Swing Trade Portfolio - Psychology and Money Management | futures io social day trading
futures io futures trading


Swing Trade Portfolio
Updated: Views / Replies:137 / 4
Created: by dgresens Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

 
 
Thread Tools
 

Swing Trade Portfolio

 
Atlanta GA
 
 
Posts: 20 since Dec 2010
Thanks: 6 given, 3 received

Swing Trade Portfolio

Hello, I am contemplating the implementation of this swing trading portfolio that on ES, NQ, LH, & CT. I am interested in two things; how would you capitalize this portfolio, in terms of dollars, and method i.e. 3X max DD, or 3X margin requirements ($20K was an arbitrary number), etc., and secondly, is there anything in the statistics that is alarming, or in the style of trading I may have overlooked? Walk forward historical results are from 2014 forward.

ES and NQ are completely uncorrelated, different entry/exit logic, one breakout and one retracement, the LH and CT are mean reversion. Each holds trades several days. ES and CT trade the overnight sessions as well. Stops are in the algo, but not sent to the market until triggered.

Obviously overnight risk, opening gaps, and lack of full market liquidity due to the overnight session are risks, but we're trading one contract on each market. I am alerted upon any platform failure or trade execution (Speedy Trading Servers, & TS version 9.5).

Slippage and commission for each market are accurate and included in the stats. These systems are optimized once/year on a walk forward basis. Time frames range from 30 minutes to 240 minutes.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

 
 
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
 
Atlanta GA
 
 
Posts: 20 since Dec 2010
Thanks: 6 given, 3 received

Account Capitalization


Okay, I will ask my questions a different way.

How do you look at capitalizing your accounts? What methods do you consider when applying capital to a portfolio of systems?

Are there any metrics in your historical analysis that you tend to focus on from a (1) risk management perspective (2) or allocating capital to your account?

 
 
Atlanta GA
 
 
Posts: 20 since Dec 2010
Thanks: 6 given, 3 received

Futures Account Leverage Ratio

I will try to solicit a response a third way: do you consider your account leverage ratio? How much are you leveraged against your account balance. Not margin, but contract notional value.

Does anyone have a metric of a reasonable leverage ratio? I would think you want a ratio to be less than 10:1.

These numbers are NOT exactly representative of today's market prices, but for a conversational point;

Account Leverage Ratio: A $20K acct long 1 E-mini S&P is leveraged 8:1 ($165K notional value/$20K account value). If the account is long 5 contracts they are leveraged 40:1 ($825K/$20K). Is it a good general rule is to keep the account below 10:1 leverage even when you are the most bullish or bearish?

What is a good target number?

In my swing trade portfolio, depending on the combo of NQ, LH, CT, and ES I have a max loss with all contracts on of between 4% and 16%, again depending on the combination of contracts if all my positions fell apart at once.

Trading a swing portfolio - does anyone have a max loss target? I know it's risk and account balance based and highly personalized. Just trying to get a feel of what other might look at.

 
 
Stockholm, Sweden
 
Trading Experience: Intermediate
Favorite Futures: FDAX, ES
 
veloxtrader's Avatar
 
Posts: 62 since Oct 2018
Thanks: 281 given, 154 received


dgresens View Post
I will try to solicit a response a third way: do you consider your account leverage ratio? How much are you leveraged against your account balance. Not margin, but contract notional value.

Does anyone have a metric of a reasonable leverage ratio? I would think you want a ratio to be less than 10:1.

These numbers are NOT exactly representative of today's market prices, but for a conversational point;

Account Leverage Ratio: A $20K acct long 1 E-mini S&P is leveraged 8:1 ($165K notional value/$20K account value). If the account is long 5 contracts they are leveraged 40:1 ($825K/$20K). Is it a good general rule is to keep the account below 10:1 leverage even when you are the most bullish or bearish?

What is a good target number?

In my swing trade portfolio, depending on the combo of NQ, LH, CT, and ES I have a max loss with all contracts on of between 4% and 16%, again depending on the combination of contracts if all my positions fell apart at once.

Trading a swing portfolio - does anyone have a max loss target? I know it's risk and account balance based and highly personalized. Just trying to get a feel of what other might look at.

Hey Dgresens, these are all very interesting questions and in my mind crucial, you are doing the right thing thinking about this and I will offer my 2c, mind you I don't develop trading systems, but you can look into what kevinkdog has written on this site by using the search function.

Now I don't know anything about your trading experience but to me a -4% and -16% loss sound like a bit to much, but what worries me more is the sharpe ratio of 0,1542. I guess it is based on the leverage factor of the contracts compared to margin? If not than I would think about trying to decrease volatility somehow, the notional value of 165k vs 20k is fine from a text book example but in the real world some people can handle the risk and others can't so you have to decide and figure out what is right for you.

For me personally I day and swing trade derivatives on the DAX, FESX and Spoo to hedge my core equity holding, so I might have a 70% core equity long exposure, put on my trades and get to 20% net long / -50% net short, notional exposure 120% (gross leverage, my max is 200%, never been that high). This does 2 things first it relieves the pressure of any one trade, secondly it improves my sharpe ratio by a lot if Im trading well.

Now this is the route I took after getting to know myself, I want to participate and grow my account slowly but still beat the overall market, basically my risk of blowing up is small (not 0%), the markets might crash but hopefully I will have been short some of the way. Also I can continue to grow by managing more of my money but also other peoples money, which is also a good way to decrease leverage if you can get some investors. So I keep track of my risk on a trade by trade basis and on a overall exposure basis, which I think is important for anyone trading more long term and with multiple positions on at the same time.

So I would figure out what your personal goals are, if I was to implement your system I would trade ETF's with a small amount of leverage until I reached a point where I could trade futures leveraged 3-1, but that is just me, you will not find people with a exposure of 20-1 swing trading (without offsetting that risk with some kind of spread in a different yet correlated market), some corporate credit or mortgage traders can be really leveraged but that usually doesn't end well, see Lehman brothers. Are you fine with losing 15% of your account? 30%? 50%?

To summarize, you really have to decide what type of risk level you are comfortable with, from experience I would say that going live it is usually a lot less than what we think. You seem to have a good grasp of the risk involved mentioning the opening gaps etc, so keeping in mind the notional value of your exposure overnight is a good way to do that. Like I said only you can decide for yourself but hopefully you gained something from my ramblings.

Velox

Follow me on Twitter Visit my futures io Trade Journal

 



futures io > > > Swing Trade Portfolio
Thread Tools



Upcoming Webinars and Events (4:30PM ET unless noted)
 

futures io is celebrating 10-years w/ over $18,000 in prizes!

Right now
 

$250 Amazon Gift Cards with our "Thanks Contest" challenge!

Right now
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Automatically plot lines "x ticks/pts" below swing highs/above swing lows skiguy NinjaTrader Programming 4 April 7th, 2015 06:50 PM
Why Day Trade instead of Swing Trade? Big Mike Traders Hideout 39 September 12th, 2014 11:05 AM
Swing Trading Stock Portfolio (EOD) - Hedging? ikeaboy Options on Futures 4 February 3rd, 2013 12:35 PM
Swing trade losses vs day trade losses copa8 Psychology and Money Management 4 June 6th, 2012 01:14 AM
Emini's Swing trade v day trade kctpac Emini and Emicro Index Futures Trading 0 March 1st, 2011 10:32 AM


All times are GMT -4. The time now is 09:36 PM. (this page content is cached, log in for real-time version)

Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts