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My 20D/30K combine-like real money challenge
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My 20D/30K combine-like real money challenge

  #1 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
xelaar's Avatar
 
Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

My 20D/30K combine-like real money challenge

Hello guys. I haven't been around for many months now. I have taken time to broaden my knowledge and experience in stock trading - mostly swing/momentum, and options trading. It has been good generally even though this latest ramp up did create many problems and took away all previous gains and more, but I guess I am not alone and should consider this experience invaluable. I keep working on these matters on my main portfolio account.

At the same time I kept working on improving my day trading strategy. I won't bother you with technicalities right now and we will go step by step if anybody is interested. In a nutshell I am working on improving my strategy investability and capital-friendliness. It means reducing a number of trades by filters and increasing holding time to add profits via runners.

I had decided to work on repeatability and lasses-fair trade management by doing a public real money combine-like challenge. It resembles 30k 20d combine of old times from TopStepTrader. I.e. 500 a day may loss limit, 1500 max draw down, 1500 profit target, 50% win days, max win day is larger than max losing day. I have added another rule: 50% of trades must be longer than 10 minutes. I will explain later why that is important.

Since my approach is using volatility-based stops my stop distance varies greatly and can be from 10 to 40 points. Instrument traded (for now) is DAX. Obviously I couldn't implement a viable position sizing strategy with FDAX futures, I would have then run a risk per trade of 1000 euro to be able to scale size up during low volatility and keep risk per trade constant. This is way to much for me at this stage and high risks had been a huge detriment to me since I moved into FDAX from GC.

So instead I am trading CFD of DAX, and minimal size corresponds to 1 euro per point risk. Regular spread is just 0.7 points which is less than FDAX has and much better than FDXM has. Commission is 5 euro per 10 euro/point position, so about 12.5 euro for the size replicating FDAX contract, which is much more than FDAX has, but still it is about half-point only which is not much by any measure. This gives me great flexibility to scale positions to close to same risk per trade, which I couldn't do with futures contract.

The goal of this challenge is to hit 1500 profit in 20 trading days (max 40 calendar days). I will start with a minimal risk per trade that allows position to scale to volatility, 30-40 euro per trade. I will increase trading size by just as much after every week closed in profit and without any major blow in rules following. If later happens - I will return back to the minimal size. Max risk per trade to be used is 120 eur per trade. More than so seems inappropriate with the daily max risk and max DD stated.

As we all know 30k stated by TST was a fictional figure and you don't need so much capital to work with the stated position sizes and risks. I will use only 3k, it is appropriate and this is what I have put into my account.

Another reason of doing it, I had teemed up with a broker that provides ability to build a top class investment products based on trading strategy and risk-adjusted automatically to 20% VaR. The period of trading selected corresponds to the experience track required to build a required history to generate all required metrics and tech risk management algos to normal risk I trade with. I won't mention the broker so @Big Mike don't take it as advertisment, as this is not the point. I will also black out broker name from my stats screen shots if needed.
I plan to invest much more sizable capital into the strategy myself as soon as investment product can be produces out of it, and enjoy automatic protection of capital and AI-driven risk-management.

Basically this is it. I will post daily updates with stats similar to TST directly from MyFXBook page, and a general screen shot of all trades taken.


Trade to live. Not live to trade.
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  #2 (permalink)
Quick Summary
Quick Summary Post

I had decided to work on repeatability and lasses-fair trade management by doing a public real money combine-like challenge. It resembles 30k 20d combine of old times from TopStepTrader. I.e. 500 a day may loss limit, 1500 max draw down, 1500 profit target, 50% win days, max win day is larger than max losing day. I have added another rule: 50% of trades must be longer than 10 minutes. I will explain later why that is important.

The goal of this challenge is to hit 1500 profit in 20 trading days (max 40 calendar days). I will start with a minimal risk per trade that allows position to scale to volatility, 30-40 euro per trade. I will increase trading size by just as much after every week closed in profit and without any major blow in rules following. If later happens - I will return back to the minimal size. Max risk per trade to be used is 120 eur per trade. More than so seems inappropriate with the daily max risk and max DD stated.


Last edited by xelaar; March 29th, 2016 at 04:32 PM.
 
  #3 (permalink)
Trading for Profit
Pittsburgh, Pennsylvania
 
Futures Experience: Advanced
Platform: TradeStation
Favorite Futures: ES
 
Pedro40's Avatar
 
Posts: 555 since Jan 2013
Thanks: 31 given, 361 received


Welcome back Alex!

So your CFD broker has both spread and commission? I have access to CFDs but they only use a wider spread, and no commission...

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  #4 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
xelaar's Avatar
 
Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received


Pedro40 View Post
Welcome back Alex!

So your CFD broker has both spread and commission? I have access to CFDs but they only use a wider spread, and no commission...

Thanks, Pedro! Nice to see you!

Yes, this is STP broker so it does not mark up spread neither on FX nor on CFD and makes only on commissions. Spread on CFD is whateven Goldman sets, but this is the most competitive I have seen. Their prime-broker (and exchange) is LMAX, btw. I do have an account at LMAX but this other broker gives this unique investment product packaging ability to trade larger capitals plus OTM under their pan-European money-manager license, which is a big perk in itself.

Trade to live. Not live to trade.
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  #5 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
xelaar's Avatar
 
Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

No trades today- exceptionally low volume prior to Yellen yell.

Trade to live. Not live to trade.
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  #6 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
xelaar's Avatar
 
Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

Unbelievable shit, no trades for days in pre us session

Trade to live. Not live to trade.
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