Kevin's TST Combine Journal - futures io
futures io futures trading



Kevin's TST Combine Journal


Discussion in Trading Journals

Updated by kevinkdog
      Top Posters
    1. looks_one kevinkdog with 237 posts (639 thanks)
    2. looks_two Big Mike with 34 posts (61 thanks)
    3. looks_3 Pedro40 with 27 posts (19 thanks)
    4. looks_4 deaddog with 20 posts (12 thanks)
      Best Posters
    1. looks_one Silver Dragon with 3.0 thanks per post
    2. looks_two kevinkdog with 2.7 thanks per post
    3. looks_3 Big Mike with 1.8 thanks per post
    4. looks_4 Pedro40 with 0.7 thanks per post
    1. trending_up 67,339 views
    2. thumb_up 885 thanks given
    3. group 59 followers
    1. forum 460 replies
    2. attach_file 138 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 100,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Thread Tools Search this Thread
 

Kevin's TST Combine Journal

  #311 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,768 since Jul 2012
Thanks: 1,419 given, 5,325 received


Big Mike View Post
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

Relative to the Max Drawdown metric , I would agree with you.

I'll explain how I came up with my initial size.

My initial size of 6 was a calculated risk I took, based on the Profit requirement, Daily Loss Limit and Max Drawdown. Instead of all metrics for the $150K Combine being 5x of the $30K Combine, they are 3x (max DD), 6x (Daily Loss Limit) and 8x (Profit). That means to use my existing strategies (which were designed for the $30K Combine), I had some position sizing decisions to make - and I knew they could backfire on me.


My initial size was 6 contracts. This is based on the higher Daily Loss Limit for the $150K Combine, which is 6X of the previous $30K Combine ($3,000 vs. $500).

The downfall to this logic is that the Max Drawdown for the bigger Combine is only 3X larger, not 6X.

I took all this into account, and determined if the first trade was a loser, I'd have to scale back. Of course that is what happened. So, the next trade will be 3-4 contracts, and if that loses, maybe even smaller size (depending on the next trade's required stop loss).

The plan will be to go back to 6 contracts if/when the overall account gets back to breakeven.

Follow me on Twitter Reply With Quote
The following 2 users say Thank You to kevinkdog for this post:

Can you help answer these questions
from other members on futures io?
Convert NinjaTrader NT7 indicator to Tradestation EasyLanguage and RADARSCREEN
Platforms and Indicators
Issue meeting order entry conditions
Elite Automated NinjaTrader Trading
Last 5 minutes Label
ThinkOrSwim
Moving average with Lag reduction
NinjaTrader
Linux?
ThinkOrSwim
 
Best Threads (Most Thanked)
in the last 7 days on futures io
Spoo-nalysis ES e-mini futures S&P 500
139 thanks
What is your single biggest weakness?
93 thanks
Is Volume Profile worth learning or is it an outdated concept?
57 thanks
Is Amp at risk of going under?
41 thanks
Is Orderflow An Outdated Concept?
30 thanks
 
  #312 (permalink)
Site Administrator
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 48,734 since Jun 2009
Thanks: 31,468 given, 94,029 received

Fixed fractional?

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #313 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,768 since Jul 2012
Thanks: 1,419 given, 5,325 received



Big Mike View Post
Fixed fractional?

Mike


It is pretty much as many contracts as I can trade, and still respect the Daily Loss Limit (DLL) and Max Drawdown (MD). I am trying to maximize profit, given the DLL and MD constraints. So it is not a fixed fractional based on account equity, but it is based on DLL and MD.

So, for the first trade, the stop was around $450 per contract (which I assume could hit $500 after slippage). That is also my max stop loss ever on any trade with any of the strategies.

Daily Loss Limit = $3000 divided by stop loss $500 = 3000/500 = 6 contracts (note that this will be the maximum size, regardless of future performance. As long as my stop on a trade is $500 per contract, I can't go above 6 contracts and still meet the DLL rule).

Tomorrow, the max Drawdown will be the limiting factor, since I have $2500 left. If I allow a $1500 loss fo the next trading day, that will still leave me $1000 cushion.

So, 1500 / 500 = 3 contracts for the next trading day.

If I lose the next trading day, I will go down to 1 or 2 contracts. If I win, depending on the winning trade amount, I will attempt to increase my size the next day.


I typed this fast, so if it is unclear, please feel free to question my logic. It is tailored to the Combine requirements, and that makes it a bit strange.

Follow me on Twitter Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
  #314 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,768 since Jul 2012
Thanks: 1,419 given, 5,325 received

Combine #2, Day 2

One medium size loser today...






Follow me on Twitter Reply With Quote
The following 3 users say Thank You to kevinkdog for this post:
 
  #315 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,768 since Jul 2012
Thanks: 1,419 given, 5,325 received

All Downhill

Back about a week ago, I wrote this:

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.




And that, my friends, is precisely what happened in the past 3 trading days (including today). The 3 strategies are reverting back to the mean.

Normally, this would not be a problem. It happens, and I fully expected it.

BUT, it just so happens that I started the Combine #2 right at the peak, and it has been nothing but losers ever since!







If I was a discretionary trader, I'd be convinced there was something wrong with me - that the Combine was messing with my brain and impacting my trading:

A. Trade Combine #1, barely break even. Everyone can see the reports.
B. After Combine #1, my performance took off. I'm trading great! No reports, so only I know the results.
C. Combine #2 starts, trading is awful. Everyone can see the results.




That sure makes it seem like the results are due to me. Or that I am cheating. I know that is what I would think if I saw someone else post it ("Sure buddy, it is just coincidence that you trade great when no one is watching, but when your results are tracked by a 3rd party, your equity curve just goes down. Sure, just coincidence...").

But, since I am trading mechanical signals here, I can assure you the results are 100% legit. It is just some incredibly bad timing...

Follow me on Twitter Reply With Quote
The following 6 users say Thank You to kevinkdog for this post:
 
  #316 (permalink)
Dallas, TX
 
Experience: Beginner
Platform: Ninjatrader
Broker: Zen-Fire
Trading: ZN, 6E
 
gulabv's Avatar
 
Posts: 286 since May 2010
Thanks: 161 given, 167 received

Thank you!

Love reading this thread and your experience in the combine.
Keep it up!

Reply With Quote
The following user says Thank You to gulabv for this post:
 
  #317 (permalink)
detroit, mi
 
Experience: Beginner
Platform: TradeStation
Trading: SPY
 
Posts: 66 since Nov 2011
Thanks: 1,399 given, 71 received


kevinkdog View Post
The 3 strategies are reverting back to the mean.

Normally, this would not be a problem. It happens, and I fully expected it.

BUT, it just so happens that I started the Combine #2 right at the peak, and it has been nothing but losers ever since!


But, since I am trading mechanical signals here, I can assure you the results are 100% legit. It is just some incredibly bad timing...

Kevin,

thanks for the journal. Very encouraging to see mechanical system in the making, hopefully gets me going too.

I've been sort of developing a mechanical trading system and have been studing the anatomy of losing streaks through lower time frames. I guess I am trying to ask if you have done such a study in a way that you could reduce or eliminate your losing streak and/or turn the losing streak more into a flat line in your equity curve rather than a steep drawdown?

Regards,
Tihfa

Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to tihfa for this post:
 
  #318 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
 
Posts: 2,768 since Jul 2012
Thanks: 1,419 given, 5,325 received


tihfa View Post
Kevin,

thanks for the journal. Very encouraging to see mechanical system in the making, hopefully gets me going too.

I've been sort of developing a mechanical trading system and have been studing the anatomy of losing streaks through lower time frames. I guess I am trying to ask if you have done such a study in a way that you could reduce or eliminate your losing streak and/or turn the losing streak more into a flat line in your equity curve rather than a steep drawdown?

Regards,
Tihfa

Thanks for the comment.

Here is my opinion on your question (please realize others may have valid opposing viewpoints)...

When you create a system, look at the equity curve, and then spend a lot of time trying to improve the weak spots (drawdown periods, flat periods, etc), you are starting to descend a slippery slope. By that I mean it is fairly easy to make backtests better, but it comes at a cost - more rules, more parameters, more filters, etc.

What makes you think those additional rules will work in real time? They may, or they may not. But your mind will think there will be an improvement, since your backtest is much improved. This can trick you into thinking you have something "better" when in all likelihood you really have something that probably is worse.

It is also a slippery slope because once you do it the first time, now another part of the equity curve will look poor. Do you try to fix that, too? How many times do you repeat this process? Done enough times, you'll have a great looking backtest, but when you go to real time, the system will probably fall apart.

My general experience is that you can make adjustments like this 1 or 2 times to a strategy, as long as you leave plenty of data out of sample. Beyond that, it is probably better to just drop the strategy.

Just be very careful.

Follow me on Twitter Reply With Quote
The following 2 users say Thank You to kevinkdog for this post:
 
  #319 (permalink)
Super Moderator
Sarasota FL
 
Experience: Intermediate
Platform: NinjaTrader, Sierra Chart
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 5,631 since Jan 2013
Thanks: 44,113 given, 19,035 received


kevinkdog View Post
My general experience is that you can make adjustments like this 1 or 2 times to a strategy, as long as you leave plenty of data out of sample. Beyond that, it is probably better to just drop the strategy.

Just be very careful.

This doesn't only apply to an automated strategy; a fully discretionary trader has exactly the same issues, just expressed a little differently.

Say you are looking at patterns, or trendlines, or levels, or some signal, anything that you look at over time to decide whether they are "reliable" -- you've got exactly the same situation. If you fine-tune to the past, you only know for sure that it "would have worked" during that period, not so much about any other time (like your next trade.)

So you hope you find something that is general enough that it applies to the market all the time; you have better odds of that, the simpler it is and the less tinkering you've done....

Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to bobwest for this post:
 
  #320 (permalink)
Site Administrator
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 48,734 since Jun 2009
Thanks: 31,468 given, 94,029 received


And this is exactly why traders that seek algorithmic trading as a way to solve their own shortcomings on psychology or lack of understanding in the market will still fail.

They think they can program their way out of their deficiencies, but your post #315 shows a good example of how discretion is still the #1 rule in the game. And that means you have to actually be good at it.

Trade first, program later. That's my recommendation for all. Once you are a consistently profitable trader, then you can start to program strategies.

BTW Kevin, none of this is aimed at you which is why I didn't quote your post. I am just speaking in generalities.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following 5 users say Thank You to Big Mike for this post:



futures io Trading Community Trading Journals > Kevin's TST Combine Journal




Upcoming Webinars and Events
 

Understanding Order Flow Stop Runs & Icebergs w/Bookmap

May 28
 

Free BloodHound Licenses to everyone!

June
     



Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts