Jan 012017

2015 was a good year for me. I really got in to the groove and my equity curve was exponentially growing up. The dotted line is the zero line.  I will block out the P/L amounts but I can tell you it’s not much.

Unfortunately 2016 was not as good. I was very busy with my consulting business, with the family, and with other hobbies, so I didn’t devote enough time to it. Then I had some bad trades and lost interest and never really took the trades to get the curve back up again.

It was a bit discouraging but if I look at my curve over the past few years, from 2014-2016 the results are not so bad. I’m in a drawdown and I just need to get going again to get the equity curve going back up.

My plan for 2017: Remove some of the discretion to make a more repeatable system. Specifically I want to:

  • Have more trades. Currently I’m very selective and then fear creeps in and I look for reasons to avoid trades and end up going weeks or sometimes months without a trade
  • Be less discretionary. I’d like to have some rules to follow and trust the system more.
  • Be more automated.  Not talking about automated execution, just more alerts so I can just verify and push a button and let it play out.
  • Backed by stats in order to have confidence I need some stats supporting what I do.

So I’m going to be working on that for a while.  If I find some good trades I’ll take them.  But this is just a hobby now and my full-time consulting work provides a good income and family time in the evening is precious, so I think 2017 will be a bit slow to start.  This is why the audio alerts are important, I don’t have time to watch the charts.  My zones indicator is really helpful here and I have some other order flow algorithms which trigger audio & email alerts too.

Good luck to everyone for your trading in 2017 and Happy New Year!


Jul 292012

I’ve started to settle into a new groove working full time.  It’s not an easy adjustment to make. It’s no longer possible to play flute when my work is slow so or go running in the park during lunch time.  The 1 hour runs 3 times a week has been replaced with 1 hour of walking to/from work (I take the train half way and walk the rest) and a run on the weekend.  Time will tell if this is enough exercise.

In the evening I’ve got the routine down.  I try to get home around 6:30pm and give the kids their baths while my wife cooks dinner.  After dinner we play games with the kids for about an hour and then get them ready for bed.  By 8:30-8:40pm I’m at my desk looking for an entry in my 90 minute window.  I get one good trade and win or lose I turn my PC off and I’m done.

Surprisingly, this routine has worked very well.  Last week I averaged 2 pts/day trading 1-2 lots (so let’s say 2).  That’s 1 pt/contract per day.  That’s very encouraging as it’s on par with my average performance trading full time on good months.  I’m very interested in the possibility of making 1 pt/contract trading only this 90 min period (and it’s usually less than 45 minutes, my latest exit last week was at 9:12pm (3:12pm NY time) 45 minutes before the cash close).  In short I am doing in 45 minutes what I was normally doing in a full day.  Is it realistic?

As I wrote in a previous post, I had to adapt my trading method in order to reliably find an entry in my trading window.  This resulted in what some may call more of a scalping style.  I’m not sure if I’d go that far to call it that but it does mean tighter stops and smaller targets.  The key is getting the market direction correct.  I’m not trying to get a big winner, ideally 1.5-2.0 pts on first scale and 3-4 on second.  When that is consistent then I can add a third contract.  But I want to prove the first 1-2 are profitable first.

Here are the 90min stats since I started trading this window.  I keep these in Excel because it includes days that I traded full time (the excel filters out only trades taking in the 90min time period).

I put boxes around the key metrics.  The win rate is good, perhaps a little high, so I will be watching this.  Too high of a win rate can be one of three things:

  1. an inverted R:R (bigger stop than targets)
  2. short-term luck
  3. a really good read on the market

It will take some time to find out.  My biggest stop this week was 3 pts and to compensate for that I only did 1 lot.  I got +2 on that trade.  That’s the inverted R:R I want to avoid.

The average trade has expectancy of 1.18 pts.  That’s much better than a tick or two which I’ve had in the past.  The profit factor is really great at 3.02.  The avg win / avg loss is less than 1 but this metric is easily distorted by scratching at +1 tick.

Overall results are very encouraging and I’ll continue the same plan next week and see if the results are in-line.  One of my biggest issues in the past has been the lack of a repeatable method due to too many discretionary inputs.  I think I’ve made progress in that regard and that my current method is a bit more mechanical and more repeatable.  Time will tell.

On a final note, these results are all from the time when I knew I was going back to consulting.  That greatly eased several psychological issues such as the pressure of relying on trading for an income and the pain of losses.  I now I have a fixed daily income that is more than sufficient to meet our short-term needs and so the pressure is off.  I think this is very much responsible for the improvement in my trading results.  I don’t have to be afraid of a loss because it will be small compared to my consulting income.  And I don’t have to make any money trading in order to pay the bills.  I think the impact of that is huge.  So if anyone is currently in a similar situation, working full or part time may actually help your results.

On a macro level, the big gains on solid volume the past two days give me a bullish bias for the upcoming week.  But that could change should any bad news come out of Europe.  So really taking this day by day.





Jul 162012

Thanks to Todd for telling me about the IRT homework study #3 which did the same thing, and that let me compare my results with theirs.  I had an error in my Excel which made the time get out of sync and that compounded and ended up making the last period H/L more often.  Doing these stats in Excel is a bit complicated, but worth the time & effort in my opinion.

I updated my previous post, but here is the updated chart:

This fits better with convential sayings that the first period is most often the H/L.  Lately that may not seem like the case, we’ve had many mid-day reversals.  But over several years, that is the correct pattern.

The last time period is the second most likely to be high low.  And since by the last 90 minutes, we already know if the first few periods are likely to be high or low, we can guess the last period will be the opposite and use that for a directional bias if supported by context.

Another important implication of this is that trying to fade the intraday trend mid-session is not a good idea.