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shodson's Trading Journal
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shodson's Trading Journal

  #621 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
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Growing the family

Adding the 6E to the basket of instruments tonight, increasing market exposure while diversifying my asset class pool.

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  #622 (permalink)
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Tuesday, March 8th, 2011 - Another good day from the oil markets, making up for losses on whippy index futures markets. I'm not sure, but I think this is about the most money I've made in a single day.

6E: No trades
CL: +113 ticks (2 trades: +54 and +59 ticks)
ES: No trades
TF: -17 ticks (3 trades: -22, -8, and +13 ticks)

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  #623 (permalink)
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  #624 (permalink)
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Good on you. I am sure you are familiar but one time I had a strategy that was profitable about 16% per month for about 7 months. Then the market changed and I had a negative 40% month!

We are in very trendy days these last few weeks. I am sure you know this, but just curious if this system works in ranging markets?

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  #625 (permalink)
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bluemele View Post
Good on you. I am sure you are familiar but one time I had a strategy that was profitable about 16% per month for about 7 months. Then the market changed and I had a negative 40% month!

We are in very trendy days these last few weeks. I am sure you know this, but just curious if this system works in ranging markets?

I'm just curious, after you had your -40% month and stopped it, did you ever test to see after that bad month if would have ever recovered, or would it had continued its downward slide? I just wonder if maybe you pulled the plug too soon.

Believe me, as someone that has backtested and developed systems for almost 2 years now, trying to find something I can feel comfortable with trading my money, this is the best system I've come across. And I feel I am particularly skeptical of a system that looks good at first glance. It has some of the smoothest equity curves I have ever seen. Risk/reward is 1.0. Avg win / Avg loss is usually around 1.0. Win rates are 60-70% with PFs 1.5 - 2.3+ across multiple markets. Draw downs, peak to trough, never exceeded approximately $800/contract, but I need to do some more research on drawdown norms.

I tested it over 20 months across 4 markets. Every month was profitable. When you combine all of the markets, some markets may have had a negative month but the losses were compensated by larger wins in other markets. I don't think you can say every month in 6E, ES, TF, and CL had nothing but trending markets during that time. This strategy fails the most when we get trend reversals, like we had in equities the last couple of days. For example, Monday was a down day, Tuesday was an up day, but only after opening lower and moving lower in the morning, then ripping long the rest of the day. Still, trends don't reverse back and forth like that too often for long periods of time.

So I feel OK about it. Also, I've analyzed monthly returns, max losing streaks, etc, so I know how it should behave, on average, and I'm only allowed to worry or make changes if my monthly results start exceeding 1-2 standard deviations from my expectations. Or, when my account goes to $0.

I'm 100% aware of the fact that I could lose a lot of money with this and take responsibility for any failure this may achieve. I have my doubts that it may perform as well as my tests show, but I have some statistical backing that gives me some comfort, but I know it could totally blow up in my face and am prepared to face those consequences. I feel I have mitigated my risk a bit by trading across multiple markets that are not usually correlated (ES and TF are the most highly correlated), so if one market starts hurting me, I may be able to make up in other markets.


Last edited by shodson; March 9th, 2011 at 02:19 PM.
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  #626 (permalink)
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Wednesday, March 9th, 2011 - No comment, it does what it does, eeked out another positive day thanks to crude. Thinking about changing around the time I trade TF, need to test it some more. The afternoons seem more difficult.

6E: -13 ticks (2 trades: -20, +7)
CL: +37 ticks
ES: +14 ticks (2 trades: +15, -1)

TF: -14 ticks (7 trades: -20, -20, +20, +15, +13, -11, -11)

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  #627 (permalink)
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Burst my bubble?

Ah crud, it looks like I didn't mitigate intra-bar back testing issues with Ninja like I thought I had. Even with a 2nd lower period time frame my stops and targets still are not being respected. I discovered this when I compared recent live trade results with my back-tested results on the same days and saw the false winners in the back test. I'm hoping the Ninja support team will have a fix/response to solve this but I'm not hopeful.

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  #628 (permalink)
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shodson View Post
Ah crud, it looks like I didn't mitigate intra-bar back testing issues with Ninja like I thought I had. Even with a 2nd lower period time frame my stops and targets still are not being respected. I discovered this when I compared recent live trade results with my back-tested results on the same days and saw the false winners in the back test. I'm hoping the Ninja support team will have a fix/response to solve this but I'm not hopeful.

I think you need to manage your trade entries, stops and exits, on a 2nd multi time frame series with a period of 1 range.

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  #629 (permalink)
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monpere View Post
I think you need to manage your trade entries, stops and exits, on a 2nd multi time frame series with a period of 1 range.

As you'll see in my post on the Ninjatrader forum, adding another timeframe doesn't help. I thought it would but it doesn't. They recommend placing your targets/stops on the bar after the entry, but we know that brings a whole new set of problems.

CORRECTION:

It can be done, I just have to manually exit once profit/stop targets are reached on a tick-by-tick basis, can't use SetStopLoss() or SetProfitTarget().


Last edited by shodson; March 10th, 2011 at 05:40 PM.
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  #630 (permalink)
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Thursday, March 10th, 2011 - First losing day, trades were not as frequent today.

6E: no trades
CL: -36 ticks
ES: no trades
TF: +1 tick (4 trades: +17, -15, +15, -16)


I'm thinking about not trading any of the 3-month contracts tomorrow since we're in contract rollover and it's a Friday. If I trade CL I may just trade the morning. Plus I need to rethink this strategy after I re-do my backtesting once I correct the aforementioned intrabar issues.

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