What ? is your best system finder on the grid.Thank you for your time.
mind is
AGE >=180
PF>=1.5
SHARPE>=1
AR>=50
LAST 30 DAYS>=1
APD>=.2
MD<=30
RF>=80
Age > 365 days
Max DD < 25%
Return > 50%
Trades futures.
That usually leaves less than 15.
Then I look at the equity curves to filter out those that had explosive growth in the beginning and then stagnated, or had a good run but have been going downhill lately, etc. In other words, I look for relatively smooth and consistent curves.
That usually leaves 3-4.
Then I look at each of them individually to see if they average down, if they can be safely scaled down to my account size, I read reviews and analyses, see all the stats in detail, and so on.
That usually leaves 0-1.
Pretty close to what I look for except for the following…
- I like (PF * % winners) > 60%. To me the two stats go hand in hand.
- MD < 25%
- Don’t use APD or RF because I don’t know what goes into the calculation
- Any system can lose money in 30 days, I prefer 90 days > 10%
- Sort by AR
what would you say if I have a basket of 3 components that generates consistent profit however when basket gets closed 2 components down and 1 is up/ What do you think stat woill look like as far as % winning and so on?
Age >= 650
PF >= 1.6
Sharpe >= 0.9
Last 90 days >= 10%
Last 60 days >= 5%
Veteran,
That is exactly my point. Win % is not a good stat in and of itself.
So in your example, your win % is 33%.
What is your PF?
What is your PF * Win %?
my question was hypothetical! I just started recently, so my my numbers are not that great. I am trading with no system just on my experience.
1.2* 55=66
but I have high sharpe and sortino,
Veteran,
Yes, my question was for a hypothetical system.
So in your previous example, if your win % is 33%, you must have a profit factor of 1.6 to break even.
Let’s say you have a system that cuts your losses quickly and lets your winner run. You system would naturally have a low win % and high PF. That is why I believe looking at only win % can be misleading.
50% is break even so when I look for a system, 60% is a min goal. My expectations are a little higher, especially for my own system. I strive for the product to be greater than 70%.
You say you are trading on your experience, not any system. It’s possible you do have a system, it’s just not formalized. I would encourage you to take that step and document your system methodology. You will want to include your system philosophy, money management, risk management, etc.
Hope that helps.
I have some arbitrage, pair trading and pure trading on technical patterns. I am very risk averse and when I see my entry point is not good I usually liquidate the trade before the problem occurs( at least I am trying). My moto is if trade is not working right away I usually get out caz I know myself and intuition plays its part. In this particular case when I started the system I made some mistakes due to lack of knowledge of the site and then I had some horrible site problem that screwed some of my positions( being positive and not being to close, i ended up with drawdown) That made my DD as high as 12%, BEFORE THAT it was only aroubd 3%.
My money management is simple. I dont like drawdowns, I’d rather close and reenter the trade if I see the idea is still correct.
"My money management is simple. I dont like drawdowns, I’d rather close and reenter the trade if I see the idea is still correct."
That does not mean that this method is better than any other. The market is about as likely to do what you intended, without incurring the increased of transaction costs of jumping in and out. Shrinking your stoploss (drawdown avoidances), and you just raise the number of losing trades. There is no free lunch.
I agree mostly however I want to ask the following/ Can you be 100% sure that my extra cost of transcation( in and out) is worse then just being stopped out?
Also, what about to consider extra cost of in and out as payment for insurance that I will not be stopped out?
Even if you trade in a discretionary manner, you should be able to test both methods out, and see which works better. Applying both methods to your previous trades would probably be a good exercise.
I am apllying what has been working for me . It is based on my own experience.
Veteran,
I personally trade by a predefined set of rules.
If you are appling what works for you, you should be able to document the rules. That might be a good step in defining your methodology.
If you are going by gut feel, then more power to you. Sorry, it doesn’t work for me.
you can be sure:
1) You are definitely paying spread, slippage, commission, fees (and perhaps autotrade fee) for your transaction.
2) If you have not thoroughly tested what you were doing before and what you are doing now, then a gut feel in "getting back in" is a completely worthless attempt to be clever.
3) The market is chaotic, mostly random and mostly unpredictable. Jumping in and out because you think you are avoiding drawdown is absolutely no guarantee that it works or has any value. You may get in at a more expensive price the second time, you may miss a good move in your direction that occurred while you are out, etc. etc.
No matter how much people think they will come into C2 and succeed, the carnage of 99%+ of the systems here are testimony to what happens when people think they have it licked.
The hallmark of the few successul vendors/traders I have seen, are people with an edge, solid money management, solid trade management, controlled leverage and exposure, avoid mistakes, know that preserving trading capital is above all else. extensive sim/paper testing, discipline, in control of themselves and their plan, good trading stats (Sharpe, Profit Factor, drawdown, etc.), understand it is about RISK-ADJUSTED reward, focused, a lot of experience that leads to solid planning…
Your untested plan, based on what seems to make sense, is what the 99% do.
What you have said is not needed to be set. It is empirical.
I do have predefined set of rules. No need for me to tell to everyone that I have stop loss no more than 3-5%, or anythng else/ I am not 99%.
I have been trading since 1994 and what is for someone needed to be defined is embeded in my mind.
It is funny for professional to say that preservation of capital is focus/ It is empirical.
It seems we discuss now the pro and cons passive and active management that has been a focus since some time.
"have been trading since 1994 "
Your earlier question on winning% says the opposite. Your relying on "intuition" says the opposite. As to whether you are in the 99% or not, we shall see over the next few weeks, no?
Empirical means "heavily tested and verified." It does not mean feel, intuition, or what seems right. You need to learn the difference.
Yes we are not to argue about what wining% says. Time will be a judge/ However you sound judgemental and too acedemical what tells me you are not too long on market.
"However you sound judgemental and too acedemical what tells me you are not too long on market."
I would characterize it as, seeing thousands of vendors of all ilks over the years who claim success or show promise, that almost all of them are self-deluded, deeply mistaken or daft.
C2 has good statistical power, is flexibile, allowing many kinds of instruments and style of tracking. The main problem, are the unending stream of lemmings, who are self-amazed at some backtest, or short-term fortuitous run of luck, etc.
They sign up, have visions of $$$ signs and subscribers, and are convinced (dream) that they are the system - the ONE - that will make money for the masses and enrich themselves. But inevitably, it shipwrecks on a reef, and joins the Cemetery of Good Intentions…
