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Journal to test strats


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Journal to test strats

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  #11 (permalink)
wown
Boston
 
 
Posts: 21 since Nov 2010
Thanks: 0 given, 17 received

General Comments:
I am really starting to think that I am moving my stop loss to break even very quickly. Out of the 8 trades I have had, two I got stopped out at BE both would have resulted in profitable trades if I kept at it. In fact, one of the trades today would have resulted in a movement of 46 ticks, or $575 profit.

Anyway, I am tracking all these stats (or planning to track). I am leveraging Big Mike's trade journal in excel and modifying it to meet my needs. It is still under construction, but as soon as it is done, I will post it. Key things I am looking to track are:
- breakdown of all stats by method, by exit.
- stats to track what happens 5 bars after I exit to see if I am exiting prematurely.
- and of course all the other stats i am already tracking.




3/10/2011 Trade 1:

Trade Details:
Long 2 ES contracts at 1301.75
Stop loss 1.25 - 5 ticks- below entry price at 1300.5
Strategy:If price reaches 1302.75 - 4 ticks - move the stop loss to BE + 1 tick.
Target 1: 1303.75 - 8 ticks - sell 1 contract and set stop loss to 1303.75
Target 2: 1307.02 - 21 ticks - set trailing stop of 5 ticks
Outcome: Stop Lossed out.

Exit1-MFE efficiency: 0.00%
Exit 1- Risk efficiency: -80.00%
MAE: 1Exit 1 price: 1300.75
Exit 1 Profit: -114




3/10/2011 Trade 2:

Trade Details:Short 2 ES contracts at 1297.25
Stop loss 1.25 - 5 ticks- above entry price at 1298.5
Strategy:If price reaches 1296.24 - 4 ticks - move the stop loss to BE + 1 tick.
Target 1: 1295.25 - 8 ticks - buy 1 contract and set stop loss to 1295.25
Target 2: 1292 - 21 ticks - set trailing stop of 5 ticks

Outcome: Broke even

Exit1-MFE efficiency: 20.00%
Exit 1- Risk efficiency: 20.00%
MAE: 5Exit 1 price: 1297
Exit 1 Profit: 11



Trade 3:
Trade Details:Long 2 ES contracts at 1289.25
Stop loss 1.25 - 5 ticks- below entry price at 1288

Strategy:
If price reaches 1290 - 3 ticks - move the stop loss to BE + 1 tick.
Target 1: 1290.5 - 5 ticks - sell 1 contract and set stop loss to 1290.5
Target 2: 1292.52 - 13 ticks - set trailing stop of 5 ticks
Outcome:
This one I am glad I moved my Stop Losses since as of this writing, I would have stopped out at my initial stop loss had I not moved my SL. But again, it seems the price is rebounding so maybe my intial SL is too small.

Exit1-MFE efficiency: 71.43%
Exit 1- Risk efficiency: 50.00%
MAE: 7Exit 1 price: 1290.5
Exit 1 Profit: 55.5

Exit 2-MFE efficiency: 42.86%
Exit 2- Risk efficiency: 30.00%
MAE: 7Exit 2 price: 1290
Exit 2 Profit: 30.5

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  #12 (permalink)
wown
Boston
 
 
Posts: 21 since Nov 2010
Thanks: 0 given, 17 received

Since March 11th, I have not had a chance to post everyday, but I traded three new trades in that time.

Nothing too exciting happened though. One loss, one breakeven, and one gain. One thing I noticed though, while I was not logging my trades, I was starting to really doubt myself and think "this is not working, I am not making any money, bla bla bla. I should revise my strategy" Actually, I even traded one trade going completely against my strategy (ended up in break even).

But as I sat down today to log all the trades, I noticed that my account position overall changed a mere ~.1% after commissions!! And, clearly I have not been losing - only 1 of the three trades resulted in a loss (and had i followed my method, two would have been wins rather than 1 breakeven). I thought it was very interesting to realize that just the simple act of not logging trades and going into the weekend had me thinking and going off on bad tangents.

Anyway, instead of posting all the trades I logged, I want to share my journal. The format is very similar to Big Mike's journal but I have changed a bunch of things to suit my needs. The data is very limited so some of the stats are a bit skewy (I only wish i was making 76%/year ).

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  #13 (permalink)
wown
Boston
 
 
Posts: 21 since Nov 2010
Thanks: 0 given, 17 received


I have continued to trade according to the strategy, but not been able to post all the trades. Been busy at work

Below is a screenshot of dashboard I have in excel. Two main things I need to address:

1. I am missing out on a lot of good setups that occur between 5am-7am EST. I did some testing and if I included those trades, my account would be up ~5% more. Maybe I should start waking up a couple of hours earlier to get in on those. I also miss out on good setups throughout the day because of work and stuff. Maybe this strategy is not good if I am unable to execute on all the setups because as luck would have it, I went on a losing streak and only caught false setups.

2. Stop losses are too tight. I noticed that in at least 25% of my trades if my stop loss was a mere 3-4 ticks away, I would not have exited and made a healthy profit. For now I am leaving the SL as it is but for future tweakings of this strategy, redoing the stop loss is something I will definitely consider.

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  #14 (permalink)
wown
Boston
 
 
Posts: 21 since Nov 2010
Thanks: 0 given, 17 received

48 trades and 2 months later, I think I have completed the 1st phase of my testing this strategy.

Key highlights:
1.37% gain
average risk of only .49%
max drawdown was 2.65% which is probably my worst stat. But it was not because of any one losing trade - I had a series of 6/7 trades that lost in a row.
Also, I paid more than 2% of my account in commissions... is TOS too expensive? You bet!!

In any case, I am fairly satisfied with the results. I know that 2 things must change: my MFE to exit efficiency is a mere 33%. That means I am not capturing the max profit possible. So I am moving my far out target a little closer.

Also, I am getting stopped out way too much on trades that go on to win and win big. So I need to optimize my stop loss a little bit.

Apart from that, I can see, as I thought, around 60% of my trades will be profitable.


A note on the markets
In case you did not know, I am only simulating the above strategy. I am making decent profits trading this strategy on a daily basis. Mostly, I have been lucky and caught both the big down moves on S&P and exited very near the bottom.

Attached are some pics for your viewing pleasure

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