Hi Gregg and all,
Thanks for your feedback on this, let me try to explain my view.
Mechanical strategy are based on statistical analysis revealing some sort of inefficiency or “edge” for the observed market, based on historical data.
The vast majority of automated strategy had and will have periods when the statistical edge observed in historical data did not work as expected and the strategy underperforms past results. Hopefully, (but no one has the crystal ball, as you wrote Gregg), strategy adapts and/or the market returns “in sync” with it, and performances improve. I trust my strategy will stay profitable and strive for that, but cannot of course guarantee nothing in this regard.
Markets structure is dynamic and ever changing, making almost impossible to design a trading strategy that gives high returns with little or no drawdown for many years.
Coming specifically to my strategy Antares SP500, it adopts hard stops and profit target for every position.
A pre-defined maximum daily loss check is coded into the strategy and will exit all positions when hit, preventing also the strategy from entering the market the next day. In case of high price volatility, a sell-at-close protective exit activates, exiting all positions at the close.
Strategy has 3 set-ups: contrarian, intermarket and pattern. Contrarian set-up has the wider stop, while intermarket and pattern adopt a trailing stop limiting the downside to 500-1000$ per contracts.
Since trading begins here on C2, Antares SP500 had a nice run-up, yielding about 31000$ at 1x in ten months. From December 19, 2016 when you subscribed the profit was less enticing than previous months, up about 3000$ (C2 data). Low market volatility during this period did not help, as strategy set-ups tend to work better in presence of wide market swings.
I understand it has been frustrating going through this period seeing in one occasion a nice profit of about 3000$ go negative. I saw the position was highly in green but did not cash-in the profit because my commitment is to develop and improve the code, limiting myself to monitor strategy execution without manual intervention, except in case of financial or geopolitical disasters suggesting better not to participate in derivative markets (thinking here about events like Lehman Brothers, Fukushima or 9/11 ).
The position you refer was generated by intermarket set-up, which has a relatively tight stop loss and large profit target, generating high risk/reward ratio but low win/loss.
Having said that, since contrarian set-up now places target orders the day after it enters the market and had no intraday entry logic, I am developing and testing an intraday code that added to present strategy logic will manage intraday entries and exits. The new logic will delay entries in case of market dropping too fast, until stabilization clues manifest, while monitoring positions the day it enters the market, in order to take profit based on multiple average-trade value.
Hoping to have cleared some doubts, I am always available for info and clarification.
“Once you have properly tested a system, the best advice is not to follow the trades when they take place”
I think you mean : …the best advice is to follow the trades when they take place. Otherwise I don’t understand your point.
I completely agree with your final statement :
The temptation to close a trade too early and increase the win rate can turn a profitable system to a losing one.