Dom's notes

Despite having been hammered for posting my sincere feedback re. ATW in the appropriate thread (or may-be, because of ...) I am starting this thread for the benefit of all waanabee traders.

I have no intent of sharing my exact trade setups, however I will share as much as I can - the good, the bad & the ugly, and if someone learn something from this then it won't have been a waste of my time.

I have been a student of the market for over 4 years now. I actually started my education with Investools PhD program (which was a lot of money for not much outcome in my case), trading stocks then options, then started to focus on the SPX (directional Calls/Puts then credit spreads), at some point I discovered the futures / ES in particular and that was a "revelation" ... 1/4pt spread vs 2pt spread for the SPX options, I was sold in no-time.

I purchased Todd Mitchell's system (TradingConcepts), which was a lot less money than Investools but no more outcome in my case, at least it triggered my interest in Fibs (back then, retracements only) and I did a lot of research / backtesting using Fibs - but at the end of the day, the real challenge resides in figuring out which fib level will "hold", and to this day I have to admit I have not solved it.

Anyway, I then spent a lot of time in a couple of "free" trading rooms
learning pure price action, the person that was offering his time teaching PA free for several months later offered a paying program, which I took, but I still couldn't make money live. I took another mentor, recommended on a free forum, and despite he being a nice guy (and why wouldn't he be when students are paying), this also was a failure.

I was about to throw the towel when I found ATW, started with the 101A education, added 3 weeks later the mentorship education, and have been studying / backtesting a lot for now a full year. I reached a point where I can "consistently" make fake-money on sim, however the transition to live trading is a real challenge for me, because of fear I pass on many trade setups and I deviate from my trade management rules.

So, that's the background. I trade CL (Crude Oil "big" contract) which is very liquid, has 1 tick spread throughout the European & US session, and is nicely volatile (day range is on average 250-350 ticks, some days even more - like today : 450 ticks). I find CL to have a lot of momentum, it shows very repetitive "patterns" (at least, for the fib user that I am).

I don't use any indicator, I trade price action using a lot of price projection techniques (best book IMO on this topic is Robert C. Miner "Dynamic Trading").

If I have one advice for new traders, it is look for another way of making a living ... but if you are truly in love with the markets, then I believe it is a must to 1) find an excellent education (this is way more than just reading books, and frankly, there is probably no one-stop education shop) and 2) find a mentor to accelerate your learning curve.

Now that this is out of the way, a brief summary of my week :

Tuesday - tried 1 trade early morning, entry hit no fill, that made me mentally sick for the rest of the day, I passed on 2 setups (both wins), the last setup I tried but my entry wasn't even close to be hit.

Wednesday - 2 setups no-fill, then 1 small winner (got out at 1/2 of my target for pseudo-good reasons - really, lack of discipline), and I passed on the last one (another wouldabe winner :( )

Thursday - passed on 5 setups (4 wins / 1 loss), took 1 small winner (1/2 target again, same lack of discipline), and missed the best setup of the day by being away for 5min

Friday - passed on 1 setup (win), no fill on next 2 setups, then I couldn't focus & called it a day.


Bottom-line - only 2 trades this week, I made ~10% of what I should have made if I had the discipline to follow my plan.

This sounds like an honest and typical scenario for a lot of us. It is also good advice.

Not a good week for me for health related reasons ... missed the only reversal trade of the week for that reason, that cost me a $1075 win :( (was admitted to hospital, and of course my TWS connections died after 24h - I need to look further into this, it is just wrong to have to connect every 24h or less to keep those connections alive - I would already be using the IB gateway instead of TWS if it was supported by this STUPID NinjaTrader)

- Reversal system: 1 missed win
- Other system: 2 small wins / 1 small loss ; net +95 on the week.

Very little R&D this week, not sure next week will be back to normal, at least not Wednesday as I am scheduled for an all day cardio stress test.

was admitted to hospital .. hope you are better ..

Sorry to hear that Dom, ditto what redsixspeed said - hope things have turned around for you.

Thanks for the wishes.

The cardio stress test is done, ECG was normal, will get the heart xray results on Oct-29. I have been feeling incrementally better this week, didn't resume the gym yet, but I am considering light cardio starting tomorrow until I see my doctor on Oct-29.

- Reversal system : 2 wins, net +1830 (1 full win - that is 1.5pt for tgt-2, rare enough to mention). Pretty sad to miss 1 setup on Friday (entry hit / no fill, only 3 contracts traded at that price) which would have been another full win.
- Other system : 2 wins / 1 loss / 1 BE ; net +510.

Reasonable R&D progress this week, working on that new system specs, already spent 4 weeks on that and I foresee at least another couple of weeks. This system also is price-action driven, it has a lot of sophistication which is probably a good thing as it allows to be smart about PA, the main challenge at this point has been for me to understand all the bits & pieces and put them back together in a framework I can work with (from a software development point of view).

I went to the gym twice this week, somewhat reducing my cardio (I used to do 1h20 / 1000+ calories per session, this week I did 1h05 / 800+ calories ). No problem with my heart, but the 2nd session (today) was pretty difficult to get through (I was up at 4:30am today, & went to the gym at 3pm, this might be the reason).

- Reversal system: 1 small win ; net +70
- Other system: 3 wins / 1 loss ; net +420

My other system is really struggling these days ... when it doesn't take a big loss, it misses the target and gives back a lot :( Gave back over 500 this week, and over 1500 last week. Grrr...

I quickly wrote the next section of the specs for the new system early in the week, but that uncovered 2 major technical challenges for which I took the remainder of the week to evaluate what the implementations options are. It appears both can have decent solutions (identical code-paths for backtesting & live trading, low memory foot-print, little impact on backtesting or live CPU or HDD requirements), but at the cost of lots of additional code.

Have a great week-end

My thoughts & sympathy are with those who lost family or friends last week to Sandy.

I didn't trade last week Monday & Tuesday, the datacenter I am now running my systems off is somewhere in New-Jersey, and I did not even feel comfortable running those systems from home these 2 days. Indeed, I lost contact with the trading VM at 11:15am on Monday, and it took up until Thursday afternoon before I could connect back into it.

The next 2 days had no trades, and Friday had 1 trade for each system - a losing one in both cases.

- Reversal system: 1 losing trade ; net -510
- Other system: 1 losing trade ; net -425

Almost done with the new system specs, I actually finished the 2nd draft of Trade Management today, final section (System parameters & Log files) should be done before the end of the week, all in all I am hoping to be able to do at least of couple of days of software development this week.

On my health front, the report for the cardio stress test didn't find anything wrong with my heart, this is certainly good news but on the other hand I am not much further ahead either.

Since I missed reporting my results for last week, I will start there:

- Reversal System: 1 small win / 2 losses ; net -980
- Other System: 2 wins / 1 loss ; net +255

Results for this week:

- Reversal System: 3 wins ; net +1190
- Other System: 3 wins / 1 loss ; net +700

Marginally back in the black for the month: +280, after seeing -1815 early last week.


Good progress on the new system development, did I already mentioned it is very sophisticated? Here is a breakdown of what I have at this point :

Generic code reuse: 4,150 lines
New generic code: 350 lines
System specific: 6,420 lines ... probably need another 4,000 to finish

The good news is, I have been able to code & test ~2,000 lines per week for the last 2 weeks ... that is the value of having spent a lot of time to create detailed specs. But I am done with the low-level stuff (relatively easy to test), as a result I am anticipating much increased testing effort as I progress coding the trading strategy itself.

And the more I develop in C#, the more I like it! So much more productive than C++ :)

Have a great week-end

A small week for trading, as I don't trade shortened sessions (so no trading Thursday/Friday):

- Reversal system: 1 frustrating small loss, net -50 (should be BE but took 3-ticks slippage per contract on exit).
- Other system: 1 small win, net +215

A big week for R&D, finished the initial coding of that big susbsystem I had started last week (over 3,000 lines for just that one), I am now testing it, to give an idea of the complexity the event-log for 3 weeks backtesting on 1 market is over 6,000 lines, for approx. 60 setups. There are so many moving-parts I have not found a convenient way of displaying things on the chart, as a result I just use a .csv log file and use Excel to view it.

Happy (late) thanksgiving !

A small positive week which ends November in the black (or green, it is Christmas season after all):

- Reversal system: several missed entries, no trade
- Other system: 2 small wins, net +440. This system is back to -325 off its P&L peak of May-8th, and has suffered a lot in this interval. I made some observations in the period that I should turn into a candidate new version of that system - when I have time for that ...

... as I am really focusing my R&D efforts for the moment on that new system. This week has been focused on testing & debugging, just getting to the point where I ran 10-years backtest on Thursday for the ES, ans still ran into 1 issue on 6E & CL last night trying to do the same (just fixed it, at least for 6E).

Those backtests are not "trading" backtest per say, rather an exhaustive recording of all setups with a ton of additional information (including outcome assuming fairly basic trade-management), the goal being to refine everything done up until now. There will be later a "strategy" layer added on to of all this, which will make trade filtering decisions, as well as fine-tuned trade-management & position sizing decisions.

Have a great week-end!

Dom that equity curve looks too good to be true so I'd be scared but hope it trades like that in real time....what became of your trading contest...? how did Chuck Huges do ? He wants me to spend almost 4 k on options recomendations