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Kevin's TST Combine Journal

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Kevin's TST Combine Journal

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  #461 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
Experience: Advanced
Platform: Tradestation
Broker: Tradestation, DeCarley, others
Trading: futures
Posts: 2,826 since Jul 2012
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Ddawg View Post
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 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.

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

Thanks for your comment. I appreciate it.

A "day of the week" can be useful, if you have enough data backing it up, and you actually test the idea from the start. What many people do, though, is to run a system for a while, and after a couple of months say "Fridays I always win. Maybe I'll try double size on Fridays." With that approach, they are optimizing for day of the week after the fact, and probably without enough data. So, in that case I would not recommend it.

In using "day of week" approaches, I've started with the idea at the beginning of development. For example, I might say "every Friday, if the trend is up, I will look to buy Crude Oil near the close, and sell on Monday morning. The theory is that any natural disasters, terrorist attacks, wars/conflicts that start on the weekend might send crude much higher, especially when the general trend is up." My point is I try to build in the day of week idea before I actually test.

For position sizing purposes, I personally would not use winning percentage as the criteria. I'd use expectancy, or maybe largest loss, instead. The reason is that a 70% win system probably has small wins, and bigger losses. If you trade bigger size, and get hit with a loss, it will hurt a lot more.

But, every system is different, and it may be worth running some random simulations with different ideas, and see if one stands out.

I hope this answers your questions, if not please reply back.

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