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Kevin's TST Combine Journal

  #81 (permalink)
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Combine, Day 8

Once again, a small overnight win, and no other trades.

At this point, I can't say I am happy with the system's performance, but I can't say I'm surprised either. The current results are easily in the distribution of possible outcomes for the system. (if anyone is interested in seeing this, just reply and I'll do the analysis. Otherwise, I won't)

So, I obviously will be sticking to the plan. One benefit of sticking to a plan is that is reduces stress, at least for me. I don't worry if I should move stops, or profit targets, or go to a new system. I think many people, at this point (40% completed with combine), would start implementing a new technique.

What would you do?






Last edited by kevinkdog; April 8th, 2013 at 05:11 PM.
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  #82 (permalink)
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Trust in God, but tie your camel. ;-)


kevinkdog View Post
...What would you do?
...

There is an old Persian proverb, which says: “Trust in God, but tie your camel.” It
acknowledges the tension we often come up against when we talk about trust – what is God’s
part and what is our part? When does trust mean that we do nothing except let go and sit and
wait for God? When does trust mean that we get active and make some plans and start to do
things and allow God to empower and guide while we are in motion? I can tell convincing
stories from both perspectives:

Let Go”: A tourist came too close to the edge of the Grand Canyon, lost his footing and
plunged over the side, clawing and scratching to save himself. After he went out of sight and
just before he fell into space, he encountered a scrubby bush which he desperately grabbed
with both hands. Filled with terror, he called out toward heaven, "Is there anyone up there?" A
calm, powerful voice came out of the sky, "Yes, there is." The tourist pleaded, "Can you help
me? Can you help me?" The calm voice replied, "Yes, I can. What is your problem?" "I fell
over the cliff and am dangling in space holding to a bush that is about to let go. Please help
me." "The voice from above said, "I’ll try. Do you believe?" "Yes, yes, I believe."’ "Do you
have faith?" "Yes, yes. I have strong faith." The calm voice said, "Well, in that case, simply let
loose of the bush and everything will turn out fine." There was a tense pause, then the tourist
yelled, "Is there anyone else up there?"

Get Going”: “A church member was having trouble with the concept of tithing. One day
he revealed his doubts to his minister: "Pastor, I just don’t see how I can give 10 percent of
my income to the church when I can’t even keep on top of our bills." The pastor replied,
"John, if I promise to make up the difference in your bills if you should fall short, do you think
you could try tithing for just one month?" After a moment’s pause, John responded, "Sure, if
you promise to make up any shortage, I guess I could try tithing for one month." "Now, what
do you think of that," mused the pastor. "You say you’d be willing to put your trust in a mere
man like myself’ who possesses so little materially, but you couldn’t trust your Heavenly
Father who owns the whole universe!" The next Sunday, John gave his tithe, and has been
doing so faithfully ever since.

In the first story, trust meant letting go. In the second, it meant doing something and
trusting God to take care of the rest. On the one hand, you’ve heard the saying, “You can’t
steer a boat that isn’t moving.” On the other hand, “Let go and Let God.” Do you see the
tension? Does trusting mean that we do nothing and wait on God, or does it mean that we
seek God actively as we get moving along?
---

Question remains open
source: http://ww25.pastorpauley.com/sermons/TrustGodTieYourCamel.pdf

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  #83 (permalink)
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kevinkdog View Post
Once again, a small overnight win, and no other trades.

................... (if anyone is interested in seeing this, just reply and I'll do the analysis. Otherwise, I won't)

So, I obviously will be sticking to the plan. One benefit of sticking to a plan is that is reduces stress, at least for me. I don't worry if I should move stops, or profit targets, or go to a new system. I think many people, at this point (40% completed with combine), would start implementing a new technique.

What would you do?

Is this a trick question? I'm enjoying this project you've initiated. I agree, many people would start changing things and as you (more than most) would be quick to point out all the analysis of the system/method would be meaningless. I'm in your corner Kevin and expect to see your system latch on to a nice trend or two before this is over. "40% complete," That's impressive in it's self, nice job. We've all seen combines posted here on futures.io (formerly BMT) that lasted hours not days. Thanks for spending the time with this project and sharing with us..... Let it ride!


Last edited by Cashish; April 8th, 2013 at 08:04 PM.
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  #84 (permalink)
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kevinkdog View Post
Once again, a small overnight win, and no other trades.

At this point, I can't say I am happy with the system's performance, but I can't say I'm surprised either. The current results are easily in the distribution of possible outcomes for the system. (if anyone is interested in seeing this, just reply and I'll do the analysis. Otherwise, I won't)

So, I obviously will be sticking to the plan. One benefit of sticking to a plan is that is reduces stress, at least for me. I don't worry if I should move stops, or profit targets, or go to a new system. I think many people, at this point (40% completed with combine), would start implementing a new technique.

What would you do?

I am guilty of switching the plan. Its one of my revelations with my first combine. They call it Style Drift. There is a good interview here about it: https://futures.io/psychology-money-management/26596-style-drift-changing-your-strategy-mid-stream.html#post314039 I agree with you that when you trade your plan, there is a lot less stress. My biggest problem now is converting from a scalper to longer term trader. Old habits die hard.

I was talking to a funded trader on Friday who was telling me another trader he knows had 19 losing trades in a row with his system. He didn't deviate from the plan and it eventually worked itself out. I would have dumped it at 10. I would bet most traders have come across a system that would work for them long term but ended up discarding because it didnt work in the short term. I would also bet I am in that group of traders.

Something else that struck me.. I was naive to think I could come into this and pass the combine quickly. I have realized I have a lot to learn and it may take 20 combines (or more) till I get it. Once I accepted that this was a long term commitment it lifted a huge weight off my shoulders and has allowed me to focus on areas that need improvement. Now I am working within the confines of the TST job requirements and becoming good at what I am currently bad at.

This is really like a day job... you dont come in and get promoted in 10 days.. you have to prove yourself first. This may take months or even years. But, I am in it for the long haul and will do what it takes to succeed no matter how long it takes.

(Stepping down from my soap box.. )

Robert

nosce te ipsum

You make your own opportunities in life.
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  #85 (permalink)
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Execution Imperfections

Whether you are a discretionary trade or a rule based mechanical trader, I'm sure at some point you've wondered why your real time performance doesn't match what you think it should be.

For discretionary traders, many times it happens because what you see and do in market reply / historical backtest etc. is not the same thing you do in real time. I was briefly in a trading room once where this occurred. In real time, the "guru" hemmed and hawed and did not seem to do too good. But in his analysis after the fact, he hit every trade dead on!

Because of this, many discretionary traders try a rigid 100% rule based strategy. They figure that then the historical results will always match their real time results - ie - that they are trading EXACTLY per their strategy, and the results should therefore match EXACTLY.

Well, it is a nice thought, but I am here to tell you it is just not true. And I'll prove it with my Combine account.

For the Combine, I am running 3 strategies (1 overnight, 1 "pit hours", 1 late day). 100% rule based, no discretion.

In a PERFECT world, my Topstep performance report should match my Tradestation Strategy Engine Performance Report EXACTLY.

It doesn't, as shown below.

Why?

Reasons that I can identify so far (Execution Imperfections):

Missed trades (oversight, or away from my PC)

Late entry trades

Differences in slippage amounts

Mistake trades



As you can see, I'd be doing better if there were no imperfections in my execution. But that is not always the case. Sometimes these items lead to better results.


Most of my "execution imperfections" occur because I have to manually enter orders for this Combine. If I ran this automated, these issues would be seriously reduced.


So, how can you incorporate this in your trading? Simple, keep a log labeled "Execution Imperfections." Whenever your real trade result varies from the backtest (expected) trade result, record the amount and the reason. After a while, you quickly figure out what is driving the imperfections, and then you can work to fix it.




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  #86 (permalink)
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Combine, Day 9

Same Old Story, Same Old Song and Dance


Day 9 - overnight trade, decent winner made larger by a late entry (Baseball coaches meeting)


The next few weeks will be interesting, as soccer, t-ball and baseball kick in for my kids, in addition to routine activities like gymnastics, swimming and cub scouts. I may miss some of these evening trades. Again, this is because of the T4 manual order entry. Auto trading would be no problem.

I really need a couple of runners to have any chance of passing. Unfortunately, I don't get to select when these occur. If history is any guide (and I am hoping it is), during the 2 month Combine I should get 3 days of more than $500 profit, with one of those days over $1,000 profit. All together, those 3 days should provide about $2,800 in profit, which is a little more than I need.

Alas, thus far I've had ZERO days with over $500 profit.

So, maybe I am due soon?





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  #87 (permalink)
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kevinkdog View Post
I may miss some of these evening trades. Again, this is because of the T4 manual order entry. Auto trading would be no problem.

If you had auto trading available, how would that change your daily Combine routine? Would that bring benefits only? I mean things like how many hours away from your screen would you tolerate without fearing too much that two trades, each legitimate on its own, would cause a disaster that you could have avoided with close supervision (like not taking the second one if you are too close to DLL)?

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  #88 (permalink)
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Trovatore View Post
If you had auto trading available, how would that change your daily Combine routine? Would that bring benefits only? I mean things like how many hours away from your screen would you tolerate without fearing too much that two trades, each legitimate on its own, would cause a disaster that you could have avoided with close supervision (like not taking the second one if you are too close to DLL)?

Thanks for the question. I'll explain the daily routine, and hopefully then the automation benefits will be clearer.

Night Session - Strategy #1 - 6 PM - 7 AM ET

This runs on 105 minute bars. So that means every 1 hour, 45 minutes, I have to be near the PC to place any orders when a particular bar closes. I have it set so that no new orders get placed after 1 AM (I have to sleep), and only 1 trade per session maximum is taken. So, automating this would mean I would not have to be at PC at 6:00PM, 7:45 PM, 9:30 PM, etc. I would still check things during the evening, but it would be much more flexible.


Day Session - Strategy #2 - 7 AM - 2 PM ET

NOTE: If I took a losing overnight trade of more than $50, I would NOT trade this strategy #2 on that day. That way, I would not run into Daily Loss Limit (DLL) issues.

This runs on 60 minute bars. So that means every 1 hour, I have to be near the PC to place any orders when a particular bar closes. I have it set so that only 1 trade per session maximum is taken. So, automating this would mean I would not have to be at PC at 7 AM, 8 AM, 9 Am, etc. I would still check things during the day, but it would be much more flexible.


Day Session2 - Strategy #3 - 2 PM - 4 PM ET

This only runs on 30 minute bars, but everything else I said about the other day session holds true here.



So, the big benefit in automation is that I would not be required to be at PC at particular times. Rather, I could just check at my convenience. That would make things a lot easier.

I hope this explains it, if not just let me know and I'll try again.

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  #89 (permalink)
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kevinkdog View Post

I hope this explains it, if not just let me know and I'll try again.

It's very clear now! Thanks for reminding of the bar lengths, the 'max 1 trade per session' rule and the fact that each strategy has its own time window, not overlapping with any of the other two.

It's another interesting question how frequent and thorough checking auto trading requires in general (with a healthy amount of paranoia one can think of so many things that can go wrong) but I guess discussing it here would take us off topic.

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  #90 (permalink)
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Trovatore View Post
It's very clear now! Thanks for reminding of the bar lengths, the 'max 1 trade per session' rule and the fact that each strategy has its own time window, not overlapping with any of the other two.

It's another interesting question how frequent and thorough checking auto trading requires in general (with a healthy amount of paranoia one can think of so many things that can go wrong) but I guess discussing it here would take us off topic.

Yes, you are right. Unfortunately, many people equate automated with unattended. The latter can be very dangerous!

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