Auto Trading Day1

[JonnyT]

Hi folks,

Just decided to finish the first days live automated trading on the FTSE futures.

The system carried out 13 trades for a gross profit of 41 points.

Allowing for IBs commissions it comes out around 37 points net.

Slippage surprised me. For most of the time I got filled at the price I wanted, but on one occaison I was given two points in my favour. Overall I think slippage cost 3 points on the raw performance, not too bad.

Fills were fast not like my first manual trade!

Here's hoping for more tomorrow.

JonnyT

 

[Trader333]

Sounds Encouraging

Hi JonnyT,

This sounds very encouraging, particularly the slippage to your advantage and I will continue to monitor your progress on this.

Good Luck


Paul

 

[options]

Well done JT.
Keep it going m8.

 

[Dr Mike]

Hi JT

If you're using the system I think you're using the last 20 days have produced 16 winning days, 4 losing days for a net total of 708 points before commission.



Cheers

Dr Mike

 

[JonnyT]

Hi Mike,

Which one do you think I am using?

Thanks

JonnyT

 

[Trader333]

Dr Mike,

In getting the 708 points of profit, what was the maximum dawdown on the account to achieve this ?


Paul

 

[Dr Mike]

Hi JT

As your system has to have rigid rules to be programmable and I did read somewhere that you were using a 9 point trailing stop, it could be similar to mine which produced 60 points gross in 15 trades, including a missed stop which ended up as a bit of extra profit and a period when I avoided entering following a sudden gap (possibly a "fair value" adjustment)

I hesitate to give the full details as Lord Jamla would dismiss it as "completely unprofessional " but your program could be identifying higher highs and lower lows based on P+F criteria and then entering with a 9pt trailing stop.

Paul - The maximum drawdown has been 27 points before costs.

Good Luck JT - it's a pain in the *rse running it manually.

 

[JonnyT]

Hi Mike,

When I've got the code well sorted, you can have a copy if you want, on the condition that you don't distribute it and don't blame me if it f*cks up!

I've actually been getting out on a reversal i.e nine points but have considered using a 9 point trailing on the premise that it should on average give an extra 1.5 points per trade but at the expense of some trades that would be winners being stopped out. I do however think this improvement would be positive. Might implement this for tomorrow.

Wait till I publish my S&P emini system!!!

JonnyT

 

[JonnyT]

Oh Mike,

I forgot to mention I'm targetting 10pts per trade. i.e take 10 points when it's on the table.

Seems a bit less resilient on the big winners compared to your method though at some point I'll live test both in tandem for a month or so.

JonnyT

 

[Dr Mike]

Thanks JT

I'll have to take a raincheck until I'm properly fitted out.

But looking forward to your S+P system.

 

[ianp]

Well done JT,
I traded a high low break out system for about a month, the system I used worked great in a trending market, but was cr*p when trendless ( like the last couple of weeks).

I also found that when the markets were trendless I was getting killed between 12-2..

I am now trading by sight, support/resist etc... I do find I make good profits in the morning then get too cocky and lose half my profit in the afternoon..

The other thing I found about system trading is boredom !!!
but as you must be a techie you have solved that one, by letting
the pc do the work..

please keep us updated with your progress..


ian

 

[Trader333]

Ianp,

One of the advantages of using P&F is that it should address the problem of non trending markets by filtering out the noise. JonnyT will correct me if I am wrong but this is my understanding of it.

Paul

 

[oatman]

Ianp,
You are correct.
There is no such thing as a system. So don't trade between 12 and 2. Go shopping or something. You've identified a weak spot in your method.
I've been trading Ftse future from P&F breakout entry points for 3 years. I agree it will "kill" you on lack of range on a quiet day. The whole point of trading Ftse IS the day's range. You know it will break at some stage, but you must have momentum. Be patient. If you manage the signals with MAs, stochs, RSIs or whatever you fancy, you will make money. Don't go in when the market is flat. I keep hearing about CCI, so today I've been playing with the 14 CCI on a 1min . I'm not sure how to use it so I tried it with the zero cross. Very useful. P&F, CCI, MA or whatever, use your favourites, when you're happy - go! P&F can get you in but you need to be selective.
If you wait for the signal to reverse before you get out you may need a lot of equity. If you set a fixed stop you'll get stuffed. The P&F target counts are a good level to have an objective and your pocket is a good guide for the Stop, if nothing else is obvious. It's the individual's choice of trading style once "in". I use 3x3 and 2.5x3 to get in. I sometimes use 2x3 to see the short term on when to get out. You must adjust your style to the market.
Be confident, P&F breakouts work.

Be lucky

 

[JonnyT]

<i>If you wait for the signal to reverse before you get out you may need a lot of equity. If you set a fixed stop you'll get stuffed.</i>

Agreed. Interpretation of the chart combined with strict money management is everything.

My system often takes a profit only to see the market zoom another 20 points in a few minutes. This simply doesn't matter so as RW said 'No regrets'

JonnyT

 

[oatman]

Hi Jonny,

That's what I mean. You need to manage it yourself. If you can see obvious momentum you've got to let it run. I messed up y'day on my last trade. Too keen to not let a good day slip, I put my trailer too close. Took 15 points on a small reversal and missed another 30 odd! Mustn't complain, it's a profit, - just keep trying. Unfortunately taking small profits won't pay for the times when the range is small and you regularly get whipped. I went thru a spell where I was taking 5,6 or maybe 10 point losses. They soon add up. £150 loss one day £200 the next. It saps the confidence. You need a "good" one to cover these. The market had daily 30ish point ranges and volumes of 20000. Absolute nightmare.
In the end I traded against the signal, and got a bit back.
You must be flexible.

Happy trading,

 

[ianp]

Oatman/Jt,

who do you use for p & f charts ?

thanks ian

 

[JonnyT]

Hi Ian,

Sierra Chart, though essentially my Java Auto Trading App is doing the PnF.

JonnyT

 

[ianp]

Thanks JT,

I have sierra , I do find it odd without x & o 's

ian

 

[oatman]

Hi ianp,

I'm a bit spoilt. I get charts thrown in with the Tenfore feed and I run Indexia and am attempting to run Updata's TA, which is crap.

Be lucky

 

[ianp]

Thanks oatman.

Jt do you use the default sierra settings ?

e.g 0.5 box size 3 reversal on 1min chart..