[Tradewinds]

I had a good profit on a trade, and let it all slip away. I've decided on some exit rules, that are straight forward and simple. Hopefully it will help in the future.

Exit orders on these three conditions:

• At Peak or Bottom signal
• On unusually large price moves
• Stop Loss - Price fails to move in my favor

I've been trying to scalp the ES on every price level. I've decided this strategy does not work well. When the trend is strong, it's rarely possible to exit, then re-enter at a better price. So, it's better to ride out the trend to it's end. The problem is, the price can turn against you with absolutely no warning. That is shown in the attached chart at 10:32 am. But, there was a good way, to deal with that situation. Price had an unusually big move up prior to the downturn at 10:32 am. That's where the rule for taking profit on an unusually large price move comes in.

Attached is a spreadsheet of my performance report.

[Tams]

some food for thought:

the exchange streams out a bunch of data for every trade... the time, the price, the volume...
why do they bother to sent out the volume if that piece of data is not important, or useful, or of no consequences?


looking at the time and price without consideration of volume in your analysis
is like ordering a hamburger, throws out the meat and just eat the bun.


my 2c

[Tradewinds]

Thanks Tams, I use the $TICK, Advancers, Decliners, Up Volume, and Down Volume as the basis for trading the emini SP 500. I have custom studies that process all that data. My data feed isn't what I would like it to be, but for development purposes, it's okay for now. I look at different aspects of all those inputs, and how they relate to each other.

[MightyMouse]

" I had a good profit on a trade, and let it all slip away. I've decided on some exit rules, that are straight forward and simple. Hopefully it will help in the future."

Tradewinds,

A lot of times when the above happens, you took a trade is in the wrong direction. If you create a rule to capture the profit of a trade that is in the wrong direction, and use it universally, then that rule might take you out of a trade, that is in the right direction, too early.
To get a 10 times winner, you have to leave the trade on and not create rules to take yourself out too early. Instead, create rules to keep yourself in.

You are simming right? Use the opportunity, now that you have time, to develop solid, profitable trading habits. Habits grounded in patience and discipline.

Rules for getting out of trades are important but so are rules for staying in a trade.

MM

[Tradewinds]

Originally Posted by MightyMouse »

Rules for getting out of trades are important but so are rules for staying in a trade.

MM

The irony here, is that I had a "break through", and was staying in trades longer. In fact, I've made the decision to stay in trades longer, because a major problem of mine is that I get out too early. So I had made up my mind to stay in the trade until I had a peak signal. ( I was long). But price wasn't peaking, it was a large retracement before a bottom.

You are right, rules for staying in the trade are just as important. That's a good point.

[Tradewinds]

Apr 18. Made stupid mistakes early on. I seem to do that a lot. Then clawed my way back. In the end, I had 26 winners in a row and an 80% win rate. I'm starting to get all the pieces of the puzzle in place. Now it's just about execution. But I'm starting to trust my strategy and my signals, even though it goes against my initial reaction. After commissions, the profit would have only been $123 dollars. But that translates into over a $30,000 gain in a year. I'm trading limit orders on sim where the order will not fill unless price passes through the order.

Total Net Profit $287.50
Gross Profit $987.50
Gross Loss $-700.00
Commission $0.00
Profit Factor 1.41
Cumulative Profit 0.45%
Max. Drawdown -0.88%
Sharpe Ratio 1.00

Start Date 4/18/2011
End Date 4/18/2011

Total # of Trades 47
Percent Profitable 80.85%
# of Winning Trades 38
# of Losing Trades 9

Average Trade 0.01%
Average Winning Trade 0.04%
Average Losing Trade -0.12%
Ratio avg. Win / avg. Loss 0.33

Max. conseq. Winners 26
Max. conseq. Losers 3
Largest Winning Trade 0.12%
Largest Losing Trade -0.33%

# of Trades per Day 47.00
Avg. Time in Market 2.6 min
Avg. Bars in Trade 0.0
Profit per Month 14.53%
Max. Time to Recover 0.05 days

Average MAE 0.06%
Average MFE 0.04%
Average ETD 0.03%

[Tradewinds]

Apr 19. I'm trading 1 to 3 contracts on the ES. Short term trades. Avg time in Market 3.5 minutes today. $293.50 profit after fees. This is sim trading. not real. All orders will not fill unless price moves through entry price.

Today I ended up averaging in on quite a few trades, and trading some chop. I actually do very well trading choppy markets. It's that mentality to fight the market. Get me into a fight with a choppy market, and I'll "eat your lunch".

Nice, happy, beautiful trend lines seem to be a problem for me.

I started the day out bad once again, and fought my way back. At least I know I'm capable of making a comeback. Now if I can get into the right state of mind earlier, I'll do even better.

Performance All Trades
Total Net Profit $412.50
Gross Profit $687.50
Gross Loss $-275.00
Commission $0.00
Profit Factor 2.50
Cumulative Profit 0.64%
Max. Drawdown -0.29%
Sharpe Ratio 1.00

Start Date 4/19/2011
End Date 4/19/2011

Total # of Trades 34
Percent Profitable 76.47%
# of Winning Trades 26
# of Losing Trades 8

Average Trade 0.02%
Average Winning Trade 0.04%
Average Losing Trade -0.05%
Ratio avg. Win / avg. Loss 0.77

Max. conseq. Winners 13
Max. conseq. Losers 4
Largest Winning Trade 0.12%
Largest Losing Trade -0.10%

# of Trades per Day 34.00
Avg. Time in Market 3.5 min
Avg. Bars in Trade 0.0
Profit per Month 21.30%
Max. Time to Recover 0.04 days

Average MAE 0.04%
Average MFE 0.04%
Average ETD 0.02%

[Tradewinds]

Okay, I figured something out. Actually, I figure things out, then forget them. Then figure it out again. Then forget it again. After a while it "sinks in". What I need to do, and what I started practicing today, is to wait until my indicators are all synced to an extreme for entries. This gives me a better chance at a good entry, and forces me to wait until the conditions are right.
I have a couple of custom studies I programed that are oscillators. Price cycles back and forth in waves. I wait for both the oscillators to sync to one side of positive or negative for the entry.
It helped. 88% win rate, and I felt a lot more solid in my trading. Not a big profit, but I'll take the solid strategy and "piece of mind" any day. The es emini SP kind of died out, and I called it quits. Not much news this morning.


Performance All Trades Long Trades Short Trades
Total Net Profit $225.00 $212.50 $12.50
Gross Profit $300.00 $250.00 $50.00
Gross Loss $-75.00 $-37.50 $-37.50
Commission $0.00 $0.00 $0.00
Profit Factor 4.00 6.67 1.33
Cumulative Profit 0.34% 0.32% 0.02%
Max. Drawdown -0.11% -0.06% -0.06%
Sharpe Ratio 1.00 1.00 1.00

Start Date 4/20/2011
End Date 4/20/2011

Total # of Trades 17 13 4
Percent Profitable 88.24% 92.31% 75.00%
# of Winning Trades 15 12 3
# of Losing Trades 2 1 1

Average Trade 0.02% 0.02% 0.00%
Average Winning Trade 0.03% 0.03% 0.03%
Average Losing Trade -0.06% -0.06% -0.06%
Ratio avg. Win / avg. Loss 0.53 0.56 0.44

Max. conseq. Winners 15 12 3
Max. conseq. Losers 2 1 1
Largest Winning Trade 0.08% 0.08% 0.06%
Largest Losing Trade -0.06% -0.06% -0.06%

# of Trades per Day 17.00 13.00 4.00
Avg. Time in Market 3.4 min 3.4 min 3.5 min
Avg. Bars in Trade 0.0 0.0 0.0
Profit per Month 10.90% 10.27% 0.57%
Max. Time to Recover 0.01 days 0.01 days 0.03 days

Average MAE 0.04% 0.04% 0.05%
Average MFE 0.03% 0.03% 0.02%
Average ETD 0.01% 0.01% 0.02%