A Mechanical Strategy Journal

[Dogpile]

I do not live trade this strategy yet... I am in study mode on this one. I am working out the mechanics of it while I also have to get used to the pain it often brings in the short-run. Mechanical trading is a lot mental -- as pointed out in Art Collins book. Good systems work but traders heads can screw them up. I may get started on a few shares of IWM/SPY/QQQQ just to have a little skin in the game and start to get used to the swings.

I am also working on enhancements. ie, I converted the code to intraday charts and going to see if I can improve results by using closing VWAP rather than closing price in the set-up. I also have idea around using 'weekly MACD histogram' as a filter to help screen out some short trades. finally, something calendar-based might add some value given the tendency of hard corrections to occur between May and September. ie, if weekly MACD histogram has not been below zero in 6+ months then turn short-sale strategy on and turn it off when weekly histogram turns up. Or, turn on short-sale strategy if haven't touched lower daily -2.5 keltner channel in 13 weeks and turn it off 8 weeks later.... something like that.

[Dogpile]

Update:

Yesterdays short entries looking better as of today -- but a long way to go before a long trigger is possible. Close will have to be in bottom 1/2 of 5-day range to potentially get a long entry (no orders possible for tomorrow since we are already short and todays close was high in the 5-day range).

Status: Realized + paper gain(loss) as of todays close

ES: -43.25 pts = -540.63 (1 ES contract per order)
NQ: +32.75 pts = +1310.00 (2 NQ contracts per oder)
ER2: +30.70 pts = +3070.00 (1 ER2 contract per order)

Net: +$3,839.38

Existing positions:
Short 1 ES
Short 2 NQ
Short 1 ER2

[Dogpile]

thumbnail attached

[TinGull]

Maybe I'm confused...but how is being 43 ES in the hole giving you only 540 bucks loss?

[Dogpile]

uh, no I am confused... was doing it x 12.50 (tick) rather than $50.00 (point)... will update

too caught up in details, trees for the forest thing.... you know what I mean

[Dogpile]

ES -43.25 pts x 50.00 x 1 contract = -2162.50
NQ +32.75 pts x 20.00 x 2 contracts = +1310.00
ER2 +30.70 pts x 100.00 x 1 contract = +3070.00

net = +$2217.50

[Dogpile]

got a buy signal on RUS today at 818.40.
will get buy signal on ES today if touches 1543.50.

I have done a lot of studying and created some new strategies based on the same underlying principle here which I will be trading in a real account starting 10/1. I have 2 filters and set some limit orders to exit trades which greatly increases the expectancy. Also, I will only be trading the long side with this strategy. For the short-side, I will rely on my primary trading account to make money there. I just don't think this concept is valid for the short-side -- or I should say, it is less valid on the short-side and there are better strategies for the short-side. For the long-side, 'range expansion off of opening price' is awesome. I have my own concepts which I believe in for the short-side, which I will trade on a discretionary basis. Thus, I am going to stop this thread here as I have changed the strategies and this forum has served its purpose for me.