Day Trading Journal - CME & CBOT Futures

Updated Dec 15, 2022

Day trading.

The journal will record all live trades, win and lose.
Including:
1) timestamp (Eastern Time);
2) instrument, open position and average open price;
3) single trade PL and daily PL summary (USD).

RQMV6UBEM2WTRCK-.png

* Trading signals are generated by MACD and RSI.

* Manual trading only for now.
* Algo trading - trades were sent by Algos written in Javascript object notation.
(Algos that manage the exit levels are currently in testing)

* An Excel file is used to back-test the signals and other parameters.
* An Excel ledger is used to keep track of all trades and PL.

* Hand drawn charts (MACD and RSI) to stay focused.
* Calculation of single trade PL was changed from LIFO to FIFO (first in, first out) basis since Nov 11.
(all trade before Nov 11, 2022 were using LIFO method)

Nov 18, 2020
#1
0906 GCZ0 short 1 @ 1876.0, target 1868.0 / stop 1891.0
1206 exit @ 1880.5, -450

Nov 19, 2020
#1
0215 GCZ0 long 1 @ 1862.2, target 1870.2 / stop 1847.2
0714 exit @ 1861.9, -30

#2
0843 GCZ0 long 1 @ 1852.0, target 1860.0 / stop 1837.0
0858 early exit @ 1859.0, +700

#3
0917 GCZ0 long 1 @ 1856.6, target 1864.6 / stop 1841.6
1012 exit @ 1860.9, +430

Nov 20, 2020
#1
0114 GCZ0 long 1 @ 1867.5, target +800 / stop -1,500
0411 exit @ 1865.1, -240

#2
0411 GCZ0 short 1 @ 1865.2, target +800 / stop -1,500
0534 exit @ 1865.0, +20

Nov 23, 2020
#1
0442 GCZ0 long 1 @ 1867.3, target +800 / stop -1,500
1028 stop exit @1834.1, -3,320

#2
1105 GCZ0 long 1 @ 1832.8, target +800 / stop -1,500
1112 GCZ0 long 1 @ 1828.7, target +800 / stop -1,500
1145 exit @1834.3, +150
1242 exit @1835.8, +710

Nov 24, 2020
#1
2305 GCZ0 long 1 @ 1823.1, target +800 / stop -1,500
0550 GCZ0 long 1 @ 1812.5, target +800 / stop -1,500
0658 exit @1807.9, -1,520
0658 exit @1807.9, -460

#2
0939 GCZ0 long 2 @ 1802.5, target +800 / stop -1,500
0958 exit @1804.5, +200
1338 exit @1805.5, +300

Nov 25, 2020
#1
2239 GCZ0 long 1 @ 1800.8, target +1,500 / stop -800
0449 exit @1809.6, +880

#2
0515 GCZ0 long 1 @ 1808.4, target +1,500 / stop -800
0733 exit @ 1811.2, +280

#3
1044 GCZ0 long 1 @ 1809.7, target +1,500 / stop -800
1159 exit @ 1808.6, -110

Dec 3, 2020

Front month of GC is now February.

#1
0114 GCG1 short 1 @ 1835.8, target +1,200 / stop -800
0241 exit @ 1843.8, -800

#2
0355 GCG1 long 1 @ 1843.5, target +1,200 / stop -800
0545 exit @ 1841.8, -170

#3
0550 GCG1 short 1 @ 1841.9, target +1,200 / stop -800
0729 exit @ 1845.9, -400

Jan 7, 2021
#1
0250 MGCG1 long 5 @ 1923.1, target +90ticks / stop -76ticks
0416 early exit @ 1921.7, -70

#2
0417 MGCG1 short 5 @ 1921.2, target +90ticks / stop -76ticks
0518 early exit @ 1916.9, +217

#3
0519 MGCG1 long 5 @ 1917.0, target +90ticks / stop -76ticks
0628 early exit @ 1921.0, +199

#4
0629 MGCG1 short 5 @ 1921.0, target +90ticks / stop -76ticks
0651 early exit @ 1919.7, +67

Jan 8, 2021
#1
0533 MGCG1 short 5 @ 1893.0, target +90ticks / stop -76ticks
0612 early exit @ 1892.3, +34

#2
0613 MGCG1 long 5 @ 1891.6, target +90ticks / stop -76ticks
0645 early exit (manual exit) @ 1894.3, +137, closed manually to escape downside risk today

Because the target/stop for each trade on the same day is sort of fixed, and this target/stop is not changed dynamically to cope with the market volatility (working on this topic now, hopefully, this will soon become a dynamic variable).
So the target/stop will only be specified once in the first trade of each trading day unless there is a change.

Jan 11, 2021
#1
0238 MGCG1 long 5 @ 1844.3, target +90ticks / stop -76ticks
0302 early exit (manual exit) @ 1850.4, +304, closed early to lock PL after a spike

Will set the maximum holding time to 75 minutes.
My Excel model statistics showed that the PL dropped quickly to negative if holding over 75 mins for the last 5 days (the grey column).


#2
0333 MGCG1 short 5 @ 1850.4
0446 time out exit (75min) @ 1848.6, +88

#3
0543 MGCG1 short 5 @ 1848.9
0639 early exit (reverse signal) @ 1850.6, -84

#4
1019 MGCG1 short 5 @ 1849.6
1038 early exit (manual exit) @ 1846.8, +143, closed manually due to market volatility

Jan 12, 2021
#1
0243 MGCG1 short 5 @ 1859.2, target +90ticks / stop -76ticks
0453 exit (trailing stop) @ 1862.7, -174

#2
0517 MGCG1 short 5 @ 1862.7 (re entry)
0658 early exit (manual exit) @ 1859.8, +145, closed due to market volatility

#3
0604 MGCG1 long 5 @ 1861.0
0702 early exit (manual exit) @ 1860.0, -54, closed due to market volatility

Chart1.
Blue area: Market volatility index of GOLD for the past 40 days
Orange: 50 percentile of volatility minutes data of the past 2 days, which had increased to a high level this week

Chart2.
90 percentile of Max win and Max loss during the holding time for all trades per day, without holding time restriction, for the past 40 days.

The projected Max win / loss now drops to +1040 / -1560 per lot of GOLD, which is bad. However, if the maximum holding time is set to 75 minutes, the estimated total PL is still acceptable. Because this time limit reduces the risk of surprising spikes, by which the current pattern would be interrupted.

Jan 13, 2021
#1
0459 MGCG1 short 5 @ 1855.4, target +90ticks / stop -76ticks
0614 exit (reverse signal) @ 1854.9, +25

#2
0614 MGCG1 long 5 @ 1854.5
0755 manual exit @ 1854.4, -5, market volatility

Jan 14, 2021
#1
0123 MGCG1 long 5 @ 1839.5, target +90ticks / stop -76ticks
0345 manual exit @ 1843.2, +188, market volatility

#2
0308 MGCG1 short 5 @ 1842.1
0425 manual exit @ 1841.9, +8, market volatility

#3
0431 MGCG1 long 5 @ 1839.4
0533 manual exit @ 1839.2, -10, low market volatility

#4
1008 MGCG1 long 5 @ 1843.0
1102 manual exit @ 1849.5, +323, exit after a spike

Jan 15, 2021 Fri
#1
0204 MGCG1 short 5 @ 1848.4, target +90ticks / stop -76ticks
0345 exit (reverse signal) @ 1851.9, -177

#2
0346 MGCG1 long 5 @ 1852.1
0658 exit (trailing stop) @ 1848.7, -173

#3
0949 MGCG1 long 5 @ 1839.5
1010 exit (stoploss) @ 1830.9, -427

#4
1018 GCG1 long 1 @ 1832.7
1021 exit (risk measure) @ 1832.1, -60

Jan 18, 2021 Mon
#1
0755 MGCG1 short 1 @ 1833.4, target +20ticks / stop -16ticks
0842 manual exit @ 1833.2, +2

Jan 19, 2021
#1
0244 MGCG1 long 5 @ 1837.4, target +90ticks / stop -76ticks
0307 manual exit @ 1842.1, +234, reached daily high (so far)