Naifwonder's Logical Trading

Discussion in 'Journals' started by naifwonder, Mar 27, 2007.

  1. Sup people? I had another journal on here but that now that I am actually trading real money, it seemed logical to start over. Anywho, like I just said, I finally managed to get some funds to trade the systems I have been developing. To be honest, the funds are not sufficient enough to be considered "safe" but being in college, it is the best I can do at the time.

    Anyay, last month's downslide in the market opened my eyes and made me realize just how moody the market can be. The one system that I had which I considered at the time to be my best work turned out to be ineffective during market corrections and the conditions that follow. Learning from this, I developed a series of systems that work in concert as one to yield profits in even the toughest markets. I had approached the market in a similar fashion before but this new method of having multiple systems cover each other is far more safe and profitable. The tricky part was not to get caught up in the curve fitting trap that system developers often fall into.

    This is my second day in and I am up by 5.25 points trading the ESZ on my real money account. The system itself is up by 8.25 points but since I do not have the financial capacity to safely follow the system completely, 5.25 does not seem so bad. For this month, it has made about 3.5 points every single day. With some work, I am aiming to keep it that way.
  2. After looking through my systems for room to improve, I found a "slight error" in the code. This error was resulting in improper calculations for an indicator used to determine the entry point for a trade. After fixing this, average trade duration (time in market) has decreased and win percentage has increased notably. I am fortunate that this error did not really affect me.

    I have always kept a close eye on the system and held strict standards for coding but after this, I will be stepping it up. I will be making a written checklist of procedures that must be followed in the development of any system. I have always had a checklist but it was more abstract and mental. A written version should ensure higher quality of systems and therefore a higher rate of return.

    As for the trading itself, things are going well. Up by 3.25 for today on the ESZ. Yesterday saw gains of + 3.25 and another + 3.5 on a swing trade. However, I was not able to take these trades since I was preoccupied elsewhere.

    Accuracy for the system has gone up since in-market testing has begun. This seems to be a good sign for things to come. I do not anyone to regard that comment as a sign of over optimism or ignorance. A pillar for my perceptions on most any matter in the world - especially trading - is to "hope for the best and plan for the worst".
  3. Last weak was great. The system made +38.00 points on the ESZ trading from 1 to 4 contracts per trade (the system gives recommended position size along with trade). I still don't have the capital needed to follow the system exactly but I'm still doing pretty well.

    Regardless, I still want to improve what I have. I just downloaded the trial for a new program, OpenQuant, and it is looking for very promising for developing quantitative trading systems. Hopefully, this program will have the functionality and capabilities I have been looking for to further improve my strategy.
  4. naif

    What is your underlying philosophy? Do you use technicals, "tape reading" seasonal, something else?

    Did you back-test your work? How did it perform before?

    Good luck!
  5. The system is technical in nature. Every entry and exit condition is coded into its own algorithm. These algorithms are processed in real-time automatically. I pretty much just sit back and wait for it to tell me what to do.

    If I could encompass the underlying philosophy of the system in one word, it would have to be "causality". There are certain events in the market which almost certainly led to a predictable outcome. I have found, as my research shows, several such events and have recorded their outcomes. Based on the probability of that outcome occurring, the system gives a trade with a corresponding profit target, stop loss, and position size. This creates a situation in which the success of the system is strongly dependent upon mathematical correlations between multiple trades and their win/loss/size ratios rather than just the sheer rate of success for each individual trade. However, it does help that the system is highly accurate.

    The system has been back-tested. In the past 5 and a half months, it has taken approximately 100 trades with about 90 percent accuracy.
  6. Got a 2 contract trade today netting +3.25 profit per contract.
  7. I got about +6 points today per contract. But no guarantee about tomorrow :)
  8. good stuff. Today presented excellent opportunities to capture profits of that size (depending upon your trading style). I'm still working on a way to capture profits of that size per contract in a systematic fashion.

    Thusfar, my system has static profit targets which may same counter-intuitive and limiting, but it works out well in the long run.
  9. Another +3.25 profit on the ES today. I will call it a day since Bernanke is speaking now.
  10. The system looks like it might stay flat for the day... too early to tell. Anyway, got an equity curve drawn up to show the results. It's back-test results but for the past 2 months or so, those trades were given in real-time.

    If you want to see the exact daily win/loss, go to the page below:

    <a href="" target="_blank"></a>

    <img src="">
    #10     May 7, 2007