...And They Have a Plan. (Live.)

Discussion in 'Journals' started by Overnight, Feb 14, 2017.

  1. Overnight


    Oh, I almost forgot to mention...The whole point of this plan about mitigating risk...

    Before the CL market closed, I had 4 open contracts. That required $4K in the trading account to cover the day-trading margin.

    But when the market closed at 5PM ET, the CME overnight margin kicked in, and with the offsetting spreads, will come out to about $700 due to the margin discount CME allows. So in effect, it is less risky to hold overnight positions in futures with the CME in a calendar spread than to hold onto them during the day. But it all depends upon your broker I suppose, and what they require you to do. :)

    This is one of the things we will be exploring in this journal, regarding...*shudders*...options. I fucking hate options. HATE. But if I could use it as a tool to help make more money, I am all for it.
    #11     Feb 14, 2017
  2. I like where your journals heading , whats the theory behind your strategy? (mean reversion, trending etcc..)
    #12     Feb 14, 2017
  3. xandman


    I understand. It is only an order entry solution. Honestly, workflow and workflow solutions fascinate me the most. The market offers "cigarette butts" to pikers, if you have the time for it.

    OK. How do you identify and manage risk? What do you think is the risk?

    ie. Spreads can blow out and they will when we leave this trading range in CL.

    My impression is that you are "boxing" in profits like an option box. But, much less precisely because the curve will continue to assert itself in changing ways. And unlike a box spread's premium, you have time delta (which can still make new highs and lows). Nonetheless, profits are rolling in. So, let's focus on risk.

    You can pooh-pooh option trading. But, pooh-pooh institutional futures spread trading methods at your own peril. Please tell me you have this competence. (For the record, I don't.)
    #13     Feb 14, 2017
  4. Overnight


    I do not poo-poo on any type of trading. I simply don't understand options and how they can help me at this time, but there might be something there. It would be a huge learning curve.

    As for "institutional futures spread trading methods", I do not know what you are referring to. I do not know what "institutions" actually do.

    My level of "competence" comes down to a very basic pre-condition..."Do I have enough capital to cover a mistake, and how long can I hold the mistake for a recovery"? At this point, I wish I had twice the capital I currently have to have good confidence in the system.
    #14     Feb 16, 2017
  5. I am curious :
    could you put a list of your losses, or just the % of capital that each loss represent, as well as how long each loss was held for?
    I don't know if this would be possible, is it possible to see the maximal adverse heat on each trade, as well as the % of your capital that it represents?
    #15     Feb 16, 2017
  6. Overnight


    It's all in that trade summary page you see above, the one which shows each trade entry and exit time. Study it. I could not post every chart for every day, that would be too unwieldy. The "maximum adverse heat" on the open positions is simply what the unrealized PnL is considering all open positions + maintenance margin during each day, from settlement time through market close. 6PM ET, it all resets back to day margins. And the cycle starts all over again for the next trading day.

    As for the percentage of capital lost on each loser, that is also irrelevant. The only thing that is relevant is being able to maintain positive NLV at market close. That is the ONE rule that must be adhered to. It is the prime mover of this system. Positive NLV = no margin call.
    #16     Feb 16, 2017
  7. Overnight


    Well, here is the final summary for the week ending yesterday.

    (See the NT7 thread in the "Trading Software" section for my little beef about the issues with the journal.) Man, I really needed this 3-day weekend. Calgon, take me away.

    A whole lotta' notta here.

    #17     Feb 18, 2017
    vanzandt likes this.
  8. xandman


    You must be kidding. Your up 6% for the week

    Have you analyzed trade #30 and #42 on different time frames already?
    #18     Feb 18, 2017
  9. Overnight


    #19     Feb 18, 2017
  10. The P&L is up 6% for the week. But I don't think that his NLV (account value) is up 6% for the week?

    @Overnight It is interesting to see that the trades not relate to only one futures contract (one expiry), but that you use several different ones.
    #20     Feb 18, 2017