I ran the tests on nq and found it would have made 35k from the first q of 2000 till 4th q 2005.. with a max one day loss of $700.... I tried all sorts of thigns to bring down the max 1 day losses and could not.... However, with a slight exit change on the ES I was able to get it up to 72K profit and closer to a 58% win percentage..... Still no where near tradeable with the huge hits it sometimes takes.
Read this post... http://www.elitetrader.com/vb/showthread.php?s=&threadid=33654 This will give you some ideas.
Frostengine: Here's an idea that you may not have considered. Instead of trying to "tweak" a system that is good and robust as it is, try adding another system or two and trading them all as a portfolio instead. Make sure the underlying assumptions of the new systems complement the current system. So if your current system is a trend following system then try to create a counter-trend system and add to the portfolio. See what the overall drawdown would be then. You could also try trading the system on non-correlated securities and see how the overall drawdowns are affected. In other words - don't focus as much on the one system any more. Focus on creating a portfolio where the systems complement each other. -eLindy
I am not familiar with futures .... but with stocks, when a trade gets away from me by 3%, I implement a separate system that is able to make a small profit on the fast moving stock, and that will leave me long above 3%. If you are working a real edge the stock will tend to come back to you, and this allows you to break even or even profit during the drawdown period. Handling drawdowns like this has been discussed before, in different ways ..... a simple stop and reverse, a levels based system, a MACD crossover system .... following the slope of an EMA applied to CCI works well for me.
couple'a great posts here frost the thread by acrary looks like a gem i trade discretionary, but i've gotta give a gander when i get a chance in terms of your own system, why don't you include the "stop and reverse" add-in (it's a great idea for mechanical systems if you're experiencing too much drawdown, wish i had though of it myself), while still limiting your system to oh, about 2 or 3 trades a session (based on original entry) max. (i've found the market only really gives me 3 good options max). let us know how's it going best, jimmy
That is so true. I have two systems with only a 4% correlation to each other (on a weekly basis, which is how I trade). The two systems have similar sharpes, but by combining them, my sharpe increases by about 60%. By combining the two systems, my return more than doubles, max drawdown increases by only 12% and stdev rises by only 34%. I wish I had three systems to leverage this even further. But while I've created working systems since I built my second one, I have yet to find/make one that actually improves my total results.
I noticed while looking at results that due to the volatility around the open that there were lots of losses around this time. So I made it so it will not make any trades for the first hour or 2 of that the market opens to allow the market decide what it wants to do for the day... whether that be be range bound... or trend up or down..... With this the system managed to make 62k on the ES per contract. Had a max one day loss of $823... had a max draw down of $2342 which consited of a 5 day loosing streak. Longest loosing streak it had was a 7 day loosing streak. Still not the numbers I want to see.. but I would be a lot more confortable with these numbers than before.... OH another note... most of the larger draw down periods happen back before 04.... after 04 the drawdowns and max loss is significantly lower....