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Momentum Based Algo Swing Trading


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Momentum Based Algo Swing Trading

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  #21 (permalink)
 ShadowFox 
CO/USA
 
Experience: Intermediate
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Week 5

Great week until today. I got caught long in wheat right before the selloff this morning. Grains were looking bullish and had some great trades again until todays reversal. Financial markets trending nicely with some follow-through. Gold has been finicky with little trend after news last week.

Equity seems to be in a defined channel after going live but would love to break up with some great trading.

6/7/2021: Current real-time account equity = $10,774 (1 trade open)


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  #22 (permalink)
 ShadowFox 
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Need to update midweek because I finally had a huge losing day and I want to journal what happened. They ran stops in everything I was trading today and that made for a very tough trading day. If I was in a trade, they ran my stop. If I was not in a trade, they got me in a trade on a huge move that immediately reversed. The only thing that went right today was MNQ which I got into right at RTH open, went for a stop ride then trended back up all day. Grain markets decided to stop run both directions in about 15 minutes then fizzled out, they were not tradable. Gold has been a tough trade all week. Hoping to finish the week better than today went.

Also, reading about that guys mom who doubles her money everyday is depressing on days like this. Like wtf am I even doing

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  #23 (permalink)
 kevinkdog   is a Vendor
 
 
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ShadowFox View Post
Need to update midweek because I finally had a huge losing day and I want to journal what happened. They ran stops in everything I was trading today and that made for a very tough trading day. If I was in a trade, they ran my stop. If I was not in a trade, they got me in a trade on a huge move that immediately reversed. The only thing that went right today was MNQ which I got into right at RTH open, went for a stop ride then trended back up all day. Grain markets decided to stop run both directions in about 15 minutes then fizzled out, they were not tradable. Gold has been a tough trade all week. Hoping to finish the week better than today went.

Also, reading about that guys mom who doubles her money everyday is depressing on days like this. Like wtf am I even doing

Well, sorry you had a bad day, but it happens. Two bits of advice:

1) The way you make it sound is like what happened today was personal, like the market ("they") was out to get you. Maybe you don't mean it this way - I certainly hope not. But taking it personally ("they ran my stop," "they got me in a trade") takes an emotional toll long term. If you followed your plan, that is all that matters. What happened might have sucked, and may be financially painful, but it was not personal.

2) The feeling that everyone makes a ton of money trading except you is pretty common. The thing you have to realize is most people lie about their performance, if they trade at all. Lots of fakers out there, so comparing yourself to phony phantoms is silly.

Hope this helps, and you get back on the horse!

Kevin

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  #24 (permalink)
 ShadowFox 
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Posts: 92 since Jun 2020
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kevinkdog View Post
Well, sorry you had a bad day, but it happens. Two bits of advice:

1) The way you make it sound is like what happened today was personal, like the market ("they") was out to get you. Maybe you don't mean it this way - I certainly hope not. But taking it personally ("they ran my stop," "they got me in a trade") takes an emotional toll long term. If you followed your plan, that is all that matters. What happened might have sucked, and may be financially painful, but it was not personal.

2) The feeling that everyone makes a ton of money trading except you is pretty common. The thing you have to realize is most people lie about their performance, if they trade at all. Lots of fakers out there, so comparing yourself to phony phantoms is silly.

Hope this helps, and you get back on the horse!

Kevin

Kevin, thank you for the encouraging words. No I know that "they" are not out to get my measley micro. I use "they" as in the market makers. I know they are not going to move ES 40 points just to get my micro. But for ES to move 40 points "they" are involved. That is all I mean is some big moves were in the agenda today and that didn't work for me.

I know there are a lot of fakes out there and I now know to shut them out just like the "news". I have learned to live with my returns. The first quarter this year returned double digit percentages for me and I had more than a few big negative days compared to today. This was just my first real big loss with the micro futures portfolio. Looking forward to better days for sure though.

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 ShadowFox 
CO/USA
 
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Week 6

Well what a day to erase the drawdown week and terrible day last week! Great shorts in grains and gold and longs in equities today.

6/14/2021: Current real-time account equity = $10,585 (4 trades open)


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 ShadowFox 
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Okay here's the deal, I had a big drawdown last week. I wrote about the struggle day a few days back. What did I do when I saw this big drawdown? I added funds... Crazy right? I know most people would reduce exposure or turn the strategy off. I took this opportunity, after live testing the strategy for 6 weeks, to add the capital and size up to my goal account size for the portfolio.

Here is where the math gets tricky but it will all work itself out after a few days. I am still in old positions with the old size that have not closed out yet. I am also in new positions with the new size. I backed the numbers out for week 6 close but will also have a new baseline for week 6 end going forward.

I added 30k to the account. Current real-time account equity = $41,366 (3 new position size trades, 1 old). This is larger than the previous post + 30k since I am in 3 full size positions today that traded well.

Breakdown of new symbols: 5 MNQ, 5 MES, 5 MGC, 3 YW, 3 YK, 3 YC, 1 QM
Remember 1 NQ = 10 MNQ and 1 W = 5 YW and 1 CL = 2 QM so this is my attempt at creating the original intent of the portfolio with crude included!

The equity curves will be the same where I will divide the number by 10 to get the actual curve for my setup. I hope I didn't pull the trigger too soon but the decision has worked out well so far.

Here is the new equity curve for the baseline system. There are now two dots. Blue for original start and red for upsize/revamp (which is really all that matters at this point). I know, I know, the system looks worse with the new additions. The main reasons are that grains were weighted a bit heavier when I was trading 1 MNQ to 1 YW or 1:2 NQ to W. Now I am trading 5:6 NQ to W. I like the timing on this switch as its kind of like taking the profits from your best performers and putting them in your worst performers. This is what money managers do at the end of the year. Makes a lot of sense to me.


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 ShadowFox 
CO/USA
 
Experience: Intermediate
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Trading: Stocks, Futures
 
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Posts: 92 since Jun 2020
Thanks: 58 given, 128 received

Week 7

Wow what a week. My system traded the FOMC report brilliantly. For financials, I caught some nice shorts on report day then some longs the next day. I caught a huge short in gold that ran for 3 days, pretty much the perfect trade. Then grains I found some nice shorts this week.

Looking back on the system over 10 years this is one of the fastest jumps recorded. Very nice to see this the first week I sized up to full account equity and exposure. Gave me a nice cushion after making the jump. I really like how I decided it was time to size up based on the big drawdown the previous week. A little luck, a good system, and it worked out.

6/21/2021: Current real-time account equity = $49,770 (3 trades open)

Starting balance = $9,300 + $30,000 added on 6/14/21 = $39,300

26% gain on account so far (based on actual account equity, not strategy outputs)


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 ShadowFox 
CO/USA
 
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Posts: 92 since Jun 2020
Thanks: 58 given, 128 received

Week 8

Not much action last week.

Minor changes to the system. Grains will trade full size contracts as of yesterday. I did not like how the mini grain contracts traded especially outside of open outcry. These are some of the lowest liquidity contracts you can trade and the last couple of weeks have shown weakness of the system using these. I also had to do special things with timing since the mini grain contracts trade an extra 25 minutes and the pricing would get really wonky sometimes (had to remove stops during this time so the system didn't decide to stop me out during this action). There is some great volatility in grains lately so that is working well with the system. I would really like to get rid of the MGC contract as well since the commissions are so high and its not that liquid but I am stuck with it for now.

Breakdown of new symbols: 5 MNQ, 5 MES, 5 MGC, 1 W, 1 S, 1 C, 1 QM

6/28/2021: Current real-time account equity = $50,180 (6 trades open)


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 ShadowFox 
CO/USA
 
Experience: Intermediate
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Trading: Stocks, Futures
 
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Posts: 92 since Jun 2020
Thanks: 58 given, 128 received

Week 9

Got caught by surprise on the grain acreage report this week but made some nice trades in equities going into the holiday weekend and holding over.

I still hate the MGC commissions from TradeStation and am thinking about what this means for this contracts future in my system. I pay $2.02 for 1 contract, 1 way. $4.04 round trip for 1 contract. This contract alone accounts for over half of my commissions on the system. I am not worried about commissions necessarily but hard to swallow $20 per round trip when trading this, especially when I could double the size and pay a little over $4 round trip. This micro makes no sense to me. If I do scale anything up near term, I will not scale MGC any more until going straight to GC, but that will likely be at around $75k account equity.

Waiting for the micro CL contract as well next week. I would rather keep the 1 QM but I am not sure what will happen to QM volume when MCL hits the market. Just going to keep an eye on how this affects my system.

7/5/2021: Current real-time account equity = $50,360

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