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Small losses...large gains...sometimes
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Created: by Family Trader Attachments:17

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Small losses...large gains...sometimes

  #101 (permalink)
Elite Member
Palm Beach County
 
Futures Experience: Advanced
Platform: OEC about to change to Ninja
Favorite Futures: ES ,EUR/USD
 
Posts: 179 since Feb 2011
Thanks: 66 given, 89 received

Not trading until Europe opens tomorrow morning...busy with MC and auto trading back testing


Trader

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  #102 (permalink)
Elite Member
MN
 
Futures Experience: Intermediate
Platform: NinjaTrader
 
Posts: 97 since Mar 2010
Thanks: 457 given, 74 received


Family Trader View Post
Chart for yesterday's tradesAttachment 35312

At the end of the month I will make a few comments related to trading and hopefully try to offer some useful advice related to 'funding' a strategy and survival.

Not everyone will like it,but if it helps 1 trader, I will be happy.


Trader

I think it'll be great. It's always good to hear another trader's perspective. I'm looking forward it.

rptrader

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  #103 (permalink)
Elite Member
Palm Beach County
 
Futures Experience: Advanced
Platform: OEC about to change to Ninja
Favorite Futures: ES ,EUR/USD
 
Posts: 179 since Feb 2011
Thanks: 66 given, 89 received


There no opportunites to trade today...will set up around 1.30 am before Europe opens if there is anything there.

Trader

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  #104 (permalink)
Membership Permanently Revoked
 
Futures Experience: Intermediate
 
Posts: 1,176 since Nov 2009
Thanks: 221 given, 844 received


Family Trader View Post
There no opportunites to trade today...will set up around 1.30 am before Europe opens if there is anything there.

Trader

how is the MC auto effort coming along?

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  #105 (permalink)
Elite Member
Palm Beach County
 
Futures Experience: Advanced
Platform: OEC about to change to Ninja
Favorite Futures: ES ,EUR/USD
 
Posts: 179 since Feb 2011
Thanks: 66 given, 89 received


sysot1t View Post
how is the MC auto effort coming along?

Fine thanks...MC tech support (Russia) are very good and had to field a number of questions,unnecessarily, because MC's documentation is out of date and there have also been 'easy language' updates that have not been documented.

Had to 'build' our own signal for one strategy with MC's assistance but they failed to provide complete information..so when it came to back testing and verifying could not get any consistency whatsoever..

That made it very difficult and frustrating for my IT guy to complete various tasks....but we have finally cracked the problems and are now getting accurate back tested data with the additional assistance from MC's tech people.

They are good.

We will be completing the auto strategy for the system I have offered in this journal by next week and will be running a demo account attaching MC to suss out any weaknesses.

Apparently, MC are about to update their package to include a DOM...will be very useful.

I like MC a lot,but have not purchased it yet until we have done a few other things while in the 'trial' period.

Trader


Last edited by Family Trader; March 31st, 2011 at 06:40 AM. Reason: check for spelling
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  #106 (permalink)
Elite Member
Palm Beach County
 
Futures Experience: Advanced
Platform: OEC about to change to Ninja
Favorite Futures: ES ,EUR/USD
 
Posts: 179 since Feb 2011
Thanks: 66 given, 89 received

The price action was pitiful this morning so did not open any positions...looks well justified and typical end of month aimlessness.

very busy with my project so could not have concentrated on trading this strategy either.

Trader

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  #107 (permalink)
Membership Permanently Revoked
 
Futures Experience: Intermediate
 
Posts: 1,176 since Nov 2009
Thanks: 221 given, 844 received

MC Challenges

I figure I post here, but I saw your post on the other thread about your MC challenges with some of the automation... what kind of challenges are you facing? curious to know.. also, keep in mind that though there are good resources on the MC forum, there are even better on the tradestation forum with certified EL specialists that can code anything your heart desires... not certain of the credentials of the coder you used, so I can opinion as to how come he gave up on dealing with MC support or why he would even need MC support if the strategy is rather simple.

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The following user says Thank You to sysot1t for this post:
 
  #108 (permalink)
Elite Member
PA
 
Futures Experience: Intermediate
Platform: NT
Favorite Futures: ES
 
Posts: 26 since Jul 2010
Thanks: 264 given, 35 received

Family Trader:

Thanks for sharing your strategy. I have read your thread several times to make sure I understand the method, but I still have a few questions that I was hoping you could help me with.

1. If I understand correctly, the methodology is based on the following assumptions:
- We expect the market to move a certain minimum distance regularly (otherwise there would be no need for a market!)
- We don’t know when the move will take place or which direction.
- The longer price oscillates back and forth across our entry level, the higher the odds of making the move to the profit target on the next oscillation. Therefore, we increase lot size geometrically with each subsequent oscillation while waiting for the eventual price move to the target.

Do I understand correctly?

2. Each trade increases the lot size by the number of the series. For example, the cumulative number of contracts traded after 25 trades (5 series) is 75.

Cumulative contracts at end of each series:
Series 1: 1+1+1+1+1 = 5 +
Series 2: 2+2+2+2+2 = 15 +
Series 3: 3+3+3+3+3 = 30 +
Series 4: 4+4+4+4+4 = 50 +
Series 5: 5+5+5+5+5 = 75

Is this correct?

3. In Post #37, you show a Net Result of 10-4=6 points before comm., but weren’t you trading 5 contracts when you hit the profit target? My understanding of this trade sequence is the following:

S 1328.75
L 1330.50 (1.75) x 1 = (1.75)
S 1329.25 (1.25) x 2 = (2.50)
L 1329.50 (0.25) x 3 = (0.75)
S 1328.75 (0.75) x 4 = (3.00)
Profit 1318.75 10x5 = 50
NET = 42 points before comm.

Is this correct? Net Result = 42 points, not 6 points?

4. In Post #59, you took a loss. Why did you choose to take a loss rather than hold on to target?

5. In Post #76, you show “Net Profit 11.00 points before comms… 81 contracts…”.
a. At 81 contracts, I assume this is Trade #1 in Series 6. Correct?
b. What do you mean by Net Profit 11.00 points? I assume this is the profit on only the last trade while holding 81 contracts, not the net profit over the entire cycle of 6 series since the profit of 11 points does not include the total of all the small losses over Series 1 thru 5. Correct? If so, Profit is not 11 points x 81 contracts x $50/pt = $44,550. Rather, profit is something much lower due to the sum total of all small losses prior to the 11 point winner. Correct? (In this example, your actual trades were not listed, so I can’t calculate the profit).

6. Post #100: I am very interested in any advice you can offer related to funding this type of strategy and survival.
a. account size required
b. profitability – reasonable expectation of annual return %
c. drawdown expectation

7. The power of this method is the fact that it is based on math and money management, rather than technical analysis and discretion. Do you agree?

8. Do you use this strategy in EURUSD or only in ES? If not, why not? It seems that it can be applied to any liquid market with reasonable volatility.

9. How is your automation/backtesting progressing?

10. The key to this strategy seems to be the ability to minimize the losses when flipping L-S-L-S-etc. How do you do this?
a. Do you wait for price to CLOSE on opposite side of your entry baseline before flipping or do you flip intra-bar?
b. Do you place your orders at the exact top/bottom of the 5 point range or, for example, 1 tick outside of the 5 point range?
c. Do you ever adjust your baseline once price moves sufficiently away in order to avoid taking a loss if price reverses and flips again?
d. In other words, how do you have profitable trades in a series? I assume you adjust your baseline in some way in order to get profitable trades. How do you do it?

11. I notice that you enter when price closes across a moving average. However, it seems like the starting point is not that critical and that other entry triggers could also be considered. Do you agree?

I hope you continue to post your progress and actual trades with this method. Thanks for all of your help!

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