| Date | Trade | Quantity | Entry | Stop Loss | Exit | Percentage Profit |
| 4 Feb 16 | Buy | 1 | 9.04 | 7.77 | 7.83 | -95.28% |
| 23 Feb 16 | Sell | 1 | 6.91 | 9.39 | 6.49 | 16.94% |
| 11 Apr 16 | Buy | 1 | 8.75 | 7.65 | 11.88 | 284.55% |
| 26 May 16 | Buy | 1 | 13.33 | 11.38 | 13.69 | 18.46% |
| 27 Jun 16 | Sell | 1 | 12.43 | 14.31 | 13.11 | -36.17% |
| 27 Sep 16 | Sell | 1 | 13.43 | 14.65 | 14.32 | -72.95% |
| 12 Oct 16 | Sell | 1 | 13 | 14.4 | 10.52 | 177.14% |
| 30 Jan 17 | Sell | 1 | 9.2 | 9.93 | 7.81 | 190.41% |
| 5 Apr 17 | Buy | 1 | 8.76 | 7.55 | 8.29 | -38.84% |
| 18 May 17 | Sell | 1 | 6.98 | 7.49 | 6.24 | 145.10% |
| 3 Jul 17 | Buy | 1 | 6.32 | 5.57 | 5.75 | -76.00% |
| 6 Jul 17 | Sell | 1 | 5.69 | 6.37 | 6.21 | -76.47% |
| 2 Aug 17 | Sell | 1 | 5.5 | 6.29 | 5.36 | 17.72% |
| 13 Sep 17 | Buy | 1 | 5.94 | 5.34 | 5.96 | 3.33% |
| 18 Oct 17 | Sell | 1 | 5.52 | 6.06 | 5.48 | 7.41% |
| 7 Nov 17 | Buy | 1 | 6.24 | 5.6 | 6.09 | -23.44% |
| 16 Jan 18 | Sell | 1 | 5.35 | 6.05 | 5.43 | -11.43% |
| 29 Jan 18 | Sell | 1 | 4.96 | 5.43 | 3.88 | 229.79% |
| 30 Apr 18 | Sell | 1 | 4.13 | 4.66 | 4.24 | -20.75% |
| 31 May 18 | Buy | 1 | 4.79 | 4.28 | 5.19 | 78.43% |
| 9 Oct 18 | Buy | 1 | 5.77 | 5.12 | 5.37 | -61.54% |
| 26 Oct 18 | Sell | 1 | 4.8 | 5.72 | 5.33 | -57.61% |
| 6 Nov 18 | Buy | 1 | 5.95 | 5.21 | 5.6 | -47.30% |
| 27 Nov 18 | Sell | 1 | 4.92 | 5.71 | 3.8 | 141.77% |
| 7 Jan 19 | Buy | 1 | 3.97 | 3.23 | 4.29 | 43.24% |
| 7 Feb 19 | Sell | 1 | 3.85 | 4.43 | 4.25 | -68.97% |
| 4 Mar 19 | Buy | 1 | 4.59 | 4.2 | 4.3 | -74.36% |
| 18 Apr 19 | Sell | 1 | 4.35 | 4.72 | 4.01 | 91.89% |
| 11 Jun 19 | Sell | 1 | 3.31 | 3.83 | 3.34 | -5.77% |
| 2 Jul 19 | Sell | 1 | 2.97 | 3.4 | 1.94 | 239.53% |
| 10 Sep 19 | Buy | 1 | 2.31 | 1.64 | 2.08 | -34.33% |
| 5 Nov 19 | Buy | 1 | 2.4 | 1.94 | 2.18 | -47.83% |
| 19 Nov 19 | Sell | 1 | 1.89 | 2.22 | 1.99 | -30.30% |
| 13 Dec 19 | Buy | 1 | 2.22 | 1.93 | 2.28 | 20.69% |
| 9 Jan 20 | Sell | 1 | 2.1 | 2.4 | 1.71 | 130.00% |
| 25 Feb 20 | Sell | 1 | 1.47 | 1.71 | 1.48 | -4.17% |
| 7 Apr 20 | Buy | 1 | 2.03 | 1.54 | 2.89 | 175.51% |
| 27 May 20 | Buy | 1 | 3.24 | 2.8 | 3.09 | -34.09% |
| 27 Jul 20 | Sell | 1 | 2.41 | 2.79 | 2.64 | -60.53% |
| 10 Aug 20 | Buy | 1 | 3.14 | 2.66 | 2.86 | -58.33% |
| 11 Sep 20 | Sell | 1 | 2.37 | 2.77 | 2.59 | -55.00% |
| 22 Dec 20 | Buy | 1 | 3.41 | 3.04 | 3.15 | -70.27% |
| 13 Jan 21 | Buy | 1 | 3.73 | 3 | 3.65 | -10.96% |
| 28 Jan 21 | Buy | 1 | 3.79 | 3.22 | 4.05 | 45.61% |
| 11 Mar 21 | Buy | 1 | 4.5 | 3.92 | 4.11 | -67.24% |
| 9 Apr 21 | Sell | 1 | 4.12 | 4.84 | 4.15 | -4.17% |
| 5 May 21 | Buy | 1 | 4.65 | 4.08 | 5.31 | 115.79% |
| 18 Jun 21 | Sell | 1 | 4.93 | 5.75 | 5.52 | -71.95% |
| 30 Jul 21 | Sell | 1 | 4.64 | 5.19 | 4.32 | 58.18% |
| 2 Sep 21 | Buy | 1 | 4.78 | 4.29 | 5.01 | 46.94% |
| 12 Oct 21 | Sell | 1 | 5.01 | 5.78 | 5.3 | -37.66% |
| 9 Nov 21 | Sell | 1 | 4.78 | 5.18 | 5.18 | -100.00% |
| 15 Nov 21 | Buy | 1 | 5.42 | 4.7 | 5.14 | -38.89% |
| 1 Dec 21 | Sell | 1 | 4.34 | 5.03 | 4.78 | -63.77% |
| 6 Jan 22 | Sell | 1 | 4.4 | 5.13 | 4.9 | -68.49% |
| 11 Feb 22 | Buy | 1 | 4.84 | 4.31 | 4.57 | -50.94% |
| 28 Feb 22 | Buy | 1 | 5.07 | 4.41 | 5.24 | 25.76% |
| 24 Mar 22 | Buy | 1 | 5.87 | 5.09 | 7.96 | 267.95% |
| 10 May 22 | Sell | 1 | 6.43 | 7.97 | 7.14 | -46.10% |
| 24 May 22 | Buy | 1 | 7.77 | 6.78 | 8.94 | 118.18% |
| 30 Jun 22 | Sell | 1 | 6.53 | 7.49 | 6.4 | 13.54% |
| 26 Jul 22 | Buy | 1 | 7.41 | 6.31 | 6.57 | -76.36% |
| 16 Aug 22 | Buy | 1 | 7.64 | 6.53 | 7.33 | -27.93% |
| 23 Nov 22 | Buy | 1 | 7.29 | 6.57 | 6.57 | -100.00% |
| 5 Dec 22 | Sell | 1 | 6.35 | 7.26 | 5.85 | 54.95% |
| 17 Feb 23 | Sell | 1 | 4.99 | 5.68 | 5.2 | -30.43% |
| 10 Mar 23 | Sell | 1 | 4.97 | 5.72 | 5.02 | -6.67% |
| 24 Mar 23 | Sell | 1 | 4.63 | 5.02 | 5.02 | -100.00% |
| 15 May 23 | Buy | 1 | 5.05 | 4.57 | 5.02 | -6.25% |
| 16 Jun 23 | Buy | 1 | 5.62 | 5.13 | 5.72 | 20.41% |
| 4 Aug 23 | Buy | 1 | 6.58 | 6.21 | 6.38 | -54.05% |
| 18 Sep 23 | Sell | 1 | 6.37 | 6.82 | 6.32 | 11.11% |
| 17 Oct 23 | Buy | 1 | 6.87 | 6.26 | 6.99 | 19.67% |
Net Win
The net win is 6.86. In other words, if I risk $1 for every trade, I’ll get a profit of $6.86. There are a total of 73 trades, so the profit per trade is a miserable 9 cents.
SWN is a really bad stock to trade using a trend following strategy.
Research
I spent the last two days trying to determine if I can improve the results.
I tried varying the lot size. Here’s what I did:
- If the past 3 trades are all losing trades, reduce the lot size by 0.1, subject to a minimum lot size of 0.25.
- If the past trade is a winning trade, increase the lot size by 0.1, subject to a maximum lot size of 1.
Varying the lot size does help to reduce the drawdown a bit (using a maximum risk of 1% per trade, it reduces the drawdown by about 20% and in fact increases the final balance by about 2%).
For NVDA, which is a good stock to use for this strategy, it does not affect the maximum drawdown, but reduces the final balance by about 1%.
Not too bad, but I need more data and I’m hoping to improve it further.
Machine Learning
Today, I tried to use machine learning to see if I can somehow predict when a market will be choppy. Not much luck. So far, I’ve only used price action to do the prediction. The accuracy is about 58.82% for the test set. But it predicted a choppy market correctly only less than 10% of the time (i.e., it is much better at predicting a non choppy market).
Next, I am going to try using my practice results to see if I can somehow learn to avoid choppy markets. For instance, I can use the percentage profit of each trade, the number of days between trades, the number of days before exit etc. Hopefully, this works better.
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