Mechanical Trading Intra Day

rdstagg · Apr 1, 2008, 5:30pm

April Fool's Day
Ym +715
Emd +1050
ER2 =65 0
DAx +3600
ESTX +1200
SMI +1150

Net +8365 New Equity 25.885

Not much you can say about a trending day other than stay with the trade!
These days when everything goes like a rocket are rare so lets enjoy it.
Now the real test is that tomorrow we trade 2 contracts - crikey!!

rdstagg · Apr 3, 2008, 3:15am

April 2
Ym +5
EMD -210
ER2 -100
Dax -825
EStX -385
SMI +400

Net -1,115 (single contract) Equity 24,770 (+19%)
Net -2,230 (position sizing) Equity 23.655 (+18%)

Note the divergences on the two charts which prevented us taking the larger part of these heavy losses . The mechancial system however reports the full loss and as we were trading 2 contracts it hits us harder!
Now back down to 1 contract.

rdstagg · Apr 4, 2008, 2:39am

April 3rd
Ym +5
EMD +10
ER2 -460
Dax +13
ESTX +5 (slippage and cost allowance)
SMI -200
Net -628.
Single contract equity 24,243
Pos sizing equity 23,028

Another frustrating day in that we had large open profits that all turned to dust. In times like these it's tempting to change the system and tweak it a little.

ER2 was instructive today. The entry point came right at yesterday's low and in reality we came out with a smaller loss after the break of 'a' on the chart.

Ym shows how the breakout just couldn't hold but for all the Elliotician's out there this could be a wave 2 pullback of a larger degree uptrend. WE shall let the price action decide that overnight and tomorrow.

rdstagg · Apr 5, 2008, 4:54am

Yesterday we made $8 but again we had open profits on the portfolio of $800 at one stage. All very frustrating. However our breakeven stops worked brilliantly to prevent profits going to quite large losses.
So that is a positive!
The chart today includes a new indicator I am currently looking at called RSI Bands. If you are a tradestation user the code is posted here.

I don't use a ton of indicators but it's always nice to research them. This looks like an interesting twist on the usual RSI indicator and of course it can be applied to any oscillating indicator , not just RSI.

Up $2,880 on the week, but still in a drawdown of around $2,850 from our peak equity. Portfolio is up 15% from our start equity.

rdstagg · Apr 8, 2008, 3:46am

April th
Ym -300
EMD -420
ER2 -500
DAx -600
EStx 5 (Breakeven)
SMI -310 Net -2,125

Single contract equity 21,908
Pos Size equity 20,793

We are just not getting the right runs of trades yet. Patience is obviously required.
These are the days it would be great to avoid - all nick and runs - see previous posts for that definition.

Nice illustration of where software / my coding? can let you down today though.

jm99 · Apr 8, 2008, 3:51am

just noticed your blog here russell. v.good and i will keep reading with interest. jules

rdstagg · Apr 8, 2008, 3:56am

Keeps me disciplined having to "report" the trades.
All feedback welcome!
I am tinkering with the system behind the scenes but it takes huge amounts of real time testing for me to change anything. So often what appears great for 3 months eventually ends up adding nothing to the bottom line long term.
Bit like trying to reduce your Golf handicap really....

rdstagg · Apr 9, 2008, 7:55am

April 8
Ym -230
EMD +10
ER2 0
Dax 0
ESTX -220
Smi -240

Net -680

Ah this is annoying. Our Dax breakeven stop again saved us a further 600 loss but the market is mean reverting at the moment and not giving us the trends we need.
On to the next trade.

Apr 1, 2008, 5:30pm	#25
rdstagg Senior Member Member Since Feb 2004 217 Posts	8k per contract April Fool's Day Ym +715 Emd +1050 ER2 =65 0 DAx +3600 ESTX +1200 SMI +1150 Net +8365 New Equity 25.885 Not much you can say about a trending day other than stay with the trade! These days when everything goes like a rocket are rare so lets enjoy it. Now the real test is that tomorrow we trade 2 contracts - crikey!! Attached Thumbnails Last edited by rdstagg; Apr 17, 2008 at 3:41am.

Apr 3, 2008, 3:15am	#26
rdstagg Senior Member Member Since Feb 2004 217 Posts	Discretion saves a bath April 2 Ym +5 EMD -210 ER2 -100 Dax -825 EStX -385 SMI +400 Net -1,115 (single contract) Equity 24,770 (+19%) Net -2,230 (position sizing) Equity 23.655 (+18%) Note the divergences on the two charts which prevented us taking the larger part of these heavy losses . The mechancial system however reports the full loss and as we were trading 2 contracts it hits us harder! Now back down to 1 contract. Attached Thumbnails Last edited by rdstagg; Apr 17, 2008 at 3:39am.

Apr 4, 2008, 2:39am	#27
rdstagg Senior Member Member Since Feb 2004 217 Posts	Elliot waves in the Dow? April 3rd Ym +5 EMD +10 ER2 -460 Dax +13 ESTX +5 (slippage and cost allowance) SMI -200 Net -628. Single contract equity 24,243 Pos sizing equity 23,028 Another frustrating day in that we had large open profits that all turned to dust. In times like these it's tempting to change the system and tweak it a little. ER2 was instructive today. The entry point came right at yesterday's low and in reality we came out with a smaller loss after the break of 'a' on the chart. Ym shows how the breakout just couldn't hold but for all the Elliotician's out there this could be a wave 2 pullback of a larger degree uptrend. WE shall let the price action decide that overnight and tomorrow. Attached Thumbnails Last edited by rdstagg; Apr 17, 2008 at 3:39am.

Apr 5, 2008, 4:54am	#28
rdstagg Senior Member Member Since Feb 2004 217 Posts	Week 2. Portfolio +15%. Yesterday we made $8 but again we had open profits on the portfolio of $800 at one stage. All very frustrating. However our breakeven stops worked brilliantly to prevent profits going to quite large losses. So that is a positive! The chart today includes a new indicator I am currently looking at called RSI Bands. If you are a tradestation user the code is posted here. I don't use a ton of indicators but it's always nice to research them. This looks like an interesting twist on the usual RSI indicator and of course it can be applied to any oscillating indicator , not just RSI. Up $2,880 on the week, but still in a drawdown of around $2,850 from our peak equity. Portfolio is up 15% from our start equity. Attached Thumbnails Last edited by rdstagg; Apr 17, 2008 at 3:38am. Reason: Spelling

Apr 8, 2008, 3:46am	#29
rdstagg Senior Member Member Since Feb 2004 217 Posts	Back to square one and some software issues April th Ym -300 EMD -420 ER2 -500 DAx -600 EStx 5 (Breakeven) SMI -310 Net -2,125 Single contract equity 21,908 Pos Size equity 20,793 We are just not getting the right runs of trades yet. Patience is obviously required. These are the days it would be great to avoid - all nick and runs - see previous posts for that definition. Nice illustration of where software / my coding? can let you down today though. Attached Thumbnails Last edited by rdstagg; Apr 17, 2008 at 3:38am. Reason: Improved Chart picture

Apr 8, 2008, 3:51am	#30
jm99 Senior Member Member Since Dec 2004 205 Posts	Re: Mechanical Trading Intra Day just noticed your blog here russell. v.good and i will keep reading with interest. jules

Apr 8, 2008, 3:56am	#31
rdstagg Senior Member Member Since Feb 2004 217 Posts	Re: Mechanical Trading Intra Day Keeps me disciplined having to "report" the trades. All feedback welcome! I am tinkering with the system behind the scenes but it takes huge amounts of real time testing for me to change anything. So often what appears great for 3 months eventually ends up adding nothing to the bottom line long term. Bit like trying to reduce your Golf handicap really....

Apr 9, 2008, 7:55am	#32
rdstagg Senior Member Member Since Feb 2004 217 Posts	It just gets worse and worse April 8 Ym -230 EMD +10 ER2 0 Dax 0 ESTX -220 Smi -240 Net -680 Ah this is annoying. Our Dax breakeven stop again saved us a further 600 loss but the market is mean reverting at the moment and not giving us the trends we need. On to the next trade. Last edited by rdstagg; Apr 17, 2008 at 3:37am.

Currently Active Users Viewing This Thread: 1 (0 members and 1 guests)

Thread Tools	Search this Thread
Show Printable Version Email this Page	Search this Thread: Advanced Search