Ed Mamula.com

Results since last update (2 weeks):

Cable Glider — 2 wins, 0 losses

Euro Ranger — 5 wins, 0 losses

Darth Fader (ES) — 0 wins, 0 losses, 1 open short (currently showing a loss)

Darth Fader Discretionary (EC) – 2 wins, 0 losses

The last two weeks were filled with good system trades, good luck, and profitable discretion.  Let’s look at the details, system by system.

Cable Glider, with its weekly range and economic event filters, rarely takes more than one trade per week these days.  In each of the last two weeks, the system was able to take a profitable short entry on Sunday or Monday, then the filters kept it out for the rest of the week.  The first trade’s profit was in the neighborhood of 40 points, and the second one was around 170 points.  I exited the second trade early, at my discretion, and that resulted in approximately 30 pips additional profit on the trade.  This system is still showing the biggest drawdown among the Troika systems, though not by much. 

I’m currently working to see if adding a long term filter from Darth Fader will improve Cable Glider’s results.  I don’t trust the results that I get from Tradestation when I try to mix intraday and daily data, so I may need to do this manually.  If I had applied the Darth Fader directional filter, I would have only been taking short trades since last August.  Since that time, long trades in Cable Glider have returned a net negative 2 percent…nothing eye-popping, but it’s certainly worth applying the filter if it shows itself to have been effective over the past several years, not just the past several months.

Euro Ranger has been plugging along quite nicely, logging 5 wins and 0 losses over the past two weeks.  The fifth and final win comes with an asterisk attached, and it is something that I can attribute only to good luck.  The March Euro futures contracts expire next week, so I was faced with the decision of whether to trade the March contract or roll to the June contract.  This decision doesn’t really come up that often for me, since the system spends more time out of the market than in it.  In any event, I have been using the convention of rolling to the next contract 4 days prior to expiration of the nearest contract.  Since I was holding an open short position this week, I got an email message from Tradestation alerting me that I held a deliverable position, and that I should roll to the next contract by March 11th to avoid liquidation.  So, on March 10th, I switched over to the June contract…it just so happens that the last trade of the week closed profitably when traded on the June contract (which was were I was trading), but didn’t quite hit the profit target on the March contract, and eventually would have been closed out at a loss.  Further testing indicates that rolling 5 days prior to expiration performs slightly better than rolling 4 days prior, so that’s what I will do going forward, both on Cable Glider and Euro Ranger.  It turns out that rolling 5 days prior to expiration is supposedly the convention on the floor as well, according to the CME.

So, the walk forward results for the DESword (CG + ER) will show a net loss for this week because of the one Euro loss that I not only dodged, but booked as a gain on the June contract.  The walk forward shows DESword in an 8% drawdown, but in reality, I’m doing much better.

Darth Fader opened a short on the S&P 500 futures on Friday morning.  There was a powerful rally this week, and in truth it felt like the system was getting short too soon…however, I took the signal, and I’m currently showing an open loss of less than 1%, as the equity market continued the rally on Friday.

In a prior post, I said that I needed to do some more work with Darth Fader on the Euro and natural gas futures.  I put on a couple of short trades in the E7 (CME Euro E-Mini) this week for the first time, just to reduce the risk and to avoid conflicts with Euro Ranger, which is trading the full Euro (EC) contract.  I managed to close a couple of small gains, but I’m really unhappy with the lack of liquidity in the Euro E-Mini.  Darth Fader says to be short the Euro right now, but so far the Euro is showing continued strength.  I have no open positions in the Euro right now, though I may look to trade in and out in the direction that Darth Fader recommends going forward.

Overall I’m showing a 19.5% year to date return with Troika and a 47.1% return since the launch of DESword last August.  I’m at a new equity peak with Troika, though the walk forward results are showing a 3% drawdown (from a lower peak). 

That’s enough detail for one week.  I’ll continue to work on refining Darth Fader and applying it to other markets.  Happy trading to all!

Results since last update (3 weeks):

Cable Glider — 0 wins , 1 loss, 1 scratch

Euro Ranger — 0 wins, 1 loss

Darth Fader — 1 win, 0 losses

The currency systems are both continuing to struggle. I scratched a trade last night in the Cable Glider and pretended to be a scalper there for an hour or so, netting a total of 14 pips on 5 scalp trades…going 4 wins and 1 loss. The loss came last and nearly wiped out my gains. Maybe someday I can add scalping to the mix, but I was really just playing around last night. It’s funny just how much it got my adrenaline going. I should probably stick to systematic position trading if I want more profits than adrenaline.

This is a short month, and the currency systems have only 3 more trading days this month where they will be active.

Darth Fader netted 40+ S&P points on the short side from yesterday to today. But in fact, I completely missed a chance to get short last week at 871, then I got another chance to enter at that price yesterday. An updated backtest shows that I should be setting my take profit points tighter on the S&P trades, and if I had had that in place, I think I would have netted another 5% or so last week as the market swooned downward, completely recovered, and then re-swooned.

So then, that one actual S&P gain, combined with a couple of dodged currency trade losses, have landed me in a position of being up 1.1% for the month of February, and up 8.0% year to date, at a new high for the year.

The tracking error between my actual equity curve and the walk-forward equity curve is pretty large. The systems are showing a 4.6% year to date gain, with a lot more weekly volatility than I’ve actually experienced. I”m sitting at a new high with Troika, but my walk-forward numbers are showing the DESword currency system in roughly a 12% drawdown, with Troika in a 6% drawdown altogether.

It feels like I should be very careful now; DESword hasn’t seen this kind of drawdown since 2005…if it weren’t for all of bullets I’ve dodged, I’d be right there with it.