Example of actual trading

Discussion in 'Journals' started by electron, Sep 11, 2005.

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  1. I have moved a part of my funds to a new broker to protect myself better from the future malfunctioning of the IB servers. At this new broker I am using Strategy Runner Lite as my trading platform. I decided to spend this month on testing both the platform and the technical support by trading one simple system with just 2 ES contracts which is about half of my normal size. The system does not trade very often, about 10 times a month, so I will not be posting here that often. It is a proprietary system designed by a friend of mine, so no details of it will be revealed here. I will post the past performance of the system (YTD) at some later time. I will use the system for scalping, targeting 2 pts. It is possible to use it in other ways as well.

    There are at least two reasons why I started this journal. The first one is to show others, including particularly new traders, what system trading is about. The second one is to demonstrate that with modern technology it is possible to convince others that you indeed do or can do what you preach. Obviously, if you are always either 15 minutes ahead of the market or 5 minutes behind it, trading the way I do might be a bit of a challenge for you, but then perhaps you should also not pretend that you have a clue what real trading is about.

    The way I trade it, the system averages about 8 pts a month, so if you are into 18 pts a day you may want to stick to other threads. They should be far more entertaining as well. Another way they differ from this journal is the total lack of actual trading documentation. But expect plenty of lame excuses for the lack in question.

    Even if this system will not make you rich, and certainly not overnight, it is very simple and quite reliable with very low drawdowns. A few systems like that and you can make a comfortable living trading. And that beats losing at this game rather significantly.

    I don't know how long I will continue posting the screenshots of my REAL trades. At least for one month. After that I am very likely to start trading a few more systems/setups with this platform so things might not be as clear as they are now. I may also stop using this platform if I find it too slow or if the tech support does not meet my standards. Also, I am not one of these guys who enjoy dragging things years on end. There is nothing more pathetic than a guy who does not know when to stop.

    Trading requires that you make yourself vulnerable to the intrinsic market uncertainty. You must accept this challenge or you will never succeed in the first place. You will not win every time, but you will never win if you do not try. You may be able to hide your failures from others and come across as a phenomenal success, but you will never fool yourself, so why pretend that you are better than you really are?

    In any case, this Friday's trade (the picture to follow) was the first called by the system in September and fortunately it was successful.

    The system assumes that you enter with market orders and the past results allow for a two tick slippage so that the fixed target of 2 pts is not considered reached unless the price penetrates it by at least two ticks. I have been trading this system entering with limit orders at the price the system selects, but last month I did not get a fill for one trade that quickly went in the right direction and reached the target, so I might reconsider this. However, this first trade was placed and executed at the price called by the system. I could afford this only because the market seemed to be rather weak at that point. It turned out though that had I placed a market order at that time, I would have scored 2 pts too.

    Anyway, let us see what the month of September will bring for this system. I hope the final monthly PL will be positive as it has been every month this year so far.
  2. #1: PL=+2 pts

    Total PL= 2 pts
  3. Interesting thread, my friend...

    Your stated profitability is much more realistic than some of our resident papertrading "supertraders"... in my eyes, you strike me as a credible trader and I look forward to following your progress...

  4. LMeyers


    Good Luck to you. Its been a while since we have had a good, methodical real-time journal.

    Do you use any hard stops for your trades? Thanks.
  5. Thanks for your encouragement, guys... Trade #2 to follow. When this month is over, I will post the monthly brokerage statement and the past results for any further analysis. At this point they are of not much use anyway. It's better to concentrate on live trading.
  6. Only hard stops, the max being 3.5 pts. It's a volatility based stop. It gets adjusted though based on strict mechanical rules.
  7. fader


    hi Electron - great thread, a few questions:

    (1) you mention things such as this system is "reliable", "low drawdowns", "8 pts per month" etc. - what are these statements based on pls - how far back have you backtested, have you fwd tested, etc.? - you said you will post performance for the past month but that's certainly not sufficient to ascertain the validity of the above statements.

    (2) you say "The second one is to demonstrate that with modern technology it is possible to convince" - what special role does technology play in this system? i mean, is this system, i.e. the logic of it, relying on some sort of a special technology? perhaps i am misunderstanding your point here... are you saying the technology is part of this system's edge?

    (3) what timeframe(s) does this system use - i know you said you won't reveal the details.. so, ok if that's a private question.

    thx in advance and good luck with it.
  8. Did you program the system, or was this done by SR. If by SR, do you mind revealing the cost? I am considering doing the same thing.
  9. #2: PL=-3.5 pts

    Total PL=2-3.5 pts

    It was a very poor entry and it was obvious to me at the time I put this trade on. One of the very important conditions for the entry was barely met resulting in the entry's low quality. Nevertheless, I decided not to use discretion for the purpose of this demonstration and took the trade. The result is the loss of 3.5 pt, the maximum loss the system allows. It's the first time it happened to me since I have been trading this system starting in May. Usually one can adjust the stop, but this time the market did not allow for this. The entry was taken with a limit order. As I said the entry was poor and so I expected the market to fill the limit order easily. That was the only discretion I used in this trade.

    In another version of this strategy, this trade would have been eliminated as not meeting some condition that determines the quality of the entry. This is a new version and some more testing needs to be done to see if it really improves things for ES, although the quality condition makes a lot of sense on its own. It also works well for ER2, where it was first noticed. However, I am trading the bare-bones original version of the strategy that does not include this condition.
  10. #2

    I hope the pic gets attached this time...
    #10     Sep 13, 2005
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