Rob C's Trading Journal - starting Feb 1 2019

[Yardley 6]

On 10/27/2021 at 12:27 AM, Rob C said:

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

Thanks @Rob C for that information. I'm currently with IB and I was thinking of using their API to do algo trading. But their day/initial margin for future is pretty high. So I'm thinking of moving to Ninjatrader and may be use their strategy builder app. Do you pay any extra to do algo trading with Ninjatrader? Or is it just normal commission and market data fees? Also, do you the  minimum amount/balance required to use their application to trade futures?
 

[Rob C 826]

17 hours ago, Yardley said:

Thanks @Rob C for that information. I'm currently with IB and I was thinking of using their API to do algo trading. But their day/initial margin for future is pretty high. So I'm thinking of moving to Ninjatrader and may be use their strategy builder app. Do you pay any extra to do algo trading with Ninjatrader? Or is it just normal commission and market data fees? Also, do you the  minimum amount/balance required to use their application to trade futures?
 

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

[Rob C 826]

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

 

Edited November 3, 2021 by Rob C

[Rob C 826]

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

[Rob C 826]

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

[Rob C 826]

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

 

[Rob C 826]

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

[Rob C 826]

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

[Rob C 826]

Futures (MES) algo trading journal Tuesday 11/09/21.

Another day I am so glad I don't watch my trades in real time. I don't know how you trend traders do it. I would have a head of grey hair.

First, we had downward momentum overnight and a strong pullback. I am glad the algo recognized it as a false break out and did not enter a trade since that would have been a loss. Then we had very strong downward momentum and a pullback, but not deep enough for the algo to trigger a trade. Then later in the day we had some more downward momentum and a pull back (see second chart) that triggered a short. The price dropped enough for the stop to be pulled up to BE and shortly after was stopped at BE. There was more of a pullback and the algo entered a short at a better entry. Again the price dropped enough to move the stop to BE. Then the price pulled back to EXACTLY the BE price (and no further) and stopped me out then. Then the price quickly dropped to my target. I am so glad I didn't see any of this until after the market was closed.

See you tomorrow.

Rob C

 

 

[Rob C 826]

Futures (MES) algo trading journal Wednesday 11/10/21.

Wow 5 days without a winning trade. Strong downward momentum with a really nice pullback about 4 hours after the open which the algo did not take. Why it did not pull the trigger is not obvious so I need to investigate why since it would have been a nice winner. More downward momentum then about an hour before the close the algo triggered a short. There was some more downward price move but not enough to reach the target. After a pullback to BE the algo covered.

See you tomorrow.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Friday 11/12/21.

I had a really good day today. After 6 straight trading days without a winner I was probably due. There was no real momentum yesterday so the algo did not trigger a trade. Today strong upward momentum kicked in about 1 hour after the open. Price stayed strong for an hour than leveled off and gave just enough of a pullback to trigger a long trade from the algo. The price quickly reached the small target. The price didn't do much until near the EOD. Then a strong price movement and strong pullback triggered another long trade. The price reached the target after the close.

So for the week:  2 wins, 1 loss and 3 BEs.

Have a good weekend.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Monday 11/15/21.

It's good to start off the week with two solid trades. There was a lot of upward momentum from the PM which peaked and dropped through the open. Within a minute of the open the pullback was deep enough to trigger the trade. The price moved a little higher but 2 ticks shy of pulling the stop to BE. Then the price dropped quickly off and I was stopped out. The price moved sideways for 2 hours then a large drop and a perfect pullback triggering the algo to go short. The price quickly dropped to my target. Then the price moved sideways for the rest of the day. So it was a good mildly green day.

See you tomorrow.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Wednesday 11/17/21.

The algo did not trigger any trades yesterday. Today there was some early momentum down and a significant pullback which triggered the short trade by the algo. The price moved down enough to trigger the stop to be pulled to the BE. Shortly after the price rose to BE and the trade was closed. Then the price moved mostly sideways for the rest of the day so no more trades were triggered.

See you tomorrow (unless the algo doesn't trigger any trades).

Rob C

[Rob C 826]

Futures (MES) algo trading journal Thursday 11/18/21.

Double stop out today. Algo worked just fine. Good momentum with deep pullbacks. Unsure if this is the new market conditions with reversals without double top/bottoms. It has been a much more difficult month than last month. I will need a week or two more to determine to keep using this algo or wait for different market conditions.

Have a good night. Hopefully the skies will clear up tonight to see the lunar eclipse.

Rob C

[Rob C 826]

Futures (MES + GC) algo trading journal Friday 11/19/21.

Two firsts. My first middle of the night trade. I did have the algo on all night for the whole week, but last night was the first trade that was triggered. The algo worked fine determining momentum and a deep pullback, but it happen to be a stop out.

I also had an adapted version of the algo that I wrote specifically for gold futures that was running all week. Today it finally triggered a trade (see second chart below). There was strong downward momentum and a deep pullback which triggered the trade. The price didn't do much then fell enough for the stop to be pulled back to BE. Then I was stopped out at BE.

Have a good weekend.

Rob C

 

MES

GC (Gold)