Would you be willing to share a few details about your authomated strategy? Nothing proprietary of course, just enough to make the journal more interesting. For example, what timeframe are the charts you're trading? Is your strat trend, counter-trend, breakout or range? Why you mix so much discretion into an automated strat? I'm also curious how you figured out how to implement fibs in an ATS... I've never been able to effectively teach the computer how to recognize a swing high or low, there are ways but none of them are as robust as a human eye.
I haven't got hard data to back it up but just off the top of my head the trades that work good, start off good- like FCX yesterday and continued today - same thing with WLT - you just enter the trade and stay profitable the whole way-marginal winners or losses are always the ones that keep meadering around the entry point. Lots of times I ve closed trades after30-45 mins of the stock going nowhere and most of the morning wasted
I have a handful of different strategies I run, usually just looking for really short term momentum and I try to scalp about 2 pts on the TF, or the equivalent in corn or soy. I use something similar to the ATR to help me figure out how many points to scalp, but the low volatility of the markets over the last year has really hurt my system. I also only take the first trade and I usually close up shop by 9am PST. Since it's automated, I don't want to give it free rein to just keep trading me into oblivion. In 2008 and 2009 it was phenomenal, but of course I never traded it then, and I learned a really good, painful lesson in early 2010 about how volatility was a major factor in my results. There's one new strategy I've been toying with that is counter-trend strategy that's basically a pivot play on the fibs. It's really basic and I haven't had time to fully implement this in any form of a backtest but I will over the next few weeks. Why do I mix discretionary with autotrading? Because I'm an idiot! That's the bad habit I'm trying to break, at least with my fully automated strategies, which is to leave it alone. It's funny how with stock trading it takes more strength to do nothing than it does to do something. With corn and soy, I guess the decision to take a trade is discretionary, mainly because I don't have complete faith that the systems work. I backtested it going back about a year, I haven't had time or money to get more data to backtest. There was one soy trade that I had developed in October that worked amazingly, since July (when I started downloading data for it). It got an 80+% success ratio and was really profitable. I started trading it, but then got my head handed to me in December, and then once I expanded my backtest data, I discovered that it was massively unprofitable for the year, and I had just happened to come across it during it's most profitable period ever, so I was forced to dump it in Dec. With programming, I don't make it that difficult, I just take the highs and lows of the day up to that point, and whichever came first (the new low or new high) is what I consider to be the starting point. Then just calculate the various fib levels from there. If a new high or low is made, then recalculate it, but depending on the order, you flip it around. Of course I monitor this as the trade executes, so if there are any bugs I'll catch them but it seems to work well enough for me today.
For sure the best trades that I have are the ones that finish in less than 2 mins. I think statistically that's the sweet spot for my trades. But it seems as though over the last year, it has taken longer and longer for the trades to develop so I've ended up taking more heat before getting a winner. By expanding my stop loss, my goal isn't to convert a loss into a win, but rather a loss into a moved stop, which is significantly less of a hit to the bottom line. On average though, because I'm scalping, my trades, for better or worse, are using done in less than 10-15 mins.
Week 3 TF: 4 moved stops Corn: 2 wins, 1 full loss, 1 moved stop HSI: 2 wins, 3 moved stops DAX: 1 win Total: 34459.05, down 280.39, -0.8% for the week, -4.8% for the year. A flat week, but mentally really tough. On the TF, I got 4 moved stops, but T,W, and F, I got stopped out within 1 tick, and then it zoomed back to hit my target. If my moved stop (I move my stop up after it hits certain levels) was 2 ticks wider, I would have made about $4000 for the week. I know, shoulda-woulda-coulda, but the level of frustration and self-flagellation is still extremely high. My system produced very large targets and stops for Thursday and Friday, Thursday was 3x normal and Friday was 2x normal. This scared the hell out of me because a loss would have hurt me really badly, so I managed the trades, which ended up being a minor comedy of errors. I deviated a lot from my trading plan this week. Mentally weak, and what's worse is that it ended up being net profitable, which is a bad precedent. Of course, that is, it means I'm getting a feel for the markets (lol yeah right). Notable deviations from the trading plans: M: -I didn't trade anything except the HSI because of the MLK holiday, and the volumes were too thin. However, it would have produce a win on the TF, which will show up in my backtests. I have a feeling that despite my thoughts, volume doesn't make a difference to my system. W: -Corn was a full loss, but I jumped out of 2 contracts early because "it didn't feel right", saving me about $200. -I dipped my toe into the DAX (why, I don't know), and got a couple of points. I don't like trading the DAX right now because it whacked my account out Oct, Nov and Dec because my DAX system is essentially broken after 3 years of decent profits. I guess for me, trading the DAX is like sticking my tongue on a frozen metal handrail, wondering if it will stick. Th: -TF was 3x normal target/stop. A full loss would have been about $3k, so I was obviously freaking out. I jumped out of half the contracts at +7 ticks to decrease my risk, and then managed the rest of them. It got to within 85% of my target, and was thinking about exiting at that point, but got greedy and stuck with the targetand it ended up reversing and stopping me out. Regardless, I ended up with about a $500 gain instead of a $200 loss. I guess that's alright, but I probably could have made out with over $1500 had I taken my profits when I was thinking of it. Again, shoulda-woulda-coulda, I know. F: -TF was about 2x normal target. A full loss would have been about $2k, so again I freaked out. However, the trade turned immediately against me, and fear kicked in. Once it reached 2 ticks from a full loss, terror kicked in, and once it reversed back to within -10 ticks from entry, I closed 1/3 of my contracts, and then the rest of them at my regular moved stop location. I took an extra $150 loss by trying to reenter the trade, and then got immediately shaken out, like a prison bitch. Had I just stuck with the plan, it would have been a $200 loss instead of a $500 loss, so I basically reversed the previous day's gains. Getting within 2 ticks of my full stop, however, usually never produces a win even when it reverses, so I think my basic idea of taking the trade at the moved stop is okay, just my panicky execution was what really sucked. -Corn was an quick win, I managed to get about 1 cent more than the plan, which took the sting out of my mismanaged TF trade.
Week 3 TF: 2 wins, 1 full loss, 2 moved stops, 2 losses on discretionary trade Corn: 1 win, 1 full loss, 1 moved stops, 1 win on discretionary trade HSI: 1 wins, 2 moved stops, 1 loss Total: 32632.87, down 1826.18, -5.3% for the week, -9.8% for the year. Statistically an average week for my systems, but terrible in terms of losses, mainly due to stupid discretionary trades. Monday was a full loss, but about double the average size. I had the opportunity to get out at a small loss, based on my new algorithm, but I decided not to, and paid the price with a full loss. If I had taken my moved stop on Monday instead of the full loss, I would have been down around $200 for the week, and had I not taken my stupid discretionary trades, I would have been up around $600. It's uncanny how I'm 100% with my discretionary trades. The Monday loss was such that I had to decrease the overall number of contracts that I currently trade by 1, which probably isn't a bad thing considering the last 3 weeks. Corn would have produced 1 win, 2 full losses and 2 moved stops, which is actually a net loss for me, because my risk:reward ratio is 2:3. So this is something I will have to look into for next week, to make sure there's nothing about the markets that could cause this system problems. Corn is pretty high, so who knows if resistance is going to be a problem. Let's hope Feb is a better month for me. January started off really well, but the wins dried up after the first week, and the losses were huge. Notable deviations from the trading plans: M: -HSI had no trade because the size of the trade was too large, this is one of the parameters I use for the HSI. It would have ended up being a moved stop. -As I mentioned the TF was a full loss today, but about double the normal size of a trade. I changed my algorithm which increased my stops, and that saved me from the initial loss. It reversed after touching my original loss level, and based on my new algorithm, I should have taken the loss at the moved stop area (since my objective with increasing my stop is to potentially convert a full loss into a moved stop), but I got greedy and decided to see if I could get a small profit. It reversed right at my moved stop area, never went positive, and I ended up taking a full loss. This most definitely affected my psychology on Tuesday. T: -The TF trade was a moved stop, but I did something really stupid that I haven't done in a long time. I decided to take a second, discretionary trade, got triggered by the surge up by the news at 7am, and then got immediately stopped out. It was stupid, and a revenge trade, and ended up costing me about $800. Then I took another trade, this time with only 1 contract, and then lost another $100. It was brutally stupid. -For corn, I missed a trade because I used a buy-stop-limit order and I never got filled because it blew past my order. Instead of chasing, I decided to go the opposite direction, and got a small win. F: I missed the corn trade because I was watching the markets, and could have avoided a full loss, but I went back into it when it went back to my trigger level, and took a full loss. I know this is part of the system, but it still sucks.
Week 4 TF: 0 wins, 1 full loss, 4 moved stops, 3 wins and 1 loss on discretionary trades Corn: 0 win, 1 full loss, 3 moved stops, 1 break even on discretionary trades Soy: 3 wins, 1 loss on discretionary trades HSI: 1 wins, 2 moved stops, 1 loss on discretionary trades Total: 32206.03, down 426.84, -1.3% for the week, -11% for the year. ----------------------------------- This should have been a worse week for me, because my TF strategy didn't produce a single win, and had a full loss of about 1.5 the normal size. Thankfully, the day of the full loss, my strategy encountered an error so 5 out of 6 contracts didn't trade. I could have put the trade back on, but instead I just watched it go down, stop out my one contract and the reverse. I have made a small change to my entries and exits for my TF system so that a moved stop should produce a smaller loss of about $140 instead of $200. Hopefully this doesn't affect my profitability, but I suppose one need profits in order to worry about profitability. On the positive side, I had a handful of small TF discretionary trades that I made that were decent but just scalps of about 5-6 ticks each and 1 contract. I'm seeking the confidence to hold these for longer, because my general direction was "right". My biggest problem is setting too tight of a stop. My ags trading was mediocre. I took 4 discretionary trades in soy that did okay, but I bailed out of corn twice and robbed myself of about $500. Overall, a crappy week, but there's glimmers of hope. (My New Year's resolution is to be more optimistic, but it's not helping. I've stopped feeding the stray cats behind my building, because it has done nothing to improve my luck.) Monthly numbers for Jan 2011: These are the theoretical numbers from my systems for Jan 2011 TF: 6 wins, 6 losses, 8 moved stops for a total loss of -6 pts, average trade 1.7 pts HSI: 6 wins, 1 loss, 3 moved stop for a total gain of 70 pts, average trade 20 pts January 2011 produce a sizeable loss on the TF strategy, and I'm getting worried that it is no longer working, due to the extremely low volatility. The same thing happened to the DAX starting October 2010, and it has been a massive loser ever since. The last 4 months for the TF has produce 3 losing months, and a cluster of losses like this hasn't ever occurred going back to 2005. I guess I'll see how Feb is, but it might be prudent to trade less contracts until I start seeing more wins. The HSI trade has been decent. It was profitable in January, so I'm considering transferring more money into my IB account in order to trade more contracts there. However, I really don't like IB very much because of their terrible slippage, so I might just leave things as they are. Notable deviations from the trading plan: M: - Corn would have produced a profitable trade but I got slippage on the entry, which upset me, and messed with my head. Normally I enter with a limit order, but for some reason today I tried a stop order, and got slippage, so I got angry at myself. Whenever anything goes wrong with a trade, my first instinct is to bail immediately, so I took profits too early, and the trade ending up hitting my targets. T: - As explained above, the TF strategy encountered an error, which actually saved me about $1200. God is good, God is great! - Corn didn't trigger until after I left for work, so I ended up missing a full loss. I did take a discretionary trade that I ended up getting out at break even, less commissions. My broker's kids are getting braces so I figured I'd throw him some of my unneeded money his way. Th: -I took profits on the TF early, which ended up being a good point to get out, since I've had moved stops all week. I got massive slippage in my IB account of 3 ticks, which also upset me, so then I revenged traded and got 6 ticks. The only problem is that I cut the trade too quick because it was getting close to news, and ended up missing a much bigger move of about 20+ ticks.
Week 5 TF: 2 wins, 2 full losses, 1 moved stop, 2 losses on discretionary trades Corn: 0 wins, 2 moved stops for losses, 1 win on discretionary trades Soy: 2 wins on discretionary trades HSI: 3 wins, 1 loss DAX: 1 win Total: 32181.16, down 24.87, -0.08% for the week, -11% for the year. ----------------------------------- A lot of effort was spent this week just so I could lose a decent dinner for two at Olive Garden (including tip). This was a roller coaster week for me. The TF trade had 2 decent wins, but 2 horrible losses, which wiped out all my gains for the week. I was up about $1000 for the week until a loss on Thursday, which was 3x the normal size. Because I saw how big the trade was, I took off half of my contracts. This is from experience because for the last year, I've noticed whenever I seem to be doing okay, I get hit by a rogue wave that wipes me out. I decided to try to protect my gains instead of go for the potential big win, which saved me about $1000. I should have taken off 2/3, but should woulda coulda. The horrible record of the TF continues to have me worried. Also, the change in my algorithm that increased the stops has only been an additional kick in the nuts by increasing the size of my losses instead of helping me avoid losses, so that really sucks. I might cut the total number of contracts in half next week due to the terrible record. HSI was strong again this week. I should have had a moved stop on Sunday, but Super Bowl saved me from it. However, I lost $40 on the Steelers (I prefer the Packers but I took the spread), so that wiped out any gains from missing the moved stop. DAX had a great week, the first time since October: 4 wins, 1 loss. However, I only took a trade on one of the days. This is an interesting development though, so if this keeps up, I might start trading it again. Corn has been doing terribly. My go-to trade on corn had theoretical results of 2 full losses, 2 moved stop for losses and 1 win today, which of course I didn't take because I lost confidence in it. More than 1 full loss a week leads to an overall loss because of the 2:1 risk:reward ratio, so the trade needs to have a higher success rate in order for me to have faith in it. Corn being at the 52-week highs had me nervous this entire week that going long might not be worthwhile, but of course I was wrong (as usual). Going into next week I will continue to watch the DAX, and possibly cut the number of contracts on the TF until March, or some sustained volatility kicks in. Notable deviations from the trading plan: M: - Missed HSI because of the Super Bowl. T: - I didn't take the corn trade because it was the day before the crop reports (part of my trading plan), which saved me from a full loss. W: - I took the corn trade and Ninjatrader messed up somehow, placing the targets and stops at weird locations, so I immediately cancelled the trade for a small profit. However, I got greedy and reentered the trade since it was still valid, and ended up getting stopped out for a medium-sized loss. F*cking moron. Th: - As I mentioned above, the TF was 3x normal so I cut the number of contracts in half and promptly got stopped out for a full loss. I wish I had cut the number of contract by 100%. FML. - I didn't take the corn trade because it looked like it wasn't going to work, so I again saved myself from a full loss. F: - I went into the corn trade with double the number of contracts, probably as a revenge trade because of my losses this week, but as soon as the trade entered I got very skittish. Because it didn't immediately act the way I wanted it to, I started cutting contracts indiscriminately, until I was out with a very small loss. Of course, it later went on to hit my target and then some. I guess I shouldn't trade double the number of contracts. F*cking moron.
Week 7 (I just realized I miscounted about 4 weeks ago) TF: 1 wins, 4 moved stops, 1 win on discretionary trades Corn: 1 wins, 1 moved stops for a gain, 2 small wins on discretionary trades Soy: 1 win, 1 loss on discretionary trades HSI: 1 wins, 1 loss, 2 moved stops DAX (not traded): 1 win, 4 moved stops Total: 32370.71, up 189.55, +0.6% for the week, -10.6% for the year. ----------------------------------- Woohoo! My first winning week since Week 1!! I'm going to take my $189.55 and blow it on lottery tickets!! I guess I shouldn't look a gift horse in the mouth, though. Maybe I'm more comfortable losing money. Overall, a blah week and I continue to be my own worst enemy. This was a week of passing on winning trades, or futzing with my targets and causing me to lose wins. I should have continued trading ags this morning, but once I saw I had a small profit, I said screw it and closed up for the week, leaving with my small gain. I don't want to make my classic mistake of "one more trade" and wipe out any profits, no matter how meager. The TF continues to suck. If not for my new stop algorithm, I would have been down about $3k, so I'm really really worried about it. But I guess I'll continue to worry and do nothing, and I'll just try to dodge catastrophic failure and hope/pray/wish that it comes back. Even the one win I had, it didn't even hit my target, it hit my modifed target of -2 ticks, so technically it's been a massive failure this entire week. HSI had 1 win, 1 huge loss about 2.5 the normal size, and 3 moved stops. The sucky thing about the loss is that I have limits to how big of a target I will take, and this ended up being at the very upper limit of my target, and then promptly stopped me out. Ags has been decent for me again. But with the incredible volatility, it made me nervous trading them, so I ended up passing on a lot of winning trades. Actually they were mostly all profitable, only the ones I took were the crappy ones. DAX had small targets the entire week and would have been a loss with all the moved stops. However, I'll continue watching it to see if I can salvage anything from this. I guess I'll just continue to keep doing what I'm doing, and hope that the TF trade turns around. In addition, I need to stop myself from screwing with my systems, and try to take more trades. I hope that my 3-4 weeks of eating like a bird doesn't culminate in me shitting like an elephant some time in the near future... Notable deviations from the trading plan: M: -TF would have been a full loss, but my new stop saved me, and I converted it into a moved stop. -My corn trade took immediate heat and within 1 tick of getting stopped out, but I managed to use incredible patience and stay in the trade, and managed to get a profit. However, my goal was to see the new lows of corn, and instead of staying in, I panicked and took my profits and then it of course went down to hit new lows, within a few mins of me closing my position. T: - TF again would have been a full loss, but my new stop again saved me, so I ended with a moved stop. -Didn't take my corn trade because it looked like a channel day, but after I left for work, it ended up hitting a moved stop with a profit. W: - On my TF trade, in Jan I changed my targets in by about 2 ticks. Today the TF looked strong, so I moved the targets back to their original locations, and of course, I missed my target by 2 ticks before it reversed and hit my stop. Of course, it went on to hit the targets. Th: - I continued to rob myself out of money. I moved the stops again on the TF trade back to the original targets and again missed the target by 2 ticks, and then it came down, stopped me out to the tick, and then went back up. How many kicks in the nuts do I need before I learn my lesson???? -Ags were too volatile for me, so I largely stayed out. Today looked like another channel day, so I didn't do my corn trade, but it ended up getting a full win by the time I had left for work. F: - I passed on a bunch of winning trades this morning, just because of the high volatility, and missed out on a bunch of winning trades. Yay!