- Today was a positive day with several good trading opportunities. It is much easier to trade with the trend. The size of my winners and losers is about the same for both positive and negative days, but my winning percentage doubles from about 25% to 50% when I go long on positive days. Today was my best day so far based on total return ($0.52) with a winning percentage of 56% and a win-to-loss ratio around 1.61.
- I think I finally found a good way to enter orders with the Fidelity Active Trader Pro software. I began using one triggers the other (OTO) orders to place a buy limit order near support, then when it gets filled it triggers a sell trailing stop limit order. I size the trailing stop to be a little smaller than the ATR(10).
- I like adjusting the risk of my trailing stop based on the ATR(10) and the direction of the trend. If the trend is up, I will use a slightly larger stop because there is larger probability that the trend will continue up before reversing against me. If the trend is down and I am trying to time a reversal, I will use a smaller stop to account for the lower probability that a breakout will succeed.
- I used to be opposed to trailing stop orders, but they are good for a few reasons. First, if I place a buy order near support and get a good fill, the odds are in favor of the price moving up. If this happens, the trailing stop will help ensure that if the price then reverses, I will have a very small loss. Second, the trailing stop order can track the actual order flow faster than I can. It is even faster than the chart price action prints. It is also even faster than the Level2 data feed. So if the price spikes momentarily up several ticks and then retreats, then position will exit before I would have been able to register it visually. Third, the point-and-click order entry method is very slow and the trailing stop ensures that I get a pretty good fill quicker than if I waited to place a limit order. Finally, it gives me peace of mind that as soon as my buy order is filled, my stop order is automatically in place. This helps manage my positions while I am working and helps reduce my risk while I am dealing with the daily distractions associated with my job.
- I began making a summary sheet of all my trades that tracks what was traded, how many shares were traded, entry price, exit price, time of exit, day of exit, and whether the market was positive or negative for the day. I then analyzed my trades based on time of day. My performance is the worst on the opening drive from 9:30 to 11am because of my slow order entry technique. My performance is best from 12-2pm, which happens to frequently overlap my lunch hour, allowing me to focus all of my attention on the markets. My performance drops off again from 2-4pm.
- For now, I will continue trying to trade all day. It is obvious from my analysis, that I will have to address my trading methods to account for the different market environments throughout the day. I am continuing to focus more on cutting my losses, but eventually I will put more emphasis on improving the size of my winners and my winning percentage.
- I still need a good way to analyze market breadth intraday.
Daily Trading Summary (09/07/11):
Number of trades (round trips) = 18 (10W, 7L)
Trade Size = 1 share
Average Win (Winning %) = $0.092 (56%)
Average Loss (Losing %) = -$0.057 (39%)
Win-to-Loss Ratio = 1.61
Average Return = $0.029
Total Return = $0.52 
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