2:15pm CDT - My crude system I've been trading has had a max drawdown of around $9300 back in Oct. '08. Recent drawdown has peaked at $6100 (so far). My soybean system has had a max drawdown of around $9400 in May/June '09. (Note to self, could this be seasonal?) Current drawdown has been $3600 (so far). So although I don't like the funk things are in lately, I should plow ahead. Drawdowns are part of trading. Unless/until I come up with better systems/methods, drawdowns reach levels outside of historical norms, or I lose my confidence for other reasons, I will continue trading these systems.
Today was frustrating as I was up over $1000 at one point. A new method I'm still testing out had 6 signals today in crude. I took 1 of them which was the only loser of the 6! Mondays...
Net breakdown (contracts traded):
ZS -$1037(12), GCL $196(10)
| RESULTS FOR DAY |
|---|
| Contracts: | 22 |
| Net $P/L: | -841 |
| Wins: | 2
|
| Losses: | 2
|
| Win%: | 50 |
| Avg$Win: | 362 |
| Avg$Loss: | -782
|
Posts
It does look like cyclicality is part of the issue here...if you look at the index markets and compare them with commodity plays....one market type has structure while the other doesn't and with seasonality in play the situations is sometimes reversed.
ReplyDeleteThe index futures has structure to them at the moment....while the commos are berserk....
You know what i will suggest next...would a trading strategy that combines one market of each possibly smooth out the equity curve....?
Thanks for comment Sandy - the answer to your good question is "maybe". However I have found that index futures like ES are very correlated with CL. CL and ZS on the other hand, not correlated at all. But I'm always looking for ideas! Maybe I just need a good "Sandy Volume Filter"? :)
ReplyDeleteI don't know what your methods are, but I think your loss is acceptable since your winner usually bigger. I was just upgrading my system with moving average so the breakout without EMA confirmation is no entry. I can avoid chopped out and fade most of the time.
ReplyDeleteWhen I first read Barry Taylor's approach, non correlation it struck me as mumbo jumbo. But to a lot of us who can't study action expertly (yet) AND don't have the discipline to stay on the sidelines when the structure isn't clean (meaning me!) adding non correlated filters is a step in that direction....
ReplyDeleteWhile Barry's approach has great merit I couldn't get comfy with it....so I tired devising my own....
We'll see whether I am full of it....