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Kevin's TST Combine Journal
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Kevin's TST Combine Journal

  #291 (permalink)
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kevinkdog View Post
You are right. Relying on big trades is not a good way to pass a Combine...

Over the years I've heard traders whom I respect very much say it both ways. One will say that there shouldn't be homeruns, the other should say that the minority of trades will account for majority of profit.

I prefer the approach of no home runs but just consistent base hits. When I see home runs, I immediately start to think curve fit and I am not comfortable with it.

There is a good NT optimizer in this thread:
https://futures.io/elite-automated-ninjatrader-trading/25792-ninjatrader-optimizer-types-custom-fitness.html

It examines trades and runs a sort of monte carlo simulation looking for trades that fall outside the std deviation, it can be quite useful for finding what is "likely" vs "unlikely".

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  #292 (permalink)
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Big Mike View Post
Over the years I've heard traders whom I respect very much say it both ways. One will say that there shouldn't be homeruns, the other should say that the minority of trades will account for majority of profit.

I prefer the approach of no home runs but just consistent base hits. When I see home runs, I immediately start to think curve fit and I am not comfortable with it.

There is a good NT optimizer in this thread:
https://futures.io/elite-automated-ninjatrader-trading/25792-ninjatrader-optimizer-types-custom-fitness.html

It examines trades and runs a sort of monte carlo simulation looking for trades that fall outside the std deviation, it can be quite useful for finding what is "likely" vs "unlikely".

Mike


I had never considered the curve fit aspect to it, and that is a good point to consider.

The other bad thing about these home run trades is that the standard deviation of trade results is higher, which 1) makes it harder to position size and 2) can be emotionally draining, waiting for the big trade, and 3) makes the equity curve much more variable.

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  #293 (permalink)
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kevinkdog View Post
The other bad thing about these home run trades is that the standard deviation of trade results is higher, which 1) makes it harder to position size and 2) can be emotionally draining, waiting for the big trade, and 3) makes the equity curve much more variable.

I would add one more point here, sort of the flip side of waiting for the big trade. Your strategy should preferably allow you to take a week off without the fear that the price of your holiday might be missing a significant portion of your planned annual profit. In an ideal case, you 'know' that you give up 2% of your annual profit potential by spending a week away from trading. In the worst case, the success of your trading year depends on a handful of big winners, and you will not have seen any of them in the two months before your planned vacation. How will you convince yourself to take your planned week off and how will you avoid not praying constantly for the bad streak to continue while you're away?

The fundamental things apply
As time goes by
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  #294 (permalink)
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kevinkdog View Post

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Hi Kevin,

The "End of Day Exit" seems to be the main exit for system 2 & 3. Do you have some statistics on how many exits were "End of Day Exit"?

Of course this is a given exit due to the Combine rules, but you might consider a re-entry, if the exit was a "End of Day Exit" and the original entry is still valid. This would also increase the number of trades.

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  #295 (permalink)
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Porsche View Post
Hi Kevin,

The "End of Day Exit" seems to be the main exit for system 2 & 3. Do you have some statistics on how many exits were "End of Day Exit"?

Of course this is a given exit due to the Combine rules, but you might consider a re-entry, if the exit was a "End of Day Exit" and the original entry is still valid. This would also increase the number of trades.

I agree most of the exits are "end of day," which actually is the "end of the session" on that particular chart. I found that was the way to maximize profit. I will have to look at re-entry idea. THANKS!

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I'm still working on a 4th strategy to add to the mix, in prep for the next Combine.

Here's where the 3 current strategies stand... a new equity high...


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  #297 (permalink)
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Results Thru May

Finally, after 2.3 months, the package of 3 strategies is starting to perform near expectations.

BUT:

1. Most of the profit came in one day, mainly from one big trade

2. A lot of the trading days were due to overnight trades, which may be disallowed in the Live Trader Prep (should I ever happen to get that far).


The search continues for 1 more strategy. I have one decent one I am still evaluating that maybe, just maybe, might be good enough.

I also have a 50/50 strategy - half mechanical, half discretionary, that I just started trading with real money last week. A couple of days ago, a 2 lot EC trade yielded $1,700+. I may use that, but I don;t have a lot of statistics on its history.


Still aiming for mid/late June Combine.


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  #298 (permalink)
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I think whether its home runs or singles isn't the problem. Most of the combines just reflect majority of the traders-going broke while going for homeruns. Or failing even after hitting homeruns ( with DLL or max drawdown). Risk is paramount thats why they have all the parameters-45% winning rate, DLL, Max drawdown, and weekly losslimits.

Some of their parameters dont make sense eg. like the win %--how is that relevant on its own ? Even a low win % with a very high Avg Win$/Avg L$ ratio would be good strategy to trade live.

Hitting homeruns or singles is irrelvant-trading good involves both holding for max profits while controlling your risk. Singles help the account and confidence grow and home runs buy the dreams. When you take the trade you have already taken the maximum risk-no matter whether the trade works or not. So why not try to take the max profit since its already on. Ever seen that on the best trades you enter and immediately or soon thereafter it moves away and stays away. I personally have regretted many of those getting out too early and now I keep an eye out for just this very fact.

On the Combine itself redflags would be big losses even if no DLL or drawdown limit wasnt hit. Thats a bomb waiting to burst. Its a probability game not a slug fest. Thats why MP's frustration with people who pass the combine cant produce and they either have the discipline to pass the combine and then go back to their merry ways when they go live and end up in combine again or become too conservative not producing much. I read it else where that they dont even have a high 5 figure guys out of all the live traders. Imagine that ? How easy is it to hit 1k in CL even trading 2 lots. Some of these guys are trading 5-15 lots. I can only speculate what happens when they go live. IF they were hitting singles, then you cant hit a reverse homerun when you take a loss. Cant eat like a bird and poop like an elephant. That's where the homeruns come into help.

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Updated Results

I was away for a week at Disneyworld, so I was not able to update the performance of my 3 strategies until now.

Right now, things are going better than expected. Long term, performance should revert to the average line. So, I consider the current performance a "hot streak" that will not last.

For the Combine, I'm shooting for a June 25 start.

I probably will trade these 3 strategies, with no changes, along with a new EC strategy. This new strat is a hybrid - mostly mechanical, but some discretion.


Stay Tuned!



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Combine #2 Starting Next Week


OK, it looks like I am set for my next Combine, starting next week. I am going to do the $150K, 20 Day Combine this time, since getting funded at $30K (assuming I pass) just would not make sense for me.

I am going to be trading 4-5 unique strategies. From this point forward, I'll probably refer to them as my "Combine System," and the individual strategies I'll call "Combine Strategy #X." So, the 4-5 strategies make up the whole Combine System. Hopefully that will make the journal easier to follow.


Here are short descriptions of each strategy:

Strategy #1 - trades overnight. High win %, small wins.

Strategy #2 - trades day session. Goes for big wins, holds profitable trades until 3 PM ET. Primary money maker.

Strategy #3 - trades late day. High win %. Does not trade frequently.


Theses first 3 strategies are the exact same ones I traded in Combine #1. They really started to do well after the Combine was over (isn't that always the case?). I do not trade these with real money yet, but I may start in Fall (these are currently in "incubation.")

Strategy #4 - a brand new strategy that I have traded with real money for a few weeks. It is mainly mechanical, with some discretion involved (for example, when does one leg end, and another start?). I actually trade the same approach on EC, ES GC, and CL. This strategy will just trade EC.

Strategy #5 - depending how things go, I may need to add another strategy (if strats 1-4 don't trade enough days, or if they do not give enough profit). If that happens, I may trade strat #4 with CL or GC. I'd prefer to avoid this, since then I have to worry about satisfying more metrics for the additional instrument.


For position sizing, I am going to employ an intraday adaptive position sizing technique. That is a fancy way of saying I will be doing some things to maximize the profit, while still respecting the Daily Loss Limit and Max Drawdown rules. For example, I'll start each day with a base of 6 contracts. That will keep me out of harm's way with the Daily Loss Limit. Let's say my overnight trade is a winner. In that case, trades the rest of the day will be with 6-10 contracts, depending on the stop loss for those trades. In all cases, I will still respect the DLL.

My goals for this Combine:

1. Pass the Combine, or at least avoid a spectacular failure!

2. Continue test drive "incubation" of strategies 1-3, to see if I should allocate real money to them

3. Hopefully pass along some words of advice to newer traders



Here is the performance chart I will be using. I expect to be around the navy blue line, but of course there will be a lot of variation in my actual equity curve.


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I plan on posting updates every day I trade, and maybe some posts in between to discuss a trading related topic.


Please feel free to post questions, comments, criticisms, etc.

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