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Kevin's TST Combine Journal


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Kevin's TST Combine Journal

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  #231 (permalink)
Legendary Market Wizard
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Pedro40 View Post
You are right, I forgot about that, it will be a -5$ losing day.... But it is the same as taking 1 tick hit, but with less cost.... You have the winning % at 70 nicely built up so, it won't go down to below 50....

I think my approach would be immediate exit after entry, so I'd give up a tick and have an overall $17.50 loss. 3 of those would be $52.50, leaving me around $27 profit.

I don't think I can afford to attempt a breakeven trade, since if it goes another tick against me, I am in trouble.

In any event, I am waiting on TST to clarify a couple of questions I have, before I proceed.

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  #232 (permalink)
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kevinkdog View Post
I am waiting on TST to clarify a couple of questions I have, before I proceed.

Then you have to post the dilemma in the TST AMA thread, because you can't expect them to read every Combine Journal.... (and they answer it quicker)

Or email them if you want a quick answer, but I don't think they care either way. You can use the Combine for at least 4 different things:

1. Trying to get funded.
2. Practicing trading general.
3. Testing a particular strategy.
4. To establish some sort of trading record.
etc,etc

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  #233 (permalink)
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No strategy trades today, but I took one $5 quick loser...







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  #234 (permalink)
phl pa. usa
 
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well you now see ,it looks like you have a well balanced system ,now you can start looking back over time to see how to unbalance it for winners both ways ,i find this very interesting

:when you cheat -you only cheat yourself
refer to post # 470 & 527 & 930
option traders refer to post 996 thru 1005
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  #235 (permalink)
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creekboy View Post
well you now see ,it looks like you have a well balanced system ,now you can start looking back over time to see how to unbalance it for winners both ways ,i find this very interesting

Can you explain a bit? Not sure what "unbalance" means...

THANKS

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  #236 (permalink)
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kevinkdog View Post


Hi Kevin,

Very interesting thread you have here!

One question regarding the attachment above: Isn't it strange that the actual/perfect results are ALL THE TIME very close to the "lower 25%" band?

I am familiar with Monte Carlo simulations, but have used them only for corporate planning purposes and not for trading (I'm a discretionary trader anyway). Not sure how exactly you applied it here (which are the input variables with which data and distributions applied?), but shouldn't the trading results be more evenly distributed between the different top/lower 10%/25% bands?

Without further information (for me) it looks like the model is not a good approximation of reality. Or, maybe I misunderstand something here completely...

Thanks in advance!

k

PS: ... and by the way, do the rollover... with the same arguments the others gave, who voted for the rollover.

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  #237 (permalink)
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karoshiman View Post
Hi Kevin,

Very interesting thread you have here!

One question regarding the attachment above: Isn't it strange that the actual/perfect results are ALL THE TIME very close to the "lower 25%" band?

I am familiar with Monte Carlo simulations, but have used them only for corporate planning purposes and not for trading (I'm a discretionary trader anyway). Not sure how exactly you applied it here (which are the input variables with which data and distributions applied?), but shouldn't the trading results be more evenly distributed between the different top/lower 10%/25% bands?

Without further information (for me) it looks like the model is not a good approximation of reality. Or, maybe I misunderstand something here completely...

Thanks in advance!

k

PS: ... and by the way, do the rollover... with the same arguments the others gave, who voted for the rollover.

The thick lines are based on historical walkforward backtests. The average profit per day and the standard deviation are all you need to create the thick line curves. Plotted with that are the actual results. Since the actual results are around the 25% line, it tells me 2 things:

1) The strategy, during the combine, has underperformed its historical backtest

2) The strategy, since it is within the 10 and 90% lines, is within expectations (ie, the strategy does not appear to be broken).


The problem is, with so little Combine data, it is tough to draw any long term conclusions yet.

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  #238 (permalink)
phl pa. usa
 
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kevinkdog View Post
Can you explain a bit? Not sure what "unbalance" means...

THANKS

if you used a bollinger with your system ,just the center line ,not outsiders, it may help you see where you are balanced and unbalanced , use it and back test your entries and see how it fairs with it ,

:when you cheat -you only cheat yourself
refer to post # 470 & 527 & 930
option traders refer to post 996 thru 1005
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  #239 (permalink)
Legendary Market Wizard
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No strategy generated entries today. This system (set of 3 unique strategies) is definitely missing a lot of nice moving days lately.



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  #240 (permalink)
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kevinkdog View Post
The thick lines are based on historical walkforward backtests. The average profit per day and the standard deviation are all you need to create the thick line curves. Plotted with that are the actual results. Since the actual results are around the 25% line, it tells me 2 things:

1) The strategy, during the combine, has underperformed its historical backtest

2) The strategy, since it is within the 10 and 90% lines, is within expectations (ie, the strategy does not appear to be broken).


The problem is, with so little Combine data, it is tough to draw any long term conclusions yet.


Thank you! I think, I understand now.

When I said, "it looks like the model is not a good approximation of reality" I meant the Monte Carlo model and not the trading systems, btw. But now I understand (I hope), how the thick lines have been created and, hence, how they have to be interpreted correctly.

Yes, 1 combine (or even 2 or 3!) are not enough to draw any conclusions.

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