Tradewinds Log and Performance Report

[Tradewinds 12]

I had a good profit on a trade, and let it all slip away. I've decided on some exit rules, that are straight forward and simple. Hopefully it will help in the future.

 

Exit orders on these three conditions:

 

• At Peak or Bottom signal
  
• On unusually large price moves
  
• Stop Loss - Price fails to move in my favor
  

 

I've been trying to scalp the ES on every price level. I've decided this strategy does not work well. When the trend is strong, it's rarely possible to exit, then re-enter at a better price. So, it's better to ride out the trend to it's end. The problem is, the price can turn against you with absolutely no warning. That is shown in the attached chart at 10:32 am. But, there was a good way, to deal with that situation. Price had an unusually big move up prior to the downturn at 10:32 am. That's where the rule for taking profit on an unusually large price move comes in.

 

Attached is a spreadsheet of my performance report.

Mar15.xls

[Tams 20]

some food for thought:

 

the exchange streams out a bunch of data for every trade... the time, the price, the volume...

why do they bother to sent out the volume if that piece of data is not important, or useful, or of no consequences?

 

 

looking at the time and price without consideration of volume in your analysis

is like ordering a hamburger, throws out the meat and just eat the bun.

 

 

my 2c

Edited April 15, 2011 by Tams

[Tradewinds 12]

Thanks Tams, I use the $TICK, Advancers, Decliners, Up Volume, and Down Volume as the basis for trading the emini SP 500. I have custom studies that process all that data. My data feed isn't what I would like it to be, but for development purposes, it's okay for now. I look at different aspects of all those inputs, and how they relate to each other.

[MightyMouse 12]

" I had a good profit on a trade, and let it all slip away. I've decided on some exit rules, that are straight forward and simple. Hopefully it will help in the future."

 

Tradewinds,

 

A lot of times when the above happens, you took a trade is in the wrong direction. If you create a rule to capture the profit of a trade that is in the wrong direction, and use it universally, then that rule might take you out of a trade, that is in the right direction, too early.

To get a 10 times winner, you have to leave the trade on and not create rules to take yourself out too early. Instead, create rules to keep yourself in.

 

You are simming right? Use the opportunity, now that you have time, to develop solid, profitable trading habits. Habits grounded in patience and discipline.

 

Rules for getting out of trades are important but so are rules for staying in a trade.

 

MM

[Tradewinds 12]

Rules for getting out of trades are important but so are rules for staying in a trade.

 

MM

 

The irony here, is that I had a "break through", and was staying in trades longer. In fact, I've made the decision to stay in trades longer, because a major problem of mine is that I get out too early. So I had made up my mind to stay in the trade until I had a peak signal. ( I was long). But price wasn't peaking, it was a large retracement before a bottom.

 

You are right, rules for staying in the trade are just as important. That's a good point.

[Tradewinds 12]

Apr 18. Made stupid mistakes early on. I seem to do that a lot. Then clawed my way back. In the end, I had 26 winners in a row and an 80% win rate. I'm starting to get all the pieces of the puzzle in place. Now it's just about execution. But I'm starting to trust my strategy and my signals, even though it goes against my initial reaction. After commissions, the profit would have only been $123 dollars. But that translates into over a $30,000 gain in a year. I'm trading limit orders on sim where the order will not fill unless price passes through the order.

 

Total Net Profit $287.50

Gross Profit $987.50

Gross Loss $-700.00

Commission $0.00

Profit Factor 1.41

Cumulative Profit 0.45%

Max. Drawdown -0.88%

Sharpe Ratio 1.00

 

Start Date 4/18/2011

End Date 4/18/2011

 

Total # of Trades 47

Percent Profitable 80.85%

# of Winning Trades 38

# of Losing Trades 9

 

Average Trade 0.01%

Average Winning Trade 0.04%

Average Losing Trade -0.12%

Ratio avg. Win / avg. Loss 0.33

 

Max. conseq. Winners 26

Max. conseq. Losers 3

Largest Winning Trade 0.12%

Largest Losing Trade -0.33%

 

# of Trades per Day 47.00

Avg. Time in Market 2.6 min

Avg. Bars in Trade 0.0

Profit per Month 14.53%

Max. Time to Recover 0.05 days

 

Average MAE 0.06%

Average MFE 0.04%

Average ETD 0.03%

[Tradewinds 12]

Apr 19. I'm trading 1 to 3 contracts on the ES. Short term trades. Avg time in Market 3.5 minutes today. $293.50 profit after fees. This is sim trading. not real. All orders will not fill unless price moves through entry price.

 

Today I ended up averaging in on quite a few trades, and trading some chop. I actually do very well trading choppy markets. It's that mentality to fight the market. Get me into a fight with a choppy market, and I'll "eat your lunch". :rofl:

 

Nice, happy, beautiful trend lines seem to be a problem for me.

 

I started the day out bad once again, and fought my way back. At least I know I'm capable of making a comeback. Now if I can get into the right state of mind earlier, I'll do even better.

 

Performance All Trades

Total Net Profit $412.50

Gross Profit $687.50

Gross Loss $-275.00

Commission $0.00

Profit Factor 2.50

Cumulative Profit 0.64%

Max. Drawdown -0.29%

Sharpe Ratio 1.00

 

Start Date 4/19/2011

End Date 4/19/2011

 

Total # of Trades 34

Percent Profitable 76.47%

# of Winning Trades 26

# of Losing Trades 8

 

Average Trade 0.02%

Average Winning Trade 0.04%

Average Losing Trade -0.05%

Ratio avg. Win / avg. Loss 0.77

 

Max. conseq. Winners 13

Max. conseq. Losers 4

Largest Winning Trade 0.12%

Largest Losing Trade -0.10%

 

# of Trades per Day 34.00

Avg. Time in Market 3.5 min

Avg. Bars in Trade 0.0

Profit per Month 21.30%

Max. Time to Recover 0.04 days

 

Average MAE 0.04%

Average MFE 0.04%

Average ETD 0.02%

Trade List 4_19_2011.xls

[Tradewinds 12]

Okay, I figured something out. Actually, I figure things out, then forget them. Then figure it out again. Then forget it again. After a while it "sinks in". What I need to do, and what I started practicing today, is to wait until my indicators are all synced to an extreme for entries. This gives me a better chance at a good entry, and forces me to wait until the conditions are right.

I have a couple of custom studies I programed that are oscillators. Price cycles back and forth in waves. I wait for both the oscillators to sync to one side of positive or negative for the entry.

It helped. 88% win rate, and I felt a lot more solid in my trading. Not a big profit, but I'll take the solid strategy and "piece of mind" any day. The es emini SP kind of died out, and I called it quits. Not much news this morning.

 

 

Performance All Trades Long Trades Short Trades

Total Net Profit $225.00 $212.50 $12.50

Gross Profit $300.00 $250.00 $50.00

Gross Loss $-75.00 $-37.50 $-37.50

Commission $0.00 $0.00 $0.00

Profit Factor 4.00 6.67 1.33

Cumulative Profit 0.34% 0.32% 0.02%

Max. Drawdown -0.11% -0.06% -0.06%

Sharpe Ratio 1.00 1.00 1.00

 

Start Date 4/20/2011

End Date 4/20/2011

 

Total # of Trades 17 13 4

Percent Profitable 88.24% 92.31% 75.00%

# of Winning Trades 15 12 3

# of Losing Trades 2 1 1

 

Average Trade 0.02% 0.02% 0.00%

Average Winning Trade 0.03% 0.03% 0.03%

Average Losing Trade -0.06% -0.06% -0.06%

Ratio avg. Win / avg. Loss 0.53 0.56 0.44

 

Max. conseq. Winners 15 12 3

Max. conseq. Losers 2 1 1

Largest Winning Trade 0.08% 0.08% 0.06%

Largest Losing Trade -0.06% -0.06% -0.06%

 

# of Trades per Day 17.00 13.00 4.00

Avg. Time in Market 3.4 min 3.4 min 3.5 min

Avg. Bars in Trade 0.0 0.0 0.0

Profit per Month 10.90% 10.27% 0.57%

Max. Time to Recover 0.01 days 0.01 days 0.03 days

 

Average MAE 0.04% 0.04% 0.05%

Average MFE 0.03% 0.03% 0.02%

Average ETD 0.01% 0.01% 0.02%

Trade List 4_20_2011.xls

Edited April 20, 2011 by Tradewinds

[Tradewinds 12]

I only traded one es emini SP contract today instead of averaging in with two or three at times. Didn't make very much money. The news at 10:00am caught me on the wrong side of the trade. That was my biggest mistake. The Up Volume minus Down Volume dropped hard at 9:53 am, 7 minutes before the news release. Makes me wonder what people know before the news comes out. I took the chance, that it might be a bottom and went long right before the news. STUPID!! :crap:

I can say I learned something new today. It seems like I learn something new almost every day. I'm not sure if that's true, but I hope it's a good sign.

I had a very small profit at the time I decided to quit, then I entered just one more order, hoping to get just a little more money. Well, that's a very bad way of thinking. Of course, the order went bad.

I would have had about a $53 dollar loss after fees today. Okay, well. Not what I wanted, but can't make a gain every day. At least it's not a big loss.

 

Performance All Trades

Total Net Profit $62.50

Gross Profit $412.50

Gross Loss $-350.00

Commission $0.00

Profit Factor 1.18

Cumulative Profit 0.09%

Max. Drawdown -0.23%

Sharpe Ratio 1.00

 

Start Date 4/21/2011

End Date 4/21/2011

 

Total # of Trades 33

Percent Profitable 78.79%

# of Winning Trades 26

# of Losing Trades 7

 

Average Trade 0.00%

Average Winning Trade 0.02%

Average Losing Trade -0.08%

Ratio avg. Win / avg. Loss 0.32

 

Max. conseq. Winners 6

Max. conseq. Losers 2

Largest Winning Trade 0.06%

Largest Losing Trade -0.17%

 

# of Trades per Day 33.00

Avg. Time in Market 7.5 min

Avg. Bars in Trade 0.0

Profit per Month 2.90%

Max. Time to Recover 0.13 days

 

Average MAE 0.04%

Average MFE 0.03%

Average ETD 0.03%

[Tams 20]

learning something without paying too much... that's a good thing.

[Tradewinds 12]

Tharp Trader Test - What type of trader I am:

 

You are a

Strategic

Trader

 

You are quick to see market patterns, which allows you to take advantage of them. You are an avid thinker; therefore, understanding trading will come easier to you than to your peers. Your great drive to achieve your goals will help you be a great trader, if that is important to you.

 

One of Your Trading Strengths - You are quick to see patterns with the ability to rapidly hypothesize and generate low-risk trading ideas.

 

One of Your Trading Challenges - You have a strong desire to be right so you might want to work on perfecting systems rather than trading them.

 

The above statements are the results of my Tharp Trader Test. It really "nailed" me. This is the type of trader I am. This is interesting. It describes exactly what I'm trying to do.

[Tradewinds 12]

Wow, that Free Tharpe Trader Test was encouraging. Out of the 15 possible trader types Tharpe has defined, I scored in the highest group. The report states that I have potential, IF I'm willing to do the following:

 

First, are you willing to take complete responsibility for your trading results? There is no room to blame the market, your broker, your education, or anything else. Second, can you change your thinking so that you treat your trading as a business? Initially, this means writing a thorough business plan. Third, could you develop a trading system that fits you?

 

You probably live in a world of ideas and strategic planning. You value intelligence, knowledge, and being competent. You have an original mind and a great drive to implement your ideas and achieve your goals.

 

TRADING CHALLENGES:

 

You may be so logical that you don't recognize when emotions are causing you to self-destruct.

 

You have a strong desire to be right, even to the extent of perfectionism. This might cause you to never actually trade because you continually are trying to develop or buy better systems.

 

You may be susceptible to the loss trap. Therefore, you may not honor your stops because you want to be right about your trades.

 

Okay, so they are telling me what I already know. Now what do I do? Well, it's good to consciously think about this stuff so that I can deal with it.

[youri 10]

I took test aswell i am supportive trader what ever that mins.

[Tradewinds 12]

Did well PRACTICE trading today. I've been through a bad patch of extremely frustrating PRACTICE trading, where I have been doing very poorly. I think what happens is that as my strategy gets refined, I go through stages where I'm looking for new insight and a better understanding, and I get into an experimentation phase. Today, I was just trading like a robot. I took every signal. I didn't do a whole lot of creative thinking. Just follow the rules. When I get into the "zone", the equity curve just goes up, up, up.

When I'm in that experimentation phase, looking for answers, and trying to refine my strategy, I just let trades keep going to see what will happen. If I take profit when the opportunity is there, then re-evaluate the market, things seems to go much, much better. Actually, I was trading very strict profit taking rules today, and I believe that is what makes the difference. When I get my profit signal, if I act decisively, things go well. If the trade starts going against me, I go into an indecision state of mind, and can't figure out what to do.

[Tradewinds 12]

es June 7, 2011 open

The Net volume and the AD are out of sync after the open. There is a "fight" going on between volume and the AD. These opposing forces cause large price swings and make it difficult to

discern a dominant trend. At 9:52 am the AD and Vol begin to sync up and trend up together. Price follows in a well defined trend until 10:18 am

 

 

[Tradewinds 12]

es June 8, 2011 open

es peaks at 9:42 The retracement, then subsequent newer high of the price, and the momentum slowing on my indicators give a high probability peak signal at 9:42

 

[Tradewinds 12]

es mid morning June 8, 2011

Price moving down strongly from 9:42 to 9:49, retraces at 9:53, then starting looking for the bottom.

First sign of momentum slowing is at 9:58

The retracement at 9:53 was very sharp and quick. Often the retracement is longer and more drawn out.

 

[Tradewinds 12]

es June 9 011 open

Rules:

Watch for price and momentum at odds, moving in opposite directions.

Normally I look for price retracement against the trend before a reversal. There was a higher high at 9:36am. That's not what I think of as a retracement, but it does show strength against the trend. The failure of price to go lower at 9:39 could have been a late indication of price reversing up.

 

[Tradewinds 12]

es June9 11 Mid Morning

Peak cycle happens, but reversal down fails. Continue up. Price in in a longer cycle.

Rule: Weak momentum without a peak signal, (E.g. no retracement, no lower low against the trend, no stronger momentum against the price) expect price retracement, but no reversal.

 

 

[Tradewinds 12]

This chart compares two almost identical situations. In the first, price goes up. In the second, price goes down.

 

[Tradewinds 12]

Made 3 Scalps today, just to get myself trading live. I decided on entry prices ahead of time, and let the price come to me. When I do that, I seem to have better success. When I worry that I missed a good entry price, and start chasing the price, I usually loose money. All 3 trades made money. So that was encouraging. I got a new account approved with TradeStation, and I'll be funding it tomorrow probably. Then I need to transfer all my programs over.

[MadMarketScientist 11]

I got a new account approved with TradeStation, and I'll be funding it tomorrow probably. Then I need to transfer all my programs over.

 

What platform\broker are you moving from? And why did you choose TradeStation? I'm thinking of getting serious and going to something where I can program (like Ninja) but I would like to hear why you picked TradeStation. Maybe this isn't the best thread for this discussion but I wanted to ask anyway ...

 

thanks

MMS

[Tradewinds 12]

What platform\broker are you moving from? And why did you choose TradeStation? I'm thinking of getting serious and going to something where I can program (like Ninja) but I would like to hear why you picked TradeStation. Maybe this isn't the best thread for this discussion but I wanted to ask anyway ...

 

thanks

MMS

 

I've practice traded NinjaTrader, and probably would have gone with NinjaTrader, and a futures broker, but the futures broker I had a datafeed with didn't even return an email I had sent to them. If they don't want my business, that's fine, I don't want to do business with someone who doesn't want to do business with me.

 

I have not used the TradeStation platform, because you need a funded account to get access to the platform. I've had contact with a couple of people who do a lot of programing, and they use TradeStation. TradeStation does not necessarily get the best reviews in broker reviews, but they get more reviews than any one else. My experience with researching anything that has reviews is this:

 

The product or service that has the most reviews, NEVER has the best review. The product or service that often has some of the fewest reviews can get a perfect score. But the only way a product or service can get the highest rating, is if they don't have many reviews. If there are a LOT of reviews, there will inevitably be people who don't like the product or service. That brings the rating down. That is what I have observed.

 

I know that TradeStation is capable of doing what I need for programing, it's widely used, and has a good rating. They have been rated #1 by Barons for a long time.

 

I would prefer using Easy Language compared to the programing language that NinjaTrader uses. I have not used Easy Language, but I've seen Easy Language code, and I liked the impression I got from how it is structured.

 

I've looked at other platforms, and nothing stood out to me. Again, I would have gone with NinjaTrader if I'd had some customer service from the broker. Most of what I'm writing here is just my impressions, as I haven't used TradeStation yet, and only used NinjaTrader for a month, and didn't do any programing.

 

I've been using Thinkorswim, and am satisfied with them as a broker. I have nothing against them. But the margin balance requirement is less with TradeStation. Thinkorswim has a separate platform for automated trading with a programing language that I'm really not interested in. And thinkorswim's backtesting of custom programs is not adequate for what I need. My impression of TradeStation is substantially better than other platforms I've looked at, and I know that other professionals use the platform. I'll be able to verify that soon.

[Tradewinds 12]

I'm just starting to use TradeStation. Practice trading:

 

Attached is the performance report.

June 29 2011.xls

[Tradewinds 12]

I've just got all my custom studies transferred from thinkScript into EasyLanguage. That's taken me a little over a couple of weeks to learn EasyLanguage and convert 7 indicators. One of which is posted in the Trading Indicators section here:

 

http://www.traderslaboratory.com/forums/trading-indicators/10265-support-resistance-auto-plots.html

 

I fixed the problem with my desktop crashing all the time by swapping out the CPU to an old Pentium 4 dual core. My newer E8500 dual core was the problem in my home built computer. Once I start getting some money coming in, I'll either build or buy something newer.

 

I have two logins for Tradestation, running on two computers, and a second internet backup. Been learning the platform and practice trading for the last couple of weeks. I don't think I've had a loosing day. I'll have to create a trade report and post the stats.