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shodson's Trading Journal
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shodson's Trading Journal

  #651 (permalink)
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Unfortunately, this week probably would have been a good week to sell premium as the market has a good chance to go sideways this week because of end-of-quarter window-dressing. As the new quarter and earnings season begins we'll probably see more volatility and the market picking a direction.

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  #652 (permalink)
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Wednesday, June 29th, 2011 - SIMming something new into the close, looks like it's something I'll want to back test. Take blue arrows if we get a thick blue line in panel 2 and a red line in panel 3. This was the only valid signal of the day. The key is what kind of money management algorithm I want to employ.

CL: +27 ticks (SIM)

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A trade


I was listening to CNBC on XM in the car and heard how the crude inventories report was interpreted as bearish, so I looked to get short. Indeed, the recent trend was bearish, so I went short on a pullback, stop = 1ATR (29ticks), target = 2ATR (58ticks). It went 50% then 75% of my target, which was where the 61% retracement level for the day was, then returned to the upside for a small win. Knowing I was up as much as +44 ticks, and only getting +15 out of it is disheartening, so maybe I need to be more aggressive with my stop movements as profit is achieved. I tend to give my trades a lot of room to hit my target, but sometimes at the cost of hitting my target and leaving a lot of money on the table if it moves big and hard beyond my target.

CL: +15 ticks

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Bizarro mode

When I'm backtesting a system, if I find that it's a big money loser, I'll test it in "bizarro mode". The thinking is that if I can't make money then dong the opposite should make money. So short signals would cause buys, and long signals would cause me to sell short. Here is the results of one such example. This is a breakout system that sucks, so I turned it into a post-breakout mean-reversion system instead.

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shodson View Post
When I'm backtesting a system, if I find that it's a big money loser, I'll test it in "bizarro mode". The thinking is that if I can't make money then dong the opposite should make money. So short signals would cause buys, and long signals would cause me to sell short. Here is the results of one such example. This is a breakout system that sucks, so I turned it into a post-breakout mean-reversion system instead.

Thanks for sharing. I hope you will come back in 2 or 3 months and share this exact same strategy (no code changes) forward tested results from that period, and lets see how it did

Mike

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Thanks for sharing. I hope you will come back in 2 or 3 months and share this exact same strategy (no code changes) forward tested results from that period, and lets see how it did

Mike

Thanks Mike. I'm still tweaking this because the one thing that bothered me most in the iteration demonstrated is the Ratio avg win / avg loss, which is 0.5 (risk 2 to make 1). I'd like to improve the risk/reward ratios even if it offers smaller profits in order to lower the risk or ruin. This version is 1:1. Plus, I'm still not 100% certain it's correct, trying to make sure I'm not getting trapped into Ninjatrader's backtesting flaws. So this is quite a ways from going live still.

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Faded inventories

I saw CL move 200+ ticks in 30 mins (Bernanke + inventories), so I faded it after the inventory report was released. It got 1 tick away from my 33 tick target so I tightened my stop and got stopped out +23. I should have tightened it more but it was moving so fast that it was hard to get the stop closer. I'm fortunate I did as it never hit my target and started moving back up to my entry and beyond.

CL: +23 ticks

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Thanks Mike. I'm still tweaking this because the one thing that bothered me most in the iteration demonstrated is the Ratio avg win / avg loss, which is 0.5 (risk 2 to make 1). I'd like to improve the risk/reward ratios even if it offers smaller profits in order to lower the risk or ruin. This version is 1:1. Plus, I'm still not 100% certain it's correct, trying to make sure I'm not getting trapped into Ninjatrader's backtesting flaws. So this is quite a ways from going live still.

Interesting.. How do you enter your orders with EnterLong or limit orders? What do you exactly mean with backtesting flaws ?

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no111 View Post
Interesting.. How do you enter your orders with EnterLong or limit orders? What do you exactly mean with backtesting flaws ?

I enter with limit orders. If my target is reached without getting filled I cancel my order. I'm currently using SetProfitTarget() and SetStopLoss() on a 1-range time frame, but I need to exit with market orders if target or stop level is reached to backtest this correctly and avoid NT's intrabar issues. For more background see this and this.

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Took a with-trend shot on the NG inventories, went short 1min before the announcement. Original target was bigger than the 90+ tick move, managed the trade manually for +52 ticks, squeezing out most of the post-burst move before it turned around to the upside.

NG: +52 ticks

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