And another intense week has already come to an end – literally flying by at the moment – meetings & conversations, good reads & links, strategy development and futures trading.
Meetings & Conversations
- Skype call with Adey who gave me a detailed demonstration of the Investor RT software – used by many futures traders in analyzing their respective markets and for conducting testing. Very reasonably priced for retail traders at around £100/month.
- Several meetings with the fund’s discretionary trader, discussing a number of technical areas and getting some help in analysing my testing results. We also discussed the benefits of trader alliances. More and more it seems that most traders have difficulties finding good productive trading buddy relationships.
- An impromptu ‘beer by the canal’ get together with one of my retail trading buddies, listening to him discuss his progress and current tasks, and doing my best to ask some good questions to trigger some alternate thoughts/ideas.
Some good readings & articles
Came across the following this week:
- Peter Brandt article – he discusses how to work with diagonal trendlines and other technical patterns – I like it for the detailed analytical and logical approach.
- SMB training – a training trading academy based in New York with a bunch of good videos and articles available online
- May2017 performance for trend-following funds, managing a total of $70 billion, came in at a slight loss of 0.5%
- Brett Steenbarger post – writing about the need to put hard numbers behind trading ideas – excellent material – see also Aronson: Evidence-based Technical Analysis
- For fun – a Bloomberg article on former hedge fund manager who now codes computers to emulate his thinking processes
- A lot more progress with my testing models – which now number three – one for defining the trend conditions, one for identifying the valid set up bars – based primarily on price action, and a third one for entering, managing, exiting trades.
- Integrated a lot of nuances such as Weekly Oil Inventories and Non-Farm Payrolls announcements, slippage, commissions, position sizing, session-end closes, trend analysis and favourable and adverse excursion data (MFE & MAE).
- Tedious task as working with CFD data from FXCM, futures data from TradeStation and importing data to the MT4 charting platform for plotting trades and swing points.
- Analyzing results – frequency, edge, equity curves and Sharpe ratios
- Extrapolating initial model to both short and long setups, and to several testing periods
- The results look good at this point – thus, I am assuming that I must have somehow introduced a Look Ahead Bias into the trading model.
Live Trading Room – Oil Futures
- Limited activity there this week after further heavy losses towards the end of last week. Single trades on Monday and on Thursday. The lead trader has focused on providing a lot of analysis and educational material the past couple of sessions. The Trading Mission is definitely a great opportunity for learning about the crude oil market, the ‘market structure’ analytical approach (see Voigt and Pepperstone), and various trading processes. Signing up for one month for US$300 and attending every session equates to money & time very well spent! Abundance of learning material with a very experienced trader.
- Productivity has increased abundantly since moving into newly established ‘quiet zone’ in the office!! I had not realized how much my concentration had suffered in the prior room (Boiling Frog analogy)!!
- Taking a 4-day weekend this week to participate in the annual 24-hour Le Mans rollerblading race in France. I competed quite seriously some years and podium three times between 2008 and 2012 – now I am doing it just for fun!