Jul 292011

This month was a really interesting month.  I learned a lot about myself and my trading.  And I realize I have a lot of work to do.

Last week I wrote my plan for this week, which was:

  • 3 pt max stop, and ideally get out with losses of 2 pts or less
  • Trade more with the direction of the value areas
  • Be more thorough with my homework so that less decisions need to be made while trading
  • Start up the journal again (yes I slacked off)

How did I do?

3 pt stop

I kept a very detailed (painfully detailed) log for the past week.  I took 42 trades.  in 9 of those I moved my stop wider than 12 ticks and left it in the rest.  Here are some stats in ticks:

Avg MAE when stop not moved: 3.27

Avg MAE when stop moved: 14.33

Avg P/L when stop not moved: 5.88

Avg P/L when stop moved: -11

Did moving the stop increase or decrease performance?  -11 ticks was what I got.  If I didn’t move it, I would have had -12.  So it appears not to have affected it.  In that case, better to leave the stop and avoid taking a big loss (which I did a few times this month).  So that’s another goal going forward.  My total average MAE was only 5.64 ticks and so I’m even considering a 8 tick stop.  I was surprised at this stat:  1/2 of my trades had an MAE of 4 ticks or less!  I find that amazing.  I am studying this further.

Trade with value area direction

Average P/L trading against VA direction: -1.79, with VA direction: 5.56

If I use the day’s trend, defined by the market making new highs (up) or new lows (down):

Average P/L trading against intraday direction: 1.67, with intraday direction: 3.00

If trading with VA trend and intraday trend: 8.83, and against both: -2.63

This makes a good case for trading with both the VA trend and the intraday trend.  Requires a lot of patience as there would be days without any trades (when VA trend & intraday trend are opposite directions for example).

I’m going to collect more data and continue analyzing this.

Be more thorough with my homework

I need to do more work on this as we’ll see below.

Start up the journal again

I kept a detailed trade log but I think a word doc to summarize each day would be very useful as well.

In the detailed trade log I gave myself a grade based upon how well I executed my plan.  At first it was very subjective but this week I graded each trade.  The results were surprising in that I had an average grade of C.  I think this is a result of my plan not being clear.  I need more details in both my trading plan (general) and my homework (specific).  I also think I am looking at too many things which make decision making difficult.  I missed a lot of trades.  So I want to simplify as well.  I will be removing some charts from my desktop.

So how did I do?  I compared my July results with June a few days ago, not much changed in the past few days (small wins).  This month was slightly less than last month due to 4 days vacation.  On a per day basis it was 18 euros less.  That’s ok because I feel like I’m improving and controlling risk better.  For example if I fade less then I may make less but with less risk (meaning I can trade bigger size and make more).  For this past week, I did almost exactly my weekly average over the past 3 months.

So another profitable week and my 3rd consecutive profitable month.  Now I need to work on my plan, do more homework, and focus on my execution.  I realize that success in trading is there for anyone who puts in the hard work and time.  I imagine a lot of traders don’t do any preparation and make decisions on the fly, which could be responsible for their performance.  And those traders who do put in the time & effort are rewarded.  It’s really hard to do an hour or more of homework every day but it’s absolutely necessary.

Hope you had a good week and I wish you a great weekend.



  5 Responses to “Weekly results and stats”

  1. Hi Micheal,

    interesting post.
    How do you define value area direction? From day to day or intraday VPOC shifts?
    Btw more than 1 hour homework seems a lot. For two mkts, I guess?


  2. Michael,

    A very interesting post. Thank you for sharing. You are on the right track, that’s for sure. 5.6 ticks avg heat is excellent, especially in view of the recent volatitlity.

    Question: If I remember right, you are trading two units, correct? When you take a trade with a “standard” 3 pt stop, where is your minimum target and how much do typically you scale at that target?

    Keep up the great work.

    Thanks again,


  3. Oh, just noticed that I had a bluescreen in my head when I asked the question regarding scaling 🙂 This question only makes sense if you trade 3 or more units, otherwise its 50% of course.

    Anyway, thanks for your reply.


  4. Markus – as an experiment I was just using something simple:

    VA > VA yday = Trend up
    VA < VA yday = Trend down VA = VA compare previous days I think something more intelligent would work better, but this is a start. I do homework for ES my primary market and then my secondary markets NQ & Stoxx. I switched Bund for Stoxx so that it's more consistent with ES & NQ and less volatile - bund is crazy now.

  5. Benko – In the past I’ve got for 2 pts on the first and then the next major level on the 2nd. Lately I’ve experimented going for the next level on the first and the level after on the second, and then if I see heavy activity against me get out with the first. Still working on this but I feel taking a standard 2 pts is cutting my winner short.

    For next month I may follow FlowTraderES’s suggestion and trade 3 contracts when the trends are all lining up. If trends are mixed then 2, and if totally against the trend I will either sit out or trade 1 lot.

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