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

  #451 (permalink)
Elite Member
Golden Bay, New Zealand
 
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Hi Kevin,

Would you mind posting up the strategy statistics - i.e trades per year, win %, R:R, ave win, ave loss (or expectancy), std dev of trades, and % of equity risked for each strategy. It would add perspective to the equity curves and be useful info for those of us developing our own systems. Everyone has their own tolerances - but it's good to have a legitimate benchmark of what is realistic versus various claims. I assume the equity curve for both 1& 2 are based on "1 contract always" so we are looking at all oranges?

Not trading these Live because it's near an equity peak is like saying - "I'm going to stop trading because it's had a string of 5 wins, so there is a bigger chance of a loss on the next trade". For all you know it could creep along the Top 10% line for the next 6-12 months. Alternatively, if you wait for a drop in equity - you'll then start running scared - "Is this strategy now broken". How confident will you be entering when it's dropped down to the bottom 10% line? Essentially it seems like that is what you are waiting for?

The graph shows a damn fine looking equity curve (and I assume the backtest is better or at least as pretty). That's going to be a lot of data all sloping up. The strategies seem to compliment each other well (they both didn't have flat spots at the same time). You've traded them on TST - so you must know the testing mirrors the entries quite well. Assuming the ROI is good I'm not really too sure what you are waiting on.

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  #452 (permalink)
Trading for Profit
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sixtyseven View Post

...

The strategies seem to compliment each other well (they both didn't have flat spots at the same time).



The x-axes of the graphs show number of trades, not time.

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  #453 (permalink)
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karoshiman View Post
The x-axes of the graphs show number of trades, not time.

True.
As the charts cover the same period, and have similar total trades (both in walk forward and incubation) I assumed the trades occurred with the same relative frequency and thought the dates would line up pretty well. This might not actually be the case.

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  #454 (permalink)
Market Wizard
Cleveland Ohio/United States
 
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Trovatore View Post
Let me try to restate your decision point. Suppose you're ready, i.e. you have a strategy (or a pair of strategies) with a positive expectancy (and some other characteristics which make it good enough for trading) that spent sufficient time in inbucation. The question is 'should I start now, or should I skip the next N trades', where N is a fairly small number (I guess you wouldn't want to wait long enough to let N grow statistically significant). I think skipping the first N trades would only make sense if you had a good reason to think that the expected profit of those N trades is negative. I can't see how you could arrive at such a conclusion when your strategy has positive expectancy and the N future trades are just a small subset of its total trades.

Yes, you have restated the psychological "dilemma" well.

I brought up the scenario because I see many traders do this - jump in and start trading a new strategy at an equity peak, only to experience a real money drawdown right off the bat. These people are then usually disappointed, and then tend to quit the strategy.

The alternative, waiting for a pullback in the equity curve before starting live trading, might be a possible route for people who are scared of entering near a high. Of course, it is possible that the equity curve never pauses, and then the trader is left upset and angry - here he had a winning strategy, yet made no money with it!

Personally, I usually start whenever I am ready, regardless of where the equity curve currently is. But that is because I've tried both of the alternatives above over the years, and never consistently had more success with one or the other.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #455 (permalink)
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sixtyseven View Post
Hi Kevin,

Would you mind posting up the strategy statistics - i.e trades per year, win %, R:R, ave win, ave loss (or expectancy), std dev of trades, and % of equity risked for each strategy. It would add perspective to the equity curves and be useful info for those of us developing our own systems. Everyone has their own tolerances - but it's good to have a legitimate benchmark of what is realistic versus various claims. I assume the equity curve for both 1& 2 are based on "1 contract always" so we are looking at all oranges?

Not trading these Live because it's near an equity peak is like saying - "I'm going to stop trading because it's had a string of 5 wins, so there is a bigger chance of a loss on the next trade". For all you know it could creep along the Top 10% line for the next 6-12 months. Alternatively, if you wait for a drop in equity - you'll then start running scared - "Is this strategy now broken". How confident will you be entering when it's dropped down to the bottom 10% line? Essentially it seems like that is what you are waiting for?

The graph shows a damn fine looking equity curve (and I assume the backtest is better or at least as pretty). That's going to be a lot of data all sloping up. The strategies seem to compliment each other well (they both didn't have flat spots at the same time). You've traded them on TST - so you must know the testing mirrors the entries quite well. Assuming the ROI is good I'm not really too sure what you are waiting on.


I can provide that data. Would you like to see each strategy separately, and the strategies combined into daily results? The latter might be more meaningful, but it depends on what you want to look at.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #456 (permalink)
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Some More Results

Here are walkforward backtest and incubation results for strategies 1 & 2, based on DAILY results.

The info below contains most of the data I need to answer the question: "should I start trading this with real money?"

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  #457 (permalink)
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kevinkdog View Post
I can provide that data. Would you like to see each strategy separately, and the strategies combined into daily results? The latter might be more meaningful, but it depends on what you want to look at.

Thanks for being so open with the details Kevin. Fantastic.

I'd like to see the separate strategy results. Strategy 2 looked twice as good in terms of equity increase - so it's interesting to compare the metrics. Thanks for posting the combined results above though. Good info.
To really push my luck I'd also like to see the separate strategy backtest equity curve. On the same chart as the walk-forward ideally.


kevinkdog View Post
The info below contains most of the data I need to answer the question: "should I start trading this with real money?".


kevinkdog View Post
I might go live with strategies 1 and 2 in late August, once I get a few more trades


kevinkdog View Post
Personally, I usually start whenever I am ready

What do you need to be ready? A handful of trades out of 600+ is insignificant.
Nothing on the face of it stands out to hold you back. Most traders would be chomping at the bit to get this going.
The only thing I can think of is that you took it "live" 2 times in the TST and as it didn't shine you are a little gunshy.


Last edited by sixtyseven; August 5th, 2013 at 02:27 PM. Reason: Quoting
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  #458 (permalink)
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sixtyseven View Post
Thanks for being so open with the details Kevin. Fantastic.

I'd like to see the separate strategy results. Strategy 2 looked twice as good in terms of equity increase - so it's interesting to compare the metrics. Thanks for posting the combined results above though. Good info.
To really push my luck I'd also like to see the separate strategy backtest equity curve. On the same chart as the walk-forward ideally.

The individual performance reports are attached. The backtest historical equity curves, created using walkforward analysis, can be found in an earlier post. So the performance reports include all the walkforward history, and the "live" history since March 20, 2013.







sixtyseven View Post
What do you need to be ready? A handful of trades out of 600+ is insignificant.
Nothing on the face of it stands out to hold you back. Most traders would be chomping at the bit to get this going.
The only thing I can think of is that you took it "live" 2 times in the TST and as it didn't shine you are a little gunshy.

I'm not gun shy at all. Waiting is just part of the process, and it usually takes 3-6 months. In years past, I'd see a great walkforward equity curve, and then immediately start trading it. More than once, the strategy went bad as soon as I went live. Likely, it was something I was did wrong in testing - there are a million things you can do incorrectly, and they only show up with live data.

"Incubating" - watching a strategy live, and waiting for a few months to make sure the strategy does not fall to pieces in real time, has saved me a ton of money over the past few years. I recommend it for everyone.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Attached Files
Register to download File Type: xls topstep1a.xls (206.5 KB, 63 views)
Register to download File Type: xls topstep2a.xls (198.5 KB, 30 views)
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  #459 (permalink)
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TST Webinar Tomorrow

LEARN HOW A PROFESSIONAL TRADER RECOVERED FROM A CLOSE CALL IN THE COMBINE

Tomorrow, August 16, we're spotlighting an important webinar from award-winning private futures trader, Kevin Davey. Kevin has been trading for over two decades, has finished first and second place in the World Cup Futures Trading Championship, and has been recognized as a "Market Master." He'll be discussing his time in the Combine and how he came back from being down -$4,300 to earning a rollover. Plus, you can submit questions and comments during his presentation. Don't miss it!

"Flirting with your Max Drawdown: What it Takes to Overcome Adversity in the Combine"
Presented by Kevin Davey on Squawk Radio
Friady, August 16 at 12:00 PM CST
Broadcast open to guests all day

To join the broadcast:

Follow this link:TST Trading Floor
Choose the "pit" of the product you trade
Check the "Login as guest box"
Enter a Display Name

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #460 (permalink)
Elite Member
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Sizing Question


Kevin, Do you have any research (or maybe gut instinct), on which of your trades on which days are higher percentage winners?

I have been looking at a strategy of trying to quantify the setup as a percentage, and then trade it with a size relative to its winning percentage. Basically, if I have a setup that runs at 70% (for example), trading it with much larger size. I am testing it out, and have not tried a combine yet...it may not even work.

Do you have any thoughts on how to improve/adapt this idea?

To try and explain it a little more: Lets say you had a strategy to fade the gap if it was more than 8 points, and found it was most effective on Fridays, could you model an expectancy for this idea? If Mon-Thurs was say 55%, but Friday jumped up to 70%, could you increase position sizing on this day to try to ramp up profitability?

Hopefully, this post makes sense.

Thanks
Danny
P.S. I really appreciate the discussion relative to sizing, and all the time you have put into these posts. It is very informative and interesting. Call me crazy but I love talking about trading

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