Mechanical Trading Intra Day

Well, whilst not patting ourselves on the back we were saved from a drubbing yesterday.
I had decided not to trade purely automatically yesterday as the markets have been very volatile and very unfriendly to our breakout system. It seemed sensible to just take a day off - now this is not in my trading plan but sometimes you have to go with what you think. I was quite prepared to go with losing out on a big win as well but not being here and not really having any platform access I simply assessed the risk as too high. I did watch the European markets for about an hour and a half on the open and it was all a bit "random" as my teenager daughter tells me.
Net result we were saved from a loss of 2.320.
Phew!

April 16th

YM +370
EMD +670
ER2 +270
Dax -700
ESTX +15
SMI -400

Net +225

Ah what could have been. European markets all went for a great long trend but we were short. US markets saved the portfolio by putting in v good performances.
Today's chart shows the importance of looking at the bigger picture - in particular yesterday's important pivot levels.
The floor pivot levels are marked in magenta but the two white lines are where the market made significant turns the day before and voila - where do they turn tomorrow. Doesn't always work of course ( that would be way too easy) but it pays to have them on your chart.
The system is becoming increasingly frustrating - a sure sign things are lining up for a biggie.

April 17

YM -50
EMD -360
ER2 0
Dax -700
ESTX +75
SMI +445

Net -590
1 lot equity 24,163
Pos size equity 23,048

Smi saved the day here - otherwise the loss would have been much greater.
EMD gave us a nick and run - just got us short and then spent the rest of the day taking money off us.
Pleased with the manual exit though.

April 18th

YM +180
EMD -190
ER" -150
Dax +2438
EStx +415
SMI +1185

Net 3,878
1 Lot Equity 28,040
Pos Size Equity 26,925

Well a bonza day! (See April 17th post)
Difficult issue today is staying with the trade.
What works really well for me is to go up a scale in time - see the 15min chart below.
I have to say in real time this is very difficult; but this system particularly relies on outlier type days like this. So you have to see the trend through to the end.
Monday we are back to 2 contracts so we really need a positive day there to heave us over the 2nd contract bar.

Week was saved by Friday which dragged us from a net loss into a profit of 2,803 for the week.
First calendar month and the portfolio is up 34% with a max drawdown of 31% peak to trough.
Single lot trading is up 40% so outperforming our position sizing management so far.

Monday becomes a very important day because we again move from trading 1 contract to 2 contracts BUT it also gives us the ability to half our position if we are not happy, etc.
On a much more important note I have just got back from being drenched at Golf - a miserable round and shot 7 over my handicap - disaster

April 21

Ym -130
Emd + 210
ER2 -420
Dax +850
ESTX +150
SMI +600

Net 1,260 single lot , 2,520 pos sized

Gave a lot back today. No pics today - bit busy.

I mean yesterday obviously, see - too many things at once - can't multi task.....

April 22

Ym +75
EMD +600
ER2 +600
Dax -350
Estx -155
SMI -310

Net 460 / 920

Could have / should have done a lot better with the European indices this morning. All had reasonable open profits but none quite hit the breakeven level.

With that in mind I was determined not to let the same thing happen in the afternoon. The EMd and the ER2 both just cascaded down for very healthy profits - 1 exit at a near perfect bottom and the second leaving a little more wiggle room 'hoping' the trend may continue - which it didn't.

So as teacher's report would say " Could do better"
7/10.

My other machine is closed now so I can't upload the screen shots I took - will do that tomorrow

April 23rd

YM + 43
EMD +70
ER2 +180
DAX -725
ESTX +200
SMI +550

Net 318/635 (pos sized)

I always find these strings of wins worrying - the drawdown is sure to come so brace yourselves.
The great news is we are well into the 2nd contract area now so lets see if we can stay there.

A day of contrasts with wild gyrations both up and down so not so friendly to a trend type of system.

But here is something important.

If we separate the European trades from the USA trades we find that at 1220 (UKTime) we had the maximum open profits of 2,560 on the SMI and the ESTX (2 contracts each).
The loss on the DAx had already happened.

At 1600 ( just 30 minutes after our entry ) in the US trades we had open profits of 2,690 ( again 2 lots).

Had we been the perfect trader we could have exited today with approx 3,500 - including the Dax loss, which of course as a perfect trader we would have cut off much earlier anyway.

A sobering thought is that we ended up with less than 20% of the maximum profit available which seems downright poor.

My friend Peter has done a ton of analysis on reducing risk in these frenzied type situations and discovered some real edges. My goal this year is to try and replicate that anaylysis and find some edges intraday.

As it involves Portfolio analysis - Tradestation is not tremendously helpful here ( it can only backtest 1 instrument at a time) so I am having to code up exporting data into excel and work there.
Such fun!

If anyone reads this and has some help - please pm me!!