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Tested system's performance during FOMC announcement. There were total of 53 trades in 12 yrs going into FOMC. No slippage possible:7
Slippage possible(stopped out): 18
Profitable trades: 28
Total Loss points(3 tick slippage were added to every losing trades) -85.5
There were about 7 trades possibly ended up with no slippage but added into this to prepare the worst case scenario.
Profit: 137.75
Net: 52.25
This was in my to do list but I must have forgotten to do so. Yesterday's trade(2tick slippage) helped me to remember it. System will be trading on FOMC days.
Account is going back and forth. Win here then lose there. Still hoovering a slightly above 60k level. Down about 4k since late May.
Having an unprofitable month. But very good trades. without much of slippages.
Update on system.
System was trading under 65k account level. I am withdrawing 10 k to make it 55k level.
System Walker.
Max risk/play money: 3600(Historic max dd with 1 tick slippage=3000)
Margin: 1000
number of contracts:6 X 4600=27600
Add 1 unit of risk on 3600 profit.
System Runner.
Max risk/play money: 4500(Historic max dd with 1 tick slippage=3700)
margin:1000
number of contracts:5 x 5500=27500
Add 1 unit of risk on 4500 profit.
55100 is required to trade this number of contracts.
Current balance: about 55,000. Currently down 10,000 from 65000 level past month. By withdrawing 10k, it will match the current minus 10k condition.
Withdraw request was made last night and it came in today. It has been a very long time since I have withdraw anything from trading account. Maybe first time in 15years.....It feels a little weird...but good. After the withdraw and today's losing trade, my account balance is at 43,447
I feel extremely lucky to having a profitable period at the beginning. As I was be able to build up capital and divide funds to trade two different systems. If I started with losing month or two, I might have bailed on system and started to look for new system to trade.
Watching system losing trade after trade is not an easy task. However, My real risk here is $4000.00 of my own money. That is still a lot of money but with that, I get to play the market with 40 thousand dollars.
"Hope is useless when comes to trading", "Market is going to do what it's going to do" How many times did I hear that? A lot. But never understood it like I do right now. That anxious and exciting feeling when market is inching up or down to very near the stop limit price. Greed and hope. Wanting to increase my profit target level as market moves close to it. Those feelings are getting covered by numbers of trades being executed in past 8 month and positive account balance. I do not think it is possible to get rid of those feelings completely but they do get smaller and smaller.
Will report June's performance in a few days.
Thank you.
Typo from last post.
system walker: Add 1 unit every 4600.00 profit
system Runner: Add 1 unit every 5500.00 profit
Lost about 13k in this month of June. System Runner is having a tough time. 11 loses and 4 winners. and 8 consecutive losers in a row!! This system had a great run until May. Well...that's when I initiated this strategy. Also June 2018 is the second worst month in system's 12 year back testing history. But will stick with the rule and see what happens in July.
System "Runner" A losing streak. I have played many times about having a losing streaks but boy,,,in real time, they are much harder to look at than playing it in my head. A lower probability(about 46%) trading system can be brutal. A profitable trade yesterday...finally. But I have no idea if the losing streak is over. No modification was done to the system. Will continue to trade the same way.
Will be increasing risk to the first system(Walker) If it continue to lose. Right now $1000 loss per contract. Will be buying into when system is losing about 1500~2000 per contract.
I'm just curious, did you run the new system through an incubation period before going live? An incubation period is a bridge between the backtest and the live period in which you run the signals out of a simulated account. Incubation provides some protection against overfitting.
You might also want to calculate the odds of achieving your current losing streak based on your assumptions and expectations of OOS system performance. Finally, I typically start small relative to my account size with real money and ramp up position size only after the system demonstrates that live trading is what I expected. Make the system prove itself every step of the way before overly committing to it.
No. I did not run a proper time to prepare the system in real time. As an inexperienced system trader, I have overlooked the importance of testing a real market with small amount of risk first. From this, I have learned to do real time test as well as do not commit if the system has been much more profitable than normal.(the system had a great run in early 2018 but I wasn't trading it real time)
Thank you for sharing your thoughts. I do appreciate it.
Always keep in mind that your edge as a system trader will be your ability to craft money-making mechanical systems. This ability is foremost grounded out of experience yet stems from the creative process. You could review and make sure that you properly designed, tested (i.e., cross-validation, WFA), and incubated the system.
You're currently taking incoming fire. However, if the system is properly designed then the current drawdown is to be expected and you must simply batten down the hatches and ride it out. On the other hand, if the system has not been properly designed then all bets are off and you may need to pull the plug. I'm certainly not offering advice and telling you to pull the plug because that could be the wrong decision since I don't know how you designed your system. But, it could be amongst the choices to consider. Finally, you should always have an uncle point where you will walk away from a system that is not performing as expected.
Will always keep that in mind. I will add on the rules to introduce incubation period of system. 1~2 month to see if it is firing at correct level. And start with a single contract. This, I have done so when I was first to trade a system last summer. But as I was introducing a second system, I guess I was in hurry and did not think a proper incubation period was needed.
Not sure if system is designed properly but It does compliments other system well. If I combine two systems together, There were no losing year in past 12 years. And the system is trading as it should be. Lower probability trading such as mine will go streaks of losing trades. It is has positive expectation but just barely. It would be awesome if I could design more profitable system but at this point, these two systems are the best I could come up with. So I will batten down the hatches and ride it out.
I will be happier and comfortable if I reduced the number of contracts on second system and re adjust. But the truth is, especially the market, rarely granted me a gift of profit when I adjusted positions or direction of trades so I could feel better. Those who mastered trading and trading at high performance level can decide and adjust their position because the hard work and experiences they have built. I simply do not think I am qualified to make such a move. So, I will stick to the original plan. Total risk was considered and accepted. Market might show me the door by dragging the systems performances to all time low but at least, if that happens, I will lose with my set of rules.
@Sazon Thank you for your advise and time. Do you have a bench mark when it comes to a system trading? I know it can be vary on what type of system it is but in general, do you a bench mark on a system's return on risk?
