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I look at a system's performance (past and expected) from a variety of angles using a host of statistics and analytical procedures. Some of them are proprietary. However, a good statistic for return on risk is Cumulative Profit to date divided by the largest drawdown experienced to date.
Two systems are losing. System "Walker" is near 50% of historic max drawdown level. Adding more unit as the required $ has dropped. Adding into only the system Walker. As I am more comfortable with walker and saw it trading about a year now. Testing started around this time of last year.
Start
Risk: 3600
Margin: 1000
total: 4600 per unit
Now
Risk:2400
Margin:1000
total: 3400 per unit
3400 X 6 units= 20,400 will be put aside for immediate transfer if needed.
Current risk after 20,400 adding on.
Initial deposit: 25,000
Withdraw :-10,000
adding on :20,400
Margin(1000X17):-17,000
Total Risk :18,400
Have to re-balance the risk and margin. 20k which I have put aside is no longer available due to a personal/business reasons. To continue to trade two systems, I have reduced margin requirement to 600 from 1000 and number of contracts to be traded. Account is at 33k
System Walker.
Start
Risk: 3600
Margin: 1000
total: 4600 per unit
Now
Risk: 2000(From 3600 system have been losing. Down 1600)
Margin:600
Total: 2600 per unit X 10 contract= 26,000
Trading stops if account is at 6000.
Adding a unit 42000(BE point)+4200=44200
System Runner
start
Risk:4500
margin:1000
Total:5500 per unit
Now
Risk: 2800(system also has been losing. 1700 per unit)
Margin: 600
Total:3400 per unit. X 2 contract= 6800.
trading stop if account is at 1200.
Add a unit at 15300(4500 Risk+600 Margin=5100. BE point is at 10200.)
The max risk stays the same but it is cheaper now because two system was losing past couple of month. Tried my best to re-balance. A regular guy trying to play this game. Sorry if it looks messy.
My total out of pocket risk
Initial deposit: 25,000
Withdraw :-10,000
Margin(600X12):-7200
Total Risk :7800
As this monthly result is showing, not having a profitable trading phase at this moment. The system "runner" was introduced too early. As mentioned before, I traded right away without proper incubation period. Not only that, I have entered right after the system showed very high profits.
Depending on my personal/business situation, I might be adding more funds to increase size of contracts. Crossing 100k mark is the one of my major goal.
I have been testing a system to trade crude oil future. In last 10 years, System traded about 35 times a year(intraday). After commission and 1 tick slippage, slightly above 60% accuracy and 1.1 win/loss ratio. Max drawdown is at 5200. So in real trading, I will need about 7000 to trade a single contract. Will begin with sim account for Oil soon.
Not an easy task. Making money in trading huh?
Thank you.
Finally a profitable trade yesterday but not without some problem. I was eyeing on a potential sell signal around opening. But I noticed Ninjatrader was frozen. After a few rebooting, I have found the problem. When I had system performance window open, I did not bother to close it. I had more than dozen performance tab opened and every time I shut ninjatrader off, it was saving it into my template.
Sell signal was never triggered into an order. But when market came back up to it's original sell price at 2822, I manually entered short. And it almost stopped out. It was 1 tick away from being stopped then market started tumble to down side. Covered at 2815.50.
No manual trades has been entered other than yesterday since April's mistake. I am doing great on following my plan and sticking with it. Still some distance to go to break even area. Currently down about 40%.
Following rules that I have created is sometimes difficult to watch. Like today. System entered long @2858.50 around 11:30 and the target was missed by 1 tick from 3:35 high. Profitable trade turned into a losing trade. But we go on to trade another day.
I have tested ATM strategies on the system. Such as if some points gained, bring stops to near BE and etc. But the results was not attractive. All it did was cutting into profitable trades and adding on the cost of trading. So this type of trades will be occurring again in near future. So trust process and sit on your damn hand. Let the strategy pan itself out.
Some of issues I was having with personal/business matter has been resolved. Around 14k is being put aside to add 5 additional contracts to system walker. Currently trading 15 contracts.
My total out of pocket risk
Initial deposit: 25,000
Withdraw :-10,000
Boost: 14,000
Margin(600X17):-10200
Total Risk :18,800
Original system Walker's risk per unit: 3,600
Current: down -950 per unit=2,650
August result: 17 total trades 9 profit 8 stopped out resulting in $780 net gain.(All system)
2017
24,941 to 32597 +7656 +30%
2018 so far
32,597 to 39,688(current bal+10,000 withdraw) +7109 +21%
ROR would be higher but since it varies by my commitments at times, I have used the total account balance to calculate the numbers.
By reading and researching this forum, I came to a hard conclusion. No matter where you are at, if you match or out perform S&P year after year, That is a sign of a great trader. Do not mind what others are doing. Do not pay attentions to all the books about super traders I have read before. Because I am not working as a runner in Chicago pit in 90s, have a raw talent as a super trader nor have resources to obtain and spot irregular patterns in this highly efficient market.
All I can do is play my game and follow the rules.(sounds repetitive but I must remind myself often)
Well. I think I have made an mistake here. I came up with three different strategies to trade different market condition. Instead of treat them as a single method to trade, I was treating them as a individual strategy. Giving them their own set of capital to trade. So from now, all will be come under one capital to trade. Here is some numbers.
Historic max dd: 5500
Adding 50% of max DD for system cut off(total lost):2750
margin for es: 600 per unit.
5500+2750+600=8850 is the full price per single unit.
System is just coming out of worst draw down period. Which is 5500 per unit. So the per unit capital requirement looks like this.
8850(per unit capital)-5500(current DD)=3350 per unit.
Account balance: 30,900
Units to trade: 10 (10X3350=33500) Account is under capitalized by 2600 which will be sent in if needed in future.
There are three possible out come.
1. system continue to make bigger loss and take me out of the game.
2. system produces similar number of winners and losers to create a flat equity curve line for awhile.
3. system in sync with market condition and start to gain positive equity curve.
It is true that I certainly hope it works out but me hoping will have zero impact on what is going to happen. Accepted the risk and let's play.
On right side of attached image, I was not in on the large spike of profit. instead, I got on board right at the top(red arrow)
My total out of pocket risk
Initial deposit: 25,000
Withdraw :-10,000
Margin(600X10):-6000
capital needs to be sent in:2600
Total Risk :11,600
System can very much go further than current max DD. A lot of thoughts coming into my head. Such as "this is time to increase my risk" "maybe you wanna cash out" and etc.
The reason is. I do not have a faith in my system. Yes. It has been profitable but not without sizable volatility. I saw it made money and lost money. Since I started last July, It has been a little bit more than a year, learned a lot about system trading but that does not tell me where this system is going to do...Who am I to trying sneaking into the 5% club?
But I must remind myself. Even if I get taken out of this game, it will be done with me sticking with the system and rules. No over ride trades and no tweaking the system because current market condition favors it.
Some said if you let the machine do the work, you eliminate emotions out of trading. WRONG! well..at least in my case. It might reduce it a bit but they are still there. I still have to fight the urges.
I am babbling here but this helps me to stick with my rules and plan by reminding me in writing.
