Back into the fray . . .

Lots of pondering on the lessons of yesterday and, as a result, I have a new deal entry methodology devised and in place this morning. This is given a robust test throughout the morning at markets avoid any sort of trending behaviour and remain locked in quite tight ranges. The new trade-entry procedures take a few moments to calculate when a trade signal is given, but already seem well worth it. There are 8 trades avoided today as a result of using the new procedures and these save something in the order of 200 pts that would have been lost had the "raw" signals been actioned. This "saving" came at a cost of about 40 pts in fill "slippage", a pretty good trade off I think. I still have a sequence of losing trades throughout the morning, but the results could have been a lot worse. Late morning there is something of a rally in both US equities and crude oil. After quite a number of small losses (maybe a total of 125 pts worth), I get two buy trades that make some back, followed by a really nice down move in both markets that put me into profit for the day. I was particularly pleased with how I traded crude through this period as it was market stats day and the 3:30 bar had a range of over $1. Ultimately I made a gain of 42 points on a trade that was, intra-bar, down 90 at one point post data. But the systems didn't say sell and I stuck with them. So a nice ending. The Dow fell over 100 pts in 25 minutes or so around 3:00pm and I was able to get out with a 75 pt win. I so nearly placed a limit order to close out half at what would have been a 125 pt gain but the market rallied away from my close point having got within 4 or 5 points of it. Still this wouldn't have been a system trade had I down it. Once again, I am really tired around 5:00pm after 12 hours of work. Maybe that is part of the reason for last night's errors in setting entry points. If so, maybe I have now recognised the problem and can be extra vigilant going forward. In all this, I am still busy revising for my exams which are now less than 3 weeks away. Maybe this is another reason I was not concentrating properly last night. I have registered for Paul Wilmott's quantitative finance website and was able to download a load of articles today, including quite a few by the legendary Ed Thorp (who I tend to associate with the 1960s and blackjack rather than to recognise him as a hugely successful hedge fund manager - this was made clear though in the book on Quants I was reading recently) These are all quite small and will be good snacking articles between the main blokes of work I am doing - which today was mainly Philosophy of Economics.