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2020 profit and loss results


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2020 profit and loss results

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  #1 (permalink)
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Hi guys,

I'm posting a new poll and opening the discussion to discuss 2020 results (profit and loss).

Please tell us how you did in 2020. It's not just about the money, so be sure to tell us what you learned, what you changed, what you discovered to work or not work --- etc.

Happy Holidays to all!

Were you naughty or nice this year? (2020 profit and loss results)

Total votes: 387
 


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  #2 (permalink)
Legendary Market Wizard
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I'll get things started I guess. This was a very educational year for me, which sounds boring but it was anything but. I chatted with @wldman at the end of 2019 about the Tao and being like water, knowing that 2020 was going to be a breakeven grind for me.

I ended up making 2020 the epitome of a grind. Many, many, many small winners. About 8 days total wiped out many of those good gains because of revenge/rage-trading. I ended up about breakeven to a little down. I jumped back and forth between the micros and the ES & YM, and my 8 days were losers in the YM mostly. I learned a lot about the need to stretch winning trades more, this was so hard for me.

I am now on a new platform and broker (switched from tastyworks to Edge Clear/Sierra Chart) and I am looking forward to year 3, I know now how to avoid disaster days as long as I can keep my ego in check. I know I need to hang on to winners which I wasn't able to do in 2020. All in all I think I'm excited about the prospects for 2021 because I've been learning what not to do these past few years.

I think you can make big moves by blocking off your self-destructive behaviors.

Thankful to @Big Mike and all the FIO traders here who share their findings, hope I can just add value for someone else!

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  #3 (permalink)
Legendary Market Wizard
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It was a good year. I was able to take profit from some (expensive) learnings I made in recent years.

Eg.:

The smaller the trades the bigger the profit over the year.

Diversification is key.

There are times to sell options. There are times to trade seasonals. There are times to follow the trend. And there are times to sit and wait.

There are trades I do not enter. Even if they look tempting. (Eg. selling NG options, ending with Z, F, G, H or selling grain options in weather markets)

Thanks a lot to Mike and to everybody else who contributed to my learnings.

Best regards from Austria, Myrrdin

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  #4 (permalink)
Legendary Market Wizard
Houston, TX
 
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Been a strange year (obviously). Since I work from home the pandemic didn't effect my work/trading at all. The Crude Oil volatility in Q2 and the Bitcoin rally the last few months have both been very lucrative. On the other hand being long USD hurt, and I was late to the Gold party and am now holding positions that are underwater but happy to keep them.

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  #5 (permalink)
Market Wizard
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Responding because @snax tagged me.

It is interesting to me the types of people that are willing to discuss specific profits. I generally do not do that because of the negative connotation I associate with the flashy in your face types...the ones that claim epic riches and the other negative insecure personality type that lies about everything to compensate for something.

I am NOT assigning those labels to anyone specifically...certainly it is difficult for those "types" to survive for long in this FIO forum. Bullshit horns sound pretty quick here, thanks to wonderful leadership and an honest diverse and authentic fabric that seems to connect the membership.

"Results"

1) Full implementation of "The Strat" over the last two years has made a dramatic impact. Profits are almost always left to run. Trades NEVER become "investments". I have a slight lead on the ratio as in any given month 60% to 72% were winners. I don't pay attention to "R" or "Sharpe Ratio"...not because I disrespect the mantra, but because I don't need to. It is cliche, but killing losers little is both the hardest adjustment and the most beneficial adjustment to make. Don't be afraid to be wrong, be afraid to normalize losing money.

2) The "hedge trade" has been wildly successful. The application that was created to limit losses, has nearly doubled profits. The hedge is against investment longs...positions that are generally held as ownership interests in ongoing businesses. Good fortune has made it so that hedge profits plowed back into investment longs this year have been unbelievable. I was neutral into the shit show and was mediocre at trading in and out of the hedge, but DANG

3) Expanding time frame and eliminating reliance on my beloved 1600 tick /ES chart has greatly reduced the stress of being continually in the mix.

4) I am nowhere near prolific. I have probably triple the appropriate "cash position". I have not used margin well at all. Investment longs that are "fairly valued" are hard to find. Enthusiasm to maintain the requisite focus is sometimes a challenge. I have failed to consolidate a high achieving collaborative. I struggle to trade and invest liberated from my overriding world view. I am afraid of the IRS.

5) I acknowledge that if 4) represents my "problems" that I should STFU and keep my head down.

So...we tend to develop a harmful, not a beneficial metric when we quantify results in gross dollars.

If I said I made $100,000 per 1MM dollars that would communicate a few things. First, it would say that I am NOT better than "market returns" in a typical year. But, if I said who would like to make just $100,000 trading in 2021...how many people would think they "made it".

I present this as a way to get people to realize that they ARE good enough and that they CAN do this. On the same ratio someone making $500 this YEAR on a $5000 deposit is having the same level of success. The catch, of course, is that $500 per year does not operate a household. This illustrates how the "fantasy calculator" works...and confirms that as the work of the Devil...not to be confused with DevilMan...lol. If you do not have the luxury of a large deposit, recognize that it takes time. Identify and avoid setbacks. Do not "take shots".

Typically, I am very far beyond satisfied with 2X absolute value of market return for the year. I am really happy with anything better than absolute value of market returns. In the last 10 years I've failed to beat the market 3 times, I've matched the market (+/-) 3 times...and 4 times Ive been really happy of far beyond. Note that the single most important aspect is that I was fortunate to start many years ago with a well funded account and in a situation where most of my lessons were learned with other people's money in my role as market maker or firm trader.

The "mean" return since inception is 11.6% for the "index". This is why I bore you all with "investment longs" and effective use of other people's money (margin). Ask your broker about qualifying for "portfolio margin". If you don't know what that is you are doing this wrong. Run data on "invested" at market return over the last 30 years. ADD to that each year based on "trading" proficiency equal to some % of market return.

@ me if you want to talk about or rebut it.

Happy Thanksgiving everyone. Trade well and do well.

-Dan

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  #6 (permalink)
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My algo's did great. Bailed me out of two holes that discretionary trading got me into. Currently break even but learned a lot. Mainly that discretionary trading is not for me. I see all of these articles, posts, trading journals, etc. of people making thousands per day with almost no losing days, and that gets me in the mindset that I need to be doing better. Broker must love me during those days. Honestly I thought about making a strategy that takes double the position in the opposite direction as my discretionary trade. I would have been quite profitable with that (a lot of us probably would be). The problem is I built systems that worked great, and performed well, but I thought I needed to be doing better. I am on a small account (<$30k), so if I want to discretionary trade I have to turn some algo's off. I thought I could match my algo profitability and possibly outperform based on using my mind to analyze what's going on in the market rather than letting my strategies play out. I let myself fall into this trap twice and I was very wrong.

Here are the goals for the rest of the year and next year in order of importance.

1. Stop all discretionary trading.
2. Realize on my account size that consistently profitable days of $50 to $500 is a great return and these forums about $1000 to $5000 days from other traders are on much larger accounts, or from traders with much more experience than me (or in many cases fake). I trade on the side, not for a living, and the goal is to make some play money and have fun doing it.
3. Let the algo trades play out completely.
4. Don't overthink systems that are working. Continuing to tweak and filter can turn something pretty good into something ugly and you lose where you started from.
5. Work on notating and documenting systems better so I can look back on them a year from now and realize what they are doing.
6. Continue to build on my algo systems.

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  #7 (permalink)
Legendary Recovering Method Hopper
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As @wldman expressed, I feel that results measured in dollars mean little in the absence of context such as account size, drawdown, and volatility to name but a few factors. With that said, expenses are paid with dollars and not percentage returns - $500,000 in YTD profits impacts one's lifestyle and net income in a vastly different way than $5,000 does. When I began trading I knew that I wanted to be transparent about my results in both absolute and relative terms to serve as a reference for other aspiring traders. To be clear, I am not at all suggesting that those who choose to keep their finances private are lacking transparency - I absolutely understand and respect the reasons to keep that information close to the vest.

Results:

As of 11/27/2020 my YTD P/L is $17,696.32. The starting account balance was ~$85k and I have deposited ~$15k over the course of the year. Conservatively speaking, letís assume a $100k starting balance - 17.6% YTD return. The maximum drawdown occurred in Feb/Mar and equaled -13.7% from an earlier peak of $94.5k (end of day account balance not intraday negative excursion!)

I began logging the hours I spend on trading, research, and testing on 4/16/20. Over the course of the past 225 days I have recorded 860 hours for an average of 3.8 hours per day (including weekends). Extrapolate for the first four and a half months of the year and the sum comes out to 1265 hours. This is likely a severe underestimation as it only counts the hours I spend doing work directly related to my trading, and excludes time spent on related activities such as browsing forums, creating YouTube videos, etc. $17,696.32 divided by 1265 comes out to an average hourly wage of $13.98 which is just slightly higher than minimum wage in New York state. The difference is that I am fascinated by trading and enjoy this Ďjobí much more than any other employment Iíve had.



Systematic Trading:


I began the year trading most of my capital on a multi-day mean-reversion stock strategy. This was the first solid system I had developed and it worked very well during the grind higher between October, 2019 and February 2020. The model was absolutely obliterated in the Feb/Mar crash but I thankfully began allocating some capital to a newer model that rotated between Treasuries, Gold, and the S&P500, which held up much better during that period. I currently trade this same model, albeit a revised version, with leverage.

The version of the model that I currently trade has returned 49.2% YTD without leverage. There are two primary reasons why my live account performance is lagging these figures by 30%. The first is that I didnít begin dabbling with this strategy live until February 24th. I didnít begin trading it with the majority of my capital until April 1st. The second reason is that the first version of the strategy was somewhat curve-fit and out-of-sample performance on my live account, while profitable, significantly lagged in-sample performance. The revised version removed all of the curve fit logic, greatly simplifying the code, and increasing robustness. These changes took effect on November 1st.



Discretionary Trading:


I was very fortunate to find a mentor in August. Working with him has been a tremendous learning experience. I began to focus less on daytrading and more on swingtrading momentum/growth stocks. The past three months trading in this style under his guidance has been the best discretionary trading results Iíve ever had. I still dabble in daytrading with small size but no longer feel that intraday trading is the only way to reach my goals. Many of the guys at the top of the USIC leaderboard with triple digit YTD returns are trading variations on Mark Minerviniís and William OíNeillís approaches. If I can add alpha through daytrading, great. If not, I believe I will still be able to achieve acceptable returns.



More important than the money made this year are the lessons learned:

-Money is nothing more than a tool. In a post on January 30th I wrote ďmy days gain/loss is sitting at -$720. Ouch.Ē My relationship with money has changed significantly over the course of the year. Of course I still donít like big setbacks in my equity, but I do much better now at separating my trading results from my emotional state.

-Curve-fitting is NOT the most robust way to build a model, and simpler is (almost) always better.

-Intraday trading is really hard. Iíve had some modest success now with both systematic and discretionary trading on longer timeframes but still have yet to produce alpha on a consistent basis from daytrading.

-Be the master, not the jack. Working towards mastery of an imperfect method is much more productive than searching for a perfect method.



Thank you Mike for this poll - I found this reflection to be very beneficial!

I hope I didnít overshare, and that this reflection is helpful in some way to others.

Cheers,
Zimmer

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  #8 (permalink)
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I hope everyone is having a good year, staying happy and healthy! I very much appreciate the knowledge that is shared by the members of this forum.

All in all my trading is off to a start that I personally am pleased with. (Though I will say my goal is to make at least 40% year on average while keeping my day job. Eventually would like to quit dayjob, but that is a different topic for another day!)
This is the first year I have actually gotten my feet wet with trading my algos in a live account. I went live mid June and thus far am up 22.7%. The biggest thing I have learned this year is that coming up with algorithms that are properly developed and engineered is hard enough, but actual implementation of an automated IT infrastructure is certainly not something to ignore during planning phase (though itís nowhere near as difficult as developing a properly made algorithm.) Iím probably out 5% getting the rubber to meet the road there. It is required in my view to have the framework such that you are automatically notified if your trading server goes down / if you have a position mismatch.
Apart from that, Iíd like to share some things that I have learned from just getting my toes wet this year and in the time Iíve been working up to this point in general. Please keep in mind that this is coming from a novice trader who never discretionarily trades (and probably never will) and does not HFT. I will hold a trade for typically hours within a ďsessionĒ, but will never hold trades past the session. Depending on what Iím trading this means Iím always out by New York close or around noon.
Tidbits Iíve learned developing algorithmic trading strategies to date:

1) How the strategy is developed is at least as important as the metrics a strategy is projected to generate based off some backtest
a. Many people unknowingly downgrade out of sample data to being in sample data during their development process. If one performs any optimization over a data set, it must be viewed as being ďin sampleĒ. Some traders may develop an algorithm and back test it from 2001 to 2016, but then walk forward optimization from 2001 to 2020. If you do this, please know that you have then ďtouchedĒ the data from 2016 to 2020, and now all that data is in sample. Systems that were developed on 100% of data being in sample are much more likely to fail in the future. Highly recommend at least 2 years of data being completely out of sample
2) Sometimes, shit just happens. I encountered a market fill on MESZ20 darn near 120 ticks against me and it hurt. I was tempted to completely redesign limit fills into my algorithm, but then remembered tidbit #1 above, which leads to tidbit #3
3) If you are a non-discretionary trader, do not just ďtweakĒ a system around some black swan event. Experience I had in 2) above will happen again, but they are rare. Last thing I need is to miss out on phenomenal trades in the future just because event above very rarely happens.
4) When one is developing algorithms to trade using a genetic pattern finder, it is far more fruitful to look at the statistics of the systems that are being generated as a group rather than to just focus on statistics of a single system. If all the systems being generated are passing your criteria to go live on truly out of sample data, then that really bolsters confidence, and from what I can tell, makes it far more likely that the individual system(s) you select will perform well farther into the future. If this is obvious to you, then thatís fantastic, but I will say that this was revolutionary for me.
5) Correlation is not all bad. It can be useful to look at correlation of systems losing money and correlation of systems gaining money separately. Idea here being if all the systems trade and make money, then great, we just donít want them to all lose at the same time. That hurts, and systems should be selected such that is extremely rareóand not even witnessed during portfolio backtest and forward test.
6) For intraday swing systems, human nature wants us to have tight stops and a small(er) take profit. Iíve performed a lot of analysis across markets and for intraday swing systems that is the opposite of what one should do from what I have seen. Fairly loose stop losses and extremely ambitious take profits seems, over the long haul are statistically better
7) I am an engineer professionally, and hardly been accused of being one driven by emotion, but truly nothing can prepare you for what your thoughts / emotions can be for when you are first deploying a trading system. Having a written plan in place for what your ďcutoffĒ criteria can be ahead of time can be extremely valuable. And for crying out loud, donít go tweaking on something that is statistically valid just because you have a bad day. The day that you lose trust in a system is the day you should throw it away. The system has cheated on you and you need a divorce lol.
8) Have an idea of what your metrics should be going into trading development. For example, I like my winning percentage to be at least 60 percent with winners:losers >= 1.4. Iím also happiest when winning streaks are around twice as long as losing streaks, and I know a system drawdown of 30 percent is the budget I do not want to bust in development. Bottom line, know where your comfort zone is and stick to it. If a market wonít give it to you, donít force the market, find another market 😊
9) Manage your trading system(s), but donít relentlessly critique them. It seems human nature to me to easily see all the times where ďit was obviousĒ we could have done better, but we seem incapable of keeping score against ourselves, when clearly our system was smart(er).

Cheers!


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  #9 (permalink)
Atlanta GA
 
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I'm still a new futures trader (<6 months). I've donated about $1500 to the discretionary MES gods that I attribute to hard knox education.

As a seasoned technology guy in my full-time life, I've decided to focus on algo trading going forward. I simply don't have the time during the day to focus on the markets. That makes something hard even harder and facilitates losing money.

However, I've written software before and get complex data analysis. I'm building my development and testing ecosystem now and hope to dive deep over the holidays. I can code and test nights/weekends without impacting my primary income.

I hope to get at least one reasonable strategy automated going into next year. It's a learning process.

At 50yo, I'm looking at a 5-year time horizon before I need the money I seek to earn trading (think semi-retirement as I travel the country in my big-ass RV). Adopting an automated approach is also conducive to that lifestyle.

Happy to be on futures.io. Lots of great info and insights to consume as I build my skills toward having a small retail trading business in my retirement years.

Tony

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  #10 (permalink)
Site Moderator
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FT126 View Post
I hope to get at least one reasonable strategy automated going into next year. It's a learning process.

At 50yo, I'm looking at a 5-year time horizon before I need the money I seek to earn trading (think semi-retirement as I travel the country in my big-ass RV). Adopting an automated approach is also conducive to that lifestyle.

Happy to be on futures.io. Lots of great info and insights to consume as I build my skills toward having a small retail trading business in my retirement years.

Tony

Welcome Tony,


Algo trading is a fascinating subject, just as well you are familiar with complex data analysis since you are likely going to need it.

There are quite a few algo traders on FIO - @kevinkdog is among the more expert ones in the field, should you have specific questions during your development process.


In any case, good luck!

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  #11 (permalink)
Atlanta GA
 
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xplorer View Post
Welcome Tony,


Algo trading is a fascinating subject, just as well you are familiar with complex data analysis since you are likely going to need it.

There are quite a few algo traders on FIO - @kevinkdog is among the more expert ones in the field, should you have specific questions during your development process.


In any case, good luck!


I appreciate the feedback and referral to @kevinkdog. I'm really looking forward to diving into his content and others as I develop my platform, or extending NT8 as the case may be.

I'll look to make contributions to FIO as I make progress in my journey. I've already received much from the contributors and will give back as I can to add value to the community.

Thanks,

Tony

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  #12 (permalink)
Site Moderator
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FT126 View Post
I'll look to make contributions to FIO as I make progress in my journey. I've already received much from the contributors and will give back as I can to add value to the community.

Great. I've found I learned so much since I joined FIO by simply interacting, asking questions as well as helping others with what little I knew then.

I think contributing helps others but helps the contributor as well by cementing their own knowledge.

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  #13 (permalink)
saint louis MO
 
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2020 was my first full year of trading in the Black!! After failing miserably at discretionary trading I decided to research a systematic approach late in 2019 and that led me to @kevinkdog . I began tooling around with his free strats he gives out and immediately dove head first into algo development. I learned pretty early on that the strats I was developing were okay but not great. After watching nearly all his Youtube videos I decided to spend the money on his course and that truly has been the defining moment in my success as a trader.

I started live trading back in June of this year and I ended the year with, if you would believe it, exactly 100% return and after the turn of the year I am up very near 150% in my account since June. I will say I did have a maximum of $5000 drawdown in account. Currently I am trading MGC 4 contracts and MES a max of 3 contracts long or short. I also am trading US, CL, NG, Soy, and Corn. I have one strat that I have developed that actually passes my criteria for live trading and I may turn that one loose on the market next month. So many of my strategies have had good luck lately and I know my worst drawdown is ahead of me but I am absolutely confident now that I am on the the proper path to success.

I will say that my account size was fairly small to begin with but it was enough to get me to the point where I feel comfortable trading the full size contract of many assets at the same time. From my experience trading these assets now I know I need a higher acct balance before increasing position size but I know the day will come soon.

My goal was 50% return each year and I hit the 50% mark after 6 months and from there my equity has gone near vertical. While 2020 sucked in many respects as far as trading goes it was my best year ever.

The interesting part is if I have been live with all the strats I have now at the beginning of the year instead of starting June 5 then My return would have been near 300%. That is just crazy to even think about. I am eager to see how this year goes for me and even more eager for @kevinkdogs event this April.

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  #14 (permalink)
Boca Raton, FL
 
 
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Kevin knows better than me and you'll probably feel more comfortable hearing it from him but 50% return per year ... long term is not realistic.

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saint louis MO
 
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Kevin knows better than me and you'll probably feel more comfortable hearing it from him but 50% return per year ... long term is not realistic.

May I ask how well did you do last year percentage wise? 50% return I believe is absolutely achievable given a proper approach. maybe it wonít happen every year but like this year some years may be 200% return others may be negative others may be 25 or 50. But it canít hurt to aim high as long as your approach is solid.

One things for sure, if you have 10, 20 or maybe even 50 strategies that all produce a healthy back test and are behaving like the back test, if one fails in one year but most do well then a healthy return can be expected. Iím sure as my account grows I may temper my goal for 50% but in the meantime with a smaller account size itís absolutely achievable.

It really boils down to risk tolerance. If you trade for fun I can see how smaller returns are expected. But if you plan to trade full time I would hope that a higher return is expected.

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Kevin knows better than me and you'll probably feel more comfortable hearing it from him but 50% return per year ... long term is not realistic.

It all depends on the risk involved. If you say 50% annual return with 10% maximum drawdown, I'd definitely say not long term sustainable.

If you say 50% annual with 50% maximum drawdown, I'd say that is possible BUT it is a lot of risk, and a lot of stress, and most people would probably quit before achieving it.

My personal goal every year is 50% return, with 25% maximum drawdown. That doesn't mean I always achieve one or both, but that is what I aim for.

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May I ask how well did you do last year percentage wise? 50% return I believe is absolutely achievable given a proper approach. maybe it wonít happen every year but like this year some years may be 200% return others may be negative others may be 25 or 50. But it canít hurt to aim high as long as your approach is solid.

One things for sure, if you have 10, 20 or maybe even 50 strategies that all produce a healthy back test and are behaving like the back test, if one fails in one year but most do well then a healthy return can be expected. Iím sure as my account grows I may temper my goal for 50% but in the meantime with a smaller account size itís absolutely achievable.

It really boils down to risk tolerance. If you trade for fun I can see how smaller returns are expected. But if you plan to trade full time I would hope that a higher return is expected.

Actually, I'd say the smaller accounts are easier to "shoot for the moon" with high returns. If you trade full time or with a lot of capital, you'll focus more on not losing money, rather than making huge gains. You'll become a bit more protective of your capital. With smaller accounts, most people feel OK being more reckless...

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2020 was my first full year of trading in the Black!! After failing miserably at discretionary trading I decided to research a systematic approach late in 2019 and that led me to @kevinkdog . I began tooling around with his free strats he gives out and immediately dove head first into algo development. I learned pretty early on that the strats I was developing were okay but not great. After watching nearly all his Youtube videos I decided to spend the money on his course and that truly has been the defining moment in my success as a trader.

I started live trading back in June of this year and I ended the year with, if you would believe it, exactly 100% return and after the turn of the year I am up very near 150% in my account since June. I will say I did have a maximum of $5000 drawdown in account. Currently I am trading MGC 4 contracts and MES a max of 3 contracts long or short. I also am trading US, CL, NG, Soy, and Corn. I have one strat that I have developed that actually passes my criteria for live trading and I may turn that one loose on the market next month. So many of my strategies have had good luck lately and I know my worst drawdown is ahead of me but I am absolutely confident now that I am on the the proper path to success.

I will say that my account size was fairly small to begin with but it was enough to get me to the point where I feel comfortable trading the full size contract of many assets at the same time. From my experience trading these assets now I know I need a higher acct balance before increasing position size but I know the day will come soon.

My goal was 50% return each year and I hit the 50% mark after 6 months and from there my equity has gone near vertical. While 2020 sucked in many respects as far as trading goes it was my best year ever.

The interesting part is if I have been live with all the strats I have now at the beginning of the year instead of starting June 5 then My return would have been near 300%. That is just crazy to even think about. I am eager to see how this year goes for me and even more eager for @kevinkdogs event this April.

Congratulations to you sir, and I very genuinely mean that. I would caution you though not to expect that as the norm.


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Kevin knows better than me and you'll probably feel more comfortable hearing it from him but 50% return per year ... long term is not realistic.

Long Term Realistic... Renaissance Technologies, probably the most successful Hedge Fund ever had averaged returns of approximately 60% I believe, and they are the best of the best of the best.

Since we're all talking about Kevin (go Browns!), in the class I did with Kevin early in the class Kevin asked what was a fair expected return? He then showed the top performing CTA's over the last (I think) 1 and 3 years. My take away was if your expecting to outperform the best CTA's in the business then your expectations are to hgh.


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It all depends on the risk involved. If you say 50% annual return with 10% maximum drawdown, I'd definitely say not long term sustainable.

If you say 50% annual with 50% maximum drawdown, I'd say that is possible BUT it is a lot of risk, and a lot of stress, and most people would probably quit before achieving it.

My personal goal every year is 50% return, with 25% maximum drawdown. That doesn't mean I always achieve one or both, but that is what I aim for.

Why did you need to complicate this by mentioning risk. If I put it all on black and black wins I have a 100% return!

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I certainly know itís not the norm (100%+ return). But an annualized return of 50% is very achievable with a personal trading account. If it isnít then I would ask what the hell are we all doing here? if I wanted a 15-20% return I would just buy and hold.

Even a 30% return would be kind of subpar because expenses and taxes would eat into that 30% making it closer to a 20-25%.

In regards to the best CTAís, I am familiar with KJDís discussion on tempered expectations, but even he points out they have huge assets under management typically and trying to get this kind of return would be extremely hard year in and year out. Not to mention CTAís have clients to keep happy as they are way more concerned about downside risk than little oí me with my tiny account.

All Iím trading is either 1 lots or so far 4 micros at most.

I totally understand the risks Iím taking and feel comfortable with where Iím at going forward. I didnít realize 50% was so lofty a goal for you all otherwise I would have kept that to myself.

But still I have to ask, isnít that what we signed on for as active traders?

What puzzles me the most about some of your responses is that these returns are the result of my strategies acting like they have in the out of sample back test. No overperformers got me to the 50% goal I wanted. Anyway, I did t want to brag at all but I wanted to maybe give some hope to others that there is a way to achieve these kind of returns. Iím with Kevin and shooting for 50% return with a 25% drawdown.

I will be the first to admit that Iím still a green pea at all this and a lot of the implementation of these strategies is up to the traders discretion such as position sizing and strategy selection. But thanks to communities like this and others I have a place to throw ideas around and get some feedback. Actually It was due to this forum that I even heard of KJD in the first place.

Anyway, Iíve ranted enough. I wish you all the best in 2021.

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It all depends on the risk involved. If you say 50% annual return with 10% maximum drawdown, I'd definitely say not long term sustainable.

If you say 50% annual with 50% maximum drawdown, I'd say that is possible BUT it is a lot of risk, and a lot of stress, and most people would probably quit before achieving it.

My personal goal every year is 50% return, with 25% maximum drawdown. That doesn't mean I always achieve one or both, but that is what I aim for.

Really? Wow.

Goals are one thing. But I am surprised.

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I certainly know itís not the norm (100%+ return). But an annualized return of 50% is very achievable with a personal trading account. If it isnít then I would ask what the hell are we all doing here? if I wanted a 15-20% return I would just buy and hold.

So 100% is not the norm but 50% is achievable year after year forever.

So how many years now have you done it?

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Really? Wow.

Goals are one thing. But I am surprised.

What do you think is long term sustainable, in terms of return and risk?

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So 100% is not the norm but 50% is achievable year after year forever.

So how many years now have you done it?

Why are you a troll? It must give you some devious pleasure. I noticed you never answered my first question. You only seem to troll others responses but never giving a meaningful post of your own. Enjoy your trolling!

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Goals:

What are your goals? Figure out what they are and don't stop til you achieve them. It may take years to achieve them, but that's ok. Bring your thoughts and strategy into submission of your goal.

Do you want to make 50% return a year? Align your life with that goal.

Do you want to make 50% return a day? Align your life and your strategy with that goal.

Let's face it, it is a long haul to figure out who you are and what you are capable of.

I like what Oliver Velez said, "Once you eliminate all the stuff that doesn't work, you are left with what does work".

I have found that if I constrained myself by the opinions of other traders about what you can and can't do, I would not be able to achieve my own personal goals.

For those that are interested, there is more money to be made in futures than you would ever need.

You and I only have to learn how to extract those dollars.

This gives us a reason to get out of bed early every morning and go on the hunt!

Success to all!

ps. You don't have to be an expert, a journeyman can make plenty.

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Why are you a troll? It must give you some devious pleasure. I noticed you never answered my first question. You only seem to troll others responses but never giving a meaningful post of your own. Enjoy your trolling!

Have a nice day ... and oh the weekend too.

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What do you think is long term sustainable, in terms of return and risk?

Hard to say really. As you know each individual is different in demeanor, tolerances and financial resources, etc.

Our skills or lack thereof determine most of our outcome, along with what the market does while we are in it. Which is why I use price movement, not targets (R/R's are irrelevant) to plan my exits.

Long term sustainable return for me has been in the 20-25% range with about 5-25% at any one time of my trading capital in play.

Risk is of an event happening, not potential loss, like most look at it.

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redbarntrades View Post
Goals:


I like what Oliver Velez said, "Once you eliminate all the stuff that doesn't work, you are left with what does work"...

Oohhh you should google his name.

Especially if you are considering sending money. I never have, but I learned about him looong ago.

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Oohhh you should google his name.

Especially if you are considering sending money. I never have, but I learned about him looong ago.

Nope, not sending anyone any moola.

Almost every trader can bring value. Discernment is key. I have been entertained by Oliver in the past as he trades his stocks. I don't trade stocks but have enjoyed some of his nuances. For instance, playing the color game. Price far from the 20 and the 200. Green taking out the red and vice versa. Tips speak to us or they don't.

Cheers!

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Nope, not sending anyone any moola.

Almost every trader can bring value. Discernment is key. I have been entertained by Oliver in the past as he trades his stocks. I don't trade stocks but have enjoyed some of his nuances. For instance, playing the color game. Price far from the 20 and the 200. Green taking out the red and vice versa. Tips speak to us or they don't.

Cheers!

So you don't need to google him because you know what he has done?

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Hard to say really. As you know each individual is different in demeanor, tolerances and financial resources, etc.

Our skills or lack thereof determine most of our outcome, along with what the market does while we are in it. Which is why I use price movement, not targets (R/R's are irrelevant) to plan my exits.

Long term sustainable return for me has been in the 20-25% range with about 5-25% at any one time of my trading capital in play.

Risk is of an event happening, not potential loss, like most look at it.

What kind of max drawdown do you normally experience?

A lot of pros consider a 1:1 ratio very good over a long period. So if you had 25% returns with 25% or less drawdown, you'd be doing well. But if your max dd is around 50%, then 25% return does not look as good.

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So you don't need to google him because you know what he has done?

Hi, I'm familiar with the reputation, both good and bad.

But, I don't care about that as I am not touting him one way or the other.

If he says something that is of value to me, I will say so.

He's not my guru. People are just sources of information. Good or bad, we all have to do our own discerning.

If time were in abundance, I could name off dozens and dozens of "traders" who have brought some value to me.

I hope this clears up what I am indicating.

Enjoy your weekend!

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Have a nice day ... and oh the weekend too.

I'm sorry for being harsh but you still won't answer my question, which, by the way, is the title to this thread. Some how we all got off topic and started talking about goals instead of actual live results. For me Goals are primary but results are MORE interesting as they bare witness to the validity of a trading system. That is what the thread was about and that is what I'm interested in people sharing.

But to follow up on the goals conversation... I know that the guys who win the World Cup of Trading contests are taking on more risks to get higher returns but I personally feel that a tempered goal using the same ideas and systems that they use is the path to higher returns than say the top hedge fund managers in the world.

Check out the standings page on the World Cup of Trading website if you don't believe me. Modest returns of 50% PALE in comparison to the yearly winners there with the exception of a few years and the LOWEST winner during those years was 53%.

I did some number crunching to find out the Average and median return per year from 1984-2018 Futures contests winners.

Average return/year from 1984-2020 (removing outlier Larry Williams astronomical return of 11376% return in 1987) = 316%!!!!!
Median return (also removed Larry Williams 1987 outlier) = 231%

I figure if I'm not trying to win some contest I would take less risk but still have good systems with positive expectancy so 1/4 of the risk of these gurus would return somewhere around 231%/4 = 58%

As my account grows I will be glad to take cash out and start to B&H ETFs and Stocks for a more modest return with no yearly expenses due to taxes and trading costs. Maybe its the gambler in me but I feel totally comfortable with a higher risk tolerance while I'm young.

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What percentage of World Cup entrants blew their account up? I'm assuming it's very high. I think they all view it as a $10,000 entry fee, and then you have a free $10,000 to make as much as you can. Having met and talked about this with 6 previous winners it's clear they trade differently in this event than they do normally.

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SMCJB View Post
What percentage of World Cup entrants blew their account up? I'm assuming it's very high. I think they all view it as a $10,000 entry fee, and then you have a free $10,000 to make as much as you can. Having met and talked about this with 6 previous winners it's clear they trade differently in this event than they do normally.

I would like to see a contest with best Risk Adjusted Return as criteria. But that would not be as "sexy." Years ago there was an Emerging CTA contest like that.

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How would you assess risk?

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Let me clarify my question.

Imagine the game, where you spin a roulette wheel twice. Each win doubles your money, each loss halves it. Would we all agree that the person who quadruples his money by winning twice, took the same risk as the person who ends up with 25% of his initial money by losing twice? ie outcome does not define risk.

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SMCJB View Post
How would you assess risk?

I'd use max drawdown of account equity. Far from perfect (someone could get lucky betting the farm on a trade that works out - so they'd appear to have zero risk when in fact they had a ton of risk), but it would eliminate a lot of pretenders.

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In the example I gave that would say one of those two people took a lot more risk than the other, even though the risk was the same.

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Obviously if you have the choice of the second spin, the risk changes. But no choice - same risk.

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In the example I gave that would say one of those two people took a lot more risk than the other, even though the risk was the same.

Agreed.

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SMCJB View Post
Obviously if you have the choice of the second spin, the risk changes. But no choice - same risk.

I see this discussion a billion times as traders talk about risk.

Many are referring to how much can be lost -- as in they have x amount at risk, which I think is perfectly fine and is important to know. ("My risk is $10.")

Some are referring to the probability of loss, not the amount -- as in, there is an x percent chance of loss. I think this is also fine, and also important to know. (My risk of losing is 25%.")

I always somewhat instinctively think and speak of "risk" in terms of probability, the odds or chance of loss. It seems odd when others don't mean this, but mean the amount they have put up, not the chance of winning/losing. But people do speak both ways, and I think it's more a semantic issue than anything else.

So, I would think about the roulette wheel in terms of the probability of winning for successive spins, as @SMCJB said. But someone else might be thinking about the ten bucks they put down on the spin, and say that this was their "risk." They are related statements, because they are about gaining or losing something, Both are valid, but different statements.

Seems that way to me, anyway.

Bob.

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I see this discussion a billion times as traders talk about risk.

Many are referring to how much can be lost -- as in they have x amount at risk, which I think is perfectly fine and is important to know. ("My risk is $10.")

Some are referring to the probability of loss, not the amount -- as in, there is an x percent chance of loss. I think this is also fine, and also important to know. (My risk of losing is 25%.")

I always somewhat instinctively think and speak of "risk" in terms of probability, the odds or chance of loss. It seems odd when others don't mean this, but mean the amount they have put up, not the chance of winning/losing. But people do speak both ways, and I think it's more a semantic issue than anything else.

So, I would think about the roulette wheel in terms of the probability of winning for successive spins, as @SMCJB said. But someone else might be thinking about the ten bucks they put down on the spin, and say that this was their "risk." They are related statements, because they are about gaining or losing something, Both are valid, but different statements.

Seems that way to me, anyway.

Bob.

You could imply the probability of a loss by creating a distribution of the daily returns of the strategy/equity curve ?
Assuming option strategies were not allowed

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That's what Value at Risk/VaR does. Can even include options although simpler models use a Taylor's expansion for the deltas which can be a little crude in larger moves.

Of course that's all historical and not forward looking.

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SMCJB View Post
That's what Value at Risk/VaR does. Can even include options although simpler models use a Taylor's expansion for the deltas which can be a little crude in larger moves.

Of course that's all historical and not forward looking.

It won't capture the risk of selling out of the money options and having a smooth equity curve during the time of the contest.
It's better for linear instruments.
The moment you introduce non-linearity/convex pay-offs....all bets are off....pun intended.

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