What account size and how many contracts per trade ?
Real money. I have the brokerage statements to prove every claim I've made about the strategy.
Not sure if account size matters, since I'm talking about the ES, not some small cap stock. If I had been able to scale up to the point where I didn't want or need outside capital, I wouldn't have started this thread, so I definitely am not trading at the size I would like to be, because I simply haven't been able to accumulate the capital that I think the strategy can accommodate.
What I mean by that is, essentially, you could trade tens of thousands of contracts with this strategy, each purchased or sold above or below your trigger price, depending on whether you were going long or short, while price action moved against you, e.g. if the strategy says go long at 1400 ES with a stop at 1380, you could buy at each and every tick below 1400 along the way until you reached 1380 and still expect to profit. I have had trades which called for me to go long at, e.g. 1250 ES with a stop at 1200 and the market went down to 1200.25 and then reversed and made the trade profitable. The scalability is practically infinite, whereas my capital is not.
As I mentioned in an earlier response, the primary reason I'm interested in working for someone else is as a hedge against certain risks in the short-term, primarily trade frequency. If those risks don't actually come to pass, I will have been better off trading for myself and not working for anyone else. I'm willing to let someone share in the profits of my strategy to mitigate that risk.
Right, but the CALMAR ratio is over 7 (196% gain in less than a year vs. 26% drawdown). Granted, that's over a smaller time period than CALMAR typically measures, but I have decent trade data going back to 2009, although the strategy has evolved since then, so that data would need to be re-checked under the current strategy.
My bet sizes are typically bigger, yielding deeper drawdowns, but going in the opposite direction and making the bets smaller to avoid those drawdowns is easy enough. If, all things being equal, you could get a 98% gain with a 13% drawdown, or 49% with 6.5% drawdown, by cutting bet size in half or by 3/4, I would think that would be attractive. I ran the same outcomes with 1% at-risk per trade and got a 43% return with a 4.9% drawdown.
1.96/0.26=7.53 calmar ratio.
Quote from logic_man:
Real money. I have the brokerage statements to prove every claim I've made about the strategy.
Not sure if account size matters, since I'm talking about the ES, not some small cap stock. If I had been able to scale up to the point where I didn't want or need outside capital, I wouldn't have started this thread, so I definitely am not trading at the size I would like to be, because I simply haven't been able to accumulate the capital that I think the strategy can accommodate.
What I mean by that is, essentially, you could trade tens of thousands of contracts with this strategy, each purchased or sold above or below your trigger price, depending on whether you were going long or short, while price action moved against you, e.g. if the strategy says go long at 1400 ES with a stop at 1380, you could buy at each and every tick below 1400 along the way until you reached 1380 and still expect to profit. I have had trades which called for me to go long at, e.g. 1250 ES with a stop at 1200 and the market went down to 1200.25 and then reversed and made the trade profitable. The scalability is practically infinite, whereas my capital is not.
As I mentioned in an earlier response, the primary reason I'm interested in working for someone else is as a hedge against certain risks in the short-term, primarily trade frequency. If those risks don't actually come to pass, I will have been better off trading for myself and not working for anyone else. I'm willing to let someone share in the profits of my strategy to mitigate that risk.
Because you are talking about less than 30 trades in a year, it is doubtful you'll ever raise any money with this until you have at least 100+ trades, and even then, if you're idea is to trade one market, forget it. Most institutions are looking for scalable strategies that pyramid into positions, and this one does not. Just because you're trading ES doesn't mean thousands could be traded with it 30 times per year. That's not likely to get any institutional interest because there's not enough expectancy confidence due to the infrequent trading.
Institutions that would invest are expecting a multi-million dollar portfolio traded for a minimum of 2 years, so 1 year doesn't cut it, and unless it gets to multimil after 1, it won't make that cut either.
You're better off trading your own capital with this.
Logic_man, let me invite you to be a World Cup Advisor. Talk to worldcupadvisor.com, and they'll set you up with a broker at PFG who can get you subscribers. This is probably the fastest way to further monetize your success than seeking the 1 in a million chance with an institutional investor.
" I have had trades which called for me to go long at, e.g. 1250 ES with a stop at 1200 and the market went down to 1200.25 and then reversed and made the trade profitable. The scalability is practically infinite, whereas my capital is not."
50 points DD...
I think you'll exceed the reportable amount with your "strategy"!It is not even a strategy per se.
" I have had trades which called for me to go long at, e.g. 1250 ES with a stop at 1200 and the market went down to 1200.25 and then reversed and made the trade profitable. The scalability is practically infinite, whereas my capital is not."
50 points DD...
I think you'll exceed the reportable amount with your "strategy"!It is not even a strategy per se.
Coming from a Jack Hershey supporter, don't pay any attention to this.
4% drawdown is reasonable up until 5-10% depending on leverage factor.
Just one question....are the majority of your trades Long?
ES
Quote from logic_man:
Has anyone tried this and succeeded? I've developed an algorithm for the ES and have had 8 months of profitability with a gain of 196% and a max drawdown of 26%. I've been optimizing it and it could have been even better. Clearly, if I can continue at that rate, I won't necessarily need a job, but I'm wondering if I could land one using that as my "resume". It'd be nice to trade OPM, so I could put even more emotional distance between myself and the outcomes. Also, having the technical resources of an established firm behind me would enable branching out into other markets, which I am dipping my toe into now. The algorithm "should" work in any market which fluctuates, which is pretty much all of them, although, of course, that needs to be verified.
Because you are talking about less than 30 trades in a year, it is doubtful you'll ever raise any money with this until you have at least 100+ trades, and even then, if you're idea is to trade one market, forget it. Most institutions are looking for scalable strategies that pyramid into positions, and this one does not. Just because you're trading ES doesn't mean thousands could be traded with it 30 times per year. That's not likely to get any institutional interest because there's not enough expectancy confidence due to the infrequent trading.
Institutions that would invest are expecting a multi-million dollar portfolio traded for a minimum of 2 years, so 1 year doesn't cut it, and unless it gets to multimil after 1, it won't make that cut either.
You're better off trading your own capital with this.
I think you may have misread the trading frequency. The trading frequency is actually closer to 150 trades per year. And, yes, the strategy has evolved somewhat so that the actual data I have is for just under a year, but the strategy could easily be backtested going back as far as there was 1-minute data for any market you'd like to test. Since it is an algorithm and not discretionary, there would be no barriers to backtesting it via computer code.
As for scaling into positions, you could definitely do that. As I mentioned, a trade trigger also triggers an initial stop and one could buy or sell at any price between the trade trigger and that initial stop. If your trade trigger is long and your trade experiences "heat", that just means you can buy more.
