Rob C's Trading Journal - starting Feb 1 2019

[Rob C 826]

Futures (MES) algo trading journal Monday 9/27/21.

My running algos (only 2 algo strategies qualified to run now) triggered two trades to day. About 30 min after the open there was enough upward momentum (determined by two indicators) for one of my algos to start tracking for an entry. The price pulled back to the 20 SMA and passed 6 other filters in the programming and went long. The price rose and got really close to my target, but than fell back. The algo raised my stop to BE and that's where the algo ended the trade.

The price dropped with a false break out and rose with strength. Again the price action satisfied the criteria of the same algo strategy and the programming triggered a buy order. After 20 minutes there was some upward price movement but not enough to bring the stop up.  The price dropped quickly and was stopped out. The stop is dynamic based on volatility, which was high at the time so it was a big stop. It was a red day but it was nice to get 2 trades in.

I hope everyone had a good day.

Rob C

 

 

 

[Rob C 826]

.Futures (MES) algo trading journal Tuesday 9/28/21.

Lots of weakness at the open then a bounce with some strength. There was consolidation at the 20 SMA and the algo entered a long position. The price dropped quickly and stopped me out. The volatility was extremely high so it was a big expensive stop. When I checked in midday and saw another stop out that was 4 in row over the last 3 days. When I back tested for 5 months the longest steak of losing trades was 6 in a row. So 4 in a row is unusual and I started losing my confidence. 

Then at 10:45 am the price showed strength again and the indicators pointed to the algo triggering a trade. But it was nice to see that one of the built in filters prevented the trade and saved me from another stop out. 

Then a very strong price movement and the resistance level was marginally broken. After a consolidation at the 20MA the algo entered a long trade. The price dropped hard but the 50 SMA showed strong support, which was good since my stop was right underneath it. Then the price shot up right to my target giving me a green day.

I hope it was a good day trading for everyone.
 

Rob C

 

 

 

 

[Rob C 826]

Futures (MES) algo trading journal Wednesday 9/29/21.

There were two opportunities in the morning but the algo pass them by. Which was good since they both were losers. It wasn't until late in the session after good momentum and a pull back to the 20 SMA the algo entered a long trade. The price went up high enough that the stop was pulled up to BE. Then the price quickly dropped to BE and exited my position. Which was good since I would have been stopped out.

Rob C

 

[Rob C 826]

Futures (MES) algo trading journal Thursday 9/30/21.

After 5 days of trading finally my second algo triggers a trade. This is still essentially an ABCD trade but with a deeper pull (the 50 SMA instead of the 20 SMA). The priced moved higher quickly and reached my target. It looks like I have a very small profit target, but 6 months of back-test data says that's where it should be.

I hope everyone had a good day trading.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Friday 10/01/21.

The MES showed strength and the deeper pull-back algo kicked in on a pull-back to the half way point of the Keltner bands and went long. There was some rise in price and just missed my target by 1 tick and fell back to get stopped at BE (with some slippage). We then got an even deeper pullback after the stop out and the algo triggered another trade entry. This time the price moved quickly to my target. Just like yesterday my target looks well too small. I even ran the back test again last night and the data showed that the target was correct. But I need to think and test this more over the weekend. It looks like I am leaving too much money on the table.

So my first week of exclusively algo trading is finished and I am green for the week. It was a bit stressful when Friday, Monday and Tuesday morning I was only getting stop outs (4 in a row). I was doubting myself and not believing the 6 months of back-test data. But then 3 wins occurred and the results of the last 6 days of trading are what is expected with these systems.

For the last 6 days:

3 wins 

2 losses

4 BE

 

Have a good weekend

Rob C

 

[Rob C 826]

Futures (MES) algo trading journal Monday 10/04/21.

Wow big day. I am not suppose to look at how my algos are performing midday, but I am new to this and can't help myself. So when I looked and saw the algo trading had 3 winners already for the day I switched the algos to SIM and called it a day. It looks like not much to worry about because as of now the algos have been staying out of the chop and stopped trading anyway.

So checking recent data (checked over the weekend) determined to disqualify the shallow pullback trade I was running last week and give the green light for the deeper puallback short algo (which was the algo to give the 3 winners today). 

Each of the 3 trades had the same setup. Strong downward momentum enough to break the lower Keltner band then a pullback to halfway to the upper Keltner band. Then the algo has few filters that are thrown at the chart which the price action passed each time and the algo triggered a short. I know it looks like I am covering way to early, but I checked the data again this weekend and back testing keeps saying that's where to take profit. If everything still goes well I will increase to 2 contracts and then I can take partial profit at my current profit target and possibly place a trailing stop to my second contract.

I hope everyone had a good day.

Rob C

 

[Rob C 826]

Futures (MES) algo trading journal Tuesday 10/05/21.

Felt lucky today, this could have easily been 3 stop outs. Strong upward momentum after the open and a strong pullback after an hour. When it seemed to have settled the algo went long. The price quickly dropped after that but held my stop (barely) and then price moved quickly higher to my profit target.

The price moved higher with strength and another pullback to halfway to the Keltner band. The algo went long and the price did move higher but not enough to move my stop up. Then the price dropped to my stop. Price surged higher again and another pullback. I have not added a double top filter yet in the code so without knowing the risk the algo triggered a buy order. The price dropped and almost stopped me out again, but instead the price rose to my profit target. 

Rob C

[Rob C 826]

Futures (MES) algo trading journal Wednesday 10/06/21.

7 trades in one day, I think that's a record for me. I even shut down the algo before the close, I had enough. It is still going to take awhile where I can turn my algos on and walkaway and not look until after closing.  So I am still only running one algo setup. The algo looks for strength/weakness then a deep pullback then enter the trade. Essentially an ABCD for Futures. Today I had 3 winners, 3 losers and a BE. All the trades looked good except trade 3. The setup was fine but the algo did not take the trade (which would have been a winner). Instead it waited a few minutes and entered when all the signals were not there and it was a loser. I need to spend some time tonight to figure out what went wrong. I need to get all theses personality quirks out before I start increasing the risk.

I hope everyone is having a good day.

Rob C

 

[Rob C 826]

Futures (MES) algo trading journal Thursday 10/07/21.

I turned from SIM to live trading about an hour before the open this morning. We had good momentum in PM and a strong pullback to the 25% Keltner band (thin green lines). The algo went long and the price kept dropping and almost hit my stop. Then we had strong price movement at the open and my target was hit quickly. A few minutes later we had another pullback and again another ABCD setup and the algo went long again. Though the price didn't do much the volume was strong so it was going to move one way or the other. The price finally moved in the direction of the momentum and my target was reached. As usual I took a peek how things were going, though I really need to be more hands off or what is the point to run algos. I saw I was 10 points up and called it a day and switched the algo to real-time SIM mode.

I hope everyone has a green day.

Rob C

[Rob C 826]

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

[Rob C 826]

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

[Rob C 826]

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

 

[Yardley 6]

@Rob C This is pretty cool! What was your stop loss ($) for the first and second entry?

[Rob C 826]

9 hours ago, Yardley said:

@Rob C This is pretty cool! What was your stop loss ($) for the first and second entry?

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.

[Rob C 826]

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