Catch Up Log IV

I've put the PoC Team in stasis since July. Overall they worked really well. However, I noticed that they had limitations. The experiment was successful, despite the limitations.

I will be moving my FX logs over to https://fxlog.mooo.com. It's more private and not to much in the public eye.

Think I will at some point take the PoC team out of stasis. This experiment has ended.

Thank you for reading this log.

PoC Team Reasserts.

06:46 The PoC Team traded out the error from last night and ended up overall. It executed 6 trades consisting of 4 wins, 1 loss and 1 scratch. My only trade closed at a win also offsetting the error trade by 2/3rds.

06:50 I can now continue on from last Friday, going forwards, with the algorithms.

Catch Up Log III

22.22 Made an error on Monday 24:01 which adversely affected the PoC Teams parameters. This was costly and the risk was magnified. By Monday 08:00 I was down heavily. Traded back the losses by 16:00 on Wednesday. Numerous trades were put on.

22:25 Again the same error occurred, tonight, as I carelessly didn't reset the algorithms to the new parameters. This was most likely due to being distracted by conversations which affected focus. Discovered in time and closed at a small loss. I was hoping to continue where I left off from last Friday. This is not to be and now I'm back to trading out that small loss. However, now that the new parameters are set the PoC Team is back in play. The only difference is that I will be trading along with the PoC Team.

22:30 The lesson here is to check the algorithms have been reset and not defaulted back to old parameters.

22:34 Although, during this period, the winning trades were more than the losing trades, those losing trade were larger due to the erroneous parameters in the algorithm. I traded back the losses by taking smaller wins. During this time there was: 21 wins, 6 losses and 3 scratches. I've yet to see erroneous parameters produce large wins. It just so happens that they produce a loss.

Catch Up Log II

22:05 PoC team did 12 trades from 29th to 30th. 7 wins, 3 losses, 2 scratches. Nothing further to add. No new adjustments to parameters have been made.

Catch Up Log I

16:10 Over the past two trading days 7 overnight trades were executed by the PoC team consisting of: 4 wins, 1 scratch and 2 losses. No other trades have taken place. I adjusted the PoC team parameters before switching them on.

16:12 I'm still very much in a trading break frame of mind. Other non trading matters have caught up with me, so I don't expect to be doing anything until at least Tuesday next week during the London and New York open times.

Trading Break & Closed Position Trading.

09:58 Won't be doing much trading today. It's good to have a trading break.

15:37 A total of 15 positional trades closed as wins. This wasn't the PoC Team or algorithmic trading through trading robots on an intra-day. It was my own old school trading. The trades were put on last Thursday after pausing the PoC team. Admittedly, I used a trading robot to close the multiple positions when the target was reached. Old school trading instincts are very hard to explain so I won't be able to explain why I went ahead with putting on 15 positional trades over the long weekend and just chilled throughout.

15:40  I'm now back in a position where I can carry on with the PoC Team experimentation as if last Thursday and Friday results didn't matter. I won't do it right away and will most likely wait until Wednesday before trading again with the PoCs. I will have to alter PoC parameters which I will most likely do tomorrow. Still very much in a trading break mindset.

15:55 No log entries will be made tomorrow so see you all on Wednesday. Not sure if anyone is reading this blog, but if you are you're welcome. 

PoC Team on Pause.

08:00 Yesterday, the PoC Team was being picked off. The robots did eventually get the direction correct. However, they ended up down on the day. This calls for direct intervention. Whilst, I am at it, I might as well take a day off. So, it's an early weekend for me.  I can't but get the feeling that the FX market is manipulated. If the market does not behave or go in the direction of the manipulators then you get extreme movements of peaks and troughs until it eventually goes the way designed. Equally, there is a manifest disconnect in the short to medium term between fundamentals, as indicated by figures and market direction. It's all interesting stuff. It also explains why many trading houses and brokers soak retailers.

Up overnight. Down in the early morning.

08:20 Have to admit to being disappointed this morning. Overnight 5 winning trades took place. Then in the early morning 3 losing trades. Had I reached the PoC team early enough I could have paused before the 3 losing trades came into play. Problem is your can't be up 24 hours a day indefinitely. May have to adjust the parameters so that stops are tightened to allow the PoC team to reverse position more frequently. After a dismal week, negative emotions are beginning to get to me. Thoughts of ending this experimentation, into FX, is entering my mind. Better that I leave the PoC team on as they trade without any emotion. Intervention, with this frame of mind, may make the situation worse.

Accidental parameter reversal.

09:38 In total 5 trades took place overnight 3 lost and 2 won. On this basis, I have to try another strategy. The overnight market must have changed behaviour in some way which has adversely impacted on the PoC team. Therefore, step forward PoC(5) who now enters the team with the hope that some diversification takes place.

10:08 6th trade closed at a win. 7th trade a minor loss. This was due to intervention. Overall, still down on the day.

10:13 8th trade closed as a win. Down small now on the day.

10:15 9th trade closed as a win. This effectively trades out the overnight loss.

10:17 Paused PoC(5) from the PoC team. PoC(5) trades well on volatility. It, also, represents higher risk. Pausing it now reduces risk on the PoC team. Impressed with how PoC(5) quickly aided in recovering the overnight loss.

10:24 10th trade closed at a minor loss. 11th trade scratched; small win.

10:53 Un-paused  PoC(5).

11:57 Noticed that the parameters on PoC(5) were reversed. Interesting, since despite the reversal PoC(5) traded well. Could explain why it performed 1 losing trade. The parameter reversal on the PoCs have to explored further going forwards.

12:33 Closed 12th trade with a small win. Might as well call it a scratch.

14:52 13th trade was a scratch; small loss. 14th to 16th trades were wins though technically the 14th and 15th were scratches with small wins. The 15th was a win.  Overall, this can go down as another scratch day; up a small amount on the day. PoCs effectively paused.

14:55 The lesson today was the effectiveness of using PoC(5) in recovering overnight losses. The accidental reversal in PoC(5) parameters which proves valid to explore further - possibly in developing reversal PoCs. It's clear that my interventions are impacting to recover losses. Closing before the market reverses or scratching trades are interventions. Though I could add breakeven functions into the PoCs algorithm. So far, interventions have proven effective.

15:08 This is the third occasion, during this week, where I have finished up small. Unfortunately, closely monitoring the market has left me feeling drained energy wise. For this reason I am pausing when recovering losses. I look forward to the day when I get back into profitable trading.

Down again overnight.

08:12 Two trades happened overnight. 1 win and 1 loss. The loss was 3 times the win. The PoC team is under-performing, overnight, so far this week.

12.55 3rd trade eventually closed as a win. Have to put this one down to chance.

13:33 Directly intervened and close the 4th trade at a win before the market turned. Good timing - perhaps.

14:07 5th trade was a win. Paused the PoC team as writing this off as another scratch day overall despite being up on the day; small. 

PoC team takes over.

08:50 PoC(12) & PoC(8) executed 5 trades overnight which came in, overall, at a small loss; 2 losses and 3 wins. However, the wins were not strong enough to overtake the 2 losses.  Currently, another position is taken. I've yet to switch on PoC(5). My reserve with PoC(5) is that it trades more frequently and is suitable to higher volatility.

09:25 PoC team completed 2 trades; 1 win and 1 loss. The winning trade covered the loss and made a win. The losing leg effectively acting as a hedge trade. Still down, today, overall.

10:51 8th trade was a win.

12:53 9th trade was scratched. It was losing and I scratched it as soon as it hit breakeven.  May have been premature, but the market turned as soon as it reached that point. It's always difficult to know the best moment to intervene. As a general rule, if it's winning close it or if it's losing close it at breakeven.

13:06 10th trade was scratched.

14:28 11th trade I closed at a win. I'm up small on the day and, after this morning being down, I decided to pause the rest of the day. So, the day ended with 6 wins, 3 losses and 2 scratches.  On day like today where everything seems to be difficult to win then I find it better to breakeven or finish up small. If I go back down during the evening then I would be here until night trying to get it back. Plus, having a good rest saves energy for tomorrow.

Overnight win.

08:15 The PoC team carried out six trades overnight. The 6th I scratched with a minor loss and the 5th was a small win. The rest were wins. The PoC combination seems to be working to quickly recover previous losses. I'm too exhausted to trade today. I normally enjoy trading on Fridays because you tend to end with some kind of rally or trend as either shorts or longs close positions over the weekend. Therefore, doing a POETS day.

08:30 The week ends with an 11.28% draw down on overall equity. That's a recovery of 18.72% since the 30% hit this Monday.

08:36 It's always good to rate how you feel on a scale of 1 to 10 before you start trading. If you feel anything below 6 then don't trade. Almost certainly it will impact on your trading, negatively. Yesterday, I was up during the day. Then I did the Cardinal error of drinking a few glasses of wine during lunch. Sure enough, by the evening I was down. Only to recover small towards the end. Alcohol and trading don't mix. However, as the effects of alcohol wore off it did give me the inspiration to apply a PoC combination. It's hard to say if the recovery would have been higher - I estimate closer to 26%. Just like you don't drink and drive then don't drink and trade.

Winning then giving back.

09:38 Overnight PoC(12) won 3 trades - PoC(12) is the name given to my trading robot.

09:40 This morning it lost the fourth trade. I could see it was a losing trade, but decided to let it ride out to see if it does close at a loss. Silly, may be, however, PoC(12) needs to be tested and interference would skew the results.

09:42 PoC(12) Entered its fifth trade. This trade closed at a win. PoC(12) correctly caught a peak. Anyone looking at FX time series could conclude that FX markets have bad Feng Shui. The sharp peaks and troughs most likely designed to pick traders off.

09:56 There are no hard and fast trading rules. In hindsight, I should have closed that fourth losing trade. The trend, generally, is your friend. I would say the sharp peaks and troughs are designed to pick you off the trend. Equally, to pick you off any sideways movement, in channeling, by fainting the appearance of a trend. This I have observed since looking at FX.  It's nasty, brutal and unforgiving.

 

Peaks and troughs designed to throw you off a trend. Equally, to pick off oscillators.

10:31 I scratched the sixth trade at a small loss. Due to the sharp peaks and troughs I noticed that PoC(12) was getting picked off. It's better to pause PoC(12). PoC(8) would have performed better. Two minds on whether to switch on PoC(8). Perhaps, run both in parallel. Still undecided.

10:50 Un-paused PoC(12) on the basis that had I not scratch the sixth trade PoC12 would have traded correctly. PoC(8) will have to wait on the sidelines.

14:33 PoC(12) lost the seventh trade. Decided to use PoC(5) to run in parallel with PoC(12) just to experiment and see what happens.  PoC(8) stays in the sidelines. I could at some point run all three. PoCs (5,8,12). In order to recover previous losses I have to try something different. Note: PoC(5) has performed better during European and American trading sessions and PoC(8) during the Asian trading sessions.

16:58 Switched off PoC(5) and switched on PoC(8). The 8th & 9th trades both lost. So, despite being up in the morning, I'm down on the evening. Again it's the sharp peaks and troughs causing mayhem. There is a method to cut out this noise, but I need to explore the noise more to fully understand it.

18:14 10th and 11th trades are both wins. It seems that PoC combination (8) & (12) is doing as planned. This means more trading. Planning on deploying PoC(5) on the London open perhaps running all three. It feels like I'm running a trading house with a team of PoCs. March of the robots or what.

18:23 The 12th and 13th trades of the day both won. Interesting that both PoCs took the same position. Almost identical entries despite the parameters being very different. The last four trades have put me up again. I've decided to pause at this point as I need to take a break from trading FX. Later on, tonight, the PoC team will be deployed.

18:30 The concept of turning on multiple PoCs is what came out of this day's trading. Sure enough, they turned what would have been a down day to an up day.

Crawling out of a hole.

07:37 It felt like I was going to crawl out of a hole yesterday then overnight I partially fell back in. I checked to see how the robot traded overnight and it lost the only trade that triggered. Ever since robots began trading on markets you get these very sharp peaks and troughs. They resemble spikes on the time series.

07:42 There are a few things that a trader ought to do. Emotional detachment. Avoid looking at the cash figure. Trading discipline. Trading discipline will save you from a complete wipe out - keep your stops tight. The robot has no emotion. It is as cold as steel. It can be built to look at the overall equity for risk management. It has the trading discipline you give it. Executes without any emotion.

07:47 The first trade, today, is currently losing. A trade is not a loss until it closes. I could interfere in it. The only thing preventing me are the various tests I did to it yesterday. Tests which indicate it is a winning robot. I have to prove it, not on past data, but on a live market.

09:29 The first trade closed at a win. The sharp peaks and trough since robots entered the market are a real problem in my opinion.

11:46 Second trade of the day was a win. It correctly picked a trough for entry. The PoC (12) has exploited this twice overall since new parameters entered.

11:56 A strange detectable pattern is emerging on trade execution. I'm getting the fills delayed by a few minutes. I suspect this is a problem with the broker's server. It is causing major problems. However, since I'm letting the algorithm trade the delay isn't too problematic. If I was to hybrid trade, it would be a big flaw in the overall strategy.  It could point to changing my whole trading devices and set up going forwards. Instance is key. It did contribute to my 2nd profit blowout. This pattern was detected last week. Then it was more hybrid. Now, it is full automation.

12:31 Third trade of the day was another win. This despite the delayed fill information. This one was a breakout.

12:42 I scratched the fifth trade. It was introduced as a hedge on the fourth trade. So, closed it.

13.35: The fourth trade closed as a win. It's better to let it ride with the algorithm. Many traders avoid trading over the news. The algorithm acts on it. The broker's spread widened during the close which took away some of the win. I'm mistrustful of brokers. Sometimes you are trading against them. I didn't like the way the spread widened on what's suppose to be raw data feed.

13:43 On many occasions when, for whatever reason, my trading device disconnects from the broker's server the robots switch off. A disconnection is not a good thing at the best of times especially, when you have a position.

14:02 Sixth trade was another win. Again the PoC (12) correctly entered at a trough. Picking tops and bottoms is dangerous. It's better to go with the flow. If you pick a top or bottom it's better to get out when it goes against. I don't use Market Profile in FX. I use to use that technical in futures and I'm convinced that my robot algorithm mirrors it in some form.

14:17 I scratched the seventh trade. Wasn't convinced by it from a ticker tape trader point of view.

Post-2nd Profit blowout.

11:00 Strategy tested the FX robot's algorithms. Note: had I not closed the robot to protect equity it would have recovered almost the entire losses from yesterday and overnight. However, it still got picked off. It felt like a deep pocket trader was triggering it to trade and then going against it by triggering the robots stops. It was amazing the way the market turned every time the robot traded. This after the robot successfully traded into profits over the past fortnight with scarcely an intra-day draw down. That's what it felt like observing the robot. Reality is that it's more likely the EUR/USD pair altered it's behaviour and as such was picking off the robot's entry.

11:30 Pumped in funds that were lost.

11:47 Changed the robots parameters. Strategy tested the robot went back into profit. Essentially, widened the Points of Control (PoC). Changed the stops. Sure enough the revised robot triggered its first trade.

15:07 It lost the first and then the second trade. The third is currently showing a loss. Even though the strategy tests show the robot is profit making on the live market, currently, it is loss making. The losing streak continues and on this basis it is better to shut everything down and walk away.

15:56 Good to keep an eye on the Dollar Index (DX). Important to understand how it is weighted:

    Euro (EUR), 57.6% weight
    Japanese yen (JPY) 13.6% weight
    Pound sterling (GBP), 11.9% weight
    Canadian dollar (CAD), 9.1% weight
    Swedish krona (SEK), 4.2% weight
    Swiss franc (CHF) 3.6% weight

The Euro makes up 57.6%. With such a weighting it's a toss up to see which is a leading indicator. The EUR/USD pair or the Dollar Index (DX).  Generally, assume they act opposite in direction. You could trade the EUR/USD on a reverse indicator that is the (DX). This wasn't added to the robots algorithm.

16:27 The third trade of the day turned out to be a winning trade. Overall my equity is down 11.5%. I fully intend to trade FX 24 hours a day. Have to adjust the parameters slightly.  This trade was a breakout from PoC (12).

16:38 The problem with listening to FX analysts is that they forecast to far in a particular direction. They lag the market and don't lead it. In much the same way a news reporter will report news on events that already happened. Don't expect analysts to be right all the time even if offering two way forecasts.

16:48 The forth trade was a win. The robot sold the top. The PoC (12) wide enough to not prevent the robot from doing so.

Introduction.

I've been a trader for most of my adult life. I've traded mainly derivatives and stocks. About 20 years ago I stopped trading derivatives. I use to trade Bunds. I've had varying degrees of success and varying degrees of losses. As for stocks, I wouldn't say that I traded those. Mainly invested. During my time, in stocks, I've seen through various systematic crisis and other non systemic exogenous crisis.

Reason for blog.

I've decided to start this blog mainly as a log to my trading in FX. The first question that springs to mind is why trade FX now? In truth, I have no idea why the sudden urge to dabble in FX arose. It could have been due to the lock-down that is occurring over Covid19. May be, I just got bored and decided to do something to fight the boredom. To begin with, it takes my mind of the pandemic crisis. The constant reiteration on the news that seems to loop endlessly on the same stories.


The start.


Well, I started FX about 6 weeks ago. I decided to focus on the EUR/USD pair as it's the most heavily traded and, therefore, "transparent". It's not the first time I've dabbled in FX. Through the years I went in and out but never in a serious manner. In any event, this partial interest has meant that I am not truly novel to FX. I take some experience with me. Even so, I don't expect to discover the Holy Grail in FX trading. To begin with I will, in summary, note down the 6 weeks experience from memory.


Initial research.

I researched various brokers and opted for a well known raw data ECN FX broker. I would rather see the market as raw and pay fees per round turn. It puts me in a similar position to that experienced whilst trading derivatives. My reactions are not as fast as they used to be and this implies that I could more than match reaction times by use of trading robots. The beauty about trading, today, is that technicals can be exposed as fortune telling. Fundamentals as disconnected from the market over the short to medium term. You build an algorithmic robot and strategy test. That process exposes long held myths which at one point was regarded as cornerstones.

I could have gone to various trading houses who for a small fee would place funding in a trading account and test my trading. Over time the promise is to place more funds and more funds means more earning potential. However, being old school, I know that if you can't make it trading small you won't stand a chance trading big. Plus, the leaps from small to big in terms of size are psychological hurdles. So, I just pumped my own money into a broker and decided to try that method first.

First profit blowout.

Within a week I was intra-day trading making a daily profit target and stopping. If I was losing, during the day, I worked to breakeven and then stop. The next day it would either be breakeven or profit. 3 weeks into trading I managed to blow away my profit and lose two thirds of my account balance. The only solution to avoid the constant margin calls was to pump more funds in and trade back losses. Sure enough, I traded back the losses and went back into profit.

Algorithmic trading.

At this point, I abandoned trading without an algorithmic robot. I developed a robot which closely corresponded to the methods I use to trade. I always respect markets so when switching on the trading robot I started small size gradually increasing size as the robot went into profit. Using the same methods a trading house would use with a new trader. Plus, through the robots I was trading 24 hours a day. The problem with trading robots is that they are simple. They lack the capacity that the human mind has in recognizing the 3 main dynamics that appear on a data time series. Switching between those 3 dynamics is easy for the sharpened mind but hard to program into a trading robot. Most robots can do 2 dynamics or 1 dynamic and this is the reason why the overwhelming majority always fail to make money. Plus, they can't handle the fog of war at the point where buyers and sellers interact. The human mind struggles in the fog of war and the robots just ignore.

Second profit blowout.

Yesterday, the robot failed. Its parameters were being picked off. No matter what position it took it got it wrong. Within a day my account balance had lost 30%. My profit went to the ether and my hard funds were being eaten into.

Log form.


What follows from this point on is the log. The form of this log will be time and note.