Update To Futures Trading Strategy

Jan. 06, 2012 11:08 PM ET
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Jeff Pierce's Blog
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Contributor Since 2008

I’m a swing trader of momentum stocks with a holding period of anywhere from a few hours to a few months. I run a number of screens to locate the strongest/weakest stocks out there, using technical analysis to determine my entries and exits. Trying to calculate the intrinsic value of stocks in my opinion is out of date and there is wisdom in crowds.I've developed a market timing system that determines when it's best to be long, short or on the sidelines, using a number of proprietary indicators based on many time frames. I believe that to have longevity in this field one must find ways to calm the mind and trade from a detached point of view. Emotionless trading will allow you to respond to what's going on right now in the markets, rather than reacting to daily fluctuations.View my personal blog http://zentrader.ca/

I wanted to do a quick update on the Futures Trading Strategy I’ve been working on over the last two months. Three weeks into forward testing this strategy I realized that my current strategy of entries and exits weren’t working after a series of losses so I had to modify my game plan. It seemed that I was getting a lot of trades triggered at the same time that were then quickly whipsawed for major losses.

After making some minor tweaks and adding some new entries and exit rules the preliminary results appear promising. Below are the 8 trades that were triggered over the last  5 weeks. I attribute the low amount of trades to holiday trading, combined that I took some time off during that time to rest as I had the flu.

Remember that the amount of trades do not matter so much as the ratio to wins to losses. You can always trade more contracts as these are all based on 1 contract traded to scale for larger profits.

One other note of interest is I wanted the trades to last longer in nature but that doesn’t seem to be working out as planned. It could just be a product of more than unusual volatility, and I suspect we’ll see if there is any truth in that the longer I conduct the study.

YM DOW Long 12343 Exit 12309 $160 loss on 1 contract tradedHG Copper Long $3.435 Exit $3.4555 $487 profit on 1 contract tradedGC Gold Short 1558 Exit 1555 $320 profit on 1 contract tradedYM DOW Long 12089 Exit 12151 $330 profit on 1 contract tradedDX US Dollar Long $80.23 Exit $80.82 $615 profit on 1 contract tradedCL Crude Short $97.38 Exit $98.84 Couldn't get the mock trade inYM Dow Long 11832 Exit 11781 $275 profit on 1 contract tradedHG Copper Long $3.51 Exit $3.561 $1300 profit on 1 contract traded

Today’s YM trade should have been positive as it hit my upside target early this morning and I was still sleeping. It is somewhat of an adjustment to watch markets that are open 24 hours a day and sometimes a profit objective will be missed as my entries and exits aren’t automated. I set manual alerts that go off and if I’m near my computer I then enter the trade.  So far it hasn’t been an issue and with 1 loss verses 7 net positive gains

One other thing I want to explain is the Crude trade that doesn’t register the profit amount. For some reason I was having trouble actually getting the order placed within Think or Swim so I just wrote the time where I would have bought and then I proceed to track it as if I placed the order. What is important here is formulating a trading strategy, not the logistics of whether the order was actually placed. Thespreadsheet can be found here and it is updated in real time, with color codes to dictate my bias for the markets that are covered. If you would prefer to have access to the shared document so you can see it in a larger format, be sure to sign up for my free newsletter at zentrader.net

I plan on keeping this a study open for all to follow along for the 1st quarter of 2012 at the very minimum, but possibly longer for a better sample size.

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