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The "short the market on an unfilled upgap" trade made +2 pts. It had an MFE of +7.75 pts (21% of the previous day's range and 27% of the 5-day ATR) and an MAE of -1.00pt
Monday, October 31st, 2011 - We had large gaps down in unfavorable territory for gap trading so I stayed away. I avoided an 8pt loss.
NO TRADES
I spent a lot of time over the weekend getting my strategy ready for SIM trading. I put it in the live market last night and went to bed and woke up with no trades executed. I've been debugging the order entry logic most of the morning. It enters with stop orders so that makes the trade management more complicated and NT was doing weird things, like if I called CancelOrder() and then placed another order soon after the order wouldn't be accepted, probably because the other order wasn't cancelled yet. So then I put in a Thread.Sleep() to give it some time to get cancelled (multi-threaded hopes) but no matter how long I let it wait my subsequent entries wouldn't get placed until the next bar which sometimes was too late. I tried using the liveUntilCancelled signatures but if you don't SetStopLoss() and SetProfitTarget() in the right way the stop orders get cancelled even if you tell it not to. NT is a funky beast. Anyway, it looks like it's now doing what I expect it to do, but I'll let it run for a while on its own and get some other things done.
One thing I do to test in SIM is to run it with the same rules but with a very fast time frame (like 30 secs) and very fast parameters so signals can get fired frequently and often so I don't have to wait around a long time to wait for something to happen. I probably placed about 100 orders over a few hours. Make sure you're connected to a SIM account too!
This month I didn't do any discretionary trading, at least with real money. I just did gap and first hour trades. I decided last week to not do first hour trades anymore because my obligations with work and getting my kids ready for school in the morning make it hard to trade these as effectively so I'm going to just be completely automated as far as trade execution goes and only trade gaps and any other automated strategies I decide to run.
My net P&L has a $25 (two ES ticks) discrepancy with my RCG statement, and I've narrowed it down to 2 trades that don't match their statement so I need to figure that out, but overall I'm pleased with the results.
Tuesday, November 1st, 2011 - We had large gaps down thanks to Europe in favorable gap zones, but the gaps were way too large to fade. The gap never did fill, though we did achieve as much as 14+ pts of gap fill at the highs of the day so a 1:1 partial-fill gap trade would have been a 8.75pt winner with only 5+ points of heat.
I went live with a new strategy with real money which took 1 trade for a loss. I would have enjoyed a more positive christening but alas it wasn't meant to be.
Wednesday, November 2nd, 2011 - We had pretty good-sized up-gaps but fading up-gaps on FOMC days are particularly risky so no gap trade was taken.
My automated day-trading strategy doesn't trade CL on Wednesdays and Fridays. I'm running it in SIM for further testing. Once I get it up on other instruments then maybe I'll take some Wednesday trades. I'm still testing it on NG and GC.
I've created a new journal that will focus just on my automated trading research and journey. I may continue to post here every now and then my musings about markets or trading, and maybe post a few stock/options trades, but my intellectual capital is now focused on automated trading systems so I have created a separate journal for that. Posting why I traded or didn't trade the gap doesn't seem very beneficial to me anymore as I've been doing this practically on autopilot for a while. If you have any questions about my gap trades you can ask here or PM me, otherwise I won't bother posting about them anymore just to save me the time of writing and publishing screen shots everyday.
This journal will track my progress in trading in an automated fashion.
History
Those that follow my other journal know that a good portion of my trading is already automated, based on historical probabilities I subscribe to from MasterTheGap ( and …
Ha! Are you judging my age by my picture or immature trading methods? If by picture, that picture's about 5 yrs old and I've always had a baby face and look younger than my actual age (43) This one was taken a couple of week ago at the beautiful campus of Soka University.
Speaking of my wife, she's going in for surgery this Thursday for treatment of breast cancer, which she was diagnosed with last month, so I could use everybody's thoughts and prayers.