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.

CL always-in: 6 wins / 6 losses / 4 BE ; net -2115.

The system was tricked many times this week, including a large loss (-2095 on a short entered Wednesday afternoon & exited Thursday afternoon). The P&L for the week was -3545 after that large loss, Friday did recover ~1400 of that.

We had a negative offset at the rollover for a change (CLU3 was -0.23 vs CLQ3 yesterday at the close), no doubt a sign of a short squeeze on CLQ3 this week. That negative offset surged even further today (another -0.20 around 10am), proof that some speculators had remained short even after the "official" rollover date/time.

I took a couple days off at the beginning of the week, and did some R&D on Thursday (contract) / Friday (for me).

Have a great week-end!

CL always-in: 10 wins / 9 losses ; net +1535

Better than a down-week for sure, but too many losses to my taste. Current drawdown from P&L peak: -2550.

Working with a brokerage to offer the system to their clients. It is in very good shape at this point, I have done a couple reviews of their server configuration + my system's Operations Guide to ensure their Operations are ready for it, also I reviewed 1 year of backtesting trade by trade (they will be using a different datafeed than mine, I wanted to assess its suitability and make sure any trade differences were justified - that allowed me to find another day-one bug, all in all a minor one).

Have a great week-end!

CL Always-In: 10 wins ; 5 losses ; 3 BEs ; net -190

The week started on a positive note, then Wednesday the system got wrong-footed twice (-1385 then -2495), Thursday recovered +2100 of that, and Friday +300.

Realized P&L for July: +1160

On top of offering the system to be traded through a brokerage, I have also decided to offer it for lease, for those willing to save on the commissions at the expense of having to do all of the operations by themselves. I have a first customer getting ready to sign (he just rented a VPS, bought NinjaTrader, subscribed to Kinetick), I spent a good part of Friday configuring his VPS for my system. Since he will be trading using exactly the same configuration as I have (Kinetick & IB), I am curious to see how this will impact slippage - hopefully not much, else I will have to rethink all of this.
(of course, I won't be able to measure exactly the impact on slippage, but given that on the first 300 trades taken I have on average 1-tick positive slippage per trade, vs backtesting at the end of the week, I will monitor how that figure changes over the first 100 trades, once this customer is trading live).
(I have one C2 subscriber trading live since end of June, he has clearly no impact on slippage for me, given the added delays when trading through C2).

I have started discussions with another brokerage firm, which suggest investment strategies to their customers through CTAs, since I am nowhere close to CTA I am not sure if this is going to pan-out ... unless they are willing to take the operations of my system for their customers.

All of this business-development is quite consuming, time & energy/focus, and progress is extremely slow to my taste - but I don't have that many ideas to speed it up, feel free to make suggestions :)

Have a great week-end!

Can you describe the VPS in more detail? Is it Windows or Linux? Were is it hosted?

"I spent a good part of Friday configuring his VPS for my system."

If you're going to do this several times you'll need to automate that process.

Although I hear you re. saving time through automation, I wish I had to do it every-day for a new customer ... that would be a nice problem to have!

The VPS is hosted in Chicago, and running Windows Server 2008.R2 ... configuration tasks :

- Configure Windows Update on manual
- Update Windows
- Install current version of Java
- Install TWS
- Install & configure IBController, an open-source utility which takes care of the TWS 24h auto-shutdown feature
- Install the IQfeed software
- Create a gmail account to be used only by Ninja on this VPS
- Configure Ninja per my system’s Operations Guide

I could discuss with the VPS provider (SpeedyTradingServers) adding Java/TWS/IBController/IQfeed to the image used to create those VPS.

Not sure which part of the Ninja configuration can be saved/restored without impacting the licence key ... I will check into that.

Does SpeedyTradingServers allow you to copy your VM to another one? There would be a lot less configuration (license key etc.) on the 2nd VM. Also, you might be able to create a VM locally and then host it in Amazon's EC2 that way you'd be able to copy the VM locally and do the minor tweaks. I think EC2 allows you to upload your local image. As you said though, that would be a nice problem to have. Just wanted to brainstorm some time saving ideas with you before you have that problem.

CL Always-In: 7 wins ; 5 losses ; 2 BEs ; net -430

Another difficult week for the system, which got on the wrong side of a few trends this week. All in all, the current drawdown duration (about 6 weeks) is indicative of unusual price-action, which hopefully will get back to "normal" soon.

The open-trade P&L is about +2,000 - which is nice, but before taking it to the bank, the system will have to find the proper conditions to reverse.

The only "solid" R&D of the week was on improving my software protection, more precisely making its data separate from its code. I have tonight a version which uses an encrypted file for its data, the next stage is to automatically retrieve that file from a location I own & control.

Have a great week-end!

CL Always-In: 6 wins / 8 losses ; net -430, including leg closed at 2:30pm for rollover.

It has been a quite disappointing 2nd half of the week for this system, which erased all prior gains & then some. I am looking forward to better times!

I spend a lot more time on R&D this week, both for myself & on contract, which is a good sign. I made a number of improvements on my software protection, which has been promoted to "Usage Control" - it not only provides expiry-dates, but also parameters-boundaries on a per-customer basis. But I didn't get to the automated retrieval of the Usage-Control file.

Have a great week-end!

CL Always-In : 6 wins ; 11 losses ; net -1855

Unrealized P&L on the open position is about +1450 at this time.

Not a good week, Monday & Tuesday were particularly difficult for this system. I understand clearly why (in terms of PA) the system is in drawdown since the beginning of July, this is likely to continue until after the Labor-day week-end, for the time being I have nothing else to do than sit tight.

I am growing suspicious of having over-fit the system to its in-sample data, the out-of-sample performance on 1H13 ranges from 64% to 75% of the backtest period (depending on the configuration traded). I have started to explore a different way of using the patterns to make the trading decisions (from fixed-priority to adding individual pattern scores), which seems to show a more consistent performance level on 1H13 vs 2007..2012 (at the expense of ~10% less performance on the backtest period).


Have a great week-end!

CL Always-In : 6 wins / 8 losses / 3 BEs : -2625

The week had a good start (+3300 by Tuesday afternoon), then the system got caught short in the overnight spike-up (Tuesday -> Wednesday), reversed shortly after the top, and got another big loss right away (-5290 in 2 trades). On top of that, I had made & switched to a new version last week-end, not realizing that I had made an error in that version, which cost me another 1500 in the form of a -800 loss instead of a 700 win. Even with that error, the performance was marginally better (by $100) than the previous version.

I have to admit I felt devastated Wednesday morning. I spent a couple days re-visiting stop strategies, with the same conclusion: over 2007..2012, using stops decreases P&L & increases max drawdown, even though there are periods of time where using stops would locally yield better results.

Have a great Labour-day 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