This journal is going to be dedicated to my system CL151. CL151 is an intraday trading system, based on the most stable and 2nd largest pattern of CL Always-In. It trades pullbacks in the direction of a confirmed macro-trend. This system uses at its core the same trend detection mechanism as CL Always-In, but uses a different set of confirming factors. It looks for series of trends (macro-trend) making HH (for up-trends) or LL (for down-trends), then fades the trend-change signal coming off the extreme of the macro-trend, expecting that pullback to attempt a retest of the macro-trend extreme. There are 2 trade-management options available: The basic trade-management rides the pullback trend, and exits at the next trend-change. It has a high win% (around 70%), with a relatively low W/L ratio (around 0.70). The alternate trade-management rides both the pullback trend, as well as the following-one (back in the direction of the macro-trend). It generates much larger wins when there is follow-through, but the win% is not as good (around 52%, with a W/L ratio over 1.4). More information on this system can be found here. On the technical side, this system runs in NinjaTrader, on a VPS in Chicago. It is 100% automated, including reloading price-history after a loss of datafeed, rollover of the open position, and includes a proprietary work-around to provide backadjusted data from 6pm to midnight on the rollover date (as NinjaTrader 7 cannot do that before midnight, and neither can IQfeed on their continuous backadjusted contract). I will provide here a weekly recap of the system's performance, as well as comments when appropriate. My live account trading the basic trade-management is tracked by RAPACapIntro: http://rapacapintro.com/account/accounts?acc=CL151
Results for the week ending April, 11th: (my live accounts) - Basic TM: 4 wins ; 1 loss ; net +295 - Alternate TM: 2 wins ; 1 loss ; 1 BE ; net -30 The system made official (backtest) new all-time P&L peaks for both trade-management options, before closing the week on a losing trade. This week's result should have been +965 higher for my trading of the alternate TM, if it wasn't for finding-out that InteractiveBrokers' server doesn't like back-to-back exit/re-entry in the same direction: it cancelled the re-entry open order, and when I found out I decided to focus on analyzing what happened, and not try chasing that trade. Anyway, that won't happen again, as I fixed the software to ensure it doesn't exit to re-enter in the same direction on the same bar.
Results for the week ending April 17th: (live accounts) - Basic TM: 1 win ; 1 loss ; net +130 (of which, 5-ticks of positive slippage - vs backtest tonight) - Alternate TM : 2 wins ; net +405 (of which 10-ticks of positive slippage - vs backtest tonight)
Here is the recording of the webinar ... the 2nd part focuses on CL151, it starts at 16min for approx. 30min <iframe class="tscplayer_inline embeddedObject" name="tsc_player" scrolling="no" frameborder="0" type="text/html" style="overflow:hidden;" src="http://www.screencast.com/users/dom993trading/folders/Presentations/media/cf238bac-b4c6-4e60-b74c-e34ec816ee7f/embed" height="646" width="858" webkitallowfullscreen mozallowfullscreen allowfullscreen></iframe>
"Results for the week ending April, 11th: (my live accounts) - Basic TM: 4 wins ; 1 loss ; net +295 - Alternate TM: 2 wins ; 1 loss ; 1 BE ; net -30" What do these value mean ? Percentages, basis points, Euros, dollars ...? If actual money, why not use one of the conventional currency indicators ?
Results for the week ending April 25th: (live accounts, 1 contract each) - Basic TM: 4 wins ; no loss ; net +780 - Alternate TM : 3 wins ; 1 loss ; net +810 Both trade management options are making a new "all-time" P&L peak on the last trade. The attached pics are this last trade of the week (1 pic per trade management option)
CL151 had a solid month (April 2014) - the results below are for trading 1 contract. Basic TM - "official" results (backtest, 1 tick systematic slippage on entries + same on exits) 15 trades ; 11 wins ; 3 losses ; 1 BE ; net +1325 Basic TM - public live results (as tracked by RAPACapIntro) 15 trades ; 11 wins ; 3 losses ; 1 BE ; net +1590 The better live performance comes from 7-ticks of positive slippage vs backtest, and one discipline error (manually moved the stop on a stall 1-tick from dynamic exit) Alternate TM - "official" results (backtest, 1 tick systematic slippage on entries + same on exits) 13 trades ; 9 wins ; 3 losses ; 1 BE ; net +1915 AlternateTM - live results 14 trades ; 10 wins ; 2 losses ; 2 BE ; net +1470 There were 3 back-to-back (same direction) entries early April, the 2nd one was cancelled by IB, apparently as the entry order immediately followed the exit order for the prior same-side trade. Of course, that missed trade was the largest official win of the month (+965) - anyway, I fixed the software to address those back-to-back trades, and stay in the trade instead of an exit+reentry. Aside from that, there were 16-ticks of positive slippage in the account, and the same discipline error early April.
Results for the week ending May 9th: (live accounts, 1 contract each) - Basic TM: 2 wins ; no loss ; net +740 (+515 / +225) - Alternate TM : 2 wins ; no loss ; net +740 (+585 / +155) Both trade management options are making a new "all-time" P&L peak.