Occasional Apocalyptic Epistles

Discussion in 'Journals' started by laziz314159, Jun 5, 2003.

  1. (epistemological epics was taken)

    I've learned a lot from some of the journals here, and I thought I'd attempt to 'give-back' a little by starting my own.

    As a trader, or would-be trader, I'm torn between two worlds-- neural systems design (at which I'm slowly getting much better), and pure discretionary trading (all over the map).

    My previous trading experience includes:

    LT fundamental investing- good -- I keep these funds separate from my trading account
    Swing Options- wild equity swings, but ended up positive (I did this for about 3 months).
    EOD swing trading- can grind out 1% or more a week, but the overnight risk bugs me (in relation to my returns) (I did this for a different 3 months).

    Right now, though, I've decided to attack HSI futures, because they're the only instrument my schedule allows me to trade. I've also noticed that anytime I trade for real (discretionary), my systems design (neural and otherwise) gets much better. I'm also starting to thing that EOD trading doesn't give me experience fast enough to make progress on the systems design front.


    futurestrader (papertrading)
    p4 2.4ghz/1gbRAM/g550/2x17"lcd, for those that care about such things.

    I just use the IB market depth, and the little 3min-bar + cci chart in futures trader. This is not pure SOMP, but close enough for me.

    So far, I've traded two sessions (up until IB kicks me out of the server):

    Session one (last thurs night:)

    28 trades / 31 contracts
    -28 pts, -.9/ct/trade

    (I think this is about $120 US)

    Session two (tonight):
    17 trades / 20 contracts
    +10pts, +.5/ct/trade

    The numbers are a little off because I hadn't set the commission correctly (should be $30HKD/side)

    I won't annoy everyone by posting all my trades, but here are some observations so far:

    1. My sweet spot seems to be about 6 points profit. I have no idea why this is, but when I'm shooting for 10 it never seems to happen.

    2. For whatever reason, I do much better picking a spot up or down a few points that will get me filled and be an overreaction of some sort. I was really planning to play good trend soldier, but its not working out for me (so far).

    3. When I lift an offer or smack a bid, I'm usually wrong. On top of it, the bad trade usually puts me out of synch for 10 minutes.

    4. Instead of 'sitting out' 10 mins after a bad trade, I find that making a 1-pt profit trade (which is negative after commissions, but who cares) as quickly as possible gets me back on track faster.

    5. Watch for the disappearing bids! This may be old hat for some of you ES folks, but I've noticed when the b/a is somewhere like xxx7-xxx9, and market depth is showing 40@xxx5 and 20@xxx4, if the 20@xxx4 quietly disappears it's time to watch out below..

    6. Bids/offers of size are usually real, but I have noticed some 'iceberg' behavior on smaller size.. I would kill for T&S on this contract.

    Thanks for reading..


  2. What's the margin on HSI?

    Who do you use for realtime data and charts?
  3. At current exchange rates, the margin is USD$1,873

    For realtime data and charts I use IB + FuturesTrader. I might move up to esignal when they offer HK, but their package prices (plus region fees) are totally wack for people who are only interested in a handfull of contracts/stocks..

    (it will be a long time before I can effectively use a 500 symbol limit)


  4. Tonight went well:

    19 trades, 20 contracts

    63.2% win rate

    avg win: HKD$402.00
    avg loss: HKD$337.71

    total pts: 50
    profit: HKD$2500

    commish: 20 rt@HKD$30 = HKD$600

    net profit: HKD$ $1900 = USD$243.12

    Not bad for quitting after the first hour (I felt like I was getting too excited).


    I did much better at letting my profits run for awhile.. I had five 10 pt wins, and two 12 pt'ers.

    I also did much better at controlling my losses, max 7 pts., plus one runaway loss of 14 pts. Shame on me.

    So far, it doesn't quite feel like beginners luck. The trades are hard-won, and it certainly doesn't seem 'easy'.

    Yes, yes, I know it will be different when it's real money, but this futurestrader app seems about as close to reality as you can get without shelling out some clams.


  5. Ouch! Even though I know better, I committed every sin in the book tonight:

    -too much size
    - did I mention whipsawed?

    I fought the initial uptrend for the first 30 minutes.. Ok, I'm ready to go long..

    Oops, It was really time to short..

    I made some nice trades to catch up, but I really couldn't get back in the saddle..

    23 trades/33 contracts.
    w/l = 6/17
    total won: HKD$3150
    total lost: HKD$10,030

    -98 points
    p/l HKD$(6880)

    or USD$882


    I do not deserve meats and cheeses. Thank {insert deity or salami here} this was simulation mode.

    I should have been a _lot_ more careful after having been away from the market for a few days.

  6. I see that your win/loss percentage is pretty good, i.e. above 50%. However a better test of a system is average winners and average losers.

    What it the average amt of your winners? What is the average amt of your losers? How many trades total?
  7. Actually, my win/loss is awful right now.. I'd like to be consistently keeping it over 60%

    I'll post avg win avg loss figures too.
  8. 14 trades, 27 contracts


    total win: 1660
    total lose: -2730

    avg win: 237.14
    avg lose: 390
    total points: 11 (woohoo, positive before commish)
    p/l - HKD$1070

    which is about $137 (loss) in USD.

    The biggest loss of the day was an error trade (hit the wrong button).

    Todays changes:

    1. Limit orders only, except exits

    2. Reread phantom of the pits today for inspiration. Switched to two contracts. I'll take one off if the position doesn't move my way fast enough, or immediately moves 3-4 ticks in the wrong direction.

    I just dislike the idea of starting with one contract, and doubling my size at the next jump up. Having 2 contracts on gives me finer control, and I don't second guess too much

    3. Figuring out how to close out one contract in a two-contract position with Futurestrader took me awhile. I will probably write my own interface as soon as I figure out _exactly_ how I want to trade this thing.. I lost a few points by accidentally closing the full position..

    So far, I'm reasonably happy with my progress.

    Lessons learned:

    1. Pee before you start the session.
    2. Don't drink beer before the session.
    3. Just because you get whacked for 10 pts right after your fill doesn't mean you should immediately reverse at market.


  9. paradox


    Interesting journal. I too am following the HSI/MSI futures
    to get a better feel for how to trade it.

    Currently using IB + amibroker + ninja trader (in simulation mode).
  10. ROFL :D :D :D
    #10     Jun 12, 2003