Weekly Trading Review – Stress Free Trading

Weekly Trading Review – Stress Free Trading

Weekly Trading Review – 17-21 April 2017

weekly trading review

Summary of Performance

An okay week, good quality trades whilst overall an under performance, this was effected by a shorter week with the bank holiday and a dull Friday with lack of triggers.

I am going to be moving away from my posting of the weekly review to monthly review.

I am going to be still doing a weekly review but my trading has got to a level where there is not much to say regarding each week, and some of the initiatives I am taking need more time to play out before deciding that they work or not.

But I am will be replacing the weekly review with article on aspects of my trading and current thinking, along with various context / trade reviews.

What did I do best this week and how I did I do it?

My focus and playing the context, and not letting my emotions or profit and loss control my trading decisions.

I still make mistakes, I took one revenge trade, which was a good setup with positive expectancy, but was against my context play and not in my plan.

I am still learning when to apply scaling in and when not to use it.

As I am good at picking levels, and had problems getting filled in the past.

It makes no sense to scale in to these levels, as it just ends up with me in the trade in a part of a position. The only exception to this is when I end up getting in with a signal when I have a no fill on the blind order, as there is still potential for the original order to get filled.

In summary, my scaling rules, say I should apply scaling in only at levels with a couple of potential entry points that are not automatic blind levels.

Last week, I was mulling over how to do my journaling. As I moved to a system where I was not tracking my profit and loss on a daily bias, but this lead to an increased workload when journaling the trades at the end of the week, rather on a daily bias.

Of course, the answer came to me, as soon as I posted the review. I will carry on journaling intraday as this is the most efficient way to keep the journal up to date, except that I leave the exit price and result blank and then I fill this in at the end of the week.

This way the journal is kept up to date efficiently but I am unable to see how my profit and loss is doing.

Though one has to be a fool not to know where one roughly is, just from the pattern of winning and losing, but I have found that not knowing the exact P/L for the day helps reduce the pressure to trade ones P/L.

What did I do badly this week and what lead me to do it?

We had a trend day in the Bund this week.

My plan for trend days, is to keep taking my signals until it becomes clear that a trend day is in progress, then move to taking signals at only the bigger picture levels.

How I spot Trend days.

1) Does not respect good levels.

2) Small pullbacks, as price does not get back to entries to go with the current flow or any fades have very small MFE.

3) A lot of double traps. Trapping traders only to trap the traders playing against the original traders, fuelling the next leg lower. Especially when the original trapped traders are front running a good level which then gets completely violated.

4) One time framing on my 10min chart.

It is important that I keep taking my signals as per my process, I do not want to get in the habit of picking and choosing which signals to take.

Moving to the bigger picture levels, means that when I do take the signals I am trading in the right area, but my stats show that overall this still mean that I can suffer a string of losers on these days.

I have tweaked my process, to the following

That when I have a trend day that fits my criteria and I move to the bigger picture levels then all fades will be smaller size allowing for slightly bigger stop (to give the trades a chance to work) and reduced risk until the following criteria is met

1) The LTF has a change of character. This can be a standard deviation pullback rotation, break of opposing structure on the LTF, which has held or not even been tested on the previous with trend rotations.

2)The one time framing stops.

I then move back to normal size for fades.

The above criteria does not mean that there will not be an extension of the trend day, just that the market is now more 2 way with buyer and sellers involved.

I am also studying on these days if I can identify how to use the double traps to get in with the trend.

As the biggest problem with the double traps is working out where the stop should go as the nearest structure is not particular close and what sort of target I should have, as these happen on trend days at decent levels.

In summary, the double traps mean going with the momentum, into areas where I would normally would be fading, if it was not a trend day.

As trend days are the occasionally days, it is important to not nerf my current system for the rest of the time with trying to optimise it to include these double traps.

My current process is to reduce risk or exit when I see a double trap developing which works well and could well be the best way to continue to handle these without nerfing my system.

It is worth investigating to see where this take me.

Weekly Trading Review – The Game

Weekly Trading Review – The Game

Weekly Trading Review – 10-14 April 2017

Summary of Performance

Overall a flat week, had a few problems with the auto triggers and the systematic side of the trading.

The trades where overall grade A, in terms of process and entry. Not a lot of follow through on the entries.

What did I do best this week and how I did I do it?

Followed my process, incorporated a new process that tells me when I should dump or reduce risk on trade based on a conflicted signal.

This worked well, but need to remain focused after this as sometimes that the conflicted signal becomes a solid signal again which I then can re-entry or increase risk once again.

As some of the areas of interest can be quite wide, I have done a study on my winning trades and also the MFE and MAE of the last 400 signals of the winning trades.

I have focused on the MAE (Maximum Adverse Excursion), basically how far a winning trade goes off side. This has enable me to come up with some guidelines on how to scale in to trade.

Normally when I get a signal on the edge of a wide zone, and then typically, sit down through a draw down period in that trade, or wait for a secondary signal deeper in the zone to get my position on.

I prefer to wait for the secondary signal, but these guidelines will enable me to scale in whilst keeping my risk under control, and also enable me to at least get some of the position on and not miss out on the signal.

Of course the smaller levels will not need this approach as the risk is easier defined and I either enter blind on a test or on signal as long as my R:R to the next area is 1.5.

Also I find that only checking my P/L at the weekends rather than at the end of the day, helping immensely with the amount of emotion involved with individual trades, and more importantly my response to it.

Since Jeffageddon, this side of my trading has improved immensely. I am not going to pretend that this is still not a work in progress but I am trading better on this side.

What did I do badly this week and what lead me to do it?

Started to get a few doubts with my signals during the week, something seemed off. They seemed to be not triggering when they should and triggered when they should not.

At first I thought it was just because of the week leading up to Easter. On closer inspection, the triggers where hitting the criteria but not working. Turns out that when I updated the platform, the triggers had reverted to an much earlier version. So I have updated my process to check these triggers are using the latest version if I update or revert to a restore point on RT Investor.

This is not a criticism of RT Investor, I end up going to a restore point quite regular due to my ability to poorly code a trading system or custom study which ends up in a circular reference point which causes RT to spit the dummy.

I am very much, learning on the job when it comes to RTL language, definitely not my strong point but I am getting better.

But the plus side of using the auto triggers, I have learnt more about when to employ them, and the MAE study has also given me a better understanding of when to use the aggressively and conservatively.

One project, I am working on this weekend is my tracking of statistics of my trades.

Not looking at the P/L makes it difficult to keep my trade journal up to date.

As one does not have to be brain of Britain, to know ones P/L , when entering the trades into the journal. I used to enter each trade after exit, I then moved to, entering at the end of the day.

But as I am now only looking at the end of the week, this makes keeping the journal up to date a major pain.

As entering the relevant information takes a lot longer than before, as I have to look up all the entries for the journal, before when I was doing it day to day, I knew all the information from memory.

I need to work on how to streamline this journaling, so that it does not become a major task.

Secondly, the move to a systematic approach with a focus on context means that my setup based journal is not really tracking the correct performance metrics. I need to re prioritise what information I need to track and then re jig the journal to reflect that.

Weekly Trading Review – Self vs Self

Weekly Trading Review – Self vs Self

Weekly Trading Review – End of Quarter 1 2017

This has been an interesting quarter for my development as a trader. With periods of consistency, marred with days of complete inconsistency.

And of course, with Jeff Davis spelling out some hard truths to one of my reviews. You can read the original weekly trading review and Jeff’s critic of it called Chasing Your System…the Never Ending Saga of a Hand Trader and my follow up post Outcomes on his comments.

Overall the quarter was profitable, not massively.

This is due to the 3 limit down days I had, which cost me 20 R. The exclusion of these limit down days completely changes my stays. Each of these limits down days was caused by allowing my emotions to be in control rather than my trading system.

What did I do best this quarter?

Spending the time over the Christmas, changing to a more systematic implementation of my trading strategy. This had benefited me in 2 different ways.

1) This research has given me a better understanding of my trading system and has allowed me to apply this system with more consistency (the majority of the time).

2) That my lack of self-belief and how I deal with the 2 fears, fear of loss and fear of missing out, cannot be simply solved by moving to a systematic system.

The realisation of no.2 and the public bollucking by Jeff, was a wakeup call. That whilst I have an edge, that until I got to grip with the weakest link of the chain (me), then I was never going to make the progress I wanted.

What did I do badly this quarter and what lead me to do it?

The periods of inconsistency both in terms of not following my system on down days thus turning them into limit down days and fear of taking a trade after taking a string of winners.

Why did I have these periods of inconsistency?

This has been discussed numerous time before in my blog post and Jeff article. But it comes down to fear and the focus on the outcome of one individual trade.

Edge is all about executing in a consistent manner to let the outcomes work out in your favor over time. If you don’t consistently execute how do you expect to succeed?

Jeff Davis

The above the statement I already knew but I had done nothing to really solve this problem I was constantly circling this and not dealing with it head on.

yet still at this moment I was focused more on the potential outcome which is never in my control anyways. The only thing I can control after an entry is where I exit. That’s it. Got that? That’s it. So it became awfully obvious that I wanted to avoid what I had concluded would be a loss in that moment. Like Adrian I knew this was wrong, wrong, wrong. I did my work. I had confidence in my work. Shit, I was proud of my work. That wasn’t the problem. I trusted that the outcomes over time would be fine. I believed that I was actually helping the performance by not executing. BS total BS. I somehow believed that I was going to use the screen to help. I thought this nuance or that nuance had more relevance than my work. I focused on a stat that I had already known didn’t matter or it would have been included. In the end it was just I didn’t like or feel comfortable for any myriad of BS reasons. I knew I had to somehow get comfortable in this uncomfortable situation. That is when I decide to get real and find a way. I decided to quit seeing the trees and start finding the forest.

Jeff Davis

After this, I looked at my system and was there a way to feel more comfortable about feeling uncomfortable. Jeff article concludes with him detail the way he overcome this with a tool that helped him.

I had these tools, and I was still not taking all the trades with consistency at both ends of the spectrum of my trading.

It has got to the stage where I could carry on the same way, profitable not anywhere near to the potential of my system. Why would I want to continue like that? I could make a better living going back to sailing.

It was time to shit or get off the pot.

If I have the tools, and it is me, what way can I get to focus on the bigger picture and not the individual trades. Constantly repeating the same behaviour has not helped.

The rules are there. All you have to do is to follow the rules. You don’t have to do anything but follow the rules and it will make your life very easy.

Trading to Win by Ari Kiev

 

I have spent an enormous amount of my time fine tuning my system and I know what I must do.

Of course, my problem is that I am focused on finding winning trades. That is the wrong, the completely wrong mindset.

My focus should be only on following the rules. That is, it. The focus on the edge and performance is something to be done on outside the trading session.

With the focus on the following my rules, that means taking my triggers in line with my context read, and not checking my P+L on even a daily basis, only at the week end.

With that mindset change, the weeks following Jeff article, I have found that there is less stress in my trading, and I have applied my trading a lot more consistently since then.

I am not claiming that my trading has been perfect since then. I have still made errors, but I have found that my consistency has been better at both extremes, and I have taken trades which I would normally skip due to being uncomfortable for whatever reason.

Actually, I have found that a lot of time that I am placing the orders without much thought (on the blind levels), as I know the context, I know where I want to trade and I know what I want to see for the level to be entered blind. As I see the criteria being meet I have found that I just placed the orders.

I have also found that my consistency has remained level even when dealing with family problems that would normally effect my focus. I have taken the time off to deal with these outside the office, but upon my return have slipped back into trading without these effecting my trading. Which is a big difference, normally I would trade poorly or I would not trade as I would be distracted by these issues.

This is a big improvement. Therefore my main goals for the next quarter are all tied into my focus on following the rules.

Weekly Trading Review – Outcomes

Weekly Trading Review – Outcomes

Weekly Trading Review – 13th – 17th March

Last week, as usual, I published my weekly trading review called Acceptance

And a trading friend, Jeff Davis published a response to my weekly trading review called

Chasing Your System…the Never Ending Saga of a Hand Trader

I thought it would be a good moment to give my thoughts about this article and the results.

Some people have mentioned that the article is harsh.

My response is that it is harsh but true, and someone who has delivered many harsh but true reviews of others performance in my previous career. I would be the last one to complain about harshness.

And fuck harsh, the real question is it true and can it help me improve.

Jeff puts is finger on many points that are true and I have been struggling with other the past few months.

In this blog post he identifies his problem as himself. Talk about looking in the mirror. The thing is he has been looking in the mirror for months now and doing a great job yet he finds his biggest obstacle is himself.

Totally agree, last year I identified that I find myself to be the biggest obstacle. And months later this is still the case.

It is not that I have not made progress on this issue, the issue is that I still do not have an handle on it or a successful approach to handling it.

Deciding to trade more systematically is something that I believe is a good thing for the vast majority of traders. Thinking that this will remove emotion is naive. Even if your system is fully automated their will still come times when emotion takes a seat on the bench. Trading isn’t about removing emotion it is about being comfortable making decisions and not fearing outcomes, and yes, this is emotional.

I agree, with this. It is not my intention to remove the emotion from my trading, but to reduce the effect of it on my decision making.

Whilst going systematic has helped in some areas, it has just shunted this problem of my emotions effecting my decision making on to a different part of my trading.

Which again highlights that I do not have a success method of dealing with this.

You are letting the outcome determine if or how you are going to correct a problem. There is a problem here. Fear. Fear of loss. Our emotions are just irrational fears usually always traced back to either fear of loss or fear of missing out. Just being annoyed isn’t going to correct things. How about all out war on it? Aren’t you sick of always circling back to the same problem because the underlying root cause has nothing being done to address it. C’mon man.

Totally agree with this statement. In my defence, as I have not chronicled how fucking sick and tired of constantly circling the same problem without making significant progress, does not mean that I am lackadaisical about solving this. Far from it.

This failure to make the change I want, is not from a lack of effort or desire. It is from focusing on the wrong areas, and ineffectual solutions to the problem. Which still all come back to me. I choose the areas and I choose the solutions to try.

…yet the ones that end up succeeding are the ones that take actual action to cure something not just be all sentimental about it.

This was a light bulb moment for me.

Why is it with my hard work ethic, that I have not made significant progress on this side.

It is because I am focused on the wrong things. Hard work is not going to get me out of this circle. I have to work smarter.

Mediation and positive self talk have all helped me to a certain extent, but as Jeff points out this is not solving the root cause.

WTF are you scared of? Lets start right there. Oh yeah that scary loss. Are you scared of a loss on that trade Adrian?

I imagine he would say no. He would answer about giving back profits from previous trades was the fear. In which case I would say “yup you are scared of losing on that trade.” Get real. It is about that trade. Don’t BS yourself, face it, if you thought that trade would be a winner you would take the entry.

Adrian would then probably try and argue his point that it wasn’t about that trade again. Then I would ask him why did you take the trade before then? Did you know that was a winner? He would reply “of course not”. Again I would ask, ” then why did you enter that time?”. His answer would have to be along the lines that he felt like the odds were still in his favor or some other excuse.

Be assured that’s all it would be was an excuse. Adrian didn’t back test his system with only 5 or 7 trade runs. He looked at as a system over a whole range of trades. He may even know the runs of his longest expected win streak and losing streaks as he should. The question is why at this moment does it pop into his mind? I would guess it because he is still at the account building stage and when building an account we can talk ourselves into doing the wrong thing for the right reasons. In the end he knows the answer. He already said it. The system outperforms him yet he convinces himself that he is making the proper decision to grow his account but in reality he isn’t.

Of course if “the trade” turns out to be loser we can easily placate ourselves into thinking we are very smart and did the right thing. Easy to do. Feeds the ego and retards your progress. The other side of the coin though is “the trade’ was a winner missed. Oh yeah talk about a knife to the gut. Fearing loss just cost you a win. The worst part of it is somehow they always seem to be the top shelf of winners not just an average win but a dead on beauty. Annoying right? LMFAO annoying.. you have been here before and you haven’t done anything to help you take “the trade” except think about it more and promise yourself you won’t do it again. Good luck with that.

Throw your excuses out the f’n window once and for all and get to work find something, anything, that gets you to take the entry. How about you give yourself some positive self talk on figuring something concrete. How about you meditate on actually doing some work and finding something you can live with to get you to execute. Edge isn’t some mysterious thing that you get to pick and choose when you execute. Edge is all about executing in a consistent manner to let the outcomes work out in your favor over time. If you don’t consistently execute how do you expect to succeed?

This is whole passage is true, apart from the excuses, but that is splitting hairs. It sums up my problem very simply.

I use stops since I trade intra-day and am mostly always flat at days end. I knew how much I could lose because I have no problem employing or taking the stop, yet still at this moment I was focused more on the potential outcome which is never in my control anyways. The only thing I can control after an entry is where I exit. That’s it.

In the end it was just I didn’t like or feel comfortable for any myriad of BS reasons. I knew I had to somehow get comfortable in this uncomfortable situation.

This passages sum up my feelings, and also gave me a realisation. I am looking at trading from the completely wrong aspect.

I viewed my job as a trader is to place high probability trades. This involves me working on a system that will give me high probability setups within context and executing this. But my whole focus was on placing the trades.

It has occurred to me, that my job is actually in 2 parts.

During the session, my job is to follow the rules and process. Nothing else but follow the rules and process.

The second part, is outside the session is to review the performance and the strategy etc.

Now this might sound like a bullshit shift of perspective, but for me, it is a big change of emphasis of how I looked at trading.

Jeff then details how he has worked on a tool that allows him to be comfortable with being uncomfortable and finishes with the following

Net net I now execute with much more consistency with even better sizing and trade metrics. It had nothing to do with self talk or mindfulness it was a trading tool that helped bring it about. A tool that has no bearing on the signal itself just something totally independent. I got out of the trees and focused on the bigger problem and found the forest. It required thinking harder and deeper about remedies that had actionable info. It took work. I quit being lazy and using psycho babel as a crutch.

So this is where I am at.

This shift in perspective, has helped me this week, I feel a lot more comfortable being uncomfortable.

But this has not stopped working on re-examining my system and associated tools, and seeing what tools I can use to help me with being more comfortable with being uncomfortable.

I spent the week thinking of some ideas and going to spend the rest of the weekend fleshing out these approaches and testing them.

Lastly, I want to thank Jeff for this time and input. It has helped shift my perspective and look at my trading in different light. Jeff comments has and will continue to make a difference.

Weekly Trading Review – Amateur Hour

Weekly Trading Review – Amateur Hour

Weekly Trading Review – 27th February to 3rd March

Summary of Performance

Not a great week. I did not trade well.

Week started off very well, and then poor trading mid-week, left me drained of emotional energy and traded very conservatively for the remainder.

What did I do best this week and how I did I do it?

Monday was focused, and followed my plan, took every Grade A setup. Traded well.

What did I do badly this week and what lead me to do it?

Mid-week was trend down days, and I tried to fade these areas. Nothing wrong with the set ups per se, but I know these have a lower probability of working when fading trend days.

Why was I trying to fade a trend day?

I suspected that it was a trend early on when price did not react at certain key levels, and tried to get in with the direction of the trend day.

The reason is simple with hindsight, that all my initial trades, when I suspected that a trend direction was setting up, did not get filled, either on blind order or off my auto triggers and price left without me.

I then tried to constantly to fade the trend.

This is purely revenge trading driven by the emotion of fear of missing out, and over confidence in my areas and triggers.

This is not a new lesson, I have made this mistake in the past. The difference is that in the past it was driven, by not taking a trade due to fear of loss and then trying to fade my own plan, to make up for it.

This time, I tried to get in and then tried to fade my plan.

I am aware of this but in the heat of the moment this past lesson went out the window.

I re built my system so that I trade my context plays, with blind orders and auto triggers off various set ups. My system is not taking any the setup without context. My stats show whilst this has a small edge of time, that my best trades all come from playing the setups in line with my context read.

I spent plenty of time, systemising my context plays, and my setups and entries. It seems pretty fucking stupid not to follow the system because I got left behind on a couple of trades.

What is the good news

I traded a lot better on the last 2 days, even though I was very conservative, but I was aware of my emotions when twice I did not get filled off my auto triggers, for my main play. Even when over 400 contracts traded at my price and I still did not get filled. I then focused on trying to find opportunities to get a second chance of getting in to my main play rather than trying to scalp low probabilities entries again the main play.

I noticed a sequence of order flow in my fades of the trend day, which I can use at the very minimum to exit fades trades (if I am in them), and at the best to get in with the direction for a low risk entry in the direction of the day.

Progress 5 – Live Testing

Progress 5 – Live Testing

This weekly trade review is part 5 of my progress on rebuilding my trading system to be more systematic and semi-automated.

I am currently working on the auto entry, with discretionary context and discretionary buy/sell areas.

The plan for this week was to test the system live with 1 lots.

Unfortunately, the week was cut short by the trading computer completely shitting the bed on Thursday morning.

So three days of testing was not enough sample period to make any serious deductions about the performance of the auto triggers.

What have I learnt

The auto triggers send the orders to the live execution platform and they match up.

The execution speed is faster than manually entering orders on the trigger setup.

Even with me hovering over the order button on the DOM.

There was one order that was sent off prematurely, this was the fault of my coding, this particular trigger was referencing the wrong level.

That I must remember to back up the system every time I make a change. If it is a major change then this is saved as a new version, but if I do minor edits I must back up the system to the hard drive.

On Wednesday, I had a computer crash, which was precursor to the fucker giving me the finger on Thursday morning. And on rebooting the auto trigger reverted to a previous version, which I did not notice for a couple of trades.

Down the line, I will need to work on having different versions of the trigger, i.e. having settings for low, normal and high volume. Now, they miss entries in low volume, get the majority in normal and signal too much in high volume.

I have discussed this with a good trading friend and have some ideas to take this forward. I will start to work on this next week, but will not be making any adjustments to the core triggers that I am testing now. This phase is to ensure that it works and I have confidence in it.

I do not like making loads of changes at the same time, as it makes it difficult to correlated any performance differences with the changes made. It can be tempting to make more than one change at a time to speed up the testing process but in my opinion this rarely saves time in the long run.

This is something I learnt from racing.

If we made 5 changes to the boat and it went quicker, which change is responsible, and it can even be the case that 2 changes was responsible for the boat going faster, 1 made no difference, and 2 made the boat go slower to the original benchmark, but the cumulative effect was the boat going faster. Trying to work out, what change is responsible for what, can end up in a confusing mess, which takes longer to sort out then just applying one change at a time.

There was once a racing project that took a racing yacht that was an absolute weapon, made a heap of changes, which were all sound decisions on paper, and turned the weapon into a something with the racing abilities of a shit house. They never got the project back to the original benchmark.

BTW, I was not involved in this, I had already learnt that lesson, a long time ago.

One trade at a time is my motto. Whilst this can be slow, I find it easier to keep control of what I am doing.

There is not enough data to make any sort of assumptions about the performance, but the very limited data indicates that I am having similar results on 1 lot as to my 2-lot trading. This is mainly down to the systematic nature and not missing / skipping the triggers.

And with a similar amount of trades, which points to the auto trigger picking better triggers than I do as a discretionary trader.

These are only indications, as there is no way, enough data to support this.

Important to note, that whilst the triggers are performing well, the rest of the system still requires me to manually do the context and buy / sell areas. The triggers will underperform when I under perform with my context read.

Next steps

To continue testing with one lot, get another week under my belt and then update the risk / trade management part of the trading system to reflect any minor changes that needed to make. And trade the system normally.

To work on the trigger criteria for normal volume and high volume conditions. The first step of this is how do I define normal volume and high volume conditions.

One of the problems with the triggers auto monitoring the conditions that it will always be lagging. If I use a moving average to define the type of condition, then it must wait for the average to catch up to the current conditions.

I am leaning towards a clear defined manual but systematic approach. But this needs to have more thought as to how this will work and how I clearly defined it. What I like about this is that, I can test the principles and rules, which will give me more data, which I can then use down the line to generate better versions of the trigger.

Progress 4 – Fantasy vs Reality

Progress 4 – Fantasy vs Reality

This weekly trade review is part 4 of my progress on rebuilding my trading system to be more systematic and semi-automated.

See My Weekly Trade Review Part 1 and Part 2 and Part 3 for previous updates.

What have I been doing this week?

The focus this week, has been on comparing the sim entries for the auto triggers against my manual entries, taken at the time I hear the submit order announcement, which on the conservative entries, is at bar close.

What have I learnt

1) Manual placed trades did not get filled as much as the sim placed trades. Which was not a surprise, even with the Sim on realistic settings.

2) All of the trades that I did get filled on, the manual trades where always better entries by 1 to 2 ticks.

I have manually placing the trades at the bid for the longs and at the ask for the shorts, on the close of the bar.

Which I assumed what the auto triggers was doing, as that is the same settings as the back testing.

As we all know, assumption is the mother of all fuck ups.

Having decided to look at the actual setting at the end of the week, the auto triggers place a limit order at the last traded place.

So my testing on that side has been a bit of a waste of time, as I am comparing apples against oranges. But at least I now know why the auto triggers are placing the orders in slightly different place to where I was expecting.

I have changed this to the correct settings. It may be after the real life testing that I change the setting back to last price, but I need to see what the actual fill percentage before I deviate from what I tested.

The triggers are not that sensitive to low volume and high volume conditions. In the low volume, it doesn’t trigger always and in high volume it triggers a bit too often. At the moment, the settings are fixed, but further down the line, I can look at having this auto adjust based on low volume and high volume conditions.

But at the moment, I need to focus on the testing of the current setup.

The next step is to test it live.

I will commence this next week. One of the jobs this weekend, will be to write a risk profile and plan for the week.

Questions to be answered

What is my aim for the week?

I am looking at where it actually place orders and what the fills are like.

How practical is using the auto trigger?

What is the management like after entry?

What is the typical stop?

What is the typical target?

What is the R/R ?

What is the frequency of trades?

The last four needs to be compared against the back testing and the sim testing to see if I am getting similar sort of stats.

Of course, I will not get enough sample data from one week to confirm either way, but it should give me an idea if it is way off base.

Risk will only be one lot. I intend to reduce risk to a minimum whilst testing, to limit any damage from auto error or human error.

What do I if I get 2 different triggers in a row?

What if I get opposing trigger whilst I am in trade before my opposing area / target?

What do I do if I get opposing trigger just before a blind order at a strong area?

I would like to reduce as much of the grey areas I can think of before going live.

This is all based on the assumption that the platform will actually send orders to the live account without problems. That is the first hurdle.

My Semi Auto Trading – What it is and what it isn’t

I have had a few questions via social media and email on what I am doing. I thought it best to address this here, so that others can see what I am trying to achieve.

Let’s start with what it isn’t

It is not set and forget.

I cannot turn this on at the start of the session and just walk away.

You will not find me out sailing, anytime soon, whilst the auto trigger prints money for me.

It does not set any stops or targets, this still has to be done manually.

It does not decide what the context is, whether the market is trending, balancing / ranging, etc. This is still decided by me manually according to my procedure.

What it is

All it is, when certain criteria are met, it sends an order to buy or sell. This is based on what I look for in triggers, when I was discretionary placing trigger orders.

I decide when the auto trigger should be looking for an entry and whether that should be a buy or sell.

For example.

The market is trending up, and my expectations is for price to make a higher high and test the next opposing level higher on the chart.

Therefore I will want to buy a pullback. I will look for areas that if price did pullback I would want to take a long in. And depending on certain criteria, I will decide if the level should be taken blind, i.e. I will place a limit order a couple of ticks in front of that level. Or I do want to be long at that level, but only if I get a trigger there.

If I decide that I want to get long at this level on a trigger.

I will activate the buy trigger, and once price reaches the level, the auto trigger will send a long, if the trigger criteria is met. But price has to be at that level and the criteria has to be met for it to send an order.

I have only automated one part of the trading, the part that I found that produced the most inconsistency in my real life trading. The stalking of trigger trades.

All the rest is still down to me.

Progress 3 – Machine Learning

Progress 3 – Machine Learning

This weekly trade review is part 3 of my progress on rebuilding my trading system to be more systematic and semi-automated.

See My Weekly Trade Review Part 1 and Part 2 for previous updates.

Weekly Trade Review

What have I been doing this week?

Context

I have spent time looking at various market conditions and indications that these are changing.

One area was trend days. Not from the purpose of getting in to these days, but from the angle of recognising them as early as possible to manage risk.

I have done some study in the past which did not yield any significant results, but as my experience grows I thought it would be a good idea to revisit this to see if a fresh look produce anything new.

What have I learnt?

Trend days happen about 20-25% of the time. 20% if using a strict definition, and 25% if using a definition that fits the concept of a one direction with larger than typical range and with a close near the extremes.

There is a lot more days that start of as a trend day but either run out of steam or reverse (22%).

There are days where it starts of a normal day and ends with a trend type day.

Before a trend day starts there is very little difference in delta/volume/range when comparing against a non-trend day.

Trend days and generally one direction moves tend to come from balance / range areas. What these have in common that they have typically built decent Gaussian distribution. This seems more important than the time that is taken to build the balance / range.

Weekly trade review
Decent volume build before breakout.

Alongside this I have continued working on the balance context play, looking at the best way to play the outside in and the breakout.

Ideas I have been studying is the skew and kurtosis, but apart from numbers indicating that a normal distribution curve is there, which can be seen by eye, then there seems to be little to predict breakouts. I.e. it can get a number close to .3 and then breakout fail and continue in balance or just continue in balance.

Weekly trade review
Not so decent build before breakout but has filled in the LVN to become more guassian

And even non-prefect balances breakout and trend.

The best indicator so far is that breaks and closes easily a level that should have produced at least a reaction. And this normally involves a loss. So be it.

Triggers

The work on testing auto triggers is progressing well. A couple of bugs, so time spent sorting that.

Basically, how I combined signals into one signal for the auto trigger to work, did not work as expected during heavy than average volume.

Also, assigning variables that I had already assign to other tasks, does not help.

RT Investor tip, always name the V# in the preferences. Don’t do what I did, and name some but not others and end up trying to find which V# is not being used.

I had the triggers on a separate chart so I could monitor them. But found that was hard to keep an eye on, so moved them to main trigger chart.

Problems I found that, it was not easy to see that the triggers where active.

A couple of times, I forgot to turn them off. As these are execution only triggers then there is no stop loss or target set. First one cost me 25 ticks and the second time, I left both buy and sell triggers active and went for lunch.

The little fucker played the balance area very well, and made 50 ticks over 3 trades, whilst I was mediating and stuffing my face.

Whilst this was an error it does show the possibilities of this approach. Decide context, set the triggers and let them get me in when the conditions are met.

Part of my trigger setup is that they will only take a short if price extreme is equal or higher to a set price (and of course that the trigger is active) and vice versa for short.

This is done by a horizontal line in the chart, so I place the buy line a couple of ticks in front of an area of interest I am interested in and then if price trades this line or lower and certain criteria or meet then the trigger sends an order.

This done either aggressively on when the signal happens or conservatively on the close of the bar.

weekly trade reviews
Auto trigger buy and sell lines

This weekend I will make the indicator that indicates the triggers are active more visible.

The next week, I will be taking the trades live manually in my account on the signal. The purpose of this is to compare my entries against where the auto trigger gets in. As a few of the trades this week seem to be out a few ticks, compared to where they are meant to be placing limit orders.

Other things I am considering is setting an auto stop and target set at knuckle settings, to limit any damage if I forget to turn the little fucker off.

Progress 2 – The Singularity

Progress 2 – The Singularity

As discussed over the past 2 weekly trade reviews, I am working on rebuilding my edge to become more systematic in my trading. Goals are here and Part 1 is here.

What have I been doing this week?

Context

Research is still on going.

I am happy with my Recognition Primed Decision model, that I discussed last week, in helping me decide more consistently what the context is and how I trade it.

My main area of focus this week has been looking at current market conditions and looking for clues when that could be changing.

I spent a lot of time research trades days in the Bund. In the past I did a lot of research, trying to predict trend days and did not managed to find a trade-able edge in these stats.

Before I go further I must stress that this research is in the Bund, and could / does not translate necessary to other markets.

I found stats that says that if we have 3 days that are the same / similar in terms of volume profile, then there is a 75% chance that the next day will be different, but that does not mean it will be trend day.

The next step was to look to see if there are any clues at the beginning of the session, that a trend day is likely to happen.

I looked at the volume/delta/range for the first 60 mins of the session and the first 120 mins of the session and compared non-trend days to trend days. Whilst there is a slight increase in these data points, it would be hard to tie these into a practical application of a trend day.

For example, the mode of the first 60-minute range of a trend day compared to a non-trend day is 2 ticks larger over a sample of 400 trend days.

The Open drive is a rubbish predictor of trend days in the Bund, both in the full and cash open. Whilst a lot of trend days have these, so do a lot of non-trend days. And actually, open drives are a great target stats wise.

At the moment, my best indicator is a failure of a good level (and the better the failure better the indicator), that normally involves a losing trade. So, my plan was to try and gather data to find clues that could indicate that a trend day is in the works.

My next step is to go through each trend day manually and looking for patterns and clues from a visual point of view. This is labour intensive and boring and could easily result in zilch but is the next logical step.

But I have done this before. I once printed out all these charts and studied each one, to help define my basic context model.

But I will stick on some sounds and get down to it after posting this.

Triggers

Basic research and coding has been done. I am now in the testing phase, make sure that they send the right orders at the right time.

I cannot remember who, and I cannot find them in the comments section, recommended this blog on automated trading alongside manual context, which is exactly the approach I am taking. Whoever that was, thank you, it has helped consolidate my thoughts about where I am taking my trading.

This approach makes it more complicated, as I do not want the automated system on all the time, only when in an area of interest that aligns with my context.

So the trigger has to have its own button. Obviously one for buy and sell.

I had a few teething problems with not sending orders and then sending too may orders.

Testing this is quite slow, first I used a dummy trigger to test the order sending, and that was quick. I am now testing this using the correct trigger to see if they do what I am expecting them to do. Lol

This is all on sim at the moment. I think I would have choked when the during the first phase it sent 5 x 2 lots before I could even finish my slurp of tea, if this had been real.

Once I am happy I will start testing with small size on my real-life account.

Of course, all this does not affect the trades, which are auto fades with blind orders.

And there are a couple of instances in the order flow which I have not managed to work out, how to represent these as code. But I could spend the next few months tweaking this. I need to get it to a stage to take it live so I can get some feedback on how practical it is, etc.

I am still doing my trade plans and daily stats every day, to keep in touch with the market.

I did not post Friday plan, as I was working on the keel boat that I race during the summer and did not get back till very late.

Progress – Black and White

Progress – Black and White

Last week, in my weekly trade review – Plans and focus for 2017,  I laid out my overall goals for the year. Primary this is to become more systematic in my trading.

I traded Monday, and I quickly realised I cannot have both systems in my head. The ongoing rebuild of my system into a systematic progress and my current one which is primary discretionary.

I have made a decision to stop trading until I have finished my rebuild.

Let me be clear, this rebuild is not about throwing out my current edge. It is about 2 things

1) Understanding my context read better, and how I can systematic use this to improve my targets.

2) Turning my triggers into a more black and white means of entering. This is to reduce the amount of decisions needed to be made per trade.

How am I approaching this?

Context

I have split my context reads into areas. For example, Trending and Balance, these are then split into sub sections.

For example, Trending with expectancy to go into balance / pullback.

For a while now, I have been using the OODA decision loop to help me make decisions. Which I simplified to DADA

Hypothesis – Collect Data on the Hypo, Analysis, Decision and Act and repeat.

Which is good model for analysing stats and trade reviews.

But over Christmas, I read Streetlights and Shadows: Searching for the Keys to Adaptive Decision Making by Gary A. Klein.

Which is a good book, but it did not tell me anything new. But if you are into improving your decision making then it is interesting book.

But one section discussing the decision-making loop, and that the studies found that experienced people tend to use a different model called Recognition Primed Decision Model.

weekly trade review

I think this model fits in well with trying to incorporate my context read into a more usual model for targets and areas to fade. So, I have altered this to fit my needs with regard to reading context whilst remaining flexible.

Example

Situation Trending Market
Clues Trend Rots are >= STD DEV
Counter Trend Rots are <= STD DEV
Increasing or equal Vol/Delta on Trend Rots
Not at HTF Area of Interest
No Change in character in last rot in either Vol/Delta/PA
HTF ROT < STD DEV
Exp To make new extreme
Goal Buy Pullback to AOI with Target HTF AOI
Actions How I enter the market.
Where my stop is.
What is my TM.

Obviously, the actions change for each play. But I stick to this model until the clues or expectancies start to be violated which then gives me more clues to my other context models. Which I then switch to.

The primary use is to give me better targets, for my entries, and whilst seeming more rigid, gives me more flexibility and takes the focus off the individual levels.

I am also working on my stats, to make them into more useable pieces of information. Whether they are for scalps for gap closes and open drive, or whether they indicate where a likely target / bottom / top should be for the session.

What has helped with the Stats on the Bund at least, has been splitting the sessions into European and US. As the nature of these individual sub sessions can be very different.

Triggers

I have been working on how to express my discretionary triggers into a more black and white format. This is, not surprising, hard and slow going. But I am making progress. Does not help that I am new to coding in RTL in RT Investor. So, I make a lot of mistakes and it will take me at least another week to get on top of this.

It is not that my triggers are that complicated. Just how do I express something that was very much discretionary into something that is black and white but adaptive enough to be a realistic trigger. But I am making progress and in turn this is teaching more about my triggers than I knew previously.

For example, One of the order flow triggers I have been using which indicates a possible fade entry. Once coded and tested also shows that it certainly is not a fade entry when price breaks out of a range. Instead of a sign of weakness it becomes a sign of strength.

But all in all, very interesting time.

Looking forward to putting it all together and getting back to trading.