Mechanical Trading Intra Day

Where does time go? Only seems like yesterday but nearly a week has passed.

This week has so far resulted in wins of 2888 and 13 (breakeven effectively) and a loss of 813. Net gain of around 2088.
Monday was fantastic - great breakout and everything hunky dory. Tuesday was the day I keep trying to avoid - nicked me in and then turned and ran the other way.
Yesterday was strange - all going nicely until 19:30 and then something came out and everything just tanked big time.
So a healthy profit turned into a breakeven.
No economic figs were due out and I couldn't find any news so have to live with that. Doesn't happen that often - just really frustrating when it does.
I don't monitor my trades after about 1800 - I find it wastes my time - but yesterday was a day when a little inspection would have saved hundreds of euros. A lot of people will criticise me for that - but to spend 5 hours of an evening 75 days a year (say) to save 3 or 4 trades - cost/benefit analysis doesn't add up IMHO.
I also find that I "interfere" - you know tape reading, picking up the vibe / harmony of the market and getting out just as it takes off for a new leg up, etc.
So I reckon currently the breakeven is the best I can do.
I did enjoy the golf though!!

Hello Traders
Yest result - +$1992 per contract.

At a small gathering of traders last night someone mentioned that you can now post charts in the blog.
I will try for a week and see how much effort/time/resources this takes.

So why not start with yesterday! Fed announces it's efforts to avert 1929 - will it work? I don't know but let's hope so.
Gold continues to rocket along with Gold - another strategy is long of both of those but I pay no attention until my computer beeps at me to do something.

Yesterday's trading typified by the Dax chart and the EMD Chart.

Here is where thinking and looking at the chart can run you into trouble. Take a look at the Dax. After a marvellous run up for hours we approach the fed time - prudency says one should look at taking some profits off the table here because volatility always goes sky high with this kind of announcement and it surely does. But can anyone hand on heart say it was going to go up after 30 minutes? Not me for sure.

So we took money off the table at 6388.5 ( + 78 pts) but we left a whole pile still there. Ah well that's trading - prudency dictates that the trend is changing so bank some profit.

Now the EMD - horrible trade. As I was not here had to take the full loss but look at the volume when it got down to 758 just huge. Difficult to trade successfully when you get that kind of volatility as the Risk/REward ratios become much smaller - albeit very successful in this instance.
So I took 4 losses in the USA and 2 big wins in Europe.

Lets start with 20k Capital which is about what most new traders start with and see how we get on.
So March 18th we have $21,992.

I will talk about portfolio position sizing at a later date but for now lets go to 1 contract per instrument.

I know you can't trade real time 1 contract with all these instruments - margin is too great but I base my drawdown, etc on that amount. You need around 70k to comfortably handle this portfolio r/t.
My max drawdown allowable is 35%. (of 20k)

My portfolio consists of YM,ES(removed as of today and replaced with SMI),EMD,ER2,Dax and ESTX50 .

I have finally taken the plunge and removed ES as my strategy just does not work with it. I have battled with it for 4 years and finally I admit defeat.
I think it's because it's too mean reverting. Trending strats just don't work with it - well not for me anyway.

March 19th Profits Portfolio Gain +6,180
Equity Now 28,172 (40.86%)

SMi -1,030
YM +1,165
EMD +1,580
ER2 +1,580
Dax + 2,225
ESTX50 +660

Ok this is a little unfair but you have to take the good times as well as the bad!
March 19th was a 6% day - that is profits like this have only happened 6% of the time before - hope that makes sense!

We removed ES yesterday and replaced it with SMI - consequently the Gods of trading gave me a $1600 profit in ES and a loss of 1030 in SMi - ha I spit in their faces!

Everything else just swam along with the tide.

Biggest problem trading today - hanging on and not taking profits early. Hence a system.

Next post I will talk about taking this to the next stage with proper position sizing!

Ym +750
EMD +550
ER2 +560
Dax -1525
ESTX50 - 410
SMI -550
Net -625
Portfolio Equity 24,725 **

Another interesting day. Smi continues to suck money out of us - yet again the ES performed really well but we weren't in it.

Benefits of a little diversification came into play in reducing our losses considerably.

It was a "game of two halves" with Europe losing all the money and the USA trying to give some of it back.

** I have changed the portfolio start date slightly by 1 day to include a loss of 2,925 on day 1.

Ok so we all understand Fixed Fractional position sizing - where we place contracts/shares risking a fixed fraction (eg3%) of our capital on each trade.

The problem comes when you increase contracts because you can only trade whole contracts. So you must jump from 1 to 2 to 3 etc. You can't trade 1.57 contracts (unless you spread bet for example). If it is 1.57 do you trade 1 or round up to 2 - hopefully you see the issue.
If the day you go from 1 - 2 contracts and it's a loser you have just doubled your loss. Next trade you go back to your fixed fraction of your new lower capital.

Sounds so simple doesn't it?

Variations on this theme include Fixed Ratio by Ryan Jones and Secure F which is a variant of Vince Ralph's work. Google this stuff on the web and read books about it because it is essential to understand.

For this exercise I will outline my Pos sizing technique on the next blog.

Ym -110
Er2 +240
EMD +20

Net : +150
New Equity 24,875 Single 25,055 Pos Sizing*

No European Indices were open but USA indices were frustrating for my system.
Discretionary Breakeven exit on YM only because it was late in the day and I did not want to turn a profit into a loss. Reported as a loss however.
ER2 at least gave me some money for the day again with the same principle in mind. Failure to match / make a new high followed by a break of the recent pivot low.
Pics show coded system as I have never been able to code a proper breakeven exit without at least some human input!

PS* Will explain my pos sizing on this system further in another blog - just did it over Easter and put it into spreadsheet. Pink coloured column is Single lot equity for comparison.
Poor Mathemagician has got hit for 3 losses just after he increased his contracts which really hurts - lets hope our system can get over this little hurdle.

March 25th
Ym -490
EMD +130
ER2 +30
Dax -1,000
SMi +10

Net -1,550 Equity 23,325

Well., actually 2 mistakes.
Firstly I used the wrong Position sizing column in my spreadsheet which is now corrected.
However the Dax trade above includes the addition of 1 contract which is what I had calculated the day before. So a 500 loss turns into a 1,000 loss.
No point in hiding it - these things happen and we must move on.
The correct contract number is now in Column Q shaded Dark Grey in the spreadsheet. It remains at 1 .

Second mistake was not exiting this trade on the double bottom. I wasn't here so that is some excuse but feel that if I had been a timely and graceful exit here would have saved 500-600 of that loss if not more.