Get well soon corey. In the meantime I have a question for others here while we await. I wanted to hear peoples opinions on Equity curve trading. Basically trading your eqyuity curve to try to smooth. Initially i thought 'no way', this will not work as trading is too random and so are systems to a degree, and we shouldn't interfere. But then if you really know your systems (like lescor does) then i feel you may predict forthcoming drawdown periods. What about using other statistics like wait until so many losing trades before placing real trade?, can this improve?, well it went againt the grain for me and did smooth out my overall equity curve in a backtesting environment and hence why i bring up the subject. What i did was a 10 year tradestation backtest and from that i could use alot of stats to form probabilities and odds. Anyone doing anything like this?
the more trades a system has under its belt, the more reliable the stats. I Feel you need a high frequecncy system for this to work as you have to average a typical bad losing run. I have been avaeraging based on over 5,000 trades over 10 years so my stats are more relaible to average.
2011 Recap Grossed $287,000. Traded 24 million shares, 500 futures contracts, 112 options contracts. Net after all commissions, fees and expenses was $211,000. This was my worst year since my first year trading full time in 2002. The few days after the Japanese earthquake in March and when the European debt crisis first flared up in August were the only events that I recall as yielding "good" trading. In fact after August, it felt like someone flipped a switch and the market just changed. Everything went consistently bad for me. I don't know if anything really changed or not, but it seemed to be tied to the constant news flow out of Europe and the incredible correlation across all markets. I hit my equity high for the year on August 12th and in the 22 weeks after that I had 11 losing weeks. My long term average is 1 losing week every 6. By the end of the year I was trading less than half the size I started out with, just hoping to wait things out and make adjustments until I see some better consistency. JAN (17,725) FEB 76,302 MAR 58,723 APR 18,708 MAY 58,279 JUNE 26,821 JULY (23,669) AUG 117,325 SEP (38,468) OCT 4,708 NOV 30,458 DEC (24,475) Top 5 days 1-Aug 51,907 9-Aug 32,921 2-May 29,072 1-Nov 26,314 15-Mar 23,823 Worst 5 days 18-Aug (43,807) 29-Aug (25,138) 20-Jan (21,714) 19-Sep (20,025) 11-Jul (14,365) Average cents per share, gross: 1.2 Daily profit factor: 1.6 <img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=3416350>
Bravo,, Congrats with the positive year. I know not your best, far from it. BUt for me a green year is a good thing. Thanks for excellent inside trading talk, thanks for sharing results with us Lescor. I have to agree with a previous poster, this may be the best thread on ET in many many years. EF
One of my algorithms that I am forward and back testing has produced consistent losses before August, and consistent profits after August of last year. The other ones that I have built show consistent profits before August, and smaller profits after August. I share your belief that all of a sudden since August of last year, the markets have become extremely sensitive to the morning news out of Europe. The algorithm that worked only since August bets on a reversal in the morning if certain conditions are met.