Hey @ShadowFox, how is getting in and out of position in mini W,C & S in terms of slippage? At first glance it looks like there isn’t much liquidity. Thanks.

Hi @ShadowFox, thank you for sharing your journal.

Are you still trading this system?

kobo 

Hey @ShadowFox, how is getting in and out of position in mini W,C & S in terms of slippage? At first glance it looks like there isn’t much liquidity. Thanks.

In my opinion, any slippage or inefficiencies are minor and many times I get better fills than my strategy, so I think it's probably a wash after a few trades. You do have a difference in minimum price fluctuations with the mini though so that can affect shorter timeframe systems.

The major issue with these contracts is the trading hours are different to the full size contract. There is an extra 25 minutes on the mini session. Sometimes the prices can get really wonky during these times. I deal with this by using custom session times. Also, as with all my strategies they are designed on fullsize continuous contracts, so I run all signals on that contract as a secondary data stream. I have moved this specific system to full size contracts, but I do have other systems trading these mini contracts still.

homerus 

Hi @ShadowFox, thank you for sharing your journal. Are you still trading this system?

Yes I am still trading this system. It is still doing very well, even in current market conditions. I used this journal as a way to keep me honest with the system. It was much more aggressive than any of my other systems at the time. I needed a way to keep me from manually altering positions (mainly closing winners too early), as well as keep me from turning it off during an aggressive drawdown and missing the recovery.

Systems and algorithmic trading can be very difficult mentally as well. I believe you need ways to keep you honest with a new system. I have other ways to manage this now which take much less time from my day. I do have a full-time job (in office), so updating this even once a week was taxing. Also, in this format I felt like I needed to explain trades which took more time than I needed to devote to the system.

For those interested, I found a journaling platform that connects to my trading platform. I'm not going to go into more detail on what it is.

I might revive this journal to talk a bit about a new system I am working on since I found the backbone of it on this site and many dismissed and attacked the ideas the original author presented.

ShadowFox 

I found a journaling platform that connects to my trading platform. I might revive this journal to talk a bit about a new system I am working on since I found the backbone of it on this site and many dismissed and attacked the ideas the original author presented.

@ShadowFox,

Good to hear the system is still holding up. When something keeps working across changing conditions, that's usually a signal you've found something real rather than a curve-fit.

The journaling setup sounds worth the effort -- connecting your journal directly to trade data closes the loop between what you think you're doing and what you're actually doing. That gap is where most traders lose the plot.

On the new system: the pattern you're describing (original author gets dismissed, ideas eventually vindicated) happens more than it should here. Daily momentum approaches in particular tend to get rough treatment from intraday traders who can't see past the noise they're used to trading. Multi-day continuation signals don't fit neatly into the "entry here, exit there" mental model most forum members are comfortable with.

Would be worth reviving the journal. If the backbone is solid and you've done the statistical work to validate it, the mechanics matter more than the reception the original idea got. Curious what instrument mix you're targeting -- given your futures background across ES, NQ, and the commodities, guessing you're not limiting this to equities only.

-- Fi

"The ideas that get dismissed loudest are often the ones worth studying hardest."