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

  #51 (permalink)
Market Wizard
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Updated Probabilities

As I have said many times, even with a winning strategy, you have no guarantee to pass the Combine. It is really about probabilities.

So, I use a Monte Carlo probability calculator I created (found earlier in the thread) to calculate the odds of success for 4 major Combine criteria:

Reaching Profit Target - how likely am I to hit the Combine profit requirement?
Stay under Max Drawdown? - how likely am I to stay above the max drawdown value (which is actually the drawdown from the initial account value)?
50% or Higher Winning Days - How likely am I to have more than 50% winning days?
Stay Under Daily Loss Limit - How likely am I to stay under the daily loss limit?


With 5 days completed, I estimate that I'll trade for another 23 days in the 60 calendar day window.

It looks like my odds of passing the combine have gotten significantly worse. I am more likely to exceed the max drawdown, and I am likely NOT to hit the profit target.


This obviously could change with a big positive trade or 2, but I would not bet on it...

I'll update this again at the halfway (10 day) point...


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  #52 (permalink)
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kevinkdog View Post

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I see you have based "original" probabilities on trade list which contain the historic backtesting trades ( correct me if its something else . ) and added next 5 day combine trades in list to reach "current" probabilities ?

If its so then how many days of trade in that trade list ?
and how you decided to take that number of days in trade list.

Cause i feel this might change your "original" probabilities if you change the trade list, that would directly depend on number of days.

Hope i clearly explain my doubt to you.

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  #53 (permalink)
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devdas View Post
I see you have based "original" probabilities on trade list which contain the historic backtesting trades ( correct me if its something else . ) and added next 5 day combine trades in list to reach "current" probabilities ?

If its so then how many days of trade in that trade list ?
and how you decided to take that number of days in trade list.

Cause i feel this might change your "original" probabilities if you change the trade list, that would directly depend on number of days.

Hope i clearly explain my doubt to you.


For the Trade List in the Monte Carlo calculator, I took all the daily results I had from my walkforward testing. I believe it was about 3 years worth of walkforward test results.

For the original probabilities, I assumed I would be trading on 28 days in the 60 day calendar combine, based on history of around 170 active trading days per year.

For the original case, I assumed I started with $30,000, and had to make $2,000 during the combine. I had 28 trading days to do this.

After 5 trades, I updated the inputs - start with $29,520, and had to make $2,480 during the combine, in 23 trading days. So, my odds of success have fallen.


I hope this answers your question. If not, please explain some more and I'll try to answer.



Those results don't include today's results, which I'll post later. (Spoiler: passing just got even tougher after today!)

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  #54 (permalink)
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Just a thought off my head, I just looked at the game rules, and it seems for the optimum strategy to pass the game, your riskiest trades should be your first few. I think you should have been extremely aggressive at the start rather than applying a consistent set of rules throughout the game.

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kevinkdog View Post

For the original case, I assumed I started with $30,000, and had to make $2,000 during the combine. I had 28 trading days to do this.

After 5 trades, I updated the inputs - start with $29,520, and had to make $2,480 during the combine, in 23 trading days. So, my odds of success have fallen.


thanx , that make sense now.

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  #56 (permalink)
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artemiso View Post
Just a thought off my head, I just looked at the game rules, and it seems for the optimum strategy to pass the game, your riskiest trades should be your first few. I think you should have been extremely aggressive at the start rather than applying a consistent set of rules throughout the game.

Will you elaborate a bit?

"If I agreed with you, we'd both be wrong."
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  #57 (permalink)
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artemiso View Post
Just a thought off my head, I just looked at the game rules, and it seems for the optimum strategy to pass the game, your riskiest trades should be your first few. I think you should have been extremely aggressive at the start rather than applying a consistent set of rules throughout the game.

Yes, there is probably a lot of merit to your idea: go for big gains at the beginning, and if you get them, the max drawdown rule becomes less of a worry.

I think the limits to that approach working are the 50% winning days rule, and the daily loss limit. So, with my approach, almost everyday I trade I take on the max risk ($425 before slippage and commissions) per trade, without risking blowing out because of the Daily Loss Limit rule.

But, certainly if one was to get $1,000 or $1,500 profit right at the beginning, they could lay off the risk the rest of the way and take it easy to the finish line.

One idea I had seriously played with was related to your idea:

1) My first trade of day would have stop loss of $425. If I lose I am done for the day.

2) If I win that first trade of the day, I go for homerun with next trade, using profits from first trade. For example:

trade#1 - win $400

trade #2 - trade single contract with $825 stop, or trade 2 contracts with $400 stop, etc.


Unfortunately, I could not get anything to work well with this approach, in the 3 weeks I had to develop the system.

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  #58 (permalink)
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The problem is -- are you trying to game the Combine to pass? Or are you developing useful skills for real-world trading for years to come?

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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  #59 (permalink)
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Big Mike View Post
The problem is -- are you trying to game the Combine to pass? Or are you developing useful skills for real-world trading for years to come?

Mike


I don't see the 2 as mutually exclusive, although they certainly can be. At its core, trading is just a game, and the Combine is just a game, just like life is just a game. There are rules to all of them, and the goal (at least for me) is to develop tactics and strategies to be as successful as possible in all 3.

The trick is realizing the "game" isn't just passing the Combine. It is passing the Combine AND getting and staying funded. At least, that is the game I am trying to win (pretty unsuccessfully at this point, I might add!).

If you were to say "the combine rules are the trading rules for the rest of my trading career" you'd probably do pretty well, if you survived. Most people would not survive, but that might be the best thing for them (instead of spending years and years losing).

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  #60 (permalink)
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kevinkdog View Post
go for big gains at the beginning

.
.
.


But, certainly if one was to get $1,000 or $1,500 profit right at the beginning, they could lay off the risk the rest of the way and take it easy to the finish line.

How would this apply to real world trading year in, year out?

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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