2:50pm CST - I'm officially putting my RLM system on hold as far as trading it. I'll continue to track it but since backtesting results have never had three -$500+ losing days in a row, the edge is not currently present (or I'm just unlucky)! It may be the next 3+ days in a row will be $500+ day winners but I will not be participating. I can always resume trading it in the future when/if results dictate and my confidence in it returns.
Instead I plan to shift focus to other markets like ZS and maybe currency futures.
Net breakdown (contracts traded):
RLM -$601(14), ES -$155(2), ZS $232(6)
| RESULTS FOR DAY |
|---|
| Contracts: | 22
|
| Net $P/L: | -524 |
| Wins: | 4 |
| Losses: | 10 |
| Win%: | 29 |
| Avg$Win: | 166
|
| Avg$Loss: | -119
|
Posts
Have you considered getting some professional mentoring? Maybe from someone like Don Miller. Perhaps you have 90% of the puzzle figured out, and a professional mentor can fill the gaps? Just a thought.
ReplyDeleteI don't agree with the comment about getting a mentor or the 90% thing. My opinion is that you need to revisit what exactly an edge is.
ReplyDeleteI suggested a histogram because a histogram can help you quantify whether there's an expected value that's positive. The reason the circuit breaker doesn't make sense is because if you have a real positive EV, then every trade has that expectation and the long run should prove profitable no matter what. And, in fact, your empirical distribution of wins and losses gives you a hint as to the probability of being "stopped out" even given a circuit breaker scenario. You could even simulate such a thing using some kind of technique like bootstrapping.
What I think might be happening is just that you've got bias in your systems, perhaps you're localizing strategies or looking only at specific volatility regimes, and so on and so forth. You can't have a fixed stop-loss if there are shifts in liquidity or volatility. This is why it may be time to lighten up on the size, and invest more time into really, really writing some program (maybe in Excel?) that goes through and rigorously tests your ideas on thousands and thousands of intraday points.
EMini, not really, for lots of reasons I don't want to get into in a public blog.
ReplyDeleteTCat, I agree with what your saying but doing that is another matter. I have tested hundreds of trade ideas in the past (many in Excel) and had some success with actually trading some, until they stopped working for various reasons as systems often do (some due to over optimizing). I am currently at a crossroads between discretionary trading an "approach" vs. system trading. Finding a real edge is first and foremost for either.