Monthly Archive for August, 2007

Wednesday, August 29, 2007 $(94.92) @ 56 Contracts

Gross:  $          83.38
Fees:  $      (178.30)
Net:  $        (94.92)
Contracts: 56
Ratio:  $          (1.70)

So we are coming up on the end of the month, and I am beginning to think about doing a monthly review. Maybe I should do one for July and then do a comparison. In any case, today was another very experimental day. I started out scalping like I did yesterday, but yesterday the A/D’s were not breaking 1.0, today they had a hard time falling below 4, and I should have taken it as a sign to follow trends. I kept trying to call a top on the way up, and kept failing. Towards the end of the morning I began trading USD.EUR, my first day in Forex. I actually made money in FOREX, but learned that you need at least two pips in your favor just to cover fees. It was these profits that actually caused the delay in this post, as I had to update my excel profit tracker to parse the forex prices and total them.

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What a noisy day – I started down, and while I never fell too far, I just couldn’t catch up. Before my last trade I was at $(10) and decided to make a hail Mary to get positive for the day, and unfortunately lost out.

GLOBEX@ER2U7 778.50 (30m1m)  B778.40 A778.50

ButtonTrader - [WSP default-1024] ButtonGrid_CONT0003    Future  ER2_Russell2000 eMini_F207-09 on GLOBEX in USD (17)

Tuesday, August 28, 2007 $146.44 @ 34 Contracts

Gross:  $        225.63
Fees:  $        (79.19)
Net:  $        146.44
Contracts: 34
Ratio:  $             4.31

What a scalpers day! I have to run to work so this will be quick – but I spent today just scalping the VERY low volume ER2 with a few trades on YM and ZN. Just very low volumes (sub 500 contracts/min ER2!) The A/D’s have been staying below 0.2 this is 5:1 decliners to advances! Will be an interesting market to keep learning in!

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As you can see I did a lt more frequent trades with smaller profits and cut my losses early. Works well wen your win to loss ratio is high… wish I could do that all the time!

ButtonTrader - [WSP default-1024] ButtonGrid_CONT0005    Future  ZN_10y Treasury_F207-09 on ECBOT in USD (3)

ECBOT@ZN   SEP 07 109 11.532 (30m1m)  B109 1132 A109 11.532

Monday, August 27, 2007 $(63.66) @ 8 Contracts

Gross:  $        (45.00)
Fees:  $        (18.66)
Net:  $        (63.66)
Contracts: 8
Ratio:  $          (7.96)

Today was an OK day, my first two trades today managed to catch my ideal signals in exactly opposite orientations. Unfortunately my setup is simply good at picking points at which a high rate of change will occur, and it is unable to determine price direction well. I am in the middle of three different books, and I am trying to learn the best possible optimization techniques. I will post some reviews once I get through them.

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My first two trades were the large direction movement strategy, which caught the swing in the wrong direction both times. My last two trades were an oscillation strategy, which appeared to fair better. This will certainly guide which strategies I pursue.

GLOBEX@ER2U7 790.70 (1h5m)  B790.60 A790.70 (2)

ButtonTrader - [WSP default-1024] ButtonGrid_CONT0003    Future  ER2_Russell2000 eMini_F207-09 on GLOBEX in USD (16)

Friday, August 24, 2007 $0.00 @ 0 Contracts

Gross:  $        (0.00)
Fees:  $        (0.00)
Net:  $        (0.00)
Contracts: 0
Ratio:  $        (0.00)

So today actually could have been a good day. I was watching the market all morning, but didn’t pull the trigger as I was working on  a stats reader for my new historical files. I spent last night configuring my desktop to run on autopilot, so that every morning I should be able to just come to the computer and start trading, this involves a nightly restart, and a sequential start and stop of TWS, Quote Tracker, and my historical program, as well as my computer radio. It didn’t quite work this morning, but I am optimistic next week will be very productive.

Have a great weekend everyone!

ButtonTrader - [WSP default-1024] ButtonGrid_CONT0003    Future  YM_Dow$5_F207-09 on ECBOT in USD

NYSE$AD-NYSE 1.4039 (30m1m)  B1811.00 A1290.00

Thursday, August 23, 2007 $(423.60) @ 14 Contracts

Gross:  $      (390.00)
Fees:  $        (33.60)
Net:  $      (423.60)
Contracts: 14
Ratio:  $        (30.26)

So today doesn’t look good on paper again, but I am still having a hard time with my trading style. Scalping was working well for me, but the markets are so noisy that I had to have huge stops, and take my profits quickly, which meant that it just took one bad trade to destroy 3-4 good ones, and I kept losing money. Now I make a lot on my winners, but I lose a lot more on my losers, and today there weren’t any good setups, but I still let myself trade. The best setup today was the very first one on the ER2 at about 6:32 after the run up, it was a clean sell signal, but yesterday I got screwed on this because it dipped and then blasted north.

I have written a new program to record all of the raw ticks from IB so I can make a really good simulation, and begin back testing these new strategies. It will take some time as I need to do the collection, but better late than never!

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So my result graph looks not so shabby… just a zero crossing problem. I really need to do some strategy back testing.

GLOBEX@ER2U7 792.20 (2h27m5m)  B792.20 A792.30

ButtonTrader - [WSP default-1024] ButtonGrid_CONT0003    Future  ER2_Russell2000 eMini_F207-09 on GLOBEX in USD (15)