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RoughTrader
Registered: May 2006
Posts: 625 |
04-19-09 10:42 PM
I have a policy of reducing size to one-half normal on options expiration days. Experience has told me these days can be choppy.
Friday, 04/17/2009
Security: ESM9
Session PNL: $483.70 USD
To-Date PNL: $7,089.54 USD
Account Balance: $92,466.68 USD
 4-17-2009.jpg
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RoughTrader
Registered: May 2006
Posts: 625 |
04-21-09 03:12 PM
Nice, downward trend the whole session. System only took one short position with 3 contracts.
Monday, 04/20/2009
Security: ESM9
Session PNL: $1,673.10 USD
To-Date PNL: $8,762.64 USD
Account Balance: $94,139.78 USD
4-20-2009.jpg
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rwk
Registered: Dec 2003
Posts: 997 |
04-21-09 07:33 PM
In the OP, you said that the system is fully automated. Does that mean that it could run unattended if you chose? Is any part discretionary? Is there anything other than net profit ($5k delta) that you use to decide trade size?
You said the system is stop-and-reverse and always in the market, but I noticed that it goes flat (no positions) for a while, and sometimes takes several round turns in the same direction (e.g. long, flat, long, flat, etc). The system looks a bit more complex than it first appeared unless you've been tweaking it on the fly.
[rwk]
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RoughTrader
Registered: May 2006
Posts: 625 |
04-21-09 07:50 PM
Quote from rwk:
In the OP, you said that the system is fully automated. Does that mean that it could run unattended if you chose? Is any part discretionary? Is there anything other than net profit ($5k delta) that you use to decide trade size?
You said the system is stop-and-reverse and always in the market, but I noticed that it goes flat (no positions) for a while, and sometimes takes several round turns in the same direction (e.g. long, flat, long, flat, etc). The system looks a bit more complex than it first appeared unless you've been tweaking it on the fly.
[rwk]
It's completely unattended, and I don't do anything except reoptimize every weekend for each instrument I trade.
The system's objective generally is stop-and-reverse. However, I employ profit targets for each position. There are a total of 4, and the position size is broken up as equally as possible among the targets. The system also has the option of "Always in Market", which means that the system must always be in the market with at least 1 contract. If the option is turned off, then the system can take the account flat if all targets are hit. I decided to turn it off, but the performance statistics are fairly insensitive to whether it's on or off. Again, a matter of preference.
For the ES I choose a comfortable 6 points (24 ticks) per target, such as I scale out at 6, 12, 18, and 24 points.
Interestingly, I have found that long-term profitability doesn't improve when using targets, but the volatility of the equity curve somewhat improves. For me, this makes it easier to not get discouraged during times of less-than-desirable performance.
In any case, the essence of the system is that it has no bias for the session. If price moves up by a certain amount, the setup is long. If it moves down by a certain amount, the setup is short. The vast majority of trades end by closing an existing position and opening a new one at the same price in the opposite direction.
rt
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