Archive for May, 2009

13 May 2009

Thursday, May 14th, 2009

Direction:                   Long

Outcome:                   -$199.70 (USD)

Balance:                     $10,414  (AUD)

Drawdown:                15 trading days

Traded correctly. 

That has taken me below my layoff point, and I will take a break for the rest of the month.  

On the negative side, it means I’ve gone almost nowhere in the first two months of this project. On the positive side, I’m ahead of my start point, so my capital is still very much intact. 

I’ll be back, invigorated, on June 1st! Meanwhile, I’ll be working hard on developing a computer program to automate my trading…

12 May 2009

Tuesday, May 12th, 2009

Direction:                   Short

Outcome:                   -$355.80 (USD)

Balance:                     $10,692   (AUD)

Drawdown:                14 trading days

Comment:

Embarrassing! This was a genuine loser, but I accidentally took too many contracts, doubling my loss.

I haven’t traded well this month, and I’m close to my monthly limit. If I lose more than 10% in a month (which I’m happy to say hasn’t happened for a very long time), I must sit out the rest of the month. 

That means if I close out a session below AUD $10,477, I’ll be taking a break. (It would give me some time to work on my program for automatic trading!)

11 May 2009

Tuesday, May 12th, 2009

 Direction:                   Long

Outcome:                   -$162.40 (USD)

Balance:                     $11,152   (AUD)   (correction to original posting)

Drawdown:                13 trading days

Comment:

Today’s trade never even looked like getting over the line, so the bad run continues.

If you’ve read my articles or my books, you will know that I regard perfect implementation of the trading plan as one of the most important elements of success. The last two weeks have illustrated that quite well.

My daughter-in-law trades every night using the techniques I taught her. She has done quite well over the past two weeks! The differences are interesting:

On 1 May, she caught the up spike at the end of the second minute – my old fingers were a bit too slow on the mouse. It was a great result for her, because the market moved up so fast that within a couple of seconds it was way over her target. In fact, she had no time to enter her target order, so simply exited after about 15 seconds with a win twice the normal size! In contrast I got a small win that session, but totally missed out on the windfall gain which I would have had if my execution had been perfect.

On 4 May, my daughter-in-law showed much better discipline than me, holding on for a full win, where I settled for grabbing a small profit (because I made the mistake of watching the trade and was convinced the market was turning…).

On 6 May, my slow fingers missed a trade on the short side, which my daughter-in-law caught. It turned out to be a loser, so that was a bonus for me.

On 7 May, we both took a short trade. However, I have my profit target set slightly more aggressively than she does. The trade moved within a pip of my target, before reversing sharply and stopping me out for a loss. She scored a good win.

(In my defence, I did have a better April result than she did, although she still recorded a nice profit.)

I can live with the 7 May result, because I have a slightly different policy, but the other three days were implementation errors and they cost me. 

The 4 May result was a pure lapse of discipline. I normally fix this problem by setting OCO groups with my exit strategy, and then not watching the screen. I’ve started doing that again now.

The remaining two issues were to do with me being too slow to submit orders in fast moving early trading. By the time I calculate the number of contracts to take, the moment has passed – just by a couple of seconds in both cases.  I’ve changed my approach here, so hopefully I’ll have a bit more time and won’t miss these trades again.

The ultimate solution would be to have the computer trade for me. IB have a facility which enables me to implement this if I want to, but it is a lot of work. So much so, that every few months when I have a look at it, I shunt it off into the too hard basket. Still, it really would be a benefit with the 1 minute bars.

So, I’ve downloaded IB’s API (application program interface), got their sample java program working, and am dusting off my old programming skills to see what can be done. Don’t expect anything any time soon – there’s a lot of learning for me here.

 

8 May 2009

Saturday, May 9th, 2009

Direction:                   Long

Outcome:                   -157.20 (USD)

Balance:                     $11367  (AUD)

Drawdown:                11 trading days

Comment:

The bad streak continues. 

7 May 2009

Thursday, May 7th, 2009

Direction:                  Short

Outcome:                   -$143.60  (USD)

Balance:                     $11,613   (AUD)

Drawdown:                10 trading days

Comment:

The early short came within a pip of my target before turning round. Continuing to be a frustrating start to May, although my balance for the month is about even.

6 May 2009

Thursday, May 7th, 2009

Direction:                    None

Outcome:                   No Trade

Balance:                     $11,797   (AUD)

Drawdown:                9 trading days

Comment:

I missed a quick signal to the short side today, which turned out to be fortunate as it would have been a loser.

5 May 2009

Wednesday, May 6th, 2009

Direction:                    Long

Outcome:                   -$249.30  (USD)

Balance:                     $11,777   (AUD)

Drawdown:                8 trading days

Comment:

I traded OK today. The problem was the wins on the previous two days were not large enough due to my implementation errors. I need to take more care.

 

                  

4 May 2009

Monday, May 4th, 2009

I settled for a small gain of USD 100.30 today, when a little more patience would have seen a better win. My balance now stands at AUD 12,118.16.

 

1 May 2009

Saturday, May 2nd, 2009

I just had to put this one in! It was an example of a complete lapse of discipline, and I was very fortunate to get away with it.

The entry I should have taken occurred in the first few minutes, but the market was moving very quickly and my reactions were too slow to catch it. I was furious with myself! Instead of doing the disciplined thing and going to bed, I watched the market for a long time, then took two (!) short trades, one of which worked, and one which didn’t. So I ended making a bit of money on the short side, on a night where the market rose strongly. 

When I come to review this trade at the end of the month, it will go down as a poor result, because I made a lot less than I should have done. So it will drag down the win to loss ratio.

Thank you to all who responded to my blog yesterday. Generally most of you were comfortable with moving away from the daily graphics, but would quite like a brief daily report. A lot of you asked for specifics of how I determine exits and entries. Frankly, I don’t include this each day because it is the core of the content in my book, and I hope that those of you who really see the value of this information will order the book. The entries in the book have been adapted slightly to suit 1 minute bars.

(The actual entries I use correspond most closely to those described in my old eBook, which is still available for purchase.)

But to give some idea of what I’m looking at, here is the 1 minute chart from this session.

As you can see, there was an enormous spike up in the first few minutes, which I missed! While I was sitting fuming about that the market moved up to challenge the high of the spike. Things were looking like this.

You can see how the market went sideways for quite a while as it struggled with resistance just before the top of the spike at 560. I could also see on booktrader that there were a lot of sell orders at 559.5 and 560, so I took a shot at selling at 559 expecting a strong pullback. (In the screenshot you can see my sell order at 559 with the stop at 560 – only one contract, as I knew I shouldn’t really be taking this trade!) You can see on the chart that the market did indeed pull back. Then, I was lucky enough to get my exit right at 553, just before the upward trend reasserted itself. 

Later in the session, almost exactly the same set up occurred again, but this time the upward pressure was too strong and my stop was taken out.

 

April Review

Friday, May 1st, 2009

At close of trade on 31 March, my account balance was $9,790.62.  At the close on the 30 April, the balance was $11,642.84, showing a profit for the month of $1,852.22 – an 18.92% return on capital.

Let’s examine the key metrics.

There were 21 trading days available in April, and I traded 15 times (71.43%). My target is 80%, so this figure is a bit low. However, there was one day missed because of a software glitch at IB, so I should have had 16 trades (76.19%) – not bad, given that I’ve been restricting myself to opportunities in the first 30 minutes.

9 out of the 15 trades were winners, so my winning percentage was 60%. That is good, especially as the trade on the day of the software glich was a winner, so the percentage would have been 10 out of 16 (62.5%). I can’t complain about this. In fact, I’ve probably been a bit lucky this month – my target is to get over 50%, and it is a tough metric to meet.

The average win was $374.87 and the average loss was $260.97, giving a "win to loss ratio" of 1.44 (target is >2). This reflects on my trade management, particularly the trade where I baled out early on a winner. However, the greatest impact was from the asymmetric effect

If you’ve followed the results daily, you will have noticed this process is not "fast". Fifteen trades in a month is hardly spectacular for day trading. Nevertheless, even with a disappointing sequence of three losses into the close of the month, I’m comfortably beating my goal of a monthly 10% return. If I can continue to do that, the account will grow quickly. 

Notice my capital has only been at risk for about ten hours in the whole month! That is roughly the time I have been in open trades. The rest of the time I’ve been sitting safely on the sidelines. This is a benefit of the day trading approach – not many trading styles keep you out of harm’s way to this extent.

All the weeks ending during the month were profitable, although this week is not looking promising (still one session to go). Psychologically, I like to go into weekends on a gain.

I need some feedback from readers about my posts. I’ve done daily posts, with screenshots, each day in April, because many commentators on the net never show real trading results. (It is much harder to do well in real trading than it is to show simulated results from backtesting.)

However, it is a time consuming process. So from now on I am planning to limit myself to weekly and monthly progress summaries.  I hope I’ve established your trust that this is a genuine live trading project, so the summaries will be all that are required. If you REALLY want me to keep up the daily posts, email me on support@12oclocktrades.com.