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Journal to test strats
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Created: by wown Attachments:15

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Journal to test strats

  #1 (permalink)
Just starting out...
Boston
 
Futures Experience: Beginner
Platform: NinjaTrader
 
Posts: 21 since Nov 2010
Thanks: 0 given, 17 received

Journal to test strats

Hello,

I have spent a lot of time and nearly 20% of my trading account doing things that I now know are wrong. I have recently deviced a strategy that I think should be fairly succesful. I have traded loose versions of this strat before and I notice the more I adhere to it, the better I do (duh). My biggest problem has been taking losses too early and not taking all the profits.

So, I decided I am going to live trade (on a paper money account) this strategy. I hope that you guys will give me good feedback, point my mistakes out, and suggest improvements.

Ultimately, I want to automate this compeletly but my below average coding skills will take time to develop.

Strategy is simple: When I hit a 9 on a TD setup or a 13 on TD, and my composite index is also showing momentum in that direction (MA is above/below the actual value) I trade that direction, with clear targets and stop losses.

Instrument: /ES
Time Frame: 15 minutes
max loss per trade:$400 (so any trade with a stop loss exceeding that, I cannot trade).

PS: This is a variation of my actual strategy. unfortunately i cannot test the actual strat because i do not have a data feed into NT yet. Hopefully I will have that soon enough. My actual strat is detailed on my blog (once I write it)


Last edited by wown; March 3rd, 2011 at 04:52 PM.
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  #2 (permalink)
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  #3 (permalink)
Just starting out...
Boston
 
Futures Experience: Beginner
Platform: NinjaTrader
 
Posts: 21 since Nov 2010
Thanks: 0 given, 17 received


I spent some time today looking through these forums and reading up on strategies. Based on that, I have decided to change my strategy a little for a few purposes.

Firstly, I will look at 15 min and 5 min charts and trade the 5 min chart. I will only enter a long/short position if the CompositeIndex momentum on both time frames favors the same direction.

Secondly, I am changing how I calculate the targets and stop losses.

I am also taking on Big Mike's spreadsheet for tracking purposes.

Entered my first trade today and looks like it will not be a winner (Will post the results when it is all said and done).

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  #4 (permalink)
Just starting out...
Boston
 
Futures Experience: Beginner
Platform: NinjaTrader
 
Posts: 21 since Nov 2010
Thanks: 0 given, 17 received

Just got stopped out:

Trade details:
Long 2 ES contracts at $1307.25
Stop loss $4.50 (18 tickst) below entry price at 1302.75

Strategy:
If price reaches 1308.25 (4 ticks), move the stop loss to BE + 1 tick.
Target 1: $1311.50 (17 ticks) - Sell 1 contract and set trailing stop of 10 ticks
Target 2: $1322.75 (62 ticks) - set trailing stop of 5 ticks

Outcome:
Rules were followed.
MAE: 2.75.
Exit price for both contracts: 1307.25
Commission: $14
Profit: $(14)

Reflections:
All rules were followed. Looking at this trade the Risk/Reward ratio sucks. I calculate profit targets and stop loss based on fib ratios of the previous move. I should calculate the ticks of the ratios and apply them to the entry price (as I did with stop loss). Otherwise, I move the stop loss to BE after moving a mere 4 ticks.

Had I done the above, I would have waited 14 ticks (as opposed to 4) to move my stop loss to BE and all profit targets would have been 10 ticks higher.

Attached Thumbnails
Journal to test strats-march72011-es-long-1.png  
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  #5 (permalink)
Just starting out...
Boston
 
Futures Experience: Beginner
Platform: NinjaTrader
 
Posts: 21 since Nov 2010
Thanks: 0 given, 17 received

2 Trades today: 3/8/2011

#1:

Saw a sequential set up along with the oscillator crossing over on both the 15 and 5 minute charts. I was a little late in getting into the trade because... well work sucks

anyway here are the details:

Long 2 ES contracts at $1310
Stop loss $2.00 (8 ticks) below entry price at 1308

Strategy:
If price reaches 1312 (4 ticks), move the stop loss to BE + 1 tick.
Target 1: $1314 (12 ticks) - Sell 1 contract and set stop loss to 1312.
Target 2: $1319 (36 ticks) - set trailing stop of 5 ticks

Outcome:
Exit 1 rules were followed. Price moved to target and 1 contract was sold.
Exit1-MFE efficiency: 40%
Exit 1- Risk efficiency: 88%
MFE: 1.
Exit 1 price: 1313.50
Exit 1 Profit: $161

Exit 2 rules were broken slightly. I noticed that the contract reached a resistance level and was having a tough time breaking it. So I decided to set the trailing stop earlier and got stopped out.
Exit2-MFE efficiency: 80%
Exit 2- Risk efficiency: 175%
MFE: 1
Exit 2 price: 1317
Exit 2 Profit: $347

Reflections:
Had I not prematurely activated the trailing stop, I would have probably doubled my profit so should have stuck to plan...
on another note, I should start tracking Bench statistics to see exactly how much I missed out on.

Attached Thumbnails
Journal to test strats-march82011-es-long-w-2.jpg  
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  #6 (permalink)
Just starting out...
Boston
 
Futures Experience: Beginner
Platform: NinjaTrader
 
Posts: 21 since Nov 2010
Thanks: 0 given, 17 received

3/8/2011 Trade 2:
A sell setup completed with falling osciallator lines. Additionally setup complete on 15 minute chart as well. I was expecting a big drop. Did not happen but I did make a small profit

Trade Details:
Short 2 ES contracts at $1324.25
Stop loss $2.00 (8 ticks) above entry price at 1326.25

Strategy:
If price reaches 1323.25 (4 ticks), move the stop loss to BE + 1 tick.
Target 1: $1321.25 (12 ticks) - Sell 1 contract and set stop loss to 1323.25.
Target 2: $1316.25 (36 ticks) - set trailing stop of 5 ticks

Outcome:
Exit 1 rules were followed. Price around 10 ticks then started retracing. A setup was completed in opposite direction so an immediate buy order was placed.

Exit1-MFE efficiency: 50%
Exit 1- Risk efficiency: 63%
MAE: 1.
Exit 1 price: 1323
Exit 1 Profit: $49

Reflections:
All rules were followed. Although the trade did not work out as planned, I feel pretty good about it since I followed the rules.

Attached Thumbnails
Journal to test strats-march82011-es-long-w-3.jpg  

Last edited by wown; March 8th, 2011 at 07:22 PM.
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  #7 (permalink)
Elite Member
vancouver, canada
 
Futures Experience: Beginner
Platform: NinjaTrader 6.5 and ZF Webtrader
Broker/Data: Mirus/Zen
Favorite Futures: ES
 
Posts: 50 since Jul 2010
Thanks: 59 given, 51 received


wown View Post
3/8/2011 Trade 2:
A sell setup completed with falling osciallator lines. Additionally setup complete on 15 minute chart as well. I was expecting a big drop. Did not happen but I did make a small profit

Trade Details:
Short 2 ES contracts at $1324.25
Stop loss $2.00 (8 ticks) above entry price at 1326.25

Strategy:
If price reaches 1323.25 (4 ticks), move the stop loss to BE + 1 tick.
Target 1: $1321.25 (12 ticks) - Sell 1 contract and set stop loss to 1323.25.
Target 2: $1316.25 (36 ticks) - set trailing stop of 5 ticks

Outcome:
Exit 1 rules were followed. Price around 10 ticks then started retracing. A setup was completed in opposite direction so an immediate buy order was placed.

Exit1-MFE efficiency: 50%
Exit 1- Risk efficiency: 63%
MAE: 1.
Exit 1 price: 1323
Exit 1 Profit: $49

Reflections:
All rules were followed. Although the trade did not work out as planned, I feel pretty good about it since I followed the rules.

Ok, I consider myself a true newbie when it comes to trading but, I have been studying and siming the ES for the past year and have been live trading for over 6 months now and one thing that I have noticed with the ES is that trailing stops and/or moving stops up to break even do not work. Unless you have huge stops, the ES can move up and down 4 points like it's nothing. I find I can't make any money doing this but, the reason for my comment is to see if anyone else feels the same or has noticed the same thing....

Thanks for starting this journal, look forward to more

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  #8 (permalink)
Just starting out...
Boston
 
Futures Experience: Beginner
Platform: NinjaTrader
 
Posts: 21 since Nov 2010
Thanks: 0 given, 17 received


tammyd549 View Post
Ok, I consider myself a true newbie when it comes to trading but, I have been studying and siming the ES for the past year and have been live trading for over 6 months now and one thing that I have noticed with the ES is that trailing stops and/or moving stops up to break even do not work. Unless you have huge stops, the ES can move up and down 4 points like it's nothing. I find I can't make any money doing this but, the reason for my comment is to see if anyone else feels the same or has noticed the same thing....

Thanks for starting this journal, look forward to more

That is one of the things I am trying to test. The reason I have two different stops is the first stop's primary goal is to cover the losses in other trades. That is why my goal is to have the exit1-Risk efficiency at near 100%.

On the other hand if my exit 2-risk efficiency is well over 100% and i have on average more winning trades, then maybe it is not worth having 2 exits. Also I have to keep in mind that my exit-2 risk efficiency should be double whatever I report since the ratio is based on quantity.

After I collect enough data with the strat, I will run a strat with only 1 exit and with 3 exits. See which one has the best risk coverage (amongst other things) and go with that.

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  #9 (permalink)
Just starting out...
Boston
 
Futures Experience: Beginner
Platform: NinjaTrader
 
Posts: 21 since Nov 2010
Thanks: 0 given, 17 received

3/9/2011 Trade 1:
Trade Details:
Long 2 ES contracts at 1319.5
Stop loss 1.25 - 5 ticks- below entry price at 1318.25

Strategy:
If price reaches 1320.5 - 4 ticks - move the stop loss to BE + 1 tick.
Target 1: 1321.25 - 7 ticks - sell 1 contract and set stop loss to 1321.25
Target 2: 1324.25 - 19 ticks - set trailing stop of 5 ticks

Outcome: Stopped out at initial Stop Loss. No biggie.

Exit1-MFE efficiency: 0%
Exit 1- Risk efficiency: -100.00%
MAE: 1
Exit 1 price: 1318.25
Exit 1 Profit: -139

Attached Thumbnails
Journal to test strats-march92011-es-long-l-4.jpg  

Last edited by wown; March 10th, 2011 at 10:11 AM.
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  #10 (permalink)
Just starting out...
Boston
 
Futures Experience: Beginner
Platform: NinjaTrader
 
Posts: 21 since Nov 2010
Thanks: 0 given, 17 received


3/9/2011 Trade 2:

Trade Details:
Long 2 ES contracts at 1315.75
Stop loss 2.25 - 9 ticks- below entry price at 1313.5

Strategy:
If price reaches 1317.75 - 8 ticks - move the stop loss to BE + 1 tick.
Target 1: 1319.75 - 16 ticks - sell 1 contract and set stop loss to 1319.75
Target 2: 1325.75 - 40 ticks - set trailing stop of 5 ticks

Outcome:
I am a moron! I accidently put in the wrong order and got out of the trade for 1 contract. Then I did not know what to do with the other contract (lacking a plan!), I put a trailing stop, got stopped out, then saw ES advance 10-15 ticks AFTER TWO YEARS YOU WOULD THINK I CAN PUT IN AN ORDER CORRECTLY!!!!
I would be the idiot who puts a "B" instead of an "M" and causes the next flash crash....

Exit1-MFE efficiency: 100% (obviously this stat is incorrect because MFE was much higher, but the way my journal records it, this showed up. Once I adjust the stats for benchmark, this number will be fixed)
Exit 1- Risk efficiency: 50.00%
MAE: 9
Exit 1 price: 1318
Exit 1 Profit: 105.5

Exit 2-MFE efficiency: 55.56%
Exit 2- Risk efficiency: 27.78%
MAE: 9
Exit 2 price: 1317
Exit 2 Profit: 55.5

Attached Thumbnails
Journal to test strats-march92011-es-long-w-5.jpg  

Last edited by wown; March 10th, 2011 at 10:11 AM.
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