Rob C's Trading Journal - starting Feb 1 2019

[Rob C 826]

Futures (GC - Gold and MES) algo trading journal Tuesday 3/22/22

Big day. Algos triggered 4 trades today. The GC opened with weakness and a text book pullback. The algo went short. The price did initially drop but then started to meander. The algo is written so it is not very tolerable to this behavior and covered at BE. About an hour later the price did reach my target.

We had 3 long trades triggered on the MES. Lots of strength and classic pullbacks. The first two trades the price quickly reached my target after going long. The last one immediately went against me and just reached my stop by a tick before heading back up to reach my target.

Have a good night.

Rob C

 

 

[Rob C 826]

Futures (GC - Gold and MES) algo trading journal Wednesday 3/24/22

Another good day with 3 trades triggered by the algo. It has been so many weeks that I felt lucky to get one trade a week, it seems amazing to get these many trades.

Gold had a strong opening and a strong pullback which triggered the long. The price kept dropping but the stop held. The price bounced off of the lower Keltner band and then went straight to my target.

The next trade was on the MES. When I reran this trade on backtest the trade was not even triggered. It barely met the minimum requirements to trigger a trade live, but it did. First, I got a really bad fill with a 6 tick slide. If I only had a 5 tick slide the trade would have been a BE. If I had a good fill it would have reached partial profit. As triggered though it hit my stop.

Right at the end of the session I got lucky with another trade. This one very text book. Broke the resistance to a new high. Pulled back and the resistance became support. Price bounced off the support to my target.

Have a good night,

Rob C

 

[Rob C 826]

Futures (GC - Gold and MES) algo trading journal Friday 3/25/22

Another day with 3 trades triggered. The first trade was triggered on the gold futures in premarket. Definitely some weakness in the market and a good pullback which triggered the short. Then over an hour of meandering until the algo reached its limit and got out at BE. Then 5 minutes later the price dropped and reached the target without me. That's 3 GC trades in a row the algo got out at BE but would have been winners. I will definitely be looking at the algo parameters this weekend. Then the price made a new low and a pull back. This trade was text book with a nice pullback, the algo shorted and then the price ran to my target.

The MES showed strength about 1 hour after the open with just enough momentum to satisfy the algo. With a strong pullback the algo went long. The price hovered for a bit then really dropped fast to my stop. That's 2 MES stop outs in a row that were triggered by the bare minimum momentum. I will need too look at those parameters this weekend as well.

Wow! 11 trades this week. I am usually happy with 5.

Winners: 5   Losers: 3   BE: 3

Have a good weekend.

Rob C

GC

MES

 

 

 

 

[Rob C 826]

Futures (GC - Gold) algo trading journal Monday 3/28/22

It doesn't get more textbook than this. It looked like the algo was not going to trigger a trade today. Then just before the market close the price dropped quickly and then retraced fast, but not too fast back to the 50% Keltner line where the algo triggered a short. Then the price dropped right to my target.

Have a goodnight.

Rob C

[PeterNL 6]

Hi Rob,

First of all: respect to your discipline and courage to write down all your trades in this BBT-Forum!

Indeed, at BBT there is almost no mentioning (and no trading?) in futures. As I am now doing research in pivot point-trading, I am also interested in trading futures. But, there are some obstacles. The main one at this moment is that I cannot find the right symbols on the DAS platform. Can you give me some examples? For example, I tried symbols like ESK22, #ESK22, ESK2, #ESK2, ES0522, ES05-22, etc etc. It just doesn't work. DAS only gives 'Symbol Not Found'. As far as I know, I have the BBT-DAS-IB-package, including e-mini.

And you write that you use 'NinjaTrader' as platform for futures. Would you (strongly?) recommend that above the DAS platform? And can you tell me what the costs are for NinjaTrader? I know that NinjaTrader has all the pivot-indicators from Frank Ochoa, so that is also very nice to have.

Do you use DAS ánd NinjaTrader?

If you have any more information that I can use at the moment: please let me know. I would appriciate that very much!

And I might also post my journals when I am ready to start live trading. As you write, it will give the accountability I need for my trading.

Thanks and kind regards,

Peter

[Rob C 826]

On 4/24/2022 at 3:17 AM, PeterNL said:

Hi Rob,

First of all: respect to your discipline and courage to write down all your trades in this BBT-Forum!

Indeed, at BBT there is almost no mentioning (and no trading?) in futures. As I am now doing research in pivot point-trading, I am also interested in trading futures. But, there are some obstacles. The main one at this moment is that I cannot find the right symbols on the DAS platform. Can you give me some examples? For example, I tried symbols like ESK22, #ESK22, ESK2, #ESK2, ES0522, ES05-22, etc etc. It just doesn't work. DAS only gives 'Symbol Not Found'. As far as I know, I have the BBT-DAS-IB-package, including e-mini.

And you write that you use 'NinjaTrader' as platform for futures. Would you (strongly?) recommend that above the DAS platform? And can you tell me what the costs are for NinjaTrader? I know that NinjaTrader has all the pivot-indicators from Frank Ochoa, so that is also very nice to have.

Do you use DAS ánd NinjaTrader?

If you have any more information that I can use at the moment: please let me know. I would appriciate that very much!

And I might also post my journals when I am ready to start live trading. As you write, it will give the accountability I need for my trading.

Thanks and kind regards,

Peter

Hi Peter, sorry for the delay. I am taking a few months off journaling on BBT. I will probably restart in August when I have time again.

For DAS Futures try this link: https://dastrader.com/docs/how-do-i-trade-futures/   But I thought I read some BBT members not happy with the Futures data from DAS.

I was told right from the beginning Ninjatrader is the best for Futures and I have not been disappointed. I like the platform more than DAS except for speed. DAS is faster. So if your are scalping stocks there will be nothing better than DAS. Outside of stock scalping there are other options. Yes I STRONGLY recommend Ninjatrader for Futures. Great plots, great functionality, great algo programming, great back-testing and awesome replay SIM trading.

You can try it for sort of free. The Platform will be free but you will have to open an account ~$400. But I think there is a monthly broker fee. Maybe as high as $25/month. But you can try it out in SIM trading and see how you like it. To get all the bell and whistles it is a single payment of $1.1K. I hope that helps.

 

Well since I am here anyway I might as well post my trade today. I came back from work and noticed my trading computer was frozen. I have been having this issue lately. Tried defrag and updating the drivers, but no luck. So I thought I missed a good trading day. But I checked and my algo triggered a trade before the computer froze. 

Have a good night.

Rob C

[PeterNL 6]

Thanks for your input, Rob! I have work to do the coming months!!

And no problem for the delay. It's like trading: waiting patiently haha.

Good luck with your trading.

[Rob C 826]

Futures (GC - Gold) algo trading journal Monday 5/02/22.

I was taking a break from posting my trades, but I had to post this one. I always hope that my algo will trigger some winning trades during the night that I reach my goal by morning and I am done for the day before the open. That finally occurred. Gold Futures get lots of volume over night from Asia and trades can be triggered. I got two winners last night and the second one quite large. Both were pullback trades that worked well. Then the algo turned off, as programmed, when my goal was reached. A good start to my Monday morning.

Have a good night.

Rob C

 

[Rob C 826]

Is a Tick Chart useful for market opening trades?

Hi everyone. I have been a little lacks with my posts as of late, but I only recently got back into equities. I have been trading Futures for the past 2 years. Actually, I never planned to trade Equities live. I got into trading solely to become an algo trader. But soon after starting I realized I should learn live trading first. I think I was a little slow on the learning curve, This was before BBT had all these great resources and trainers. But I did finally get to profitability. But I never liked live trading. So, after being profitable for a time I started writing algos. Quickly I realized algo trading is better with Futures so I became 100% Futures trading. Had fun with it but recently I found a new setup that is really good, but it’s easier to take live. After a couple of months of that I got hooked and was ready to try trading equities live again.

So, I got my DAS account back and started watching BBT videos to catch up. Two weeks ago I started trading live. A few days demo to see if the hot keys worked then started live trading at one tenth normal risk. It’s been entertaining. But I have been green or BE for the past 7 trading days, so of course it would be fun. Once I get a few red days under my belt I may think differently.

I noticed a few things are different with my trading since last time. Two years ago, my only setup was ORBs. Now I instinctively look for fallen angels or rising devils. Though I have taken a couple of ORBs. I used to wait for at least 90 seconds after the open before taking a trade, Now I have taken several trades before 1 minute. Previously I greatly favored longs. Now I am reasonably not swayed by long/short. Though I may have a day to day preference based on the overnight ES or NQ Futures. Since I am watching them anyway. Two years ago I had a desktop computer with 4 screens and now I have 3 laptops though one is attached to a screen. I use to look at least 6 if not more stocks at once at the open. Now I limit to 3. I use to turn off the BBT Chat right before the open. Now I leave it on. And lastly, probably the biggest difference is I have the stocks tick chart on a screen if I am interested in trading it that morning. Since it’s common to use tick charts for Futures, I got use to reading them.

I haven’t seen the tick charts make a big difference. But they have been helpful. They are good at showing extrema that you are unable to see since it occurs inside the 1min candle. For example let me show you PDD trade I took Friday. It was essentially a break even trade. But would have been a full stop without the tick chart.

So I tried a rising devil. I waited for the price to bounce back to the VWAP and the price stalled on the tick chart, so I went short. I had a small stop so the $91.20 goal was almost a 2R trade. So here is the play by play on the tick chart.

 

If you were wondering if the chart has to be a tick chart or just one with very small intervals? Below is a 1sec candle chart of the same time frame.

 

For the most part you can get the same price action information on the 1sec candle chart. What I like about the tick chart especially at the open where you have very little time to think, is the tick chart gives price and volume on the same chart. While the chart above is actually two charts, the price above and the volume below. Which takes me longer to process. Anyway, it’s just a preference.

This tick chart and 1sec chart was from Ninjatrader. I can make stock trades from Ninjatrader but it is too slow for the open. So I use it for charting only at the open.

So, it’s nice to be back. I hope everyone is doing well.

Rob C

 

 

[Rob C 826]

The 10sec candle chart was useful today.

Though I am quite used to reading the tick chart, I was having issues utilizing it at the open. Too much quick thinking. My DAS charts are candles and when I glance at my tick charts on NinjaTrader my mind doesn't switch instantly. So, I have been trying different candle charts. Today the 10 second candle chart was helpful on NVDA. 

This was the trade on the 1min DAS chart:

 

This looks like a 1min ORB that I took a little early and got out early. Now see the 10 second candle chart. 

So within the 1min candle you see an ABC configuration forming. Thus, I went long before the 1min candle was completed. 

But you may ask what advantage did I have if any? If you took a normal ORB you still would have had a 2R trade by 8 minutes after open of the market. The advantage to me is an issue I am having with reward to risk. I usually trade by algo and my reward to risk is programmed in. But now taking live trades I am having an issue with this and most of my winning trades are an 1R win. So far I have been doing surprisingly well with 13 green days and one red. But 1R trades will catch up with me. So, by using the 10 sec candle chart, I was able to make a tighter stop instead of the $185 stop I would have used from the 1min chart. Thus, creating a 2R profit trade. And again I know with this trade and some patience 2R would have been reached anyway. But that is difficult for me at the moment, so I am quite happy with the trade.

I hope everyone traded well today,

Rob C

[Rob C 826]

October 2nd Trading Day

Though I am green today it wasn't a very good trading day. First error was trading at all today. Though I had the minimum hours of sleep, I woke up exhausted and my Garmin watch such all my vitals look horrible (Poor sleep quality, lowest HRV this year, high resting pulse, etc...) But I traded any way. I was watching TSLA, NVDA and BABA. TSLA was setting up for a really good rising devil and I had my finger on the trigger waiting for the price to reach VWAP. I am not sure where I turned my attention (another stock or the 10sec chart on my NinjaTrader), but by the time I looked back at TSLA the VWAP was reached and price already fell. This is not considered an error. This happens sometimes. To go short now would only give a 1.5 Reward to Risk ratio. But I had FOMO and went short, which was error number 2. At least I went with half the number of normal shares since there was a long way to my stop now. The price dropped and reached my target. If I entered where I was suppose to this would have been a 2R profit and I would have gotten all out. Since I was only at 1.4R I only partialed and hoped for more of a drop even though there was no reason to hope for that. That was mistake number 3. The price started to rise and my 10sec chart looked like it was going to keep rising so I covered. At least, at that point, I was smart enough to shutdown my platform and call it a day.

Yes, it was a positive 1R day. But not proud of myself today.

 

10 second candle chart:

I hope everyone had a good trading day. Have a good night.

Rob C

[Rob C 826]

1 min ORB algo.
Here is the backtest for the 1min NVDA Long that I created (R=$200)
 
I have been mining the data to see the possibility of making ORB algos for the last couple of weeks.  I looked at 1min ORB first using NVDA long direction. There seems to be about 2.5 years of data where ORB setup could be used.
I did try and read a few algo books, but didn't find any useful. Some interviews in the Market Wizards books I found very useful for algo trading. The rest of my method I figured out on the way. I have been profitably trading algos on Futures for almost 2 years now. The only issue I have is my algos trigger a trade at most once a week. Not enough. So looking for more setups.
So I first estimated my parameters and values based on what I have learned from the mons at BBT. I then backtested only the last 3 months using Ninjatrader and see if a profitable algo is even possible. This time it was, but these results are useless except for feasibility. I then walk through each parameter to see what has correlation. Interestingly enough almost all the parameters have value limits but not correlation. Except for volume, which the larger the better, and the distance from VWAP, none of the other parameters had correlation except for limits. Though not expected, this is great because it means the parameters are robust.
Though Ninjatrader has an optimizer, it usually is not very useful since it curve fits too much. So I manually optimize then run the parameters for the last two years and got mediocre data. But that's normal. Then I use something I learn from one of the Market Wizards, where he uses 2 years ago for optimization and runs the algo on 1 year old data to see if it works. So I noticed, when I used the 1st algo version we were in the red about a year ago. So I used the red time period to optimize.
 

1min ORB profit when optimized on the recent 3 months then back tested for 2.5 years.

I optimize for robustness not profit. I use to make spider web plots (in Excel) with each strand a different parameter and thus try and create a large stable sweet spot. Where the parameters could move around and it will have little affect on the stats. There is almost always a plateau like that, but sometimes it is under water.
So if I let Ninjatrader optimize it gives an outragius profit factor of 5.7 with a highly curved fitted solution that if you move any parameter, even slightly, the profit drops off fast. My optimization has a modest PF of 1.7. But all the parameter correlation are gone (even Volume and VWAP). You can move parameter values around, even large amounts with little effect. All the parameter values become min or max limits only. Thus these are the edges of the optimization plateau.

Here are the parameter limits:
Volume > 300K
1min candle body size > $0.60
1 min candle body size < $2.7
Top 1min candle wick size < $1.10
How far above VWAP when initiating trade > $0.20 and < $2.30
Market opening price Gap for NVDA >$ 0
SPY 1min candle close > -$1.00  Essentially, the algo is saying don't take a NVDA Long when SPY is careening lower.
The target and stop are loosely optimized, but are not meaningful since I have a separate trade management algo that takes care of that. For this back test I used a 3 to 1 traget to stop ratio.
Then I ran it on the full 2+ years. the data you see is above in the opening graph. Below are the numbers. 
 

 
The max consecutive losers is a little high for my comfort, but its good enough I will start running in sim and create the short version of the algo. Then move on to TSLA, ES and NQ.
Thanks for reading to the end.
Rob C

Edited October 30 by Rob C