For equities I trade a 6 to 8 day cycle. My profit per cycle is 10% or better. I succeed on 7 out of 8 cycles. I do about 50 cycles every three years. I have a cap on shares in one money stream of 100,000 shares. I was asking it this amount of data was suficient to describe an approach. I asked illiquid because you covered the bases it looked like. You should not expect to feel it's worth it to read anything I post. Most people do not. I happen to think that for most people what I post is way out of line for them. It probably works out that there are hundreds of people posting their methods here. It doesn't look like any of those people want others to adopt what they do either. I learn a lot here. As I get to know and understand what other people do, I get a picture of how they relate to what is going on here. That's why I asked the question.
It appears you trade about 17 cycles a year, of which 15 cycles are winning trades, of that the total return is more than 150% a year. Very impressive results! But why do you trade only about 130 days a year and let the remaining 120 days idle ? Is it because no other tradable equities that fit your setups (long/shert) in your watchlist? Your concise feedback would be appreciated .
I would also like to publicly post my goal of 1,000,000,000% return via Bright. Although I am paying almost 30% more per share commission, I am confident that after attending bootcamp, I will make my rent this month. After I do find something that works I will wait until they exploit and sell my strategy to any other idiot willing to listen. If they or anyone sells something and it worked, why would they sink their own ship and ruin their edge??????
The simplest way to get comparative results is to just take % gains after commissions over a given period of time, with the caveat that returns on a five-figured account cannot be compared with returns on say a 7-figure account, especially on a shorter-term time frame. But the reason that there seems to be a wide range of opinions of whether 1pt/day/contract is a "poor", "avg" or "superb" return is due to the fact that it is a meaningless stat unless one considers the # of trades/day. If we just say that the avg commission for a round trip/emini contract is $5, then an avg of 7 trades per day means that the 1pt/day ($50/contract) goes down to .3pt/day ($15/contract); an avg of 20 round trips/day makes that gain of 1pt/day into a loss of -1pt/day/contract etc - a huge difference obviously. A more meaningful stat would simply be the pt gain/contract/trade, not per day. (Sorry I'm dead tired and hope what I've written is coherent).
Hi Sabena, spot-on. I've been working on how to measure and improve performance. The travel range approach you mentioned above has been in my mind for long-time. But there are still some questions. How can we effectively/ precisely measure the daily travel range, say based on points or % (of yesterday's market)? What is the average (or the range of ) travel range (daily) of SP500/ES according to your statistics so far? Whether it would be easier or harder to capture the travel range in a much volatility day based on your trading system? What's your current capture % of travel range based on your trading system? Do you have a target capture % in mind when planning to beat Williams' records? What would be your idea of the maximun attainable capture % we can see in the future? Your feedback would be highly appreciated.
There are always tradeable equities that stem from my searches weekly and daily assessments. I also have a tenured list that, technically, are extremely repeatable. I trade many accounts on POA in parallel. I do trade more frequently than 1/2 the time available as well when I am in the market. But I do not trade when I am doing other things like travel, exploration, on assignment or on visits, primarily. I do not hesitate to go to cash when I plan to be away. And to ramp up again takes a few days. A three year period takes these ripples out. Thank you for your comments and asking.
People are actually posting messages to this Sabena freak -- and it doesn't look like he's even posted since January (7 months ago:eek: funny stuff!
Thanks for responding. I am working on two items for my journal: 1. A chart book using the attached excel format and 2. an "edge" matrix to format an excel spread sheet on all the edges I have run into in the last 30 years or so. I am seeking to get the right columns in the spread sheets. Several people in this thread are oriented to this stuff in a very constructive manner. I think that it will be possible with a lot of data on edge trading to construct a path to more porfitable ways by noting the connections among the edge methods. I trade with an SCT orientation that appearently plagues handicaped readers etc. The chart shows the relative amounts of points taken through the day and I have coincidentally incorporated a potential dail performance possiblility by relating profits to the L/L range and where a given day ranks YDT in the spectrum of H?L ranges. I also track my ratio on equities to indexes. It runs 50 to 1 ordinarily. Thanks for so much for your input.