November Automation Trading Result

As Ninja Trader counts one trade with partial fills as multiple trades, the statistics from its account performance cannot be used to reflect the real statistics.  I exported the trades to Excel and calculated manually. Here is the major numbers:

• Total Net Profit:  $289 (+7R)
• Gross Profit:    $2610.73
• Gross Loss:    $-2321.74
• Commission:  $358.61
• Profit Factor:  1.12
• Max Drawdown: $-553.27
• Total # of Trades:      175
• Percent of Profitable:  41%
• # of Winning Trades:  72
• # of Losing Trades:  103
• Average Trade:      1.64
• Average Winning Trades: $36.25
• Average Losing Trades: -$22.54
• Ratio avg. Win/avg. Loss:  1.65
• Max conseq. Winners:  4
• Max conseq. Losers : 10
• Largest Winning Trade:  $272.12
• Largest Losing Trade: $-53.93
• # of Trades per Day:    10.3
• Avg Time in Market:  28.4 min

The total accumulated profit equals to first day’s profit and equals to the largest winning trade’s profit. The profitable percentage (41%) is ok.  And winning trades is larger than losing trades in average(1.65). These are good parts.  The disappointed numbers are consequence losing trades (=10) and the maximum draw down($-553).  Also commission is pretty large ($358).

I am thinking several changes to the strategy regarding position size and exit/stop strategy, like adding profit target, round the shares to 50/100 numbers, increasing R to 50 so the commission part is less.   I will use next 4 days to test my ideas.

trending day

automatic trades: 5 trades, 3 win, 2 lose.  net p/l: +$4(+0R).  I finished one month automatic trading and I will summary it in next post.

After yesterday’s inside day, with coming Thanksgiving holiday, market rallied all day long. Nasdaq closed around its intraday high and up total more than 4%.

inside day

automatic trading: 11 trades, 6 win, 4 lose, 1 b/e. Net p/l: +$90(+2R). Most gain came from ZION trades.

Today market traded within yesterday’s range. It tested 1115 three times and couldn’t break down.

continue up

automatic trading: 4 trades, 2 win, 2 lose. Net p/l: -$30(-1R).

Market opened at 1110 and never looked back. It finished the day up more than 6%. It also cleared next resistance level 1140.

bounce

automatic trading: 11 trades, 4 win, 7 lose. net p/l: -$6(-0R).

After 2 days sell-off, market bounced back in last hour. It rise from lowest 1020 to highest 1090 in last one hour. Option expiration day did some amazing work. Next week market may test 1110 again and then resume its down trend.

down trend confirmed

automatic trading: 10 trades, 7 win, 3 lose. Net P/L: +$104 (+2.5R).  my Ninjatrader hanged when I have last 3 trades open. I manually closed the positions premature. If there was no problem with the system, I could get another 1.5R profit as market sold off in last half hour.

Market gapped down at open and then rallied back to test 1110 level. Previous support level now become resistance. After it failed to climbed over 1110, market sold off in last 2 hours(from 1100 to 1040).  Our next support is around 800.

market break down

automatic trades: 6 trades, 1 win, 5 lose. net p/l: +$28(+0.7R).  The first trade is a winner for about +3R. Later on 5 other trades are all losers, 4 of them are short trades but got stopped out during the choppy period before market broke down.

Market break down after first hour trading. It tested previous support 1110 three times before it finally broke down. Nasdaq down for 6.5% today. If the market cannot close above 110 by tomorrow, we will see the market drop to year 2002′s low(NQ value around 800).

Drop to test swing low

automatic trading: 10 trades, 5 win, 4 lose, 1 b/e. Net p/l: +$89(+2R).

Market traded sideway in morning and broke down during lunch hour to test last Thursday’s low around 1110. Buyers stepped in before it reached the 1110.   Lately the market swing big during lunch hour which is total different from my past experience.

another consolidation day

automatic trading: 6 trades, 1 win, 4 lose, 1 b/e. Net p/l: -$74(-2R).

Market  has a narrow range day. It traded below last Friday’s low leads me to think more weakness is ahead.

consolidation

Automatic trading: 8 trades,3 win, 5 lose, net p/l: -$88(-2R).

After yesterday’s big up, today market consolidate for a while. It closed at its daily low indicated next week we may see the market test October’s low one more time before it decide its direction.