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

  #391 (permalink)
Elite Member
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kevinkdog View Post
What scenarios would you like to see drawdown for?

The constant size to start.
Another question; when you say the expectancy is $80 per day , how many trades per day to get to that number?

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  #392 (permalink)
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deaddog View Post
The constant size to start.
Another question; when you say the expectancy is $80 per day , how many trades per day to get to that number?


Drawdown chart shown below for constant number of contracts.


Number of trades per day varies from 1 (typical) to 4 or more (rare). If first trade of day is big loser, than there would likely be no trades rest of day.



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  #393 (permalink)
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TST Combine Draw Down from Initial Balance



kevinkdog View Post
Drawdown chart shown below for constant number of contracts.


Number of trades per day varies from 1 (typical) to 4 or more (rare). If first trade of day is big loser, than there would likely be no trades rest of day.


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I'm still debating in my mind if I should try to change contract size based on the TST Combine Draw Down from Initial Balance rule. I can easily see how after a winning trade you are enabled to then risk those banked profits to increase size on the next trade. Seems like here are the variables to better understand:
  • Profit amount needed from earlier trades to allow an increase in contracts
  • Relative change in contract number
  • Back Test Results on strings of winning or losing trades.

My trading style is all in scale out. So my added risk is that if I add too many contracts too soon, I could turn 1 small winning trade (at initial size) into the equivalent loss of 2 losing trades on a max stop out. I need to decide how to model it and run some calculations to better figure this out.

Trade Wise, Trade Well

John
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  #394 (permalink)
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kevinkdog View Post


Number of trades per day varies from 1 (typical) to 4 or more (rare). If first trade of day is big loser, than there would likely be no trades rest of day.

I have trouble with this.
Actually having trouble with the concept of dollars or risk per day as compared to dollars or risk per trade.
It sounds like you are taking a calculated risk (gamble?) that your first trade of the day will be a winner. By quitting if the first trade is a loser are you not missing the opportunity to trade whatever set-ups may appear the rest of the day.
Seems similar to the strategy to start the combine with large size.

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  #395 (permalink)
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kevinkdog View Post
Number of trades per day varies from 1 (typical) to 4 or more (rare). If first trade of day is big loser, than there would likely be no trades rest of day.

What is the reasoning for taking no trades on rest of day if first trade is a loser?

Mike

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  #396 (permalink)
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Big Mike View Post
What is the reasoning for taking no trades on rest of day if first trade is a loser?

Mike

Daily Loss Limit concerns. Note I had qualified it as a "big" loser.

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  #397 (permalink)
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kevinkdog View Post
Daily Loss Limit concerns. Note I had qualified it as a "big" loser.

OK.

Do you agree that there is no edge in trying to cherry pick which trade is going to be a winner or loser? So deciding to stop trading after 1 losing trade would seem to just be a random throw of the dice... the next 2 or 3 trades for the day could all be huge winners.

Of course they could be huge losers as well, but personally this is where I would look at the entire history of my backtest and find what "normal" is and then set my limits just outside of those areas a bit so that I would stop only if something "not normal" was happening.

I know you are probably tired of me talking about leverage. But this seems like another case of it working against you -- and you are making decisions based on something like a daily loss limit... but what do your backtest results tell you about that daily loss limit? That it is inside or outside "normal"?

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #398 (permalink)
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At this point I also feel compelled to write:

I am not saying I know how to do it better than you. After all, you are the one here posting in this thread, entered into the competition, and letting everyone look inside your system and critique your every decision.



Good man

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
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  #399 (permalink)
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Big Mike View Post
OK.

Do you agree that there is no edge in trying to cherry pick which trade is going to be a winner or loser? So deciding to stop trading after 1 losing trade would seem to just be a random throw of the dice... the next 2 or 3 trades for the day could all be huge winners.

Of course they could be huge losers as well, but personally this is where I would look at the entire history of my backtest and find what "normal" is and then set my limits just outside of those areas a bit so that I would stop only if something "not normal" was happening.

I know you are probably tired of me talking about leverage. But this seems like another case of it working against you -- and you are making decisions based on something like a daily loss limit... but what do your backtest results tell you about that daily loss limit? That it is inside or outside "normal"?

Mike


Thanks for the comment. You have mentioned "cherry picking" a few times, and I'm not sure why the concept is relevant here. I have not used it in the Combine, or anytime else. I recall one day where I had to skip a trade, but that is because if that had been a loser, I would have been knocked out. To me, that is not cherry picking, that is trying to survive to fight another day.

To me, cherry picking would be passing on potential trades because I did not "like" the signal (I agree that is a fool's game), or cherry picking could be arbitrarily changing size of next trade (another fool's game).

What I have been doing is trading with maximum size whenever possible, to maximize the chances of hitting the profit goal. As I showed earlier, that approach maximizes my profit goal odds (at the expense of hitting the max drawdown limit), and has not worked (yet?) - my losers have had big size, and winners have had small size.

For casual readers, I should mention this: All this position sizing talk is because of the unique rules of the Combine.


For real world trading, I use fixed fractional sizing, with the "f" factor based on whatever maximizes the annual return / drawdown ratio. I also take every trade, all the time. Much simpler!

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  #400 (permalink)
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Big Mike View Post
At this point I also feel compelled to write:

I am not saying I know how to do it better than you. After all, you are the one here posting in this thread, entered into the competition, and letting everyone look inside your system and critique your every decision.



Good man

Mike


Thanks. I am pretty confident that, with the Combine rules and the particular strategies I am trading, I am making sound decisions.

I also realize that it is not working, but that is how this game goes. Bad things happen, even when you do the right things.

Repeat request: if anyone has a position sizing technique that they think would work better for my strategies for this Combine, please post it and I'll test it out. I'd love to know I have chosen a sub-optimal approach, because that means I'll learn something new. That is always good!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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