An almost always profitable trading strategy

Discussion in 'Strategy Development' started by scalpmaster, Aug 29, 2007.

  1. A$$hole

    A$$hole

    questions:

    - Are you talking about a pair of closely correrlated instruments? If so then why the need for two accounts?

    -Or are you talking about the same instrument with opposing positions in two accounts?

    If it's the latter, I've seen this discussed before and I can't for the life of me figure out the benefit of using the two accounts. Why not take your algorithm and net the exposure and do it in one account? You'll cut your commissions in half too.

    Please explain.

    edit- not saying this doesn't work for you, but I truly want to understand the two account thing.
     
  2. This method is somewhat like a mean reversion grid-
    trading approach but incorporates a little anti-martingale
    concept and partial proft taking along the way...

    so that it would not implode when too many contracts are
    accumulated...also, the algorithm closes both long and short sides at certain interval range to reduce exposure.

    I was hoping someone who have similar experience in trading
    2 accts to discuss further in details how to optimise such a
    process...

    the outline I gave have some flaws in it so please share your
    knowledge if you want more from me.
     
  3.  
  4. Have anyone automated a coin flipping (random but
    simultaneous entry) trading system on 2 accts?

    There was a thread for this using 1 acct.

    maybe can try programming this idea first...

    when NYSE or NASD TICK number goes above +300 or below -300, long one acct, short another at the same time on the same index futures...

    Targeted Win/Loss ratio: 2N on winning acct to 1N on losing side
    (close position on winning acct if it retrace back to starting point)

    where N could be any number of ticks.

    wonder how does the equity curve look like for this approach
     
  5. mujoh

    mujoh

    I simply do not get it why people think they can make money when they go long and short at the same time on the exact same contract...
    Is it so hard to understand that these positions offset each other?

    But lets play your example: You go long 1ES at 1500 and short at the same price. Commission $5 r/t. Stop loss 1pt, target 2pts

    Price goes now to 1502 and you close 1 ES with $100 profit and the other contract with $50 loss. 2 r/t = $10 commission. Net result: $40 profit.

    The exact same position is created when you only go long at 1501 and exit at 1502. But you only have 1 r/t (=$5 commission) and a net result of $45.

    This applies for every scenario you can imagine and you will ALWAYS be in a worse position with offsetting contracts than simply playing with only one contract and one account.

    Think about it...
     
  6. osc

    osc

    But you are assuming that it will continue to 1502. What happens if after you close out the short position it reverses at 1501?
    The market frequently pivots around one price moving in increments of 1-2 two points and then reversing.
    Do the math and you will see how it would quickly destroy both accounts.
     
  7. mujoh

    mujoh

    Is it a response to my statement?
    I said that independent from the scenario you are in a worse position when using 2 accounts as you have to pay commission twice. The final output doesn't matter at all. The example just illustrates this for ONE scenario.

    I thought I was clear enough...
     
  8. IF you enter position for only 1 acct, you are likely to
    end up cutting loss more times in a row...whatever
    the win/loss ratio is...

    Don't understand why some so called traders always
    talk about comm. when er2,ym,...futures is only about
    $1.5 per side...some brokers even go as low as $1 per side

    The final ouput does matter...in fact it is all that matters .i.e
    is the net at end of the day/week a more consistent profit
    or larger "hit and run" profits but inconsistent even a net loss.

    Don't even need to think about it:D
     
  9. nkhoi

    nkhoi Moderator

    some posts from AMT4SWA but other than that few ET pratice it
    http://www.elitetrader.com/vb/showthread.php?s=&threadid=45241&perpage=6&pagenumber=4
     
    #10     Sep 3, 2007