Rob C's Trading Journal - starting Feb 1 2019

[Bailey Nevener 83]

How are you tracking your stats to know if they are statistically profitable?

[Rob C 826]

11 minutes ago, Bailey Nevener said:

How are you tracking your stats to know if they are statistically profitable?

Chartlog for Equities. My own Excel sheet for Futures.

[Bailey Nevener 83]

Wow that's awesome!  I'll have to give chartlog another try.

[Rob C 826]

Futures (ES) live trading journal 7/01/21 Thursday.

Hi everyone, its been awhile since I posted. I have been studying and trading SIM with some advanced setups I have learned and I have not been profitable in SIM and thus no live trades to post. Also, I did so poorly last summer that I would not mind just practicing and not trading live the whole summer.

But today I was trading in SIM and liked the setup too much and took it live, so I am posting it.

The momentum was weak and just a slow grind upward. Then a strong drop in price with and even stronger bounce. The price will usually move well after a strong "V" but in what direction? I usually use Fibonacci in these cases. If the price bounced off the 50% or the 61.8% I will go short. But, instead it over shot past by 2 ticks and over the next few minutes created a hard top that seemed independent of the 61.8% Fibonacci. Two higher lows were created and when finally a HH. I waited for the pullback and went long. 

I had a conservative first target which was filled. Then I placed my stop 2 ticks below the recent low and placed my target order 1 tick below R4. I was just about to shut off my monitor, since this would be a long wait and I am not known for my patience. Then I saw a LH and two LLs. And yep I sold. It was about two hours later and it would have reached my target at R4.

I hope everyone had a good trading day.

Rob C

 

[Bailey Nevener 83]

Looking good!  I've never used Fibonacci for my trading, any consistency with it?

 

[Rob C 826]

4 hours ago, Bailey Nevener said:

Looking good!  I've never used Fibonacci for my trading, any consistency with it?

 

It works well as a directional indicator. I use it if it looks like a nice move will happen but you are unsure what direction. Like a breakout or a false break out, and ORB or a reversal, ABCD, etc. If it bounces right on the 50% or the 61.8% line it has a higher chance of being a reversal or ABCD pull back, etc. It gives me about an extra 10% edge. Which in this game is great.

[Rob C 826]

Futures (ES) live trading journal 7/06/21 Tuesday.

Though the plan is to sit on my hands this summer and learn and practice, but when I see really compelling trade I am starting to take them.

The setup today was a simple one. There was significant momentum this afternoon with a beautiful pull back. When the price started to move upward again I went long. I set my limit order at 3 ticks below the high which was filled about 10 minutes later. I held onto one contract but when the price stalled I sold.

I hope everyone had a good day.

Rob C

 

[Rob C 826]

Futures (ES) live trading journal 7/07/21 Wednesday.

Nice momentum today, then it looked like it stalled out. We had 3 LHs and 3 LLs. Then the FYL crossed the MB (yellow line crossed the white line) which indicated momentum down and the BBs (plot at the bottom) were well below the redline also indicating momentum down. I shorted at the MB and set my 1st target conservative since this could easily be a pullback instead of a reversal. I got my 2 contracts covered and I set my 1 remaining contract stop 2 ticks beyond my BE. Setting your stop at BE doesn't seem to work well with Futures. I was stopped out about 15min later.

Rob C

 

[Rob C 826]

Futures (ES) live trading journal 7/22/21 Thursday.

As I mention previously I am no longer trading live Futures. I am just trading SIM while I am learning more advanced methods and getting use to the change s in the market. But every once in awhile the trade looks too good not to take it live, which is what happen today.

Midday we were getting strong downward momentum. We just made a lower low and then a strong pullback into the "pull back zone" which is the dotted line. The price then held for 7 bars, showing strong resistance. And it was almost an exact 50% pull back. So I shorted and was stopped almost immediately.

 

Then I did take a successful long trade and here is why:

1) When there is a good setup in one direction that quickly gets stopped out it tends to go in the other direction.

2) The price hit the outer band (red line) showing strength.

3) The price pulled back to the mid band -white line - giving a good entry.

4) The FYL crossed the MB (yellow crossed the white) both are indicators from the Day Trading Academy that I use. That is a bullish sign.

5) The momentum was still strong at the entry shown in the chart at the bottom where the current black dot was still above the green line at the entry.

The trade went immediately in my favor where I sold at the outer band and at the first pullback. Yea, I should have held longer but I was well in the green at that point and not use to trading live anymore.

I hope everyone did well today.

Rob C

[Rob C 826]

Futures (MES) algo trading journal 8/30/21 Monday.

I don't see any where in the forums to post/discuss algo trading so I will just drop my algo trades in my day trading journals. 

Well I took some time off from trading and then decided to restart algo only trading. I usually don't post my SIM trades, but this is my 1st real-time algo trading even though it is in SIM.

This is just a classic shallow pullback to the 20SMA. I spent several weeks trying to be profitable with this setup in SIM and gave up. Out of curiosity I created an algo trade for it and ran 4 months of data. No surprise it not profitable. But still curious I tried to optimize the parameters and to my surprise, after optimization, the setup was quite profitable (PF=2.2) with a 50% success rate. Since I would not try algo trading live on the ES (too expensive until more confident) I reran the backtest for the MES (Micro ES). To my surprise the setup was again not profitable. That was a shock since the MES and ES follow each other so closely. I spent a few more hours optimizing for the MES and attained a PF of 1.6 but more trades were triggered on the MES so actually more profitable.

Below is the MES today. Sorry about the small arrows, that is what the Ninjatrader SW uses. The 1st trade was triggered at 2am and reached target at 7am. Minutes later a second trade was triggered and reached target quite quickly. Surprisingly a 3rd trade was triggered and is still active at the time of writing.

The setup is simply:

Take only long trades (back tests says short trades are not profitable with this setup)

The price needs to break the Keltner upper band that was optimized for the MES. Surprisingly the ES needed a different band (both are blue).

The price drops below the 20SMA (but not too far).

Then the price breaks back above the 20SMA. But we need some time the price holds so we know it still won't drop.

Then go long and set up target and stop.

I still need to program in the trade management. Right now its just a target and stop. But I have time. The ES/MES 9/21/21 contract will end soon. I don't like trading during the rollover period so I probably won't go live until October.

I added the Strategy back test data at the bottom. I set R=$30 and essentially the setup makes 11R a month. I need to find two more setups like that!!

I hope everyone is having a good day.

Rob C

 

[Rob C 826]

Futures (MES) algo trading journal 9/2/21.

Still running real time SIM, but I thought the day interesting enough to post here. First, I turned on the algo at night for the first time. Looks like we had strength over night and  a shallow pullback bouncing off the 20SMA triggered a long trade. A few minutes after the open the price reached my target.

The second trade was interesting to show the hazard of algo trading. We had a nice double bottom into strength. A pullback and a bounce from the midband showed support. When it broke the 20SMA the algo went long. Sadly, the close of the bar was at the high so the market order was a few ticks higher than if I was manually trading where I would have placed a limit order 1 tick above the 20SMA. Those 3 ticks were costly because the price immediately dropped at reached my stop by a tick then bounced hard and closed strong. My algo closes the trade at the close of the day. So with one more tick of room it would have been a profitable trade. But not complaining here. Algo trades are about the average of trades over time not one trade. This algo has a 50% win rate so this is normal and I had a positive day. Just showing one of the down sides of algo trading and that its not void of psychology.

I hope everyone had a good day.

Rob C

 

 

[Rob C 826]

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

First LIVE (real money) algo trade!! I have been trading in real time SIM for over a week but the market looked strong enough to set two algorithms to my live account. Both Algos are just ABCD setups. One looks for a deeper pullback to the mid band and the other is more a strength and hold than a pull back using the 20 SMA. 

In the middle of the night the deeper pullback algo was triggered (in SIM) and was stopped out by 2 ticks before making a move. Almost immediately after the algo was triggered again and a buy in SIM was executed. That SIM trade did make it to the profit target. I then turned the two algos live and turned my screen off for an hour. Then when I took a glance I saw I was in a live trade (see buy in the blue circle) and a double top was forming. So I exited the trade manually. This is something I need to work on. Almost immediately afterwards the algo was triggered and a buy order was executed which was stopped out to the tick. I have a feeling when I run back-testing this weekend my stops will likely need to increase by a couple of ticks.

Though I made the manual stop it was fun to have the algo trigger a live trade. I am still having issues with the platform creating limit orders for me in automated mode. When I have that fixed I will likely take more live trades and with larger contract size.

I hope everyone is having a strong day trading.

Rob C

 

[Rob C 826]

Futures (MES) algo trading journal Wednesday 9/15/21.

We are still stuck in the period between contracts. The 9/21 MES contract is too volatile now to trade and the 12/21 contract tends not to have enough volume to trade until the 9/21 contract expires. But today the volume wasn't too bad so I turned on two algo systems to trade.

The first trade occurred not to long after the open. We got some good strength and the price shot through the lower and upper Keltner bands (blue lines) very quickly. On the pull back and bounce from the 20 SMA (golden line) the algo triggered a long trade. The price went up just enough for the algo to pull my stop to just below the entry point. Then I was stopped out shortly after for a small loss.

Later in the afternoon the price showed some serious strength. Again after a pullback to the 20 SMA the algo pulled the trigged again. It took a couple of hours but my target was reached.

I hope everyone had a good day.

Rob C

 

[Rob C 826]

Futures (MES) algo trading journal Thursday 9/16/21.

My first short algo trade occurred this morning. It was a bit too lucky to pat myself on the back actually. There was some obvious weakness and a few shallow pullbacks to the 20 SMA. The shallow pullback algo to the short side does not have enough data on the new contract to go live yet. But the deeper pullback algo does and that is what we had this morning. After a strong steady drop there was a pullback that barely made it above the Keltner midband by 1 tick (thus a bit of luck involved). Then I got a really good entry, which the algo is not programmed for so I need to study the code to see how that happen. Then the price dropped immediately to my target and again I got a really good (lucky) fill on the cover.

I am still just using only 1 contract on the MES so not taking this seriously yet until I get these algos really working. But I still have time until the 9/21 contract expires and all the volume goes to the 12/21 contract and I can really see how these algos works. I still have a few more algos to code this week. But so far I definitely enjoy this more than discretionary trading.

I apologies for the messy chart. I have 3 algos running and each have their different Keltner bands.

I hope everyone has a solid day trading.

Rob C

 

[Rob C 826]

Futures (MES) algo trading journal Friday 9/24/21.

So I waited for the 9/21 MES contract to expire so the 12/21 contract would have the volume and activated live algo trading on Wednesday. Finally right before the end of the trading day today I got my fist trade of the week. I currently only have one algo setup qualified on the new 12/21 contract. The other setups need more days of data. So no surprise it took 3 days before the algo saw the right setup.

The price was bouncing around but finally the price put some pressure on the outer Keltner band (in red). Then the algo waits for a pullback to the 20 SMA. The algo also needs at least one more proof of good momentum here the 50 SMA crossed above the 200 SMA (green lines). The algo then triggered the buy order. Then the price dropped and almost touched my stop. Then the price moved higher to the upper Keltner band. At this point the algo moved my stop to two ticks below my entry. Then the price dropped and just caught my stop before going higher and reaching my target without me.

I am just glad I was able to get at least 1 live trade in this week.

Hopefully there will be enough data I can start some of the other algos next week.

Have a good weekend.

Rob C