using the DevStop model, but for our strategy and market, it is not ideal.

Looking ahead to tomorrow, our range did not shift much. We shall see if we have a re-entry tomorrow.


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 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
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Well, today was one of those days. We spent most of today drifting in a range, only to take an entry late in the day and get stopped right out by the next 60 minute bar. We saw +$5 in slippage round trip.

These wishy-washy markets are so annoying. We'll just have to ride this out until the news improves or worsens.
  • Today's results: -$332 (YMH19, 1 contract)
  • Tomorrow's setup: a tight range, I expect some choppiness unless there is a clear driver to the market. Like everyone else, I have no clue.
Sweet dreams everyone, and we'll see you tomorrow.


"Luck is for the unprepared"

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 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
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Broker: Barchart.com
Trading: Everything, it all tastes like chicken
 
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Posts: 1,263 since Feb 2017
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Today was an okay day, neither good nor bad. We had one short entry for YM that was triggered by one of our rules, which then exited a few hours later based on another rule. Fortunately it was only a small loss. Within the hour another short entry was triggered, which is still open.

Results for today:
  • Loss of $44
  • One open short position
While my strategy was doing all of the work, I spent some time today reviewing the next version of our strategy, with performance over multiple timeframes. The main goals of this strategy are:
  • Enforce all of our rules: we use a pivot strategy with some additional filters to reduce the number of bad trades, maximize profits based on entry/exit points, etc.;
  • Minimize human intervention: right now we only have do step in on holidays, contract rollover, or unexpected market closures;
  • Eliminate having to reset parameters daily;
  • Fine tune our stop loss and profit target amounts.

One of the things I am looking at is our trading period. Right now we trade from 900-1700, but that is a carryover from another market we trade. The more I work with the 1700 hour, the less I like it, primarily because it is after the 1615 halt to trading and weird stuff happens after 4pm. I have run some optimizations and a lot of back testing on times and I think 600 to 1600 is probably the best period within which to trade. If anyone has some thoughts about trading times for the Dow E-mini, I'm all ears.

With respect to stop-loss and profit targets, I have a few numbers that seem to work well with the strategy.

YM is so rangy right now, I'm certain that we are all going to see a fairly significant move soon. The longer we wait, the bigger the move I anticipate. Hopefully we are on the right side when it moves, although we will be poised to profit either way.

Have a great evening/day (wherever in the world you are) and I'll give my update tomorrow.

"Discipline = Freedom" - Jocko Willink

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Last Updated on April 17, 2019


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