blackgrey45 

I did not account for slippage for entry market orders and the stop orders when exiting a loss. I just entered at the last price of the candle. I suppose this is unrealistic. So accounting for slippage this strategy is probably unprofitable on the one day of data I tested. I am wondering is a limit order to enter, instead of a market order would help the numbers. However, I did make sure the take profit limit price was exceeded by at least one tick in all trades.

Yes, you want to include some slippages for market and stop orders. Trading would certainly be a whole lot simpler without it!

Limit orders to enter and exit would have no slippage, but there will be times where the markets runs from you and you'll never get filled. On limit order entries, every loser will be filled, but you'll miss some winners. With limit orders on exit, again you'll miss some exits and have to chase the market (in a losing direction) to get a fill.

kevinkdog 

Yes, you want to include some slippages for market and stop orders. Trading would certainly be a whole lot simpler without it! Limit orders to enter and exit would have no slippage, but there will be times where the markets runs from you and you'll never get filled. On limit order entries, every loser will be filled, but you'll miss some winners. With limit orders on exit, again you'll miss some exits and have to chase the market (in a losing direction) to get a fill.

Okay, I will add 1 tick of slippage to each entry and 1 tick to each stop out when I test.

I will continue using market orders for entry and stop orders because, like you said, I could end up not getting filled and chasing the market.

So far I have tested 5 days with this strategy, with slippage taken into account.
 

Market MES, 1 contract each trade
1/27/25: 63 trades, result +$115
1/28/25: 42 trades, result -$268.75
1/29/25: 64 trades, result +$72.50
1/30/25: 39 trades, result -$245
1/31/25: 43 trades, result -$180

Result for the week: -$506.25 on 251 trades(-$2.02/trade).

Result were not good for a week of data, manually scrolling through the charts to test. I think the slippage pulled this system into a negative result which was a realistic expectation. I will continue back testing this strategy but my hopes are diminished significantly.

blackgrey45 

So far I have tested 5 days with this strategy, with slippage taken into account.   Market MES, 1 contract each trade 1/27/25: 63 trades, result +$115 1/28/25: 42 trades, result -$268.75 1/29/25: 64 trades, result +$72.50 1/30/25: 39 trades, result -$245 1/31/25: 43 trades, result -$180 Result for the week: -$506.25 on 251 trades(-$2.02/trade). Result were not good for a week of data, manually scrolling through the charts to test. I think the slippage pulled this system into a negative result which was a realistic expectation. I will continue back testing this strategy but my hopes are diminished significantly.

That is a heck of a lot of trades per day. You might find that adding a filter removes many bad ones, simultaneously improving profitability...

kevinkdog 

That is a heck of a lot of trades per day. You might find that adding a filter removes many bad ones, simultaneously improving profitability...

Yes, there were a lot of trades with this system where, in my mind, I was like "I would never take that trade". I will try to quantify this into a filter of some kind.

I think the big breakthrough for me this week has been the time based stop loss. Back testing strategies using the time based stop loss has shown me that this kind of exit really suits me. Now I want to test the average drawdown/loss for various time based stops. My favorite length of time for a stop loss is 20 minutes. I realize a time based stop loss leaves me open to unlimited downside risk, if disaster hits the world for example. I plan to test the maximum drawdown and eventual loss for a 20 minute time based stop loss.

I was also thinking of my entry and stop losses, and whether I want to use a market order or limit order for these. I said yesterday I would use market orders but decided to change my mind and use limit orders. Gaining that extra tick is important to me.

So going forward rules for my strategy will be:

Market is MES. Chart used is 5 minute. Enter market using a limit order. If candle is red go long and place buy order on best bid. If candle is green go short and place sell order on best ask.
Take profit at 5 ticks.
Exit position using limit order(at inside best bid/offer) after 20 minutes if take profit limit order is not executed.


I SIM traded this strategy from 9:30am to 2:05pm today and here the results:
# of trades 36
Total losses in points -28 points (MES)
Total winners in points +40 points
Fees: $45
Total Profit in dollars: +$15

Today I traded my live account. Here are the results:

Market is MES and 1 contract per trade.
9:10am short 5994.25 | exit 5982.25 | result +12.00 pts
9:37am long 5983.00 | exit 5991.75 | result +20.75 pts
9:49am short 5997.00 | exit 5986.50 | result +10.50 pts
1:43pm long 5959.25 | exit 5959.50 | result +0.25 pts
2:31pm short 5961.25 | exit 5961.00 | result +0.25 pts
3:11pm short 5963.75 | exit 5963.50 | result +0.25 pts
3:24pm long 5963.50 | exit 5964.50 | result +1.00 pts
4:20pm short 5988.50 | exit 5971.25 | result +17.25

Profit(points) = +50.25 MES points
Fees = -$8.32
Profit($) = +$242.93

The market was kind to me today. I traded primarily counter trend. This account is extremely small and I cherish every day I get to trade live. I am considering notating my account balance in this journal but that may not accomplish anything. I will think about it. This account is so small that one bad trade could blow the account.

Thank you for reading, have a good day.

blackgrey45 

Today I traded my live account. Here are the results: Market is MES and 1 contract per trade. 9:10am short 5994.25 | exit 5982.25 | result +12.00 pts 9:37am long 5983.00 | exit 5991.75 | result +20.75 pts 9:49am short 5997.00 | exit 5986.50 | result +10.50 pts 1:43pm long 5959.25 | exit 5959.50 | result +0.25 pts 2:31pm short 5961.25 | exit 5961.00 | result +0.25 pts 3:11pm short 5963.75 | exit 5963.50 | result +0.25 pts 3:24pm long 5963.50 | exit 5964.50 | result +1.00 pts 4:20pm short 5988.50 | exit 5971.25 | result +17.25 Profit(points) = +50.25 MES points Fees = -$8.32 Profit($) = +$242.93 The market was kind to me today. I traded primarily counter trend. This account is extremely small and I cherish every day I get to trade live. I am considering notating my account balance in this journal but that may not accomplish anything. I will think about it. This account is so small that one bad trade could blow the account. Thank you for reading, have a good day.

Beats the hell out of 5 bucks an hour.
Protecting your capital should be number one priority.

Traded my live futures account today. Here are the results:

Market MES,1 contract each trade
9:14am short 5998.00 | exit 5979.25 | result +18.75 pts
10:04am long 5940.25 | exit 5960.25 | result +20.00 pts
10:15am short 5971.25 | exit 5971.50 | result +0.25 pts
11:16am short 5984.00 | exit 5952.50 | result +31.50 pts
12:30pm short 5970.50 | exit 5960.25 | result +10.25 pts
2:18pm long 5947.00 | exit 5947.50 | result +0.50 pts
2:27pm long 5939.00 | exit 5884.75 | result -54.25 pts

Fees -$7.28
Profit +27 points
Profit in dollars +$127.72

The market was kind to me again today. I did take a sizable loss at the end of the day when the market sold off to new lows, so my win rate isn't 100% unfortunately. The way I trade the losses will be larger than the winners. Overall, a good day. I should have exited the big loss earlier, especially as the market made new lows.

Here is the trading results from today in my live futures account:

Market MES, 1 contract each trade
Last night
10:23pm long 5865.75 | exit 5875.75 | result +10.00 points

Today
9:05am long 5887.50 | exit 5887.75 | result +0.25 points
10:18am short 5890.00 | exit 5887.00 | result +3.00 points
2:32pm short 5888.00 | exit 5957.25 | result -69.25 points

Loss -56.00 points
Fees -$4.16
Loss in dollars -$284.16