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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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  #371 (permalink)
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kevinkdog View Post
Hi



Some of the things I have to do with a Combine, that I don't do with real money:

1. Small per contract per trade loss ($425 before slippage and commissions)

Why are you limiting yourself in this manner? Increase your stop size per contract and decrease your position size. It's a percentage of capital at risk that should matter. Doesn't it come back to risk reward per trade?

Quoting 
2. Daily loss limit

Do you not have a daily loss limit trading your own account? How do you handle multiple losses on the same day?

Quoting 
3. Trade 1 strategy almost entirely because it has a high win percentage (in order to meet the Combine win % goal)

. Trading a strategy that has small wins and big losses will probably get you in trouble considering the size you want to trade. Are you risking more than your calculated reward to show more wins than losses?

Quoting 
4. Trade another strategy in order to ensure I have 20 trading days in a 2 month Combine

I would think you'd have to have a minimum of 2 strategies even in your own account. 1 for trends and 1 for chop.

Quoting 
5. Position sizing based on a very small initial equity drawdown (ruin point).

Consider that this is set up to take other peoples money. Were it your money I was trading where would you draw the line. Isn't the first rule of trading to cut your losses short?


Quoting 
The list could go on, but you get the idea.

I guess the point is that you have to trade to the rules of the "game" whether the game is a Combine, trading your own money, trading in a contest, trading friends and family accounts, etc. All of those "games" will have different rules, and the key is to trade so that you don't fail any of them.

The thing with the combine if I understand correctly is that you don't fail as long s you are profitable. You don't pass but you are still in the game.

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  #372 (permalink)
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kevinkdog View Post
I tried to implement your idea the best I could. Here are results:




Your scheme does a really good job at avoiding ruin, but not so good a job at passing the combine.

So, I made one modification - I kept your downside scheme, but made the upside scheme such that once I had positive equity (>150K), I "floored it" and put on 6 contracts.

Here are those results. Not a whole lot different than what I am using (Cut Size 6 to 1). "Deaddog Modified" has better chance of not failing, but worse chance of passing.:


Thanks for the work. I guess I won't be applying for a combine anytime soon.
Firstly I'd have to master trading futures and secondly I'll wait until winter when I don't mind sitting inside all day. Might be an interesting way to test a strategy.

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  #373 (permalink)
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deaddog View Post
Thanks for the work. I guess I won't be applying for a combine anytime soon.
Firstly I'd have to master trading futures and secondly I'll wait until winter when I don't mind sitting inside all day. Might be an interesting way to test a strategy.

Good luck if you decide to try it. I'm guessing you'd do pretty well.

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  #374 (permalink)
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deaddog View Post
Why are you limiting yourself in this manner? Increase your stop size per contract and decrease your position size. It's a percentage of capital at risk that should matter. Doesn't it come back to risk reward per trade?
Do you not have a daily loss limit trading your own account? How do you handle multiple losses on the same day?
. Trading a strategy that has small wins and big losses will probably get you in trouble considering the size you want to trade. Are you risking more than your calculated reward to show more wins than losses?

I would think you'd have to have a minimum of 2 strategies even in your own account. 1 for trends and 1 for chop.

Consider that this is set up to take other peoples money. Were it your money I was trading where would you draw the line. Isn't the first rule of trading to cut your losses short?


The thing with the combine if I understand correctly is that you don't fail as long s you are profitable. You don't pass but you are still in the game.


The short answer to your replies is that most of these things occurred because I created a brand new trading system specifically for the $30K Combine, which I am still using here, just with position sizing.

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  #375 (permalink)
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kevinkdog View Post
The short answer to your replies is that most of these things occurred because I created a brand new trading system specifically for the $30K Combine, which I am still using here, just with position sizing.

What makes you think those strategies will work on a 150K combine when they only had a less than 50% probability of working on a 30K combine?

With a 20 day 30K you are only required to make 7% of initial capital. With a 20 day 150K you are required to make 11% of initial capital. The requirements are 50% higher for the 150K.

The max drawdown is 5% of the initial capital for 30K and 3% on initial capital for 150K. Again the requirements for the 150K are much greater.

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  #376 (permalink)
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deaddog View Post
What makes you think those strategies will work on a 150K combine when they only had a less than 50% probability of working on a 30K combine?

With a 20 day 30K you are only required to make 7% of initial capital. With a 20 day 150K you are required to make 11% of initial capital. The requirements are 50% higher for the 150K.

The max drawdown is 5% of the initial capital for 30K and 3% on initial capital for 150K. Again the requirements for the 150K are much greater.


Position sizing possibly, and the addition of a 4th strategy to the mix. Neither has been helpful to this point, though.

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  #377 (permalink)
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Combine Day 9

2 losing trades today, courtesy of strategy #4.

I shall try again tomorrow, with reduced size...


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  #378 (permalink)
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Combine Day 10

One trade from strategy #4 today. Pretty boring day, which I suspect will be true the rest of the week, too.

Next trade will be 4 contracts, possibly 6 if it is a strategy #4 trade (and the risk is low enough).

Counting vacation days and holidays, I have a maximum of 27 more days to trade in the Combine.


Long way to go to get close to passing!






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  #379 (permalink)
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Combine Day 11

3 or 4 trades, 2 mistakes made which kind of balanced each other out. But overall another losing day...





I apologize for this thread turning into more of a joke ("like you'll ever pass this Combine! Ha Ha Ha!") than an inspirational journey to Combine victory...

BUT, there are still plenty of days left, and you never know what might happen!


Happy 4th of July everyone!


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  #380 (permalink)
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kevinkdog View Post
3 or 4 trades, 2 mistakes made which kind of balanced each other out. But overall another losing day...

I apologize for this thread turning into more of a joke ("like you'll ever pass this Combine! Ha Ha Ha!") than an inspirational journey to Combine victory...

BUT, there are still plenty of days left, and you never know what might happen!


Happy 4th of July everyone!


Hey, it is no joke.

Here is the fact: in order to be a good trader, you have to be great at losing!

Even if you do fail this combine the thread is still full of extremely valuable information. And thanks to the research and number crunching you've done, you already knew your chances were less than a "sure thing" to pass the combine.

So I don't want you to get discouraged. First, you are helping many others by showing them "the other side" of algorithmic trading. And I don't mean the losing side at all --- what I mean is the research and analysis side that is outside and completely disparate from any kind of code to buy and sell. This is the side that so often is completely disregarded by most algo traders, and frankly the side that makes all the difference in my opinion.

So keep going, don't get discouraged, and good luck!

Mike

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April 26, 2014


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