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.

Another week with NO trade :(

There were 3 setups, all missed, 2 would have been win / 1 would have been BE or small loss (not sure, and don't really care).

A lot of progress on the infrastructure side for the new system: I have a short-term solution to the stop/restart strat w/ position on (long-term solution identified, but needs some rework of my other strategies too), and I just finished a short-term solution to automate the rollover (it does rollover the position & open orders, but at the moment lacks the ability to pick-up those open orders after restarting the strategy on the next contract expiry - but that's OK for now, as I actually don't use any stop/target - just reverse the position when appropriate).

I still have to test the rollover thing, that will have to wait until next week, as I have non-trading plans for the afternoon & week-end.

I decided last night I would trade this system on C2. You can check-it out here: http://crudeoilalwaysin.collective2.com ... Not sure how long it's going to take them to review the system description I submitted last night.

Have a great week-end!

Reversal system: only 1 trade this week, and sadly it missed the 1st-target on my World-Cup account by 1-tick (missed the 2nd-target on the other 2 configurations by 1-tick, too).

- WorldCup account: 1 loss ; net -350
- IB#1 account : 1 BE ; net -40
- IB#2 account : 1 BE ; net +20

I knew full well, when choosing the 1st-target for the configuration#1 (WorldCup account), that it was going to have a number of those "barely missed" target-1 - still, it is the most profitable 1st-target in backtesting (including for 2012), so I guess I have to be at peace with those losses.


Talking about the WorldCup, it seems that Chuck Hughes did fall from +60.3% on Feb-12 to less than +9.1% on Feb-13 ... if this is not a reporting glitch, then it would be a shinning illustration of the usual risk disclosure "Substantial risk in involved in trading futures". It would also highlight how "risky" his trading plan is. But, at this stage I have to suspect a reporting glitch - we'll know better after next report.

Re. the new system, I did complete the testing of the auto-rollover feature, did some more testing of the historical data reload after loss of connectivity - which revealed 2 bugs, both induced by the rollover feature, and on Tuesday afternoon started the system on my IB sim-account, with Collective2 signals. The 1st entry came on Wednesday, and didn't get to C2 ... it took me until Thursday morning to figure out what was in the way (so trades on the C2 system before Thursday, 9am EST were all manual entries, most to reflect the system entries/exits, one to specifically test the proper connectivity between Ninja & C2). This system had a pretty good trade this morning, short ~8:44am EST until 11:03am, net ~ +1400, but I will restate here what I put in the C2 system description: "Daily or weekly performance is meaningless for this system - you have to trade it systematically for a number of weeks to get a taste of its long-term performance."

I also added 3 "operations-support" features this week:
1) monitor the account position vs the system position, and provide a graphic indication of any discrepancy.
2) display every valid signal on the chart - especially useful after a reload/restart, to get a visual clue of where the current position might be coming from
3) on a reload/restart, check the current position against the most recent valid signal, and if it is in the opposite direction, close the current position & open a new one matching last valid signal direction. This is to protect the system, in case it would have missed a reverse signal during a disconnected time or the reload/restart process.

I am now "in the market" to find a better hosting service than the one I am currently using. Any suggestion welcome.

Have a great week-end!

Reversal system:

- World-Cup account (config #1) : 2 losing trades ; net -880
- IB#1 account (config #2) : 1 losing trade ; net -610
- IB#2 account (config #3) : 1 target-1 win ; net +270

Both losing trades in the WC account are - once again - pretty sad ... 1st one got stopped to the tick at the extreme of the entry pullback, 2nd one missed target-1 by 1-tick. But that's (my) life.

The new system has been chugging along all week (on IB sim-account), with 1 signal missed overnight Thursday morning because my VPS went down one more time - I can't wait moving to a more reliable one. The Collective2 system view so far is pretty accurate, I have not seen more than 1-tick slippage between the fills on my IB sim-account & the fills as indicated by Collective2.

On the R&D front, I spent the week trying to get the "Reload Historical Data" feature triggered by software only, rather than the SendKeys() kludge. And, despite all the non-help I received from NinjaTrader support, I did succeed :) Thank you Microsoft for the Reflection API, it was absolutely necessary to get at least a 1,000,000 feet overview of the NT software architecture, and locate after several trials the proper class, method & parameters to do that (the final implementation is about 15 lines of code, and does not require Reflection). This is a major step forward, as it means I can now migrate to a single VPS system - way more cost effective & manageable than using 2 VPS just to maintain a 24/7 Remote Desktop session open & active.

Currently narrowing my options for VPS provider, looking specifically at SpeedyTradingSystems, and SteadFast.

And I am officially looking for external trading capital for that new system, to increase the position size beyond 1 contract asap. I have a presentation available, please PM me if you are interested or just curious.

Have a great week-end!

Up and running on a SpeedyTradingServers VPS. Very fast turnaround on this, I asked to get set-up at 11am today (Saturday), and the VPS was ready (w/ Ninja pre-installed) at 3pm.

This VPS feels much more responsive than the old one, this is good news.

Reversal system:
- World-Cup account (config #1) : 1 small win, net +190. Filled at the extreme of the entry pullback, so this is not even an "official" trade for the system.
Of course, no fill for the other 2 configurations.

Crude-Oil always-in:
- I am happy with both the new VPS and the home-grown API to Reload Historical Data. From a trading point of view, the system was clearing wrong at the end of last week, but managed to fall back in sync this week, and made a new equity peak for the year intraday Friday.

Have a great week-end!

Reversal system:
- Only one trade, a loser on config#1 & ~#2, saved by the gong on config#3. Net: -1340.

Crude-Oil always-in:
- 1 operation issue this week, on Thursday morning I found the strategy "frozen" just after OnStartUp() - the 3 instance of the reversal system had restarted normally. I manually disabled then enabled the strat, and it restarted ok. I have no idea why it froze, but I will instrument the code this weekend so that should it happen again, I can have traces to work from.
- Nice - or should I say huge - progress on the strat itself over the last couple of weeks. The basic version (1 contract) now takes 5200 trades on the 6 years, for a total 679k (for 1 contract). P/F 1.51, win% 58%, AvgW/L 1.1, 1-year Sharpe 3.67 (calculated in Excel, since Ninja is once more failing to do the job). And in "free-wheel" mode, it takes up to 26,179 trades, with P/F 1.54, Sharpe 3.31, avg/trade $127 (that requires trading up to 36 contracts simultaneously at times, not that I intend to do that anytime soon, but it shows these signals are pretty consistent).
- I am on track to start trading it live (real account) from March 19th - 1st day of CLK13.

Have a great week-end!

PS - that loosing trade sucks ... the new system did the exact opposite, going short just when the reversal system issued its entry long LMT, and reversing to long 2 ticks before the reversal system got stopped. And I knew what was happening - I just forced myself to stay disciplined. But that lead me to question the need & value of trading the reversal system once the other one goes live. No firm answer yet, but I am inclined to just to stop trading the reversal system, and focus my attention & trading capital to the new system.

PPS - I love trading "always-in" ... wins are wins, and taking a loss means changing position when the odds are favorable - hence the opportunity to get back on the very next trade (of course, that doesn't happen all the time, but psychologically I find it of great merit).

Reversal system:
- No trade this week. Last week-end I did a bit of business & financial planning, and as a result of starting to trade CL always-in I decided to cut my size in half on the reversal system. I am keeping 1 contract on each configuration, target-1 for all 3. The other change is, I have decided to align config#1 hours onto those of config#2 & 3, that is, 7am to 12pm (was extending to 2:25pm on Mo/Tu/Th).

CL always-in:
- I decided to go live on Tuesday, March-19, and all week long I did a lot of detailed reviews of that system, as well as putting in place a monthly performance monitoring plan (& spreadsheet) for that system, using Quality Assurance rules known as Nelson rules (this will monitor a few internals of that system, not directly the P&L).
- A number of minor tweaks & improvements as a result, damn that system backtests at 799,980 for 1 contract on the 6 years (5382 trades), not even able to get 800k out of it!
- No operations issues whatsoever this week for the system live on IB sim account.
- Not a good week from a trading results point of view for that system, it has been essentially short all week, taking a quick long scalp a couple days ago, but all in all it hasn't found any durable reason of reverting to long.

This is very much a case where I am wondering if this system's backtesting results are too good to be true! Not that I have any doubt on fills, but rather it feels so overly "over-optimized" ... the fact that it is performing on par since 2013-1-1 doesn't ease that feeling enough. Only time will tell (and not necessarily immediately). Anyway I am committed to trading it, and my "system stop" is large-enough that if it gets hit, there will be no doubt about what it means (but I am pretty sure I would have the opportunity to detect a system malfunction using my monthly performance monitoring before that point).

Have a good week-end!

Reversal system: NO trade this week.

CL Always-In: I took the system live on Monday evening, after the rollover, as planned. The week was actually an ongoing series of operations issues :(

1) Going into the close Monday evening, the system on the old contract was short, while on the new contract it was long. This wouldn't be too much of an issue, if Ninja did do the rollover correctly at 6pm, however they wait until midnight to backadjust the history - as a result, I currently use "DoNotMerge" on the rollover day, but then as I switched contract the system suddendly thinks it should be long, and reverses there & then, certainly not at the price it should have done it. No impact for my own live trading, because on an initial start the system waits for a bona-fide reversal to get in, but that led to a couple of position reversals on C2 (as I hesitated re. which position I wanted to start with on the new contract).

2) I realized Monday evening that C2 had no trade for the day ?! It turns out they prevent new positions to be taken 3 calendar days before the last trading day, I had to develop a little bit of code to allow my orders to be issued on the next contract, a couple days before the actual rollover date.

3) I got a out-of-memory dual crash on Thursday (Ninja + TWS), I have no idea what happened but Windows was missing 1Gb RAM ?! I asked my VPS provider to increase that RAM from 2Gb to 3Gb, and he also changed its allocation from dynamic to static, hopefully the combination of both will prevent further similar issues.

4) Ninja failed to send a reversal signal to C2 on Thursday ... and I only found out on Friday. I fixed that position manually, and asked Ninja support to investigate.

5) After rebooting the VPS on Thursday at the close, I upgraded my software ... and got a crash from Ninja 45min after that! It appears a tiny change I made in an indicator (rock stable for the last 9 months) would be the cause for that crash, I disabled the indicator for the night & today (it is actually not used by the system, and luckily can be turned off from the strategy parameters), and fixed the only logical explanation for the crash (crash during the start of the strategy, not reproducible so far).

The system managed to navigate through that mine-field and its trading didn't get impacted. The outcome for the week is a little sad - Realized P&L +955, Unrealized P&L -965 at the close. Could be worse, but could have been better!

I certainly hope next week's operations will be a little easier! And of course, that associated trading results will be good, but I know I am going to have to wait 3 month to really gauge that system. Patience required!

Have a great week-end!

- Reversal system: 2 trades this week (!), 1 win / 1 loss, net -160.

- CL always in: 5 trades closed this week, Realized P&L -2825. This places the week's P&L in the bottom 20% of the backtest.
(although the Unrealized P&L for the current position is nicely green, I will no longer report it, as it is really meaningless until the trade is closed).

The only operations issue this week, which happened twice, is TWS account window reporting an erroneous (outdated) position, even though the TWS trading page(s) shows the correct position. And it is that erroneous information which is sent to NinjaTrader, and detected by my strategy as a discrepancy between what the position is supposed to be and what it is reported to be. Good thing I am only displaying a visual alarm in that case, and not taking action! IB has been absolutely un-cooperative on this issue, arguing that I am the only one experiencing the issue, that it is my fault because I don't restart TWS every 24h (even though, one such error appeared 22h after restarting TWS), etc. They want me to uninstall / reinstall everything (Java, TWS, TWS settings), which I will do Sunday early afternoon (even though, that VPS is 6 weeks old). Anyway, I am majorly annoyed with them.

RollOver issues: after extensive study of CL volume, I concluded that since 2007, for ~75% of the CL contracts, rollover did take place at the close, 2 trading days before the last trading day, except when one of those 2 days (or the day prior that) was a shortened session, in which case the rollover occurred at the close, 3 trading days before the last trading day. This has been my practice for over a year, so no change for me, but I need to seriously address the Ninja shortcoming (Ninja doesn't backadjust history before midnight, I need it done at the 6pm open). Once more, I am in for a pretty large workaround, and despite it is required for only 4h of trading per month, it is necessary to do it.

CL Always-In has been selected to participate in the Launch division of the 4th BattleFin tournament, which starts Monday, April 1st (no joke). This tournament's duration is 2 months, which should be enough to get some positive results out of the system.

Happy Easter!

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