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Xiao si

The First Day of My New Trading Business

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Hiya folks, just dropping by to give everyone New Years greetings and wish all the best for the year of the Dragon.

 

I will have a detailed update on my trading business very soon but here are some highlights:

 

1.) this is very difficult:(

2.) this is impossible:crap:

3.) i feel like i'm starting to get somewhere....:cool:

4.) repeat from step 2.):doh:

5.) still have a long ways to go:roll eyes:

6.) thank God for simulators!;)

7.) I hate myself.......:angry:

8.) i am my own worst enemy:bang head:

9.) there is hope, i found a coach!.......:)

 

Some things that i realized are understated in this game:

1.) Be patient

2.) You must have a plan for every trade

3.) You must stick to your plan

4.) You cannot do this by yourself, you will need help.

5.) You will try many indicators, systems, theories...but yet the answer lies within more than you think.

 

Cheers for now.

 

 

XS

Thanks for the update.

 

5 years from now, you will say to yourself step #3 again.

 

 

 

 

no, this is not a discouragement, merely a reality check, so that you can prepare yourself.

 

Good luck.

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Tam, do you know any NinjaTrader Programmers in Australia?

 

Cheers,

 

 

XS

 

no I don't.

 

you can check the ninja website. They have a section on referrals.

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Well after another two months of trial and error...and error...we've got a system that tested out ok on the HangSeng. I'll post a trade summary tomorrow and an equity curve with a system stop as well. This system will go into live testing Monday morning, Shanghai time!

 

Please feel free to critique, ask for more info etc. The tests were based on three contracts. The first two contracts were taken off at 1R, or stopped out. The third, if not stopped out uses a trailing stop.

 

Its a pullback/trend following system that works on a 200 or 400 tick chart. It looks for an impulse move and then tries to hop on. This works well on the HangSeng, but the drawdown is still quite severe...those are HongKong Dollars btw.

 

It carried over to the DAX reasonably well too with almost no changes to the settings, although its much more effective short and would need a different entry for longs to be really effective, comfortable.

 

Cheers,

 

 

XS

5aa710d8e91c4_NinjaTraderMonthlyNetProfitReport01_07_2008-30_06_2011.thumb.jpg.421ad04e03357e17d282c40861dfb15a.jpg

5aa710d8ee0ea_NinjaTraderCumulativeProfitReport01_07_2008-30_06_2011.thumb.jpg.c0cb5f8c87da976fe0c789c5e65a3ccf.jpg

5aa710d8f31be_NinjaTraderTradesProfit_LossReport01_07_2008-30_06_2011.thumb.jpg.c9fdca226e532e3a46774aa7f9edd96a.jpg

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Well after another two months of trial and error...and error...we've got a system that tested out ok on the HangSeng. I'll post a trade summary tomorrow and an equity curve with a system stop as well. This system will go into live testing Monday morning, Shanghai time!

 

Please feel free to critique, ask for more info etc. The tests were based on three contracts. The first two contracts were taken off at 1R, or stopped out. The third, if not stopped out uses a trailing stop.

 

Its a pullback/trend following system that works on a 200 or 400 tick chart. It looks for an impulse move and then tries to hop on. This works well on the HangSeng, but the drawdown is still quite severe...those are HongKong Dollars btw.

 

It carried over to the DAX reasonably well too with almost no changes to the settings, although its much more effective short and would need a different entry for longs to be really effective, comfortable.

 

Cheers,

 

 

XS

 

I am not sure if I would go live with these statistics.

Heng Sang is a big mover, you will need capital.

Draw down is the norm in an auto-trade system, especially HSI. If you can't handle the heat, try something else.

 

If you look at the HSI daily chart, you will like the profit potential. The killer is in the detail... zoom in to the minute level and you will see the whip saw oscillations. You have to back away from the whip saw to make the long term big money. If you try to capture the whip saws, the whip saw will capture you.

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I am not sure if I would go live with these statistics.

Heng Sang is a big mover, you will need capital.

Draw down is the norm in an auto-trade system, especially HSI. If you can't handle the heat, try something else.

 

If you look at the HSI daily chart, you will like the profit potential. The killer is in the detail... zoom in to the minute level and you will see the whip saw oscillations. You have to back away from the whip saw to make the long term big money. If you try to capture the whip saws, the whip saw will capture you.

 

Thanks for the feedback Tams....yup...been watching the HSI for months, still quite skeptical about this system being able to tame it...thats why i will be testing forward on live data but using the Sim account only. I have another strategy that i'm developing to tak advantage of those big daily candles...err i hope.

 

XS

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27834d1331303703-first-day-my-new-trading-business-ninjatrader-trades-profit_loss-report-01_07_2008-30_06_2011.jpg

 

from this chart, you are not doing any better than 1:1

ie you are risking one dollar to make a one dollar profit.

whenever you have a system that is so close in profit loss ratio, you are just working for the broker. At the end of the month, you will find you are paying more in commission than net profit.

 

If you have a black swan event (look it up if you are not familiar with the term), you will wiped out a year's profit in one trade.

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27833d1331303675-first-day-my-new-trading-business-ninjatrader-cumulative-profit-report-01_07_2008-30_06_2011.jpg

 

which sim account you are using?

 

If you are using IB's papertrading account, that's not too bad. Others are not as trustworthy; most sim accounts tend to give you a fill where no fill is possible in real life.

 

You must check to make sure the trades went through the price, otherwise it should not count as a trade. If you are using stop loss orders, expect real life stops to have large slippage. HSI is thin, it is not kind to stop orders. If many occasions, when the market is thin enough, the insiders will go to grab your stops. You will not be able to see this in a backtest situation.

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27833d1331303675-first-day-my-new-trading-business-ninjatrader-cumulative-profit-report-01_07_2008-30_06_2011.jpg

 

which sim account you are using?

 

If you are using IB's papertrading account, that's not too bad. Others are not as trustworthy; most sim accounts tend to give you a fill where no fill is possible in real life.

 

You must check to make sure the trades went through the price, otherwise it should not count as a trade. If you are using stop loss orders, expect real life stops to have large slippage. HSI is thin, it is not kind to stop orders. If many occasions, when the market is thin enough, the insiders will go to grab your stops. You will not be able to see this in a backtest situation.

 

Tams, thanks for the advice...

 

IB's paper trading account would give me fills in SIM mode that were hundreds of points off market. When i queried them they said basically 'its a simulated market, what do you expect?' So for now i will need to use the sim account on NT.

 

I do factor in slippage, the tests were run with default fills, not liberal. I will run more tests with more slippage and liberal fills and post the curve.

 

One of the key factors in this system, as with most successful intraday systems is that it trades at the most liquid times, and that is part of the parameters you can adjust and test on. Also, the day of the week.

 

The strategy does not place stops in the market, the orders are sent directly as they are triggered. Nevertheless I'm sure the big guns know that there are stops 10,20,30 points off market.

 

Keep it coming....this is good stuff.

 

XS

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27834d1331303703-first-day-my-new-trading-business-ninjatrader-trades-profit_loss-report-01_07_2008-30_06_2011.jpg

 

from this chart, you are not doing any better than 1:1

ie you are risking one dollar to make a one dollar profit.

whenever you have a system that is so close in profit loss ratio, you are just working for the broker. At the end of the month, you will find you are paying more in commission than net profit.

 

If you have a black swan event (look it up if you are not familiar with the term), you will wiped out a year's profit in one trade.

 

Yes, i admit there is nothing that encouraging about the scatter gram. The profit factor needs to be increased or otherwise a bad trade could do just as you mention...and yes I'm familiar with the term Black Swan and actually Nassim Taleb's book of the same name....did you happen to read it as well?

 

XS

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With 1 point of slippage each way, on each contract, the systems profit is cut in half.

 

See charts...

 

if you are trading with market orders, I afraid that 1 pt slippage is not enough.

on the average, 5 pts is more realistic. This is HSI we are talking about. It is brutal when it comes to spreads. But once it moves, if you are on the right side, you don't care about the 5 pt spread, you are aiming for the big pay off.

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An equity curve with the system stop on it, and a trade summary of the original parameters.

 

1st problem:

 

Your ETD is too high.

ie. your system is not efficient. You are giving back too much of what you have earned.

 

2. your average time in the market is only 3.1 min. It is not exactly a bad thing, but when you are only doing less than one trade per day, then your system is neither riding the market, nor scalping the market. ie. you are letting most of the profit potential passing you by. You can only make money if you are in the market, if you are standing on the side most of the time, then I would expect the system to be very diligent in scrutinizing trade opportunities, and the system would enter a trade only under high probability situations. When the system enters the market, the trade has better be good... ie have a high profit to loss ratio. But your stat is showing a scalper's win-loss record.

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Tams, thanks for the advice...

 

IB's paper trading account would give me fills in SIM mode that were hundreds of points off market. When i queried them they said basically 'its a simulated market, what do you expect?' So for now i will need to use the sim account on NT.

 

I do factor in slippage, the tests were run with default fills, not liberal. I will run more tests with more slippage and liberal fills and post the curve.

 

One of the key factors in this system, as with most successful intraday systems is that it trades at the most liquid times, and that is part of the parameters you can adjust and test on. Also, the day of the week.

 

The strategy does not place stops in the market, the orders are sent directly as they are triggered. Nevertheless I'm sure the big guns know that there are stops 10,20,30 points off market.

 

Keep it coming....this is good stuff.

 

XS

 

on the IB sim, were you using the papertrading account? or the demo system?

 

The papertrading account is supposed to be a mirror image of the real account -- same data feed, same execution, only with fake money.

 

the demo system is not real. It uses day-old data. It is good for testing codes, but not a sim account per se.

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Yes, i admit there is nothing that encouraging about the scatter gram. The profit factor needs to be increased or otherwise a bad trade could do just as you mention...and yes I'm familiar with the term Black Swan and actually Nassim Taleb's book of the same name....did you happen to read it as well?

 

XS

 

Yes, Nassim Taleb's book is a must read for all traders.

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on the IB sim, were you using the papertrading account? or the demo system?

 

The papertrading account is supposed to be a mirror image of the real account -- same data feed, same execution, only with fake money.

 

the demo system is not real. It uses day-old data. It is good for testing codes, but not a sim account per se.

Paper Trading account....that's why i complained for the 100 point 'slippage'.

 

Given your comments i guess the only trick i have left is to optimize the trade management. I risk a curve fit, but i can save some data to walk forward on later.

 

XS

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1st problem:

 

Your ETD is too high.

ie. your system is not efficient. You are giving back too much of what you have earned.

 

2. your average time in the market is only 3.1 min. It is not exactly a bad thing, but when you are only doing less than one trade per day, then your system is neither riding the market, nor scalping the market. ie. you are letting most of the profit potential passing you by. You can only make money if you are in the market, if you are standing on the side most of the time, then I would expect the system to be very diligent in scrutinizing trade opportunities, and the system would enter a trade only under high probability situations. When the system enters the market, the trade has better be good... ie have a high profit to loss ratio. But your stat is showing a scalper's win-loss record.

 

Well your probably not going to like this either, but its got 5 points of slippage, and its trading one contract.

 

Interestingly enough this system can produce profits in a variety of ways.:)Seems robust...

 

Cheers,

 

 

XS

5aa710d94aa63_Tsum1cntrct.GIF.d84b5cfbcc8279702cc9df8f0ed53910.GIF

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Well your probably not going to like this either, but its got 5 points of slippage, and its trading one contract.

 

Interestingly enough this system can produce profits in a variety of ways.:)Seems robust...

 

Cheers,

 

 

XS

 

I am glad to hear that your system is producing profit, even with a 5 pt slippage.

It seems this strategy has potential.

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Paper Trading account....that's why i complained for the 100 point 'slippage'.

 

Given your comments i guess the only trick i have left is to optimize the trade management. I risk a curve fit, but i can save some data to walk forward on later.

 

XS

 

That is unusual.

Have you check to see at what time was the slip?

Was it the opening bar?

or at 9:30am when the stock market opens?

 

I noticed your back test is from 2008. Bear in mind that there were some fast market actions during that time. Also bear in mind some of the daily trading ranges and intraday oscillations were wider than normal.

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If you can identify the human behavior that the system is capturing, then you have something. If you can't, then you just happened upon a really nice string of data that you have to hope appears again.

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If you can identify the human behavior that the system is capturing, then you have something. If you can't, then you just happened upon a really nice string of data that you have to hope appears again.

 

Its just a pullback, fear of missing out...

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