Rob C's Trading Journal - starting Feb 1 2019

[Rob C 826]

Futures (MES + GC) algo trading journal Monday 11/22/21.

Yesterday was another brutal day like last Thursday. Thus no winning trades in 5 days (0 out of 8 trades). This helps confirm that market conditions have likely changing. So I did cut down the number of contracts from 5 to 3. It seems the price no longer tests the top and bottoms any more. You get a sharp reversal or a weaker test. All 3 trades yesterday were text book setups with plenty of momentum and a pullback with some stalling. But none of them test the top/bottom again.

Will post my trades for today (Tuesday) after the close. It won't be good again...

I hope everyone is having better luck.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Tuesday 11/23/21.

Another brutal day. Luckily I lowered my risk. Another day like today and I will lower the risk again.

Three textbook trades with good momentum and deep pullback that the price stalled. The first two trades I was stopped out quickly. The last trade did actually move in my direction and missed my target by 2 ticks. Then dropped down and stopped out at BE before moving back up to my target.

See you tomorrow.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Wednesday 11/24/21.

5 trades triggered today by the algo. The MES had strong upward momentum then got stuck in a tight oscillator. Usually this type of price action is a money printer. But those times are gone, so I just finished the day a little green.

The first pullback triggered trade 1 and the price moved up and missed my target by 1 tick. The price dropped and I was out at BE. Shortly after a second trade was triggered. the price moved up again and missed my target by 4 ticks. Then back down and out at BE. The price dropped enough for the algo to enter the long with a really good price. Finally we hit the target. After that the price moved higher and created a new high and the pullback triggered a long trade. This slippage was the worse I have seen in 3 years of trading. There was 4 points (16 ticks) of slippage. Really bad slippage is usually 3 ticks. My target was 5.5 points. So even though the target was reached essentially no money was made. Then a final trade was triggered. The price moved a little in my favor then sunk and out with a full loss.

Have a good Thanksgiving. See you Friday.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Monday 12/27/21.

I finally took my first live Futures trade in almost a month. The market changed and the algo stopped working and I left it in real-time sim. Then for 3 weeks the algo ran with a ~20% success rate as double top/bottoms either did not occur or the pullback was very deep. Finally, last week the market's personality changed back and the algo has been working well. I switched the algo from SIM to live today (though only 1 contract) and one trade was triggered near the end of the session. The trade was very close to text book with strong momentum and a deep pullback. The pullback continued after the algo went long so the price did get close to my stop.

It's nice to be back trading Futures again. I spent the month trading Equities exclusively.

I hope everyone fared well the past few weeks.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Tuesday 12/28/21.

The algo triggered one trade close to the open. Though the human eye it seems the price action was sideways this morning, the algo thought there was strong upward momentum. This is mostly due to the strong 200 SMA (in green). Then there was some short term strong momentum as well with a deep pullback. The algo went long and very quickly was stopped out.

See you tomorrow.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Tuesday 1/4/22.

Though the algo triggered no trades today, we did have a trade right before close yesterday. This one barely got triggered. It just had enough momentum to qualify the minimum for the algo. I happen to get a good fill which helped me getting stopped out. Once it bounced from the local low it quickly retested the high. Four ticks below the high is my target.

Have a good night,

Rob C

Edited January 12, 2022 by Rob C

[Rob C 826]

Futures (MES) algo trading journal Wednesday 1/5/22.

It has been awhile since the algo triggered 3 trades in a day. Though they all were essentially break even trades.

We had weakness which became well defined about 3 hours after the open. On the first deeper pull back the algo went short. The price did drop but didn't reach my target and the algo covered at BE. At about 11:30am (PST) we had another deeper pull back but 1 tick shy of the algo triggering the trade. Too bad that would have been a winner. Then the price really dropped and the algo went short on a deep pull back. Again we had the price move down but didn't reach the target. The algo meant to cover at BE but I programmed the short BE covers to wait until the close of the bar. And with luck the price dropped and I did make some money on this trade. Though technically it was a BE. Then with the final push down and another deeper pullback and again the price did not reach my target and out at BE.

Not sure if these attempt to test the low was just today or a new market personality. If it becomes common I will need to choose my target differently.

Have a good night.

Rob C

 

Edited January 12, 2022 by Rob C

[Rob C 826]

Futures (MES) algo trading journal Friday 1/7/22.

Market weakness triggered one short trade today. Nice setup with solid downward price momentum and a deep pullback. The price did drop and get close to my target but pulled back to cover at BE. Starting to wonder if I should pull my target in on the short trades. I have been leaving money on the table this week.

Have a good weekend.

Rob C

Edited January 12, 2022 by Rob C

[Rob C 826]

Futures (MES) algo trading journal Tuesday 1/11/22

No trades were taken by the algo yesterday due to a volatility upper limit spec that I had set. Actually, today it looked like the market was too volatile for the algo then the volatility dropped just before closing and a trade was triggered. There was obvious strength all afternoon and a nice pull back near the close. The algo went long and about 15 minutes later there was a big drop and I was almost stopped out. Then the price headed higher and reached just high enough for the algo to set the condition to sell at BE. Then the pull back occurred and the algo sold at BE. Shortly after the price rose to my target.

Have a good night.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Wednesday/Thursday/Friday 1/12-14/22

The algo did not trigger any trades Wednesday and Friday but did take two trades on Thursday. Lots of weakness on Thursday as the algo waited for strong downward price movement and a deeper pull back and lots of other filters. The first trade of the day was after some real local weakness and a deep pullback. The price kept moving higher after the short and almost hit my stop then dropped but didn't reach the target. The algo tried to cover at BE but got a bad fill for a loss. The second trade was late in the afternoon after continued weakness. The first pullback missed the entry by a tick the second pull back did trigger a trade but got a horrible fill. The price went right to the target also with a bad fill. Thus exactly half the profits went to the fills. 

So for the week I had 1 win and 3 BEs.

Have a good long weekend.

Rob C

Edited January 16, 2022 by Rob C

[Rob C 826]

Futures (MES) algo trading journal Tuesday 1/18/22

There was weakness all morning then about 2 hours after the open there was a sharp drop and a deep pull back. The price stopped moving higher long enough that the algo thought it would drop again and went short. The price has been respected the pullback zone all morning (light green line). But not this time and I was stopped out. Essentially, a much deeper pullback than expected. The price did drop to the target about and hour later. Good trade just too deep of a pullback.

Have a good night.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Wednesday 1/19/22

I have no idea how you trend traders do it. I am so glad I did not watch this trade in real time. There was about 90 minutes of weakness and then finally a deep enough pullback for the algo to trigger the trade. The price dropped and just missed the point which would have triggered out at BE. Then the price kept rising and just missed my stop. Then the price reversed and dropped and missed my target by 1 tick. But somehow the cover was triggered for a nice win. I assume there was at least 1 contract traded at my target but it did not show up in my data.

Have a good evening.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Thursday 1/20/22

The algo triggered 3 trades today. There was obvious strength in the morning so we had a classic momentum deeper pullback trade for a winner. The price pulled back again but I have written into the algo not to open a new trade too soon after closing another, which is too bad since that would have been a winner. Then another pullback which triggered another long, but that fizzled for a BE. We had more strength and a deep pullback which triggered another trade later in the day. Sadly, that was the high of the day so I was stopped out and finished the day slightly green.

Have a good night.

Rob C

[Rob C 826]

Futures (MES) algo trading journal Friday 1/21/22

Actually no trades today. I have set the algo to shutoff at a certain level of volatility, thus it never turned on today due to very high volatility. As for the week the algo triggered 5 trades. That is really good for no volume on Monday and Friday too volatile. 

Summary for the week: wins: 2   Loss: 2   BE:1

So again another week of being a little green. So I am keeping the number of contracts low and waiting to see if this setup starts working again or not.

Have a good weekend.

Rob C 

Edited January 29, 2022 by Rob C

[Rob C 826]

Futures (MES) algo trading January summary.

The last 6 days were so volatile the algo, programmed to sit out on high volatility, triggered no trades. Actually, the algo sat out 8 days this month due to volatility. So only 15 MES algo trades were taken this month.

Wins: 5    Losses: 2    BE: 8

If the volatility is here to stay I have quite a bit of programming to do to enable my algo to effectively trade in those conditions. Also, if it is really this common to have BE trades (>50%) I need to program the algo to take a partial when it moves the stop to BE. I will probably have enough data in 2 weeks to decide.

Though I didn't make much money this month, it was cool only having 1 red day.

Have a good weekend,

Rob C