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jstnbrg's log

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  #1 (permalink)
Chicago, Illinois
 
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This will be a log of my P/L. I'm currently trading in sim. Commissions are estimated, as my FCM uses a sliding scale, but except for products that a CBOT Associate Member (which I am) is eligible to trade at member rates, total round trip commissions should be about $5/trade. Size is currently l lot for qm, 6e, 6j, zb, zs, zw. 2 lots for zn, zc, ym, es. 3 lots for zf. maybe 2 lots for ng. I will announce if I add other instruments.

Methodology is fading pullbacks in trending markets. Two basic setups define trending markets. One of these setups is well known, the other a little less so but hardly proprietary to me. I prefer not to discuss them. I trade using 3 minute bars. Experimental trades using alternate methodology will be traded in a second sim account and not counted unless I have previously announced that I am adding to the methodologies I use. I would like to find a good way of fading moves in lower volatility or non-trending markets, but so far I have not found anything usable. I think it is important to avoid running up commissions.

I will try to avoid having highly correlated instruments on at the same time, at least in the direction of their correlation (so for example I would avoid being short 6j and zn at the same time). I probably will not often simultaneously trade more than three instruments.

My minimum goal for winning days is about $400, the point where I stop trading due to sucking is a little over $600 or three consecutive losers even if I'm down less than that. My profit goal per trade is a little over $300, my maximum loss a little over $200. Once I have $200 in the trade, I move my stop to break even on the theory that giving back that much profit is the same as losing that amount. (In the future I might go to a straight tick for tick trailing stop). On days where I have multiple trades that are working, once I have met my minimum goal for winning days, I will become much more aggressive about moving my stops to break even. I will accept a slightly smaller daily profit on Fridays for two reasons: the first is that in my experience trade gets dicey after about 11:00 am CST on Friday and the second is that I hate the bitter taste of ending the week a on a losing note. In my 25 years as a professional trader, I have almost always regretted being greedy on Friday. It's my oldest rule. The "three losing trades" rule is my second oldest rule.

I also have rules for when I go live and for when I increase my size, but I will not discuss those rules to keep the dollar amount of my P/L private. At some point after I have gone live, assuming I get the chance to do so, I will announce that I have been live, but not on what date I started. That being said, I have said elsewhere on this forum that it is critical to have a plan to increase your size and to follow that plan for as long as the liquidity of the markets you trade allows. Size is the key to making substantial money in this business, and the point of this business is to make substantial money.

I don't anticipate adding a lot of commentary to my log unless I really screw up my discipline. The main reason I'm doing this diary is to try to help answer the question in the thread " Ten-thousand in Education and still not profitable!", both for myself and for other subscribers to that thread.

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  #3 (permalink)
Chicago, Illinois
 
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3/15/2011 results attached

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Chicago, Illinois
 
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Computer bluescreened while in YM and ZN trades, afterwords NT sim wouldn't fill resting orders. Exit prices on image 3_16_11 results are where fills would have been if orders had been submitted to the exchange. Exit prices on image cum. results are where NT7 thinks the orders were filled. NT's YM fill was worse than it should have been and NT's ZN fill was better.

After I exited the trades, I spent the rest of the day chkdsk ing my hard drives. A pity, because it looks like there were other opportunities.

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  #5 (permalink)
san ramon
 
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jstnbrg View Post
...... the point where I stop trading due to sucking is a little over $600 or three consecutive losers even if I'm down less than that.

Hi......I was wondering what you saw in the market when you entered it after 3 bad trades in a row........thanks

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  #6 (permalink)
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zikonc View Post
Hi......I was wondering what you saw in the market when you entered it after 3 bad trades in a row........thanks

I didn't. My first trade was 6j, that was a loser. I had on ym and zn at the same time, ym shows as 2 trades because the 2 contracts were filled separately but it was a 2 lot. I got stopped out of that, but not zn. I made money on zn. I would have kept trading except for the computer problems.

I think what I may wind up liking most about journaling publicly is that it will keep me honest. It's one thing to break a rule privately, totally another to expose it in public. Kind of like trading size in the pit, where everyone can see you. (Even though it's been eight years since I traded in a pit, I still dream about it. I'm often on a stage, with a big gallery. That's what it felt like.)

If I made a mistake, it was that I two correlated contracts on at the same time. I wasn't paying enough attention to realize they were correlated until after I had them on. In a way it's a good thing I didn't get out of one of them, because if I had it would have been ZN. The only reason I kept it is I thought the floor pivot, which was, I think, at 20, would be good support. It was bad luck I was stopped out of ym, the trade was huge shortly after. Rules is rules.

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jstnbrg View Post
I didn't. My first trade was 6j, that was a loser. I had on ym and zn at the same time, ym shows as 2 trades because the 2 contracts were filled separately but it was a 2 lot. I got stopped out of that, but not zn. I made money on zn. I would have kept trading except for the computer problems.

I think what I may wind up liking most about journaling publicly is that it will keep me honest. It's one thing to break a rule privately, totally another to expose it in public. Kind of like trading size in the pit, where everyone can see you. (Even though it's been eight years since I traded in a pit, I still dream about it. I'm often on a stage, with a big gallery. That's what it felt like.)

If I made a mistake, it was that I two correlated contracts on at the same time. I wasn't paying enough attention to realize they were correlated until after I had them on. In a way it's a good thing I didn't get out of one of them, because if I had it would have been ZN. The only reason I kept it is I thought the floor pivot, which was, I think, at 20, would be good support. It was bad luck I was stopped out of ym, the trade was huge shortly after. Rules is rules.

thanks for your response....I did not mean to sound critical, sorry if I did.......I just thought you saw something like Trading 101 that you simply had to take it ........I saw you made money on that 4th trade so I was hoping that I would learn what event would make you put your rulebook aside and take another plunge ...... ........i just realized that trades 2 and 3 are really trade 2 with 2 contracts ....... my mistake

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  #8 (permalink)
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zikonc View Post
thanks for your response....I did not mean to sound critical, sorry if I did.......I just thought you saw something like Trading 101 that you simply had to take it ........I saw you made money on that 4th trade so I was hoping that I would learn what event would make you put your rulebook aside and take another plunge ...... ........i just realized that trades 2 and 3 are really trade 2 with 2 contracts ....... my mistake

No need for apologies. On of my biggest flaws as a trader is that sometimes I put the rulebook aside. Usually that doesn't work out too well. I appreciate the input.

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Cumulative results. Today's trades highlighted in yellow.

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Dodged a bullet. It passed so close it mussed up my hair. I avoided getting stopped out on short ZW by 1 tick, it was actually bid a tick below my stop but didn't trade there. I decided I didn't like the trade and scratched it except for commissions, which I still consider to be a scratch. Would have been my third strike.

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Results 3/21/2011. Happy Spring!

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A disappointing day full of mistakes. I had set up my ATM strategy for corn based on trading 1 contract rather than the two I actually trade, and even though I caught the mistake with time to get out manually, I didn't and lost twice as much as I should have. Then I didn't take a 6e short that would have been a winner. I took one later that I was lucky to scratch. Finally I reentered QM after taking a winner there earlier, totally in line with my rules, but didn't like the trade and took a loss before I would have been stopped out. QM never got to my stop point, and would have been a second winner. I'm least upset about the last trade; my instincts have been pretty good about exiting trades before they hit their predetermined stops and targets. The corn snafu was inexcusable.

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Don't get discouraged. Keep the journal up, and maybe also consider taking a look at this decision tool:



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I'm on vacation, house hunting in Boulder, Colorado. I owe this thread one post, 3/23, and I'll put it up when I get home around April 8.

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  #16 (permalink)
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jstnbrg View Post
I'm on vacation, house hunting in Boulder, Colorado. I owe this thread one post, 3/23, and I'll put it up when I get home around April 8.

My wife and I just spent 6 months in Boulder. Nice place, but too cold for us. haha..

I like the area just north of downtown.

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bluemele View Post
My wife and I just spent 6 months in Boulder. Nice place, but too cold for us. haha..


Jeez, we want to move there for the outdoor lifestyle and the relative warmth. Wintertime highs are a lot higher than in Chicago, although it is just as cold at night.

Just got home this evening. One thing that struck us was the high real estate prices in Boulder, though property taxes were less than half of what we pay for comparable properties. Property values are very high where I live, but even so it looks like we won't be getting much of a break if we move. We're mostly looking in an area on the Northwest side of town between Wonderland Lake and Kalmia Ave. We need a yard big enough for the dog and in a wooded enough area to attract birds.

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Honolulu, Hawaii
 
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jstnbrg View Post
Jeez, we want to move there for the outdoor lifestyle and the relative warmth. Wintertime highs are a lot higher than in Chicago, although it is just as cold at night.

Just got home this evening. One thing that struck us was the high real estate prices in Boulder, though property taxes were less than half of what we pay for comparable properties. Property values are very high where I live, but even so it looks like we won't be getting much of a break if we move. We're mostly looking in an area on the Northwest side of town between Wonderland Lake and Kalmia Ave. We need a yard big enough for the dog and in a wooded enough area to attract birds.

Well, I am a bit liberal in my bias, and my father lives north of Chicago. I don't know how people do it to be honest???

Anyways, Boulder is a great place especially if you have kids, and it is VERY active compared to the rest of the United States. However, coming from Honolulu it was just tooooooo cold and not as active as Honolulu.

Great place though, friendly and fun. I love downtown on a nice summer day (Pearl Street Mall) and just a cool place to live. One of my favorite places if you like getting 15 inches in the middle of May! That is when I decided to move on... haha...

Good luck as I know it is a bit stressful to pick up and move cross country. Well, half-cross country!


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bluemele View Post
Well, I am a bit liberal in my bias, and my father lives north of Chicago. I don't know how people do it to be honest???



Good luck as I know it is a bit stressful to pick up and move cross country. Well, half-cross country!


My bias is the same as yours. I'm not sure whether you're referring to the weather or the taxes (" I don't know how people do it to be honest???"). I have no objection to paying my taxes, I was just commenting on the relative levels. It's possible Colorado has other sources of revenue, such a oil & gas leasing.

Anyway, thanks for the good wishes. I agree, moving is stressful, and selling my home will be stressful too.

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After many months away from the screen, I'm taking another crack at mastering screen trading. For anyone reading this who is not familiar with my posts, I'm a former floor trader from the CBOT with many years experience who has not mastered the transition to the screen. My hurdles are maybe not the normal ones a new trader faces: I'm comfortable with risk, pretty disciplined about taking losses, well capitalized, and able to execute a trading plan. My biggest problem has been finding a methodology that produces consistent profits and works in a timeframe that matches my attention span. I am not a programmer, though I have messed around with it a bit. I think trying to program and backtest have in the past distracted me from concentrating on price action. As a pit trader, part of what differentiated me from my competitors was my ability to tape read, and I've decided to try to focus on applying that skill to screen based trading.

My search for an edge has led me to the threads on this forum dealing with winning methodologies, and since Perry did a webinar this summer I started with that one. In his webinar, (though not in the early parts of his thread "Perry's Trading Platform"), Perry made a lot of statements that resonated with my own experiences in the pit, and I quickly decided he thinks a lot the same way I do about how to be consistent, and his ideas might work for me. Specifically, in the webinar he emphasized small profits per contract, increasing profitability by increasing size, and avoiding spending too much time trading in a day, maybe three or four hours. My transition to successful pit trading came when I realized all I had to do was make one tick per contract four times a day to have a good day. I knew I could easily find four very solid situations in a day where my risk/reward was very favorable, and by only trading these situations I quickly became a consistent winner. My aphorism was, "You don't have to make a lot of money to make a lot of money."

Anyway, I spent a couple of evenings looking at trades generated by what I perceive Perry's general setup to be, saw that for now at least it has generated quite a few trades and a good winning percentage, and this morning I made my first serious attempt at sim trading Perry's system as if I were trading live. This means I went through my normal pre-trading routine and got down to it as though I were risking real money.

I've customized Perry's screen layout to make it easier for me to read. One indicator he provides, ForceIndex v.2 does not seem to give useful information, which leads me to believe I don't have it configured correctly. I'll be getting in touch with him about that.

I'm trading 6e, using a 4 range chart (my first experience trading with range charts, usually I use time or tick based charts). For now, I'm using a goal based risk/reward system. 4 tick goal, 8 tick emergency stop but earlier exits if conditions change after I put on the trade. Given that the potential risk is so much more than the profit target, this system needs to provide a very high percentage of winners! I hope eventually to be able to identify situations where I can let profits run more to even out the r/r.

The results today: 9 trades, 6 4 tick winners, 1 5 tick winner which is a mystery to me since I use an atm strategy with a 4 tick profit, 1 4 tick loser, 1 8 tick loser. I quit after the 9th trade, almost exactly 3 hours after I started. My general money goal is to make about 16 ticks per unit of size trading 6e. P/L $170.02 net, commissions $2.36/side (I set this up months ago for this instrument, I can't guarantee it's right but I will check).

Observations: Distractions more frequent than I like, since we're rehabbing a house and my wife kept coming in with questions. After annotating my chart, I realized I'd better write stuff down as I'm trading or I'll forget why I did or didn't take a trade.

Indicators: Panel 1 is MASlopeMulti, 5 and 20 EMAs. Panels 2 and 3 are the same moving averages set up so it's easy for me to see whether both MAs are moving in the same direction and how many bars it's been since the 5 EMA has been going in the same direction. Panel 4 is DMplus_v3a, period set to 5, with JeffsADXv2 superimposed as bars so I can easily see whether or not it's moving up.

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  #21 (permalink)
Chicago, Illinois
 
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Here's another chart I look at, though it's not the one I use to trade. It's basically the same chart I use to trade but with the other moving averages Perry discussed in his seminar, displayed as bars in panels 2-5, and the Force Index displayed in panel 7. I doubt I have the Force Index configured correctly. This chart is set up to easily see the alternative entry conditions Perry discussed in the seminar.

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"As a pit trader, part of what differentiated me from my competitors was my ability to tape read, and I've decided to try to focus on applying that skill to screen based trading."

Seeing your comment above makes me think you might find this of value:
And my memory is Jeff Castille posted further about it in his Jeffs CCI thread and his True Stength Index thread.

Have much appreciated your various posts Jstnbrg.

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  #23 (permalink)
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16 trades today. 7 winners, 7 losers, 3 tics gross profit but $75.52 in total commissions. Net loss of $38.02. I traded way too long today, from about 7:50 AM to about 3:30 pm.

I've been bothered by two aspects of this system: the fact that the largest losses far exceed the largest profits and the fact that often when the market starts to run in one direction, I'll take an entry, make my 4 ticks, and exit the trade on what turns out to be the setup bar for the next trade, or a setup bar appears before I'm out of the trade that would project a more favorable profit target.. It's often easy to anticipate this situation. Today I tried to deal with both problems by letting my winners run when the exit bar (even the exit price on one trade!) was the entry bar (price) for the next trade. When that happened I'd move my stop down (for a short) to the level it would have been established had the second entry level been taken as an actual trade. For example at about 8:02 I got short at 1.2905. While in the trade there were three subsequent setup bars (I only count red bars for shorts as setups), I put an ellipse around the last one at 8:10. Had I been flat I would have gotten short at 1.2902, but my profit target for the trade I was in was 1.2901. I handled the situation by lowering my profit target to 1.2998 (then I modified it to 99 because 98 was a previous swing low, possibly strong support) and my stop to 1.2906. This particular trade worked out, but others like it did not. Had I just taken 4 tick profits on every opportunity until I got to my goal, I would have made either 15 or 19 ticks and been done either at 10:08 or at 10:30. Tomorrow I'll just take 4 tick profits but log how it would have gone with either methodology. Also, had I quit after 4 hours, I would have been about scratched on the day (I don't considering losing what I did to be a very bad day, but I am beat, unnecessarily).

Had I only taken 4 tick profits, my w/l ratio would have been 3 losers, 6 winners, two scratches and I would have saved $18.88 in commissions, assuming I did not stop trading until I hit my goal of 16 ticks.

"You don't need a weatherman to know which way the wind blows..."
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A bad day and then I had to go into Chicago. I'll let the chart speak for itself. It's annotated. Based on Perry's claim of 90% winners, clearly just using the simplest setup isn't sufficient to achieve that consistency. I'm going to stick with just this set of indicators for a while anyway, I'm mostly trying to get a feel for the price action now.

"You don't need a weatherman to know which way the wind blows..."
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I don't mean to throw you off, but I think you should trade bigger not smaller. The 4 range chart is 1 hour for the entire range of the chart, that is pretty small, you might look at a much bigger chart instead.

Mike

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If you didn't see part 1 of my last webinar, trading bigger does not mean more risk. Trade smaller size or micro but bigger charts with less noise.

Mike

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Big Mike View Post
I don't mean to throw you off, but I think you should trade bigger not smaller. The 4 range chart is 1 hour for the entire range of the chart, that is pretty small, you might look at a much bigger chart instead.

Mike

Looking at the chart again, I realize I didn't post the entire thing. But I think that's not what you're talking about. On another chart I have all of Perry's moving averages, including the 8 and 10 range moving averages. I also have a time based chart I look at for context. I look at 60, 15, 5, 3 and 1 minute bars but I'm not making specific trading decisions off of that chart. I made an executive decision to start by looking at Perry's simplest setup for a little while just to get comfortable with it, and I've tried to arrange it to present the information as simply as possible. In a week or so I'll move on to

Just read your second post too. Which webinar is that?

In my mind Perry basically is looking for high percentage scalps. That style of trading fits my personality. I don't do so well if I have to wait too long, I get bored and lose focus. What remains to be seen in my mind is if his system actually accomplishes that. He made a pretty big claim in his webinar about the win percentage of the system, a percentage it's impossible for me to believe can be achieved with a system. Perry himself may be able to achieve a percentage like that (I knew a guy from the bond pit who didn't have a losing day for over two years!, his former clerk was trading in my pit and confirmed it), but that's probably more a function of Perry's tape reading skill than the system itself.

Right now, I'm mostly trying to reestablish a routine of getting up early, trading for a few hours with one specific methodology that others have had some success with, trying to understand as much about that methodology as possible, and being disciplined about keeping a journal.

Mike, thanks for the input, point taken.

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The webinar series is "Where to start as a trader" and is currently set at 6 or 7 installments, where I try to just help where I can with common mistakes.

I know you have a lot of trading experience. But I do immediately see the pattern of possibly trading too small (to minimize pain/losses) and having a ton of indicators for "confirmation". I have a lot of respect for perryg, but I would advocate "simple is better" for the most part, and simply encourage you to find your own trading method.

But I would suggest trading a larger time frame and just looking at 1 or 2 bigger charts. Like if you trade a 5 minute time frame for entry, then look at a 1 hour and 1 day chart for major s/r zones and key resistance levels, trends, etc.

Of course I would advise only trading bigger charts while maintaining the same risk, of 1% or 2% per trade. Change your instrument accordingly to get reach this risk level. I covered risk briefly in part 1 of the webinar series where I was just trying to make a point about instrument selection. But risk will have its own webinar at a future date.

Mike

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