I start doing Pivot calculation everyday, basically, I am just plugging in High/Low/settlement price (from CME and eCBOT website) of the previous session into an spreadsheet. 5-min job.
Currently, I am using pivot levels as profit taking level for dummy trade. I have yet to implement pivot play until my tradestation 8 is up and running.
Here is the Pivot levels for 07-September-2006 trading.
[photopress:pivot_1.jpg,full,centered]
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It was a trending day. But, I did not make much money. Was I frustrated? I was. I was trying very hard to jump out from the recent lousy days. Vincent told me a fact that (thru IM) I was not paying enough attention to other indices. I have to admit that. I sticked my eyes on DOW, and ignored E-mini S&P and E-mini Nasdaq. Dummy setup appeared in all of them, and I did not notice.
I made an early exit on Dow trade at Pivot S2 level. As mentioned in my previous post, my mini-sized Dow position was flat for 2 hours, and in fact, S2 level was tested twice. I decided to close the position. It appeared to me that the probability for Dow to play a catch up was low.
(Looking at the chart retrospectively, I would be stopped out with 1-R loss if I were to hold on the position)
I was not sharp enough today. So, I was not good enough to trade today.
Let’s fight another day.
A good news for me is that my Tradestation application is finally completed I should be able to start trading on Tradestation 8 next week. I am long to implement Gap play, Pivot play and tick fade in addition to my dummy trading. (I can’t do that with my current trading platform).
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by Gav 2 Comments
I got a wrong trade today. It was darn slow. A waste of time. I decided to close the trade, after staying flat for 2 hours. I defined it as a wrong trade as E-mini S&P and E-mini Nasdaq were moving actively while Dow stalled.
I see pivot S2 level at 11420, I decided to close the position around this level with 0.14-R gain.
Dow might played some catch up later, but it did not deserve my sleeping time.Today is just not my day. I decided to call it a day and SLEEP.
Postmortem will be posted later.
[photopress:mini_dow_30min_trade_closed.JPG,full,centered]
1) Why would you be paying attention to this futures contract ?
I did not pay attention to it until 930am chicago time, after observing dowtrend established and dummy setup was completed.
2) Is the trend up or down? Would you be looking to get long or short this futures contract?
Down. Looking at Short
3) Where would you get long/short this futures contract ? Below 9am (chicago time) candle.
4) Where would you put the initial protective stop?
??? ??? Above 9am(chicago time) candle.
5) When would you stop trading for the day? After position was established.
6) Where would you exit the position? Stop triggered.In this case, I exited the position at Pivot S2 level after position flat for 2 hours.
by Gav
[photopress:Pivot.JPG,full,centered]
by Gav 6 Comments
I keep track of my trading system performance with R multiples. I examine expectancy and accuracy of my system. This is a common practice applied by many other traders as well.
Something is missing here. When I trade ‘my system’ or ‘my plan’, it should be something that fits my risk appetite, my personality and my time of trading (morning, afternoon or like me, in the middle of the night) etc. So, I think it is neccessary to integrate these elements when evaluating a system.
How am I going to do that? Mechanical backtesting is just part of evaluation and it means a little. No emotion was involved. Some dumb numbers from backtesting sytem give me false sense of security and confidence. We can obtain some statistics from backtesting, that’s true. For example, you can get expected drawdown amount, number of continuous losses, expectancy, accuracy etc. The hard, cold figures.
Trading is an action by trader. Trader is the center of the system. And trader, I am referring to human (creatures that sometimes act like monkey, but will never admit they are relatives of monkey). Same system will have different performance when it is operated by different traders.
I like forward testing. I trade the real money, with small amount of money, for example, in futures trading, I would only trade 1 contract. I will try to carry this testing for 100 trades. Try my very best to follow the trading signals. During these 100 trades, I will meet problems like tiredness when trading at 1 am in the morning or unable to take losses etc.
If backtesting shows me that there will be a string of 10 losses, I might feel ‘No big deal’. But when it comes to real money, I might have chickened out after a string of 5 losses. So , in reality, the system does not suit me, even though I felt ‘No big deal’ when backtesting told me I shall expect a string of 10 losses.
So, here is the summary of how do I evaluate my trading system:
This might be nonsense to some people. But I like to focus on psychologcial aspect of trading. If we agree that trader is part of the system, then forward testing is crucial when evaluating a system. A trading system which can be operated well and with confidence by me is the best system for me.
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by Gav
A short one. I am still confused. After the price feed resumed, I rechecked again, in fact, there was no setup in E-mini Nasdaq. I had a break even trade in Mini-sized Dow .Price feed availability is another risk of trading. Coincidentally, Jason was having similar problem with price feed as well.
First trading day of September did not start well as expected.
Anyway, fight another day.
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