ES / SPY Stock system Journal

Discussion in 'Journals' started by poxman, Jun 20, 2011.

  1. poxman

    poxman

    hello all.
    my name is Dave and i have decided to start a journal.
    i am a full time trader trader using a gray box approach to markets. i have been postive 11/12 months

    i am a day trader/ do not cary anythign over night and will not in this journal.

    All comments will be based on live trading and wiull give traders a view into the world of algo trading

    Some background. the systems i use a generic models designed maintian their integrity over time. i have many models but will focus on a 16 system portfolio of ES signals that i port over to SPY. the systems generally are up 13/20 sessions per month so i try to better that as consistency is my primary goal. this group is chop / flat market oriented so the weakness in this group i strending moves.

    for tracking purposes i will trade 1600 shares

    DAY 1
    pre -trade
    the system has been postive 3/5 days. the volatility has pretty decent so i am expecting this to continue. the risk is clearly on an upside move after the selling from the open although the cop that occurs after the sell wave stop will be good. i am setting the systems to 50% of the size at the open and will use what i call a slow fill method. i will decribe this is more detail shortly