I wouldn't be so bold as to attempt to state that frosty's system is flawed with knowing absolutely nothing about it. JJ you need to understand that negative days are completely acceptable. If at most your system risks 350$ a day. but on good days it can produce 1500$+. then roughly you need 1:5 good day to bad day ratio. Depending on historical data this could easily be the case. Some systems maximize profits. some systems minimize loss and some systems do a mix. There is no right or wrong answer to this dilemma.
These first two posts on the thread illustrate perfectly what I am talking about ... a substantial drawdown followed by a tremendous rebound, and Frost stating explicitly that the system has issues with drawdown. There are plenty of patterns here which he can exploit (use to his advantage) to improve the results of the system. They will at the very least require hard work to figure-out, and at the most will take some losses and not a few headaches (literally) to change his perspectives on trading. I will re-iterate one that I've stated several times already. Manage Risk - the ER contract has too much risk for this method of trading, IMHO he'd be better off moving over to the YM, he will appear to make less in the short-term, but he's going to get much smoother trades (maybe, I don't know his process for entering a position) and less whip-saw. The YM, NQ and ES are also very scaleable (and most tradeable in that order), so he can trade more contracts as his system makes more money. He will not be able to do so with the ER contract. First-off, it's not very scaleable after you put 5 contracts on, secondly, the risk of blowing-out will always be in the back of his mind if he tries to scale-up beyond even 1 or 2 contracts (particuarly so without good money mangement rules. As a directional trader of highly-leveraged financial indices you never want to seek profits, you should always seek to manage risk, the market will deliver the profits. Time to go to work. Best Regards, Jimmy Jam
Just MHO and as you see from my previous post, The Way I know will work for me to deliver ultimate trading success. Best Regards to All, thanks for your input. JJ
lol sounds like an infomercial. act fast and this ultimate trading success can be yours for the very low price of 25.99! "The only true wisdom is in knowing you know nothing." - Socrates
You highlighted but you have not said anything. It would be great for all and most welcome by me if you said what you meant to say and saved the winks and riddles for another place. Do you mean to imply that you think that the direction of the monthly trend is an important factor in daytrading systems?
Looks like I missed out on a big conversation today.... Looks like some good points were brought up.. Concerning the move to YM, I need to run some more tests on it, however I remember in the past when I backtested it the results were not that great.. was profitable but not by a lot.. not much of an edge there... the ES however faired about as well as the ER2.. but the YM for whatever reason isn't very suited for this strategy.. Will need to test it again however... For tomorrow and more than likely the whole week I plan to keep on pushing forward with the ER2 and the strategy I been using unless I get any surprising results on some strategies I have testing at the moment...
another thing to point out... is that I have data for about 4 months captured by my application.. this data is of MUCH higher quality than the purchased 4 year data I have..... With this captured data I am able to make trades in between bars, refer to the current NYSE-tick value and other market internals.... These things are used in some of my strategy variants, but those same strategies cannot be tested on my 4 year data and therefore I refuse to trade them... In the data I purchased I cannot make trades within bars and I can only estimate the price I get filled at.... therefore this data has a lot of doors closed as for as what I can do... With that said, its hard for me to really gauge how much better a system is by how it performed on that data.. My only really accurate testing data is the data I captured and the purchased data is only used as a confirmation of did it remain profitable and how closely to today's performance does it come, but with all those varies problems with that data it really isn't accurate... So bottom line, for all practical purposes I really don't have enough data to KNOW without a doubt my system is solid... but from everything I have tested I feel CONFIDENT that the system is solid and will continue to do well.. if anyone knows where I can get multi year TICK data for ER2 I would be interested.....
walter, I could be mistaken but if I remember correctly IB's historical data does not go back very far... a couple months or so... I could be wrong, will check into it...
Well I think I said this before. It depends on how many data points you can obtain in 4 years. Also it depends on what level of "confidence" you require, and finally for my requirements, I need to go through a process called "power analysis" and the systems data series needs to "qualify" before I am willing to risk money. I posted a link to this previously. Frankly I don't see how a person can committ money to trade without knowing the concepts, and the limits of their system. Its just too stressful. For those who want to get a decent background I would go get a book titled "Evidence Based Technical Analysis" by David Aronson. Also I would read a book whose title is "The Mathmatics of Technical Analysis" by Clifford Sherry. Finally I would look carefully into the subject of obtaining a statistically significant sample size. In my opinion, if you don't know the subject matter your ability to accurately evaluate a backtest is impaired. If that is true, two nasty things can happen that negate all your work. First you can be fooled into thinking that you have a winner, when you don't, and second, you might stumble onto the basis of a real discovery and never realize it. Good luck Steve