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What performance do you expect


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What performance do you expect

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  #1 (permalink)
Istanbul
 
 
Posts: 25 since Sep 2020
Thanks: 13 given, 16 received

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!

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  #2 (permalink)
Legendary Market Wizard
Houston, TX
 
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@kevinkdog runs a monthly challenge for people who have taken his algo trading course. There are several criteria to enter but the most difficult is for the monte carlo simulation median annual return to drawdown to exceed 2:1 with the account sized as to have a less than 10% risk of ruin. So I would say that having a 2.5 to 3 :1 ratio may be a good target but I think it will be extremely difficult to actually achieve.

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  #3 (permalink)
Legendary 4LeafClover
Mumbai, India
 
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A bit old school, non-technical answer is outperform the index.

If you can't achieve that might consider not taking up trading as primary investment and return source. Its just not feasible and could be financial ruin.

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  #4 (permalink)
Istanbul
 
 
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LastDino View Post
A bit old school, non-technical answer is outperform the index.

If you can't achieve that might consider not taking up trading as primary investment and return source. Its just not feasible and could be financial ruin.

Totally agree, but how do you benchmark? I mean trading the S&P mini with a trend following strategy or a countertrend strategy, they should have more than just beating the index, shouldnt they?
You might have more or less risk with your strategy than the index for example...

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  #5 (permalink)
Istanbul
 
 
Posts: 25 since Sep 2020
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SMCJB View Post
@kevinkdog runs a monthly challenge for people who have taken his algo trading course. There are several criteria to enter but the most difficult is for the monte carlo simulation median annual return to drawdown to exceed 2:1 with the account sized as to have a less than 10% risk of ruin. So I would say that having a 2.5 to 3 :1 ratio may be a good target but I think it will be extremely difficult to actually achieve.

So here you mean a target of 10% risk of ruin with a 20% return ratio?
Or a 20% return / 10% drawdown AND at the same time 10% risk of ruin?

Thanks

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  #6 (permalink)
Legendary 4LeafClover
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JBroex View Post
Totally agree, but how do you benchmark? I mean trading the S&P mini with a trend following strategy or a countertrend strategy, they should have more than just beating the index, shouldnt they?
You might have more or less risk with your strategy than the index for example...

It can be as complex as you make it, there isn't going to be one answer as everyone's expectation out of their adventure in trading is different, outperforming index is just basic parameter to avoid the complexities, and when its mentioned like that without any added info, it just means whatever gains index has made in same period you are counting while you are trading.

You can also refer to index based mutual funds, they are usually more stable in terms of returns and may give you better benchmarking tool than directly comparing to Index, which as you say, can be difficult to compare with strategy that is designed for different risk and possible both side moves.

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  #7 (permalink)
Legendary Market Wizard
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LastDino View Post
A bit old school, non-technical answer is outperform the index.

If you can't achieve that might consider not taking up trading as primary investment and return source. Its just not feasible and could be financial ruin.

If your trying to beat buy and hold I would agree but for anything else I'm not sure that works.


JBroex View Post
So here you mean a target of 10% risk of ruin with a 20% return ratio?
Or a 20% return / 10% drawdown AND at the same time 10% risk of ruin?

The latter. The risk of ruin component is important. It stops you using a tiny account size to get high annual return but limiting your drawdown to account size.

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  #8 (permalink)
Legendary 4LeafClover
Mumbai, India
 
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SMCJB View Post
If your trying to beat buy and hold I would agree but for anything else I'm not sure that works.

Yes, that's always a problem.

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  #9 (permalink)
tampa florida
 
 
Posts: 63 since Sep 2020

shorting micro nnasdsaq mini here at 12,012
my margin is 1000 bucks
i am looking to exit at 50 % of my margin roughy or
250 dollars so
roughly 12,000 would be me my buy back price
doing this as we speak

the micro or mini my point i si base my gains on margin

i do not have a stop and i am not using a stop

and as per my plan i sell 1 more now

at 12,023.50
now my 50 % gain on margin is 500 dollars
my average price is 12,017.5
500/2=250 so i need a 12.5 point drop so
I have an order in to buy at 12,011.5 yes this is above my actual needed price but im not going to wait for this to hit i want to get fill
i sell another 1 at 12037
looking to pull out 750/3= 250
so again average price minus 3 lots to make 250 x3 =750

selling my last entry 12,034

in profits now on my averge for the 3 lot order to buy at 10.5 even

im holding 1 lot to the close

i keep reducing my % gain on margin as i add more positions to my trade. this way i do not need such a large move to take profits

flat picked up 750 on 3 still holding 1 and planon holding it into the close i have a stop on this position at break even

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  #10 (permalink)
tampa florida
 
 
Posts: 63 since Sep 2020


i start my trade again . i was stopped out at break een on my 1 lot hold .

i short at 12,091
i am looking to pull out 250 again on mini nq

i will add accoding to my add parameters

i short again at 12,102 if we hit
i sell my last lot now at 12,111 short 3 now
looking to pull out 750

average price is 12,101 so 12,088 i smy exit

buy order in at 12,088.75
will short 1 more at 12,105 even to hold into the close

i have no stops because i wouold nto take this trade if i did not like it at the entry points

no one is talking about the draw downs of 30 % 40 % 50 % buffet has taken over the years i view each day as a year when i am trading i am okay wiht drawdown if i dont take drawdowns then i just pay my broekrs and the exchange all day everyday

i just got filled on my 4th short at 12105 even to hold into the close.
i am almost out of this trade at break even

12,088.75 is till my bu order for a 3 lot at that point i will put in a break even stop on my 4th position it is just a luck trade as we sell into the clsoe or not these luck trades or risk free trades are bread and butter when they work out.

stopped out on 4th position still holding initial 3

in profits on my 3 lot trade

flat picked up another 750 onmy trade nd no 4th position since stopped out.
once i put this set of lots on to fulfill my trade i typically read or study other markets while the mkt does the work. i found that my trading profits reduce the more i watched the screen over the years.

anyway thats how i run my risk. but more importantly how i run my profits. i do the OPPOSITE of the books and most traders
i cap my gains at a consistent gain point per lot and i let my losses run but my win percentage on my flat to flat trades is almost always above 90 % based on my signals to put on my lot sets to make 1 trade. anyway good luck.
i am not sure what my max risk was because it doesnt matter to me how i trade. i have a daily max loss amount and that will dictate and automatically exit all of my positions if it is hit and this way i never worry about my losses. i know i have a max daily risk.

I always work in 3 lots as a unit and i may at times do 3 units which would be trading big for me because i would be maxed out at almost a total of 9 lots plus my 3 extra lots so i can at sometimes to be huge 12 total lots mini or 120 lots total micro. it is rare that i ever go above 2 units. i have hit my max loss daily only when trading 2 unts or 3 unts never on my 1 unit or 3 to 4 lot max keep your leverage low and you will survive

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