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Kevin's TST Combine Journal


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Updated April 26th 2014 by kevinkdog
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Kevin's TST Combine Journal

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  #301 (permalink)
prague, czech republic
 
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kevinkdog View Post
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.






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.

Great stuff, totally looking forward to your Combine.

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  #302 (permalink)
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xelaar View Post
Great stuff, totally looking forward to your Combine.

If I do half as well as you did, I'll be really happy!

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  #303 (permalink)
Pittsburgh, Pennsylvania
 
 
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Kevin, just an observation about your plan.

I would probably scrap Strategy #1, because there is a 99% chance they wouldn't let you trade it Live. It is overnight trading and my understanding is that they probably only let very senior traders to do that, if at all. It also doesn't give too much to your bottom line, so unless you just want to test it (but you already did that) there is no point in running it.

Also you could go over the other strategies and see if they somehow violate their rules (or rather preferences), like averaging down for example. Again, averaging down is a viable strategy if used in a restricted way, but they wouldn't let you trade that way Live, so there is really no point in using such an approach in a Combine...

Otherwise good luck....

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  #304 (permalink)
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Good luck!

Kevin,

Good luck on your next combine!
Will you be trading 6-10 contracts per strategy or 6-10 contracts total anytime of the day?
In other words it was not clear to me if multiple strategies could have working orders at the same time...

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  #305 (permalink)
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Pedro40 View Post
Kevin, just an observation about your plan.

I would probably scrap Strategy #1, because there is a 99% chance they wouldn't let you trade it Live. It is overnight trading and my understanding is that they probably only let very senior traders to do that, if at all. It also doesn't give too much to your bottom line, so unless you just want to test it (but you already did that) there is no point in running it.

Also you could go over the other strategies and see if they somehow violate their rules (or rather preferences), like averaging down for example. Again, averaging down is a viable strategy if used in a restricted way, but they wouldn't let you trade that way Live, so there is really no point in using such an approach in a Combine...

Otherwise good luck....

Good points. No averaging down for me, so that is not an issue. After I developed strat #1, I found out that overnight trading is discouraged, except for senior traders. The primary purpose of strat #1 is to improve the overall winning percentage, so if in later stages I can't trade it, that will be OK. My winning percentage will just go down, and maybe profit will decrease a bit.

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  #306 (permalink)
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gulabv View Post
Kevin,

Good luck on your next combine!
Will you be trading 6-10 contracts per strategy or 6-10 contracts total anytime of the day?
In other words it was not clear to me if multiple strategies could have working orders at the same time...


Thanks for asking. For strats 1-3, they are all basically traded at different times, with no overlap. So each trade will be 6-10 contracts. The tricky part will be when I add in strat #4, which trades same time as strat #2. I probably will treat them as independent trades (and size them accordingly), but I will have to keep a close eye on the Daily Loss Limit. Some of the details will therefore be decided in real time.

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  #307 (permalink)
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End of Combine #1 and Beyond Tracking

Since I started Combine #2 tonight, after this post I will only be posting those results.

So, here is the final chart for Combine #1 (thru trading day 20), and the month or so since then (up to June 15, 2013).

I will still be tracking this for my own benefit, since I may trade these with real money soon.

For what it is worth, if I had to decide today whether or not to trade these with real money, I'd probably say "not yet," even with the excellent recent performance. Why? Well, for the first 25 days, the combined strategies underperformed my expectations by quite a bit, and for the past 10 trade days, those same strategies have radically out performed expectations. I don't like trading based on extreme behavior like this - I'd like to see it more closely mimic the navy blue "average" line.

So, I'll give it more time, and see what happens...


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  #308 (permalink)
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kevinkdog View Post
Since I started Combine #2 tonight, after this post I will only be posting those results.

So, here is the final chart for Combine #1 (thru trading day 20), and the month or so since then (up to June 15, 2013).

I will still be tracking this for my own benefit, since I may trade these with real money soon.

For what it is worth, if I had to decide today whether or not to trade these with real money, I'd probably say "not yet," even with the excellent recent performance. Why? Well, for the first 25 days, the combined strategies underperformed my expectations by quite a bit, and for the past 10 trade days, those same strategies have radically out performed expectations. I don't like trading based on extreme behavior like this - I'd like to see it more closely mimic the navy blue "average" line.

So, I'll give it more time, and see what happens...


wait for the pull back...

dont believe anything you hear and only half of what you see

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  #309 (permalink)
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Combine #2, Day 1

It is always good to start a Combine with a positive day.

Needless to say, I started Combine #2 with a negative day. Great way to start!

I also had a couple of trade entry/exit issues, so I did a little worse than I should have.

With only about $2,500 left before the max drawdown is hit, I will be trading only 3-4 contracts for the next few trades, until (and if) I get some cushion.










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  #310 (permalink)
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kevinkdog View Post
With only about $2,500 left before the max drawdown is hit, I will be trading only 3-4 contracts for the next few trades, until (and if) I get some cushion.

Hmm. My first reaction would be that too much leverage (size) being used to begin with, if you have to make this adjustment after 1 day. Thoughts?

Mike

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