CL151

Discussion in 'Journals' started by dom993, Apr 13, 2014.

  1. dom993

    dom993

    Results for the week ending May 16th: (live accounts, 1 contract each)
    - Basic TM: 1 win ; no loss ; net +225
    - Alternate TM : 1 win ; no loss ; net +265

    Both trade management options are making a new "all-time" P&L peak.

    I am now actively working on CL151 v04 - it will bring 1 new pattern (150), which purpose is to anticipate the pattern 151 entry in strong trends - as this is really when entries are the most desirable, and unfortunately in strong-trends CL can stop its pullbacks just before generating a pattern 151 entry signal.

    The performance improvement isn't negligible, up to +14% for the BasicTM of pattern 151 standalone, and it really helps smooth the equity curve & improve the Sharpe ratio (interestingly, the performance differences are most visible in the 2 years pattern 151 was the weakest: 2010 & 2012).

    Have a good week-end,
    Dominique
     
    #11     May 16, 2014
  2. dom993

    dom993

    Results for the week ending May 23rd: (live accounts, 1 contract each)
    - Basic TM: 1 win ; no loss ; net +195
    - Alternate TM : 1 win ; no loss ; net +195

    Both trade management options are making a new "all-time" P&L peak.

    The preliminary v04 that I run on sim went long yesterday at 2:05pm (pretty
    much the LoD), and stayed long up to the close today ($765 for 1 contract).
    Note that there is a price to pay for these anticipated trades (which count
    is about 17% of the pattern 151 count), in the form of an average 12-ticks
    worse entry than the regular pattern 151 (when CL provides such entry). The
    only pattern 151 trade this week, was only +$75 when taken using pattern
    150.

    Have a good week-end,
    Dominique
     
    #12     May 23, 2014
  3. dom993

    dom993

    Results for the week ending May 30th: (live accounts, 1 contract each)
    - Basic TM: 1 max loss ; net -1235
    - Alternate TM : 1 max loss ; net -1225

    This was - unfortunately - one of the rare max-loss of this system (the 2nd this year, on 50 trades). A poor way of closing the month, net -75 on the month for the basic TM & -25 for the alternate TM.

    I completed the development & alpha-testing of CL151 v04, and I am starting the beta-testing of this version ... I will be using it on my VPS to generate the Collective2 signals from Sunday's open, and I will continue to use it on sim on my backup trading platform. The plan is for me to go live with it on June 15th, and to make it available to all clients by June 29th (trials are welcome to use it right away).

    Attached is the backtest performance data for v04 BasicTM.

    Have a good week-end,
    Dominique
     
    #13     May 30, 2014
  4. dom993

    dom993

    And this is v04 AlternateTM
     
    #14     May 30, 2014
  5. dom993

    dom993

    Results for the week ending June 6th: (live accounts, 1 contract each)
    - Basic TM: 2 wins ; net +1360
    - Alternate TM : 2 wins ; net +1180

    BasicTM makes a new P&L peak (+125 vs prior one), while AlternateTM is -45 off its last P&L peak.

    Week-1 of CL151 v04 beta : OK

    Have a good week-end,
    Dominique
     
    #15     Jun 6, 2014
  6. dom993

    dom993

    Results for the week ending June 13th: (live accounts, 1 contract each)
    - Basic TM: 3 wins ; 1 BE ; net +1040
    - Alternate TM : 1 win ; 1 BE ; 2 (small) losses ; net +300

    Both trade-management options end the week on a new P&L peak.

    This week was a reminder that the Alternate TM has a lower win% than the BasicTM ... Hopefully we'll get soon a reminder that it can get much larger wins than the BasicTM!

    Week-2 of CL151 v04 beta : OK => I'll be switching to v04 for my live-trading this week-end (I will use pattern 150 only on the BasicTM for a couple of months).

    Have a good week-end,
    Dominique
     
    #16     Jun 13, 2014
  7. dom993

    dom993

    Results for the week ending June 20th: (live accounts, 1 contract each)
    - Basic TM (v04, all patterns): 2 losses ; net -560
    - Alternate TM (v04, patterns 151+152+153): 1 loss1; net -385

    One more trade for the account trading all 4 patterns, that was a pattern 150 which was exited a couple minutes later, as the pattern 151 signal was filtered by the news window filter (830..835).

    Week 3 of CL151 v04 beta : OK ... I am releasing that version to my clients this week-end for sim-trading only this week, and assuming no issues for live-trading starting June, 29th.

    Have a good week-end,
    Dominique
     
    #17     Jun 21, 2014
  8. dom993

    dom993

    Results for the week ending June 27th: (live accounts, 1 contract each)
    - Basic TM (v04, all patterns): 2 losses ; net -850
    - Alternate TM (v04, patterns 151+152+153): 2 losses ; net -620

    There were a lot of Internet connectivity issues on Wednesday & Thursday, the system did pretty well in these circumstances across the board, but I did take note (& action) of a couple improvements, which will be included in the beta-3 released this week-end.

    Week 4 of CL151 v04 beta : OK ... I am extending the beta one more week, to allow for testing of the latest improvements in error handling.

    Have a good week-end,
    Dominique
     
    #18     Jun 27, 2014
  9. dom993

    dom993

    Results for the week ending July 4th: (live accounts, 1 contract each)
    - Basic TM (v04, all patterns): 1 win, 1 loss ; net +10
    - Alternate TM (v04, patterns 151+152+153): 2 losses ; net -380

    I decided last week-end to hold-off releasing v04 beta-3 for 1 week, in order to give it more soak-time on my own systems. This also allowed me to include a scope extension for pattern 152, and a new pattern (154). I released v04 beta-3 yesterday.

    Week 5 of CL151 v04 beta : OK ... Next week should really be the last week of beta-testing.

    Have a good week-end,
    Dominique
     
    #19     Jul 5, 2014
  10. dom993

    dom993

    Results for the week ending July 11th: (live accounts, 1 contract each)
    - Basic TM (v04, all patterns): 2 wins ; net +520
    - Alternate TM (v04, patterns 151+152+153+154): 1 win ; net +855

    Only 1 trade for the AlternateTM as the 2 entries for BasicTM were back-to-back, so on that 2nd entry AlternateTM was still in the trade & just kept it open with trade-management parameters reset (in effect, a virtual exit + new entry)

    Week 6 of CL151 v04 beta : OK ... I am releasing it for live-trading this week-end.

    Have a good week-end,
    Dominique
     
    #20     Jul 11, 2014