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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.
- Reversal system: 3 trades this week, 2 win / 1 loss, net +450 across the 3 configs.

- CL Always-In: 16 trades this week, 10 win / 6 loss, net +2020 (Realized P&L)

Since the trade-log is public on Collective2, I won't provide any details here re. specific trades, but I can make the general comment that this system is very counter-intuitive, and seems to be always making the wrong decision. It is designed to never get out at an extreme, this is annoying for solidly green trades, but works nicely for the red ones. Anyway, the long from last week Friday was up +1200 at the open on Sunday, but got closed Monday afternoon for -215. Another disappointment for the week, I "knew" CL was headed down Thursday after it based all night long in a 50-cents range at the Wednesday Low, and the system was short from Wednesday morning, however it got tricked to reverse to long on a false breakout of that overnight range, then failed to reverse and gave back most of the Wednesday gains. Hindsight is 20/20 they say ...

Interactive Brokers tech-support finally decided to enable some debug trace on my TWS, and the week had a number of instances of the TWS account window reporting erroneous position, hopefully their development team will be able to find & fix that bug.

I spent all week working on the DynamicRollOver workaround/feature, ran into a major issue with Ninja that pertains to running multi-instrument indicator off another multi-instrument indicator (in that case, although the 1st timeframe is synchronized between the 2, the 2nd timeframe isn't synchronized, so 1 indicator gets to process several bars in a row on the 2nd TF, then the other indicator has to catch-up, bottom-line it is a plain mess), so at that point I had to decide that I would work everything inside a single NinjaScript object (a Strategy), and I have built a framework that pretty much replicates the Indicator / Strategy framework, minus the synchronization bug, plus DynamicRollover of the primary timeframe. The main difference is that my own "indicator" objects do not have native plotting capabilities like the Ninja ones, so I have to add Ninja Indicator "shells" just to provide the plotting capability. Give me enough time I'll end up rewriting Ninja entirely :)

Did I ever state that I love C# ? I really do!

Have a great week-end

It's been a pretty bad week on the trading front :(

- Reversal system: 1 loss ; net -975 across the 3 configs
- CL always-in : 2 wins / 8 losses ; net -5400 for the week.

Even though I knew ahead of starting live trading this system that this kind of drawdown would happen with 100% certainty, it isn't fun when it does happen - especially since the system has not made any money for me before that (the "official" current DD for the system is -8,400, as I started trading it at -2,775. This is pretty close to the max annual DD for the past 3 years, which was much less than the MonteCarlo mean maxDD for 1 year - about -12,000 if my recollection is correct).

I completed testing (& fixing) the DynamicRollOver feature yesterday, and I have it running on sim on my backup trading PC for the last 2 days (of course, that doesn't test much of the DynamicRollOver feature itself, which I have extensively tested using MarketReplay). Interestingly, that version does backtest marginally faster than the prior version (about 12sec. less, from 4min30 to 4min18). I also enhanced my ReloadManager in the process, which has become fully Multi-Instruments. All in all, I am very satisfied by my infrastructure enhancements to Ninja.

No news from IB re. the TWS account window bug.

Have a great week-end

- Reversal system: 3 win / 1 loss ; net +625 across the 3 configs (that's not much for 2 net wins ... but all 3 wins had really close targets, where pretty much all 4 setups required standard stop-size)

- CL always-in: 14 trades, 6 wins / 1 BE / 7 losses, net -870 (this includes a partial loss at rollover yesterday 2:30pm, by partial I mean the trade isn't over yet, but the system closed it on CLK13 to reopen it on CLM13, I am counting the closed segment of the trade in the week's P&L).

This week's R&D was dominated again by the DynamicRollOver feature, which wasn't as completed as I thought a week ago ... I kept finding issues throughout the week, including a couple last night after 6pm :( Anyway, the good news is, it is finally completed, at least it is working live today without issues. And it didn't create any live-trading issues, either, just a lot of stress...

I also spent a couple of (fragmented) days looking harder if I can find a stop strategy not too harmful (prior attempts were taxing P&L 20% to 50%). More work required.

Got news from IB that their development team has fixed the TWS account window issue, which will be patched in TWS 936+, however I have no idea when it will be available.

Have a great week-end

- Reversal system: 1 win (2 contracts) / 1 loss (3 contracts) ; net -345

- CL always-in: 9 wins / 2 losses ; net +1285. 1 big loss (again) for -2345, the next trade was up +2400 but finally reversed with only +1585.

I spent all week working on stops for CL always-in, I don't really like the overall results, it takes pretty small stops (~1pt) to keep the max historical DD at the same level, with a severe impact on P&L (-25%). Most of the week was spent on making the stops "persistent" over reload/restart, which is now mostly done & tested (I still have to test that in the context of rollover). Not sure I will ever decide on using that feature, I guess I am motivated at this time by seeing it would have saved about $3,000 in the past 6 weeks.

Still no news from IB, I keep forgetting about that bug during the week.

Have a great week-end

- Reversal system : no trade

- CL always-in : 9 wins / 1 BE / 6 losses ; net +6450. This places the week in the top 15%. In comparison, the down week 4 weeks ago (-5400) was in the bottom 1%.

On the R&D front, I spent all week on persistent stops/targets, and also reworked the strategy "live init", which now makes use of Ninja's sync mode "Immediately Submit Live Working Historical Orders" in order to restore the strategy current position (prior to that, I was managing the strategy "logical" position separately from Ninja). Long story short, I can now reload/restart that strategy at any time, and it restarts with its last known position & open-orders, and no impact to the strategy decision making following that restart (ie., exact same decisions are made after the restart, than if there had been no restart - this is assuming identical historical data after the restart, which might definitively be not the case, when that restart was triggered by a reload historical data after a loss of connectivity).

I also found & fix a "day one" bug (literally) - funny how it could hide for about 4 months (about 1% of signals are impacted - 126 out of 11700, performance after fix is marginally better for win% DD & avg/trade, but marginally lower for P&L).

I will have the latest version in test on my backup PC and on my VPS next week, all going well I will move it to live trading next week-end.

Have a great week-end

- Reversal system : 1 small win (3 contracts) / 1 loss (3 contracts) / 1 BE (1 contract) : net -545

- CL always-in : 3 win / 11 losses : net +750 ... it certainly helped that most of the losses were quite small (9 are less than -300, the other 2 were -395 & -695), and one win was a large one (+2365). The open trade at the close has a sizable Unrealized P&L (+1985), let's just hope that some of that can be taken to the bank next week.

Testing of the latest version on my backup PC & on the VPS (using Sim101) went well, so I'll migrate my live trading to that version this week-end.

No R&D work for myself this week, I have started some contract work for another trader.

Have a great week-end
always enjoy reading these updates Dom. How has the competition been going ?
The BattleFin Launch competition is pretty interesting ... there are 8 competitors. As of Friday morning, the 1st one was up about 35% (27 up-days, 0 down days), I was #2 with +5% (15 up-days 14 down-days), and the other 6 competitors in the red, from -0.8% to -55% (that guy was even -85% a few days ago). I find it pretty interesting that even after carefully selecting candidates, 80% are in the red after 6 weeks of competition - that says a lot about how difficult trading is.
Congrats on holding onto position #2. How much longer until this competition ends?
BattleFin 4 tournament runs until May-31. IMO, 2 months isn't quite long enough for a live evaluation of any trading system ... but what do I know?!
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