Non Day-Trade P/L: 0.00 Month: +134.34 *Total: +3714.57
DayTrade P/L: +149.85 Month: +13,660.24 *Total: +50,365.44
Ninja P/L: Day: +793.12 Month: +694.76 Total: +694.76 Ninja Balance: 5283.18


* Total is since June 1, since I started this journal in June and June 3 is when I switched to using the micros in the daytrade portion. Ninja total is from September 13 when I started trying to automate the day-trade portion

Non Day Trade: Nothing Done

Day Trade: Ended up with a profit of 374 which is about the only nice thing I can say about the day. It was a grind the entire way, a negation occurred, and I ended up biasing my trade to the sell side. I don't like doing that, but at times I feel like I have no choice. Today was one of those days and it worked, at least as far as it not being a losing day. What a struggle.

Ninja: Time to acknowledge the Ninja is not yet ready for prime time. There was a different trade selected (again) a double negation, and more slippage than I can abide. Today when it did the negations, it again had extraneous trades, but this time they weren't phantom. By the time I noticed I had unnecessarily lost about 1000 dollars, and ended up down about 1400 on the day. I think I figured out the problem, at least part of it. Ninja, illogically to me, duplicates a trade if you EnterLong(Short). When a trade gets negated my code does an ExitShort(Long) to get out, and then a EnterShort(Long) to get in in the opposite direction. Ninja executes the Exit and then on the Enter it does it twice, once to exit (it's already out!!) and once to get in. Makes no sense, but if that's the way it is I will have to adapt my code. I also have to spend the time necessary to get my code taking the same trades as I do. And I need to work on the fills. I hate all the slippage. I wrote down some "rules" in an attempt to codify what I do with my own trading. That was actually a quite interesting experience in that it forced me to think about a lot of the things I do automatically, and are they really the best way, or is it just habit? It's certainly better than all the slippage though. I'm actually excited to get it written so I can test some of my ideas and see if they really are better, or I just think they are because I've been doing them so long. For now, Ninja will be on SIM only until I get the code written. It will be interesting to see what I screw up and what I get right.

Exact numbers tomorrow morning.

Thanks for your contribution, this is a great journal. I hope you don't mind me asking, but how did you come about creating your algo? Sorry if if I missed it. I've this thread thinking you were new to trading, but see your experience is listed as a Master. I'm just really getting started and it seems like each time I find something, indicator, system, etc, it works good for a moment, then fails. I know there isn't just one way of doing things, but I like math (numbers), so you mentioning your spreadsheet really stood out to me.

My trading model is really quite simple. I try to identify the strongest (BUY) and weakest (SELL) of highly correlated markets. Since Monday, June 3 I have been using the micros because I like the increased granularity they give me. You can use a number of different methods to determine which is which. I have not done thorough research to determine if any particular way is better than another. You can use % Change, you could use RSI or any number of other indicators. Dealer's choice there. I use a volatility based formula. It works well, but I would definitely not stake a claim that it's the best way.

The only part of my trading that's even the slightest bit complicated is the position sizing algorithm, but trust me when I tell you it's not rocket science either.

Just as I would never listen to somebody tell me how to trade, I would never tell you how to trade. If you're a numbers guy like me, and not a chart person, something like his could work for you. But as you know, you have to find something you can trust and that suits your personality.

Non Day-Trade P/L: 0.00 Month: +134.34 *Total: +3714.57
DayTrade P/L: +374.38 Month: +14,034.62 *Total: +50,739.82
Ninja P/L: Day: -1458.76 Month: -764.00 Total: -764.00 Ninja Balance: 3824.42


* Total is since June 1, since I started this journal in June and June 3 is when I switched to using the micros in the daytrade portion. Ninja total is from September 13 when I started trying to automate the day-trade portion

Thanks. I'm trying to make sense of these micros. A lot of info in thrown around, but sifting through everything is a bit of a task. I work fulltime, so I tried to spend at least 2 hours in the evening learning. I had to switch back over to my sim account until I feel more comfortable.

Non Day Trade Side: Did a covered call. Got shook out before I even got stopped into a futures. Probably shouldn't do a trade if I have so little conviction. Made about 30 bucks. Woo hoo!

Day Trade Side: Started out ugly with both Leg 1 and Leg 2 getting negated. But not too deep of a hole and I eventually crawled out of it and finished +537 for the day. 5 winning days this week, but only 1 of them was a big winner. But it added up to a bit over 5200 for the week. I'll take it.

Ninja: Not sure if I should even include this right now since Ninja was supposed to be my attempt to automate. When I saw the SIM did a different trade for Leg 1, and I actually liked it better, I went ahead and did real money trades manually for the Ninja. It did well all day and I pulled the plug early when I saw the account get back over 5K. While I work on my code I may pick and choose some trades to do by hand in the account. Not sure if that's a wise idea or not, but this account is merely exploratory. I don't want to lose the 5 grand, but if I do, I do. Up probably about 1200.

Exact numbers in the morning.

jba1962 

Just as I would never listen to somebody tell me how to trade, I would never tell you how to trade. If you're a numbers guy like me, and not a chart person, something like his could work for you. But as you know, you have to find something you can trust and that suits your personality.

I should clarify this a little. I don't mean that you can't learn anything from other traders. I'm sure you can. I know I have and that I will continue to do so. Whenever I see a trading approach outlined I read it and see if there is anything I can steal. I love learning, it is exciting. The problem is there is SO much information out there that no human could possibly learn it all. So I focus on what might help me, and for me that's not staring at a chart waiting for the angle of the dangle to descend past the moon in Aquarius. I'm just a numbers guy. I guess my pattern recognition is non-existent. But I would never believe that stuff couldn't work for someone else. I believe it does. Check that, I know it does. What I meant to say is that, if you have identified your strengths, focus on those aspects of trading, and don't let somebody tell you you're wrong.

Non Day-Trade P/L: +32.72 Month: +167.06 *Total: +3747.29
DayTrade P/L: +537.32 Month: +14,571.94 *Total: +51,277.14
Ninja P/L: Day: +1249.52 Month: +485.52 Total: +485.52 Ninja Balance: 5073.94


* Total is since June 1, since I started this journal in June and June 3 is when I switched to using the micros in the daytrade portion. Ninja total is from September 13 when I started trying to automate the day-trade portion

I use Zorro for that, basic charting but superior quant possibilities

jba1962 

An interesting thing happened yesterday. I thought my system had handled the negation correctly yesterday, but perhaps not. At 4:59:30 it got out of MYM, which of course since I was flat, really got me back in. Ninja immediately blew me out saying I wasn't margined, even though I had enough in the account to hold the positions. Not that I would have wanted to hold the position, but there should have been no need to force close. And they gave me a $50. fine. Nice, huh? So I may be done with Ninja. It just doesn't seem reliable enough. Even if the error was in my code (and let's assume it was), it ignored my fail safe exit of 2760 seconds before the close (4:14 Eastern) and used the default 30 seconds for my Exit on Close setting. That gave me no time to react, and Ninja blew me out. Which brings me to a question: What is the best way to automate a strategy with IB? I did several searches on this site yesterday and could not find anything. Which probably means I did a bad job searching because this question has to have been asked before. How can I write strategies for IB's TWS? I don't mind learning another language if necessary. I'm certainly not a C# whiz at this point anyway. If this has been answered, could somebody kindly point me to the thread?

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