40yotrader

CalTrader · Aug 29, 2003

Quote from 40yotrader:

... We made over 20,000 in November. In December we lost about 6,000 and it shook me up. There were no losing months before then. Since then every month has been positive. The last two months we've only made a total of 11,000. If this level of volatility continues, we'll need to make changes. So far, so good.

.....
More...

... quite a bit different trading the system with real money on the line isn't it ?

I would say that you've done well based upon your stated performance over the last 8 months or so.

As you progress your performance will improve: The trick is to keep actively watching the markets and making adjustments by developing a basket of strategies that can be applied in different conditions and in different markets .......

TriPack · Aug 29, 2003

Quote from sprstpd:

I could have sworn he used a martingale system. In his third post on his journal thread is this:

Maybe I was misinterpreting his strategy, or else he claimed it was a martingale strategy but it wasn't.
More...

I stand corrected. I went back through his posts and confirmed that it is a martingale MM strategy (increase bet size while in a drawdown).

A quote from his trading plan:

All trade sizing falls into either a martingale or anti-martingale strategy. The loss progression is a form of martingale gambling system. A system where you risk a certain percent of capital on each trade would be a anti-martingale system. Each has benefits and drawbacks. Both methods will add money to a account that has a positive expectency. I chose to use a form of martingale because I'm interested in creating a steady source of income. If everything works out, then after I'm up a couple of hundred thousand, I'll switch to a anti-martingale strategy.
For the loss progression method, I keep track of the average profit per-contract from the past 10 winning trades. Everytime I have a losing trade that exceeds the average winning trade, I increase the bet size. It stays at that size or larger until the account hits a new equity high. Once the equity high is reached, I reset the contracts back down to the base of the progression. If I have lots of small losing trades, the contract size wouldn't increment at all. The idea is to bet the largest during a drawdown, so that you come out of it quickly.
More...

http://www.elitetrader.com/vb/showthread.php?s=&threadid=10118

For money management, I'm more interested in cosistency than making a fortune overnite, so I chose to use a gambling strategy known as a progression on a loss. This way, I come out of drawdowns fast. The big risk is the ES market won't have any volatility for a extended period of time and I'll have lots of losers.
Without volatility I don't think anybody can make much money, so it's a risk I'll take.
More...

What I found was the martingale category helped me accomplish two goals (consistent returns, and low drawdown periods). The risk was I might go broke if a streak of losses hit me bigger than I was prepared for. My initial volatility breakout method was only profitable 38% of the time, so I had to improve it or the probability of a crash and burn scenario might hit. I found that if I only took trades when the previous days range was less than the day before's range, then the volatility breakouts were stronger and had a higher probability. It boosted the probabilty of successful trades to over 50%. Each year I tested had more than 50% winners. After another couple of hundred hours, I found a dynamic method of money management using a modified martingale approach that would meet my two goals. A income of at least $150,000 and a maximum drawdown not to exceed $40,000. In forward testing it worked as well or better as in the past (which I guess I knew it would since I already knew the volatility was increasing). The originally tested data had +31,000 in 1994, +12,000 in 1995, +65,000 in 1996, +150,000 in 1997, and +193,000 in 1998. The blind data tests showed profits of +176,000 in 1999, +212,000 in 2000, and +105,000 in the first half of 2001.
More...

Log in or Sign up

40yotrader

CalTrader Guest

TriPack