Goals for trading this week

Most weekends I have been working on research projects suggested by the week's trading. Some of these are simply collecting the trading data from various strategies that I am following, others relate to slight tweaks to the systems and so on. For instance, I have come to view the trading system signals as just the first part of the trade entry process - necessary but not sufficient conditions for a new trade.

A few weeks back I made what could be a very significant break through. By analysing virtually every trade in terms of their initial MFE and MAE, I spotted that many of the "raw" trading signals gave what I came to see as "false alarms" and that there was a particular feature that could distinguish a portion of these false alarms. More precisely, the new feature avoided about half of the "false alarms" saving about 50pts per trade avoided and did so at a cost that appeared to be considerably lower. Detailed research suggested that the cost was about one-third of the savings made - thus suggesting a very marked improvement in performance.

So the last couple of weeks have had me collecting detailed data on the impact of applying this additional rule and what it means real-time. Overall the results look good - last week's crude oil trading made nearly 700 points, but would have been 300 lower without the new rules.

This week I noticed that the new rules also seemed to suggest a new profit opportunity. As I recorded what I had saved by applying the new rule, I realised that I could have used the rule as a trade entry rule and so capture as additional profit, some of the gain made by applying the rule to the basic systems. But this would require the somewhat nerve-wracking trade of buying in a steeply falling market and selling in a steep rise - not trades that come naturally to me. Still an extra 150 pts appear to be available for last week via this rule - not to be sneezed at, even if the existing systems made 700 pts.

This week's goal is to run the systems perfectly from 6:00 to 9:00pm throughout the week for both US equities and crude oil. I don't care what they produce in profits, but I must do exactly the right trades (including the new rule in its filtering role - not its additional profit role).

That was also the goal last week and the week before, but I am still not perfect - so more practice needed, more thinking about the exact ways I do the necessary calculations in real time, and so on.

Next day Addendum

Did I manage to run the systems perfectly throughout Monday? The answer has to be NO (yet again). The markets generally had quite a quiet day. Small losses first thing, a rally around lunchtime with a peak in my equity around 1:30 at +50. Then small losses with the occasional profit all afternoon and into the evening leaving me at -80 pts around 8:30. Nothing much happening so I decided to wrap up 15 minutes before the US markets close.

Inevitably a bad mistake - the Dow falls 95 points in the last 15 minutes, crude down 35 pts. I was short both at 8:45 and so lost the chance to earn this 130 pts, leaving a down day rather than a small profit.

Events like this are so confidence sapping - and so annoying.

The sell-off at the previous night's close continues through the night - the best trade of the last few days with 150 pts profit in both equities and crude if I had been able to trade all night. I wake up to the results of these falls. Would this produce a sell-off at the official Europe opening, or perhaps a bargain hunting rally. In the end, a modest, choppy fall, producing more whipsaw losses and a down start to the day. Multiple buy and sell signals (most false alarms), trades that reverse and go against me the moment the trade is actioned, constantly buying a highs and selling at lows - such is the life of the trader sometimes. Still a 100pt move can't be far away - maybe the next trade will be it?