Monday, February 8, 2010

Mon. Blues

3:00pm CST - OK, my RLM system is officially frustrating me! This morning I was up $440 in the first 10 min. of trading. Oh so close to my shut down point. Then the drawdown begins until I shut 'er down on the negative side. If I had continued (breaking my rules), the remaining 11 trades of the day (not taken) would have grossed: $300, $120, -$200, $130, -$100, $300, $300, -$200, $300, $120, -$40 = $1030, less slippage/commissions. With my realized loss, that would have netted around a $300 RLM day.

Of course the flip side to this is there have been days (like Friday) where I hit my daily loss and if I had continued trading, the subsequent trades would have doubled that loss! It is possible my system performs poorly with this increased volatility or the "edge" is too slight. Time will tell...

At least I had success in ZS today. A 2-lot would have been nice there. OK, enough hindsight trading.


Net breakdown (contracts traded):
RLM -$668(20), ZS $245(1)
RESULTS FOR DAY
Contracts:21
Net $P/L:-423
Wins:4
Losses:8
Win%:33
Avg$Win:175
Avg$Loss:-140
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3 comments:

  1. spooztraderFebruary 8, 2010 at 3:14 PM

    Are your systems automated? If you have backtested fully and know you have an edge, I don't see why you should limit yourself with a daily profit/loss point. If you've got an edge you want that system entering as many trades as possible when a setup appears.

    I think the daily limits are a good idea for discretionary trading where emotions come into play.

    Just my 2 cents for what it's worth.

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  2. AnonymousFebruary 8, 2010 at 3:34 PM

    If your trade has an edge, no sense limiting it. If it has a positive expected value, just let it run. What I like to do is do a histogram of winners and losers (bucketed by some arbitrary amount that makes sense) and see if the distribution is skewed towards the positive side.

    Try it. If you're using Open E-Cry, it seems like they have a back-testing environment for Easy Language. No TradeStation required. If your system is simple, you might be able to program it with little to no programming knowledge at all.

    ReplyDelete
  3. MBAGearheadFebruary 8, 2010 at 4:47 PM

    Thanks Spooz, no automation here, just me and my index finger! I agree with your statement but have not had good results in my past when trading all day and taking every signal. Thus the daily limits...

    Thanks TCat, good idea on the histogram. I normally plot the cumulative P/L curve to see which way it slopes or how volatile it is. Similar approach... OEC does not have a good back testing environment to my knowledge. You can import some Easy Language indicators though.

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