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What performance do you expect


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What performance do you expect

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  #21 (permalink)
 bobwest 
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SMCJB View Post
Saying that though, if the only thing that @jamrock did was the posts in this thread then I think @xplorer banning is very heavy handed.

For what it's worth, we have gotten more reported posts from members on @jamrock's other posts, in the short time he was here, than probably any other member in my memory.

The fact that he was not banned already is due to considerable restraint among the moderators. This last post was not the only one which displayed an attitude. In this case, he pushed the level of rudeness too far and also explicitly asked to have his account removed. We generally comply with such requests.

I would have done it if @xplorer had not beaten me to it.

Bob.

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  #22 (permalink)
 SMCJB 
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Thanks for the explanation @bobwest
@xplorer I owe you my apologies

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  #23 (permalink)
 xplorer 
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SMCJB View Post
Thanks for the explanation @bobwest
@xplorer I owe you my apologies

No apologies necessary, S.

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  #24 (permalink)
 Massive l 
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2:1 at 50% win

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  #25 (permalink)
JBroex
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bobwest View Post
For what it's worth, we have gotten more reported posts from members on @jamrock's other posts, in the short time he was here, than probably any other member in my memory.

The fact that he was not banned already is due to considerable restraint among the moderators. This last post was not the only one which displayed an attitude. In this case, he pushed the level of rudeness too far and also explicitly asked to have his account removed. We generally comply with such requests.

I would have done it if @xplorer had not beaten me to it.

Bob.

I agree with your actions. Yes it was interesting to see how jamrock handles his trades, it seems he went a bit too far, especially with his reaction in the end. It should all stay civilized in the end if you ask me...

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  #26 (permalink)
JBroex
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Massive l View Post
2:1 at 50% win

Thanks for that.
Do you use a risk of ruin in measuring this performance?

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  #27 (permalink)
 mattz   is a Vendor
 
 
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The discussion of gain versus drawdowns is not straightforward (this is because traders may vary their strategy, leverage, and activity during a specific period).

When Return Versus Drawdowns are discussed, everyone assumes this:
1) The same strategy is being used
2) Same number of lots
3) Same trading activity (frequency of trading)
4) Traders would take each trade the system dictates.

This is not the reality for most traders. Any of the above factors could change for a trader.
So you need to check drawdowns every quarter, and if they vary, you must ask yourself if anything changed.


I rather take a plus 20 annual return and minus 15 drawdown, as long as it was the consistent year on and year out results Without any of the above changing unless there was a reasonable explanation for any deviation. When you examine returns versus drawdowns, it is essential to check the ratio of margin to equity.
(I have no idea how to measure day trading margin to equity when day trading margin is not a real measure. Exchange margins are better for this purpose).

Again, a 40% return versus 30% drawdown is not better than 25% percent, and 12% drawdown IF the 25% is more consistent over the years, and the trader does not change his strategy daily.

On a different topic: @bobwest and @xplorer, I appreciate the effort you put into keeping the topics not being derailed. It is hard when everyone shoves their two cents and people who are very normal in real life act like a "flight over the cuckoo's nest" when they participate in forums. Sometimes when you come half way to a post, you don't know whether it is a trading site or a TS Elliott poetry class for those who seek divine spirituality in their DOM or Candle Charts.

Keep up the excellent work! The normal people much appreciate it. :-)

Matt Z
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  #28 (permalink)
 aquarian1 
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JBroex View Post
Hi all,

I have a question on the performance expectations you have from your trading.
What kind of annual return / drawdown do you expect from your trading, or what do you put as your objective?

Up until now I never had a set objective for return and drawdown, thats why Im curious to see how you all approach this.

For example is a return of 40-50% with a 20% drawdown reasonable, 100% return with 40% drawdown? Or how about a 15% return and <5% drawdown?

I know it differs per strategy, but whats your general goal?

Thanks!

For ES/MES

Hi
I set up a spreadsheet for maximum drawdown/ risk of ruin and played with the input parameters. If I have 2:1 on a trade (make 10pts or lose 5pts) and a 3:2 win:loss ratio then I would "make it".

(I'm not saying I'm doing this right now - as I'm on the sidelines until I can catch up my database updating.)

Given these parameters my losses-in-a-row should not exceed 9 for the many simulations I have run. (each run 1000 randoms).

AS I trade, as a losing streak increases my size decreases and as a winning streak increases size increases - as per a formula.

Now the goal, 2:1 and 3:2, may be very difficult to achieve (or not), but following your stop is important.

So my answer is not framed exactly as your question because I don't like using the term "reasonable" in futures trading. I had previously gone through a long conversation with a physicist/part-time trader who asked what a reasonable return was - he was a new trader and had made 40%-on stocks. After many, many back and forth he finally clicked that percentage returns as used in stocks did not translate well in futures. (In futures you want to think in terms of margin, points/trade and size of your account.

Everyone's goals are different, as is their knowledge, account size, and time devoted.

Most people who have made a lot of money have started with a firm (e.g mutual fund, private wealth, trading desk etc) and done their learning with other people's money. The main take-a-way is you must learn risk management. Sizing and surviving is key.

I hope it helps.

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  #29 (permalink)
 deaddog 
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JBroex View Post
Hi all,

I have a question on the performance expectations you have from your trading.
What kind of annual return / drawdown do you expect from your trading, or what do you put as your objective?

Up until now I never had a set objective for return and drawdown, thats why Im curious to see how you all approach this.

For example is a return of 40-50% with a 20% drawdown reasonable, 100% return with 40% drawdown? Or how about a 15% return and <5% drawdown?

I know it differs per strategy, but whats your general goal?

Thanks!

My objective is to follow my trading plan.

I measure success by whether I followed my plan or didn't.

A losing trade that followed the plan is a good trade with a bad outcome.

My general goal is to decease the percentage of capital I lose on losing trades and increase the amount of capital I gain on winning trades. Increase my reward to risk ratio.

"The days when I keep my gratitude higher than my expectations, I have really good days" RW Hubbard
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  #30 (permalink)
 SidewalkAerobics 
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JBroex View Post
Hi all,

I have a question on the performance expectations you have from your trading.
What kind of annual return / drawdown do you expect from your trading, or what do you put as your objective?

Thanks!

I use the profit factor for expectations. Here is an example:

If you use a limit entry and limit exit on 1 minute bars you may find a percentage of your trades don't fill on at the limit (no fill). Alternatively you could choose to guarantee a fill at market (slippage).

To account for no fill/slippage, one could assume 100% of negative trades execute while only 50% of positive trades execute.

If a strategy trades at a profit factor of 2.0 then you could assume for example:
+$100,000 Net Profit= +$200,000 Gross Profit-$100,000 Gross Loss

In this example if you expected 50% of the positive trades ($200,000*50%=$100,000) and 100% of the negative trades (-$100,000) then you have $0 after all of the trades.

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