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Alright, thanks for your answer. So from a systematic point of view your system is a mere randomwalk (relying on human “common sense”/“trading experience” when placing stops and targets). Paired with high leverage it will inevitably lead to a burned account. Of course that´s nothing new to you as you are a former professional…
Don´t get me wrong here I completely understand the engaging part of a human “randomwalk” trading style where you think you´re actually doing something reasonable. I did it myself for years (with profit) and are just about to bring it to an end as I recently became aware that my system 106654155 is of exactly the same nature. A trader has to be honest to himself at the very least.
But I wish you good luck with your trading. It still can turn out to be very profitable for months and years while being completely random at the same time. Maths is weird.
My system does not rely on what I “think” the market should do. It is 100% systematic. There is zero opinion involved. Most times it feels awkward to take trades but I go with what the system is saying. I have a quant guy that works for me or I should say I have a contract with. His work is mostly for large funds and he has an entire team under him. I’m sorry your system didn’t work out for you but it’s a mistake to think everyone else will also fail. I posted some numbers for trade date 8/02 the night BEFORE the trading day. One of the numbers was ES 2472.75. What happened? Market took it out dropped 10 points and came back to close exactly there. NQ I mentioned 5921.50. Same scenario. NG 2.775. The market hit a low of 2.785 and bounced. 10 year I mentioned 125 29/32. Market hit a low of 125 31/32 and bounced. Did I get lucky? Was it a coincidence? I’m looking at stuff large funds are looking at. Would you like me to post some numbers tonight after the close for tomorrow’s trade date? I might get “lucky” again. As to your other point former pro. I actually quit a very good job. My wife has a masters degree and also had a very good job and she left at the same time. It wasn’t on a dream. It got to the point where I was making more trading for myself. I waited to get my bonus in April 2010 and left. Anyway thank you for your feedback. And again if you would like me to post numbers for tomorrow’s trade date please let me know.
have I said you or anyone else will fail? I wouldn´t even consider my own system to have failed yet as 20%DD is still ok and in the scope of what I have experienced with it in the past. I´m not shutting it down for that reason. The point I was trying to make is that it´s way harder to distinguish randomness from true edge or skill than most people think. Myself included until recently.
About how much I can believe of your personal story including the whole team of programmers working for you is another pair of shoes and I don´t want to get personal. Let´s just say I don´t actually have to believe everything I read in an anonymous forum about any one person.
Single trades are always “luck” even within a system with edge. Otherwise you´d have the crystalball which you already proved false by having a single losing trade. So spare your time with the numbers, they are pretty meaningless. Nonetheless thanks for the offer and happy trading.
QuantStat2 Futures is really designed as an income account or income strategy. I think of the $25k as my bankroll or the amount I need to meet the objective of getting a paycheck. If someone was happy making $50 a day and put $5000 in an account and traded 1 ES contract and did one trade a day it would definitely be doable. If the guy lost $150 one day it’s a 3% loss. If the guy lost $250 it’s still only a 5% loss. If he’s trying to average $50 per day and somewhat knows what he’s doing it’s fine. I"m doing the exact same thing on a slightly larger scale. I keep $25k in the account and trade 5 contracts. I’m not looking to trade 10 times a day. I come in once a day win lose or draw. $25k is the bankroll amount I need to make this amount. My other strategy RT Capital (112807670) trades more in the traditional sense. There’s still currently a free trial available so I would suggest people sign up even if they don’t trade along to get a sense of how I do things. RT Cap is risking 1/2 percent on the best opportunities. I posted something on the risk of RT Capital if anyone is interested in that. QuantStat is looking to always keep $25k. Never scale up. Always take the paycheck out at the end of the month and do it again the next month. It doesn’t have goals of one day trading 100 contracts. Always 5. Always ES. Just a simple paycheck strategy. All that said, please don’t think there’s just no risk management in place. I’m not interested in a trade wiping out all my gains I had all month. Risk is the first thing considered I’m not looking to work all month for free. Thanks all for your interest.
One other thing. I would encourage people to really look at what expectation per trade is for a system as this is really important. You can do this with my system but I’d say you need a large enough sample size to have a reliable reading. 30 sample size meaning 30 trades would start to paint a good picture. But if you wanted to look at mine now it would be this. I have 9 trades. My average win rate is 88.9%. My average win is $391 and my average loss from my one loss I’ve had is $938. Here’s the formula. (0.889 x 391) + (0.111 x -938) = 347.60 - 104.12 = $243.48. I get the 0.111 by taking 1- 0.889. This $243 number basically says that every single time I click my mouse I should expect to make on average $243.
Exactly correct. My current expectancy is $125. Keep in mind the low sample size of 10. At 30+ the numbers start to become much more reliable. I’d love to never see a loss but it’s just part of trading. Most people have an issue with that. Could I have left the trade on from today to come back to even? Sure it’s only a few points away. Could I have added more contracts to better my price and get out showing a win? Sure. My main objective is not to hide losses. A lot of people running strategies on here do exactly that. I’m not interested in all that I want to come back tomorrow and fight another day. This contract I traded today expires in a month. I could just leave it on and over the next month there’s a very high chance it touches my entry price of 2474 again which is currently a point and a half away. Then new subs look at my “great” results months from now and see nothing but winners. I"m keeping it real. If I take a loss it’s part of the deal I signed up for. Go look at the top strategies say on the leader board. A lot of times the trade goes pretty far against them. If they don’t have stops they’re in taking a lot of heat and the market eventually comes back and the person running that strategy looks like a genius. You guys can do that you don’t need to pay someone a monthly fee for that. I set a goal that is realistic for myself. I have 3 1/2 more weeks. Let’s see what happens.
Mr Pardo in his book on systematic trading introduced statistical error to estimate influence of small size of the sample on the backtest values. In your case:
Error = 1 / sqrt (10 trades + 1) = 30%
Corrected wins and losses:
Average win = 391$ +/- 30% = 274$ / 508$
Average loss = -938$ +/- 30% = 657$ / -1,219$
Expectancy (lower boundary) = 274$ * 0.80 - 1,219$ * (1 - 0.80) = -25$
Your other system RT Capital value is just too high for most people on this site. Even if you just trade 1-3 contracts at $250k most people will scare away with the idea that you may potentially trade big. If you rescale the system down to $50k there will be a lot more bites.
I can get on board with this. According to this I’m a losing trader but I still like it. Thanks JITF!!!
I would look at the formula this way. Please let me know your thoughts. There’s a range for average wins and a range for average losses. You’re taking the lowest from the range of winners and highest from the range of losers. For example for winners with this weighting system the range is $274 to $508. The losers have a range of $657 to $1219. You have to compare apples to apples. If you’re looking at the range using the -30% the numbers should be the $274 and $657. If you’re looking at the +30% you’re looking at $508 and $1219. You were taking the smallest winner and biggest loser so one from each side which is like comparing apples to oranges. We should take both from each side and run the formula twice which would give you a range of what to expect from a system.
Here’s using the negative 30% side
($274 x 0.8) - ($657 x 0.2) = $87.80
Here’s using the positive 30% side
($508 x 0.8) - (1219 x 0.2) = $162.60
So when comparing apples to apples I would read this as this system should have an expectancy of somewhere between $87.80 on the low end to $162.60 on the high end.
Here’s also including a weighting on the percentage
80% winners using a -30% is 0.8 x 0.7 = 56% on the low side
80% winners using the +30% is 0.8 x 1.3 = 104% on the high side
In the example above you used a weighting only on the low end and you used the average winners and average losers without putting a weight on them. We should look at the entire range here also. I get what these kinds of formulas are trying to accomplish but they are really designed as this is the realistic range you should expect.
Either way I really appreciate it this is definitely a good way of looking at it. I don’t mind knocking me or calling me a bad trader if you approach it this way. It’s the people that try to kick you while you’re down with no real supporting evidence. You can kick me all day with formulas like this lol.
I posted something on scaling with individual account sizes to RT Capital. Here’s one of the issues. RT Capital is really looking across the futures market for the best opportunities of the session. Today the system sent out trades for 7 different products. It’s going to be pretty rare to find a trade in all 7 signals. But say one day everything went crazy and all 7 got filled. RT Cap risks at most 0.5% on the best trades. Let’s assume today all 7 signals filled and all 7 got stopped out. On a horrible day like that the system would be down 3.5%. Today the system got filled on 1 of the 7 signals and is already out of that trade. The main objective is the risk here. The signals were sent around 9:30pm last night. The system doesn’t rely on a moving average or RSI or MACD. I have no clue how the day is going to play out today. With these 7 signals from last night it’s really where large funds are interested in coming in for the session and not blindly for every product but under certain conditions. They’re looking at trading at most once a day. The very sophisticated high frequency firms turn off around these areas as the funds have more influence. The system today is still trying to get filed on NG and 6S. Based on where prices are I highly doubt there will be fills.
Here’s where I run into problems. Say a small $10k account. Can I send out 7 signals for a $10k account? Sure but what’s the risk. Call it 2% risk per trade. Again it’s pretty rare that all 7 get filled and on top of that all 7 get stopped out. But what if? That little account takes a 14% hit. Not acceptable. The post I sent out regarding scaling helps people with small accounts like this decide if that risk is OK for them. I’m not OK sending out signals with a max risk of 14% even if there’s only say 1% chance that everything goes crazy. I also can’t just say I’m going to risk only 1/2 percent on the $10k account because where the stops are will exceed that. For example 0.5% risk on $10k is $50. The stops on these trades making the trades invalid are more than $50 even on 1 contract.
If you look at what I got filled on today. I got in SEP WHEAT. We shorted at the EXACT high of the day. That is zero coincidence. The high of the day is 468. The signal was 1/2 position at 467 1/4 and other half at 468. That high of day wasn’t set until 5am. Signal was sent at 9:30pm the night before. There is zero guess work here this is all based on facts large funds are looking at. If I had to give you my opinion I would not have taken that trade. Why short at the high of the day. Why short as the market has momentum to the upside. My point is this system has zero what I “think” should happen. Also the other price we got filled on the 467 1/4 price. Market first hit that price at 3:55 and sat there and couldn’t break that price until 5:05. There was a very specific reason why I broke up the order that way.
I am watching your trades with great interest and I do appreciate that you set a goal upfront. (Incidentally: what happened on 8/3? You planned to trade every day??)
But (again: with all respect!) there is no need to badmouth unnamed, generic “other systems.” Sure, there are all kind of systems and not all of them follow your rules. They may or may not use stops. They may or may not hold a position longer than you do. They may or may not add to losing (or winning) trades. Let numbers speak and BS walk! [Btw your claim/assumption/argument that no matter what position you open, over time it becomes a winner is total nonsense.]
One last thing on RT Cap. Please don’t take this the wrong way like I’m showing off. I’m simply trying to make it clear how the system and signals operate. All these signals got cancelled as the market made it’s move but here are some from last night. ES long 2472. Would not have filled as the low of the day was 3 ticks higher. NQ long 5908.75. Would not have filled as low was 5912. NG short at 2.834. Would not have filled as high was 2.832 two ticks away. 6S short at 1.0334. Would not have filled as high was 1.0325 about 9 ticks away.
Remember all these signals got sent at 9:30pm and the market was nowhere near these levels. All these markets approached these levels and quickly moved away. I did not recommend the YM because it was in a different condition. Same with TF. So the system doesn’t only take levels on everything out there and hopes something sticks. We have analysis on 97 total products including ETFs, European products and FX and U.S. equities. On the U.S. futures products we’re following 34 total. Out of those 34 we found 7 that made the cut for today’s session. Only 1 got filled but others came close as stated above. Aside from all these we do have a separate U.S. equities operation. I’m not trying to manage a lot of signal funds at this time but the signals are just as accurate. If there’s a strong interest in say ETF products or European products I would consider something like RT Cap for those products. On the Euro side we’re following Bund, BOBL, GILT, EURO OAT, BTP ITALIAN BONDS, DAX, EURO STOXX, FTSE, CAC 40. On the FX side we’re following EUR/USD, USD/CHF, GBP/USD, USD/JPY, AUG/USD, USD/CAD, and EUR/JPY. On the U.S. equities it’s stuff like MSFT, AMZON, XOM just a bunch of stocks like that.
People on the free trial are auto trading along. There is still a free trial available. RT Capital (112807670)
I should say I plan on not trading more than once a day. I think the way I wrote it probably sounded different from what I intended. I will not trade more than once a day. The last thing I want to do is force a trade. If there’s just absolutely nothing I’d rather sit on the sidelines vs. take a bad trade just to trade. I didn’t take a trade today because I’m not interested in chasing this market. I was interested at 2472 or lower. The market moved and there’s nothing I can do.
There’s no guarantee a trade will always come back I was saying there’s a good chance of it. My trade from yesterday came back. I could of held and not showed a loss and instead got out today. That was my point that before the contract expires there should be a time where the market comes back to your entry. Not always but you should get a chance to exit a bad trade by just holding.
I’m definitely not trying to badmouth other systems I want people to be aware of what risk these systems are putting on to keep monthly sub fees coming in and at the same time trying to be as transparent as possible with mine.
For your RT capital please tell me how how any scale smaller than 100% would work? at 25% it would miss most of the trades, at 50% it would get a few trades but could potentially miss trades with big wins.
