Rob C

Futures (MES) algo trading journal Monday 11/08/21. Three losing days in a row. A couple more and I may go back to SIM. When configuring the algo originally I noticed the optimal solution was trimodal. One solution, which was the most profitable was always trying for a homerun. Though the most profitable the % win was <30% and I would not be able to handle it with my personality. The second solution was approximately a 2 to 1 reward to risk with a win% ~45%. The third solution was a R/R~1 but a win% ratio ~60%. That fit my personality. With that solution back testing showed that the most losing trades in a row would be 6 using 1 year of back testing data. So if I reach that point it can be assumed that something has changed. The one trade from today was a short after a few hours of downward grinding momentum. The momentum down was just enough to trigger the trade. The price reached the stop quickly. Have a good night. Rob C

Futures (MES) algo trading journal Friday 11/05/21. It's a bummer going into the weekend with two losing days, but as long as everything averages out by the end of the month it's fine. Huge downward hyperbolic price action at midday. A pullback did occur but not deep enough to trigger the algo. Then the price tested the bottom and pulled back again deep enough to trigger the short. The algo doesn't look for double bottoms yet. My stop got run over and then chop for the rest of the day. So for the week: 5 trades, 2 winners, 2 losers and one BE for a 1R week. Have a good weekend. Rob C

Futures (MES) algo trading journal Thursday 11/04/21. So I was able to get one trade today. There was very good strength at the open with a nice pullback. The price hung around the zone the algo looks for long enough to trigger the trade. But then I was stopped out quickly. Looks like a good trade, it just didn't work out. Then the price went mostly sideways for the rest of the day so no more opportunities. See you tomorrow, Rob C

Futures (MES) algo trading journal Wednesday 11/03/21. I didn't think I was going to trade live due to the FOMC minutes, but about 40 minutes after the announcement the price action acted quite normal so I turned the algo back to live. I was surprised a trade was actually triggered. But right at close we had a pullback after strength that triggered the trade. Though it took awhile in time to reach the target due to lower volume it wasn't that many bars. Rob C

Futures (MES) algo trading journal Tuesday 11/02/21. Again one of those days I am so glad I was not watching the trade live. Lots of strong momentum all morning and finally all the criteria was right that when a deeper pullback occurred the algo went long. The price kept dropping and my stop barely held. The the price shot up to miss my profit target by 1 tick. Then dropped back down for the algo to stop me out at BE. I will have the algo running in SIM tomorrow due to the FOMC minutes. So I will probably not post tomorrow. See you on Thursday. Rob C

Futures (MES) algo trading journal Monday 11/01/21. I like more what the algo did not do than what it did today. Downward price momentum right from the open with a strong pullback about 30min after the open. The price stalled on the deeper pullback region and the algo went short. It took 30 minutes but the profit target was reached. Then strong upward momentum with a deep pullback which the algo ignored and would have been a stop out. Then strong downward price movement and a deeper pullback which the algo ignored again that also would have been a stop out. See you tomorrow. Rob C

Hi Yardley, Yes the initial Margin for Ninjatrader is pretty low with only $1300 for the MES. Though the platform for trading and charting is fee, if you want the strategy builder app and L2 (~$60/month) or a lifetime payment (~1.1K). You can try out the basic platform and trade SIM for free first. Rob C

Futures (MES) algo trading journal Friday 10/29/21. No trades were triggered yesterday. Strong momentum all day. Mid morning there was a deep pullback that triggered the long trade. The price immediately moved up and just missed my target then moved down to just miss the BE stop. Then finally moved up and reached my target. After another peak the algo triggered another long trade. Currently the algo does not look for double tops. The price did go higher for a short time before dropping and stopping me out. So a slightly green day. So that ends the first full month of algo trading. the results: Profit: 18R Winners: 26, Losers: 10 BE: 9 Have a good weekend, Rob C

Futures (MES) algo trading journal Wednesday 10/27/21. The price action was sideways all day then some good downward momentum before the close and a deep pullback triggering the algo to open a short trade. The price bounced around until a few minutes before close some weakness drove down the price and reached my target. Have a good night. Rob C

Hi Yardley, I created this system from scratch using the Ninjatrader strategy builder app. The basic setup I got from one of the instructors of the Day Trading Academy. In general it's an ABCD setup. Then I spent a long time backtesting to determine which are the correct indicators to use and how to use them. It also took me awhile to learn how to create a strategy. The tutorials are just enough to get you started, then you are on your own with a manual that is tough to read. But it is a great app. When I look at the code the strategy is now on the long side with 400 lines of code and growing each week as I tweak. There are strategies you can use or buy but I don't plan on using any. I honestly don't think any off the shelf auto-strategy will work. It's a black box to the user so it will be difficult to manage. And all strategies have a short time frame that they are viable with the current market conditions. I have to optimize each week and always check when to increase or decrease the R and even when to pull the plug. Rob C

Futures (MES) algo trading journal Tuesday 10/26/21. I turned on the algo in SIM for the overnight session (Asian markets - dark shade background) because historical data shows this setup does quite well over night even with low volume. And last night the algo caught a really nice strength and pullback for a nice win. The strength from the Asian markets continued into the open and we got a really nice pullback and the algo went long and immediately the price moved to my profit target. Soon after weakness struck and we actually got a setup for a trade in the opposite direction with good downward momentum and a strong pullback. Almost too strong of a pullback as the price almost stopped me out. Then the price moved in my favor but did not reach the profit target. Then a strong pullback and the algo stopped out at break even. See you tomorrow. Rob C

Futures (MES) algo trading journal Monday 10/25/21. I had only one winning trade in the last 6 trading days so it was really nice to see this trade when I checked after the market close. Weakness at the open and a pullback but the downward momentum was not strong enough to trigger a trade,. Then lots of upward price movement and finally after 3 hours there was a pullback and a long trade was triggered. Without looking back the price moved higher to my target. Text book. I may be updating my playbook pic with this one. See you tomorrow. Rob C

Futures (MES) algo trading journal Friday 10/22/21. The floor dropped out on the SP500 in the morning. The move was pretty extended when the first deep pullback occurred. The algo triggered a short trade. There was a little bit of a price move down, just enough to pull my stop to BE, then a big move up. So I was out at BE. Late in the afternoon there was enough momentum upward with a big pullback the algo triggered a long. The stop barely held then a price move up enough for the algo to move my stop up to BE. Then the BE stop was hit shortly afterwards. So only 6 trades this week. 1 winner, 1 loss and 4 BEs. So not an exciting week in either direction. Have a good weekend. Rob C

Futures (MES) algo trading journal Thursday 10/21/21. There was weakness in the PM hitting bottom about midnight. Then there was a deep pullback but right on the limit of how long after the bottom and the algo still take a trade. As I mentioned previously that limit is something I will investigate this weekend. It may be set to large. The algo went short and the price did drop enough that the algo moved my stop to BE. Then shortly after I was stopped out. There wasn't enough momentum for the algo to get triggered for the rest of the day. So I was done for the day before the market opened. Not a very interesting day. Rob C

Futures (MES) algo trading journal Wednesday 10/20/21. Good momentum from PM. There was a deep pullback 30min after the open but not deep enough by 1 tick so the algo was not triggered and missed a winner. I will be checking the deeper pullback optimization at the end of the month when there is more data. The price moved higher and another deep pullback which triggered a long position. Over the next 2 hours the price just missed my profit target by 2 ticks literally 8 times before dropping to my BE stop. Obviously there was someone with money who drew a line in the sand that the price could not punch through. Soon, when trading more contracts I will add more trade management to handle this and squeeze the target and stop after a certain number of misses and length of trade. See you tomorrow. Rob C

Futures (MES) algo trading journal Tuesday 10/19/21. Strong momentum over night and a deep pullback triggering the algo to enter a long trade before the open. The price slowly dropped than a pop, but not strong enough. The price dipped down again and I was stopped out. Then over the next 45 minutes the price did eventually reach my target. I hope everyone had a good day. Rob c

Futures (MES) algo trading journal Monday 10/18/21. Over the weekend I programmed in dynamic profit targets and 2 weekends ago I programmed dynamic stop losses. Thus the algo is better prepared for volatility. There was strong momentum all day but I programmed the algo to be overly choosy. So it waited a few hours and after a second wave of strength and a pullback the algo went long. What was great is the algo on Friday would have not taken profit and I would have been stopped out at BE. But today, with the new programming, the the algo was looking to take a profit at the bottom of the level (I have the algo draw in Dodger blue). Rob C

Futures (MES) algo trading journal Friday 10/15/21. The algo only took one trade on Friday. There was steady momentum from the PM in to the open. Then 30-60min after the open a deep pullback occurred and the algo went long to be stopped out quickly. The price did reverse and move higher a couple of minutes later. Looks like a good trade it just didn't work out. So for the week: 5 winners, 2 losers and 3 BEs. Now that the weekend started this where I do all my work. Review trades, run back testing, determine new parameters, run 2 new ideas I have for the this algo and work on new algos. Have a good weekend. Rob C

Hi Yardley, I use Ninjatrader who is very good with Futures. Once I start looking to automate stock trades I will check IBKR/TWS and their algo apps. If Ninjatrader has a better algo app I will switch stock trading to Ninjatrader. If IB is better I may switch to Futures trading with IB. But likely they both will have their niche. Ninjatrader uses C#, but you don't need to know C# to program your algo. When I was going to start to learn IBs algo/API I was going to start here: https://tradersacademy.online/category/trading-topics/trader-workstation-tws

Futures (MES) algo trading journal Thursday 10/14/21. It would have been nice if my algo took a long position and road the whole day out, but the trade management is not setup yet for that option. Maybe when I trade at 3 contracts I may let 1 ride. There was lots of strength in PM and a pullback right at the open. So the algo went long at the open. There was a little bit of consolidation but then the price moved up to my target. But then the algo sat out most of the day only liking a really strong pullback late in the day and went long again. Then it took over an hour to reach my target, so thank goodness I wasn't looking. See you tomorrow. Rob C

Futures (MES) algo trading journal Wednesday 10/13/21. Its funny how emotionally detached you are when trading by algo. I would have grown 50 grey hairs if I was trading live today. Instead it's like reading the newspaper. I thought wow that looked exciting and I ended the day a little green. The market dropped quickly with a beautiful pullback and the algo went short. It took a few minutes before the target was reached, but then the price kept dropping beyond my target. Then another pullback and the algo went short again. The price dropped and just missed my target and rose back and stopped out at BE. Then the market showed strength with a nice pullback and the algo went long. The price just barely missed my target then fell back to stop out at BE. Then quickly turned around and went much higher without me. Then a final pullback and the algo went long again. Then dropped just to stop me out by 2 ticks before turning up to reach my target. That would have been crazy trading it live. Versus mildly entertaining looking at it after the market closed. See you tomorrow. Rob C

Hi Yardley, thanks for the note. The stop loss is now dynamic and calculated by a multiple of the 200 SMA ATR. The multiple will change based on the current market conditions (I run that data on the weekends). For yesterday it was about 5 to 6 points stop. I find the ATR very useful for Futures, ETFs and large cap stocks that do not have news.

Futures (MES) algo trading journal Tuesday 10/12/21. A good day. We had lots of strength in the PM with consistent higher highs. There was a strong pullback right at the open and the algo went long and very quickly reached profit target. Then there was 6 hours of chop which thank goodness the algo was trading and not me. The algo stayed out of the chop until a few minutes from the close there was serious weakness and consolidation then a big pullback all the indicators and filters were green and the algo went short. Just a few minutes later, after the close the target was reached. I hope everyone had a solid day today. Rob C

Futures (MES) algo trading journal Monday 10/11/21 I ran the backtesting this weekend which showed plenty of data that I should move up my profit target, so I did. As luck would have it if I kept the same target I would have had a winner today. But the data was overwhelming that I should increase it so I will let the statistics run their course. As usual this was an ABCD waiting for a deeper pullback, when that happen the algo went short. The trade moved in my favor enough to pull the target to BE, which is where the stop occurred. Rob C

Futures (MES) algo trading journal Friday 10/08/21 Today was a really good example of the advantage of human versus algo trading. My algo saw just enough downward momentum and a pullback to trigger a short trade. But it does not look for erratic behavior. See that half of the downward price action is from 1 bar. Also note there was a double bottom. So a human would not have taken this trade. Hopefully I will program in these red lights when my skills are good enough. But I definitely do not want to complain. I had a great week. 7R with only one setup and it was all algo trading. That was much better than I expected. Once I saw more erratic behavior (see right side of chart) I called it a week. Now starts the real work will I evaluate my trades, reoptimize and fine tune my algo on the weekend. Have a good weekend! Rob C