I realized I miss journaling, and I should write it somewhere, so why not to the Elite FIO members? I could just keep a personal journal, but that would be too selfish. Plus, you guys can keep me honest, and perhaps collaborate to improving my trading. Instead of starting a new journal, I'm just going to start where I left off 8+ years ago here.
So lately I've been posting all of my trades in my Slack channel in near real-time. I'm not sure I need to do that here, but this will be more of a summary of the day of how things went, with reflections and what I am looking at going forward. So I don't get in trouble with the moderators by posting URLs to stuff I run, even though it's free, just DM me if you are interested in joining my Slack channel. It's part of the Meetup I run, which is also free (DM me for URL), and you are welcome to join. It used to be more locally focused, like most meetups, but because of COVID we are doing Zoom meetings now, so anybody anywhere in the world can join in. DM me if you would like that info as well.
Anyways, I have a handful of strategies I trade. I will not expose all of the technical details of each one of them, so I will still hold some things close to the vest, for proprietary reasons, but I think what I post can be of use to me and others.
Thanks for playing along! Posts to come...
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The algo closed out just below break-even after 24 stock trades.
This is something custom I coded in C#/.NET, using the IB API. It trades open range ATR breakouts on the top 20 stocks that meet a handful of liquidity and volatility characteristic I scan for (via SQL database) every day. It was a lot more work than writing it in Ninjatrader, but it's simpler to manage and operate on a day-to-day basis, and is more stable than Ninja's IB interface, at least in my experience.
Will probably close out my CL spread tomorrow, there's not much left in the spread so the risk/reward is getting too high at this point.
I'm stalking the VIX futures term structure, looking for +/- 10% contango on the front two contracts. If we start to get some big moves then I'll look to put on a calendar spread.
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My CL spread was completely closed this AM, so I closed the spread for a $4.5k per contract profit.
I won't be putting on another spread CL for now as the spreads are not very wide. However, we could see some wild volatility into the roll next week, as a follow-up from last month's craziness. But for now, the market seems like its old self again, so I woudn't be surprised if expiration rolls smoothly.
My NG spread is converging nicely, bringing in more profits as we near June contract expiration. TD Ameritrade gave me a nasty warning about not allowing traders to enter new trades on the June contract. You can only do closing trades now for the rest of the contract period. I've never seen that before. I usually do spread like this on in my IB account but I did it on TOS this time, playing with their built-in spread features.
The gold and silver ETFs continue to work nicely as well, as long as the Fed keeps printing trillions of dollars, Bitcoin and metals will be on the rise.
My stocks algo had a losing day. I haven't had a good winning day on this in a while.
It's net negative for the last few weeks. That's to be undertood in part as volatility has been compressing, but before I turn it off I'm going to do some homework on the fills and see how much slippage I am experiencing. It's not yielding close to historical norms at this point.
Yeah, yeah, I know, overfit..slippage & commissions...yada yada. I do think slippage is probably worse than what I had expected, at least on some instruments, and the compression of volatility in the equities markets is making it harder to reach it's volatility-based profit targets. There are also some other things I want to re-test as well.
Weekend homework...
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