I wrote at least a dozen times already that building a trend defining system is the most important part of the job. If you have that, 60-75% of the system is build. A good trend defining system tells you when the trend starts and when he ends. If you enter (more or less) at the start and get out (more or less) at the end, you will never be stopped out in a real trend. I occasionally get stopped out (3 points ES), but that's in a non trending market. And even then I can many times get out with a smaller loss. Last week I had 6 losses, I never put a stoporder in the market, I trade manually: -3.5 -0.25 -0.5 -0.25 -1.25 -0.5 I had 25 winning trades. So average was 6.2 trades a day. This was too high as my LT average is 2-3 trades a day. Cause was several non trending periods.
Well that is cleared up, as for a moment I thought you had become like the loopy fella Entry and Exit should depend on several factors to limit your risk, well, for me it does anyway, and I don't really care bout any1 else. If one wants to trade a certain way, based on what they think constitutes a trend, that is up to them, and how good they get at making money will depend on how good they become at entering and exiting. We all have our own interpretation, but all that matters is personal results. I might be happy with a few hundred $ a day, while you might not, and you might actually need a lot more depending on how much you owe, and how many bills you have to pay. It is all relative, but no matter how much you need to make, you can never make any more than a % of what you have, so, it is always best to make sure you have enough before you start, and do not start risking too high a % of what you have, just to pay the bills and keep the wife happy. Funny thing trends, as I can recall some posts in a thread about trend, and I think not one person could define a simple trend, as in how price moves from one level to another! J_S
Dude... I find this very hard to believe. Just the other day you said that you have an 80% win rate, with the average win being 5.12 points, and the average loss being only 1.04. Now if you say you're limited by the ES, which is bullshit, where exactly is your problem? What.. you can't get 1000 contracts at one price level? Heck, if you have an 80% win rate, why not just try and get all your contracts over 2 price levels? Sure you might give up an extra tick of profit, so your average win will be 4.75, and your average loss would be 1.25, but is this so bad? Even if you got all the contracts you needed spread over 3 ticks, with your very healthy 5 to 1 profit to loss ratio, this shouldn't matter at all! Seriously, saying you have an 80% win rate on a 5 to 1 profit to loss ratio is incredible enough, without any justification, but saying now that you're actually limited in how much money you can throw into the market with a market like the ES is just dumb. If you were scalping for a tick I would understand, but given the stats you quote, you have lots of room to scale up. I realize you might not get filled at one price level, but who gives a shit, you know its going at least 5 points 80% of the time, so buy your thousands of contracts over a few price levels. I realize getting only 4 points of profit instead of 5 because you didn't get in at your best price will hurt, but I'm sure you can live with it.
Dude, Try first to understand a number of things: The winrate you refer to and the average profit and loss are the results of the LAST WEEK. A real trader would know that results vary and sometimes even very hard. So making conclusions on 1 week of data is for newbies, not for real traders. I need 10,000 contracts a minute as volume because I want to get in very quickly. Friday only 30 one minute bars reached this level. So only 8% of the RTH reach the required volume. If my signals don't fall in these 30 minutes I take more than 10% (can go even up to 50-100% of the volume of that one minute bar) of the volume if I trade 1,000 contracts. And you consider 1,000 contracts as small. So there is not always plenty of volume available and unfortunately I cannot choose my entry or exit. These signals are generated by my system and come when they come, not when volume is high. The high-low in 1 minute on Friday was 1.17 points ES, so almost 5 ticks and not 1 or 2 like you assume. The most minutes have a spread of 1.25-2.25 points ES. So in 1 minute my fill can be 2.25 points worst then my generated entry or exit. So your statement that a bad fill will not make a lot of difference it complete nonsense. Your statement :"you know its going at least 5 points 80% of the time." is also complete nonsense. 5 points is an average. You should know the distribution of profits per trade to calculate the impact of bad fills. I had several +10 points trades and even 1 +20 points trade last week. They are part of the 5 points average, which means that there are also many trades with (far) less than 5 points profit. Bad fills will transform these small winning trades in losing trades and I will not have at least 5 points 80% of the time. Your logic is completely wrong. I have a 3 points ES stop. My statistics and calculated probable performance are based on that. If I get bad fills my stop will be smaller than 3 points and will result in an important number of additional stopped out trades with a loss as my stop will be significantly less than 3 points. These trade will not only be an additional loss, but the profits that they would have generated if the fill would have been according to the signal, are lost too. So your calculation is completely wrong because you should know for each trade the impact of a closer stop. Closer stops ALWAYS result in more stopped out trades, so killing trades that were profitable before. I increased my slippage (for bad fills) to the volatility of 1 minute bars and the result for last week is that I would have 58% winning trades instead of 81%, the average profit went from 5.12 to 3.56 points, and the average loss went from -1 to -2 points. I still should correct this result with trades that will be stopped out as a result of bad fills combined with a much tighter stop so the final result will become even worse because their profits will turn in a loss too. It is clear that you have no clue about my system so you cannot make any reliable hypothetical calculations and conclusions. By simplicity you just deduct here and there some ticks and conclude that the result would be almost the same whereas in reality the difference in result can be really big. When I tested years ago to find the optimal stop, I saw that a stop below 3 points would stop out a lot of profitable trades in my system. Trades need room to start. So I had to put my stop at least at 3 points for optimal performance. Putting the stop lower would lower the return dramatically in an exponential move. That dramatic loss would be a result of bad fills too as bad fills equals tighter stop. So in short: your posting doesn't make sense at all as he is filled will errors.
Just to clarify, are you saying that you have traded up to 1,000 contracts per trade, which is $12.5K per tick? J_S
You're absolutely right, but in a way, your more detailed explanation proves my hunch some more. You see, you come here saying how you're such hot shit cause you have an 80% win rate and earn on average 5 points and lose only 1 point. I know averages mean nothing and it all comes down to distribution, but why not make this more clear instead of the stat you did initially say which makes it sound much better than it is. Second, if you're saying that some of your trades reach a MAE of 3 points before they get going, well, sorry to be so rude, but you're not such a hot shit trader after all. 3 points represents the average range in the ES of 30% on some days. I'm not saying that trades don't sometimes need this, but this means that your trading abilities aren't as rock solid as you make them out to be. If your trade goes 3 points against you, you clearly didn't get in at the right time, if there is even such a thing except in hindsight. Third, with you letting a trade go 3 points against you, this also means that you're not limited by the ES liquidity. If you were getting in at a level that was about to take off, since you magically found an exact bottom, and you only got filled on 20 contracts lets say instead of the 100 that you wanted, but then this trade goes 2 or 3 ticks against you, then isn't this just an opportunity to pick up more contracts even cheaper? If your trade is 1 point against you, and you are still in and still believe that it is going up since you're not getting out, you can load up on more contracts... correct? And these extra contracts would even let you use a tighter stop since they were bought cheaper.. correct? The only way I would believe that you are limited in the ES is if price always shoots up after your entry for a long and never comes back to the same level or lower so you can load up some more on the same or cheaper price. Your further explanations about how changes in price affect profit and losses do make sense, but what this shows is that as you explain further about how you trade, this isn't exactly in the same light as the way you talk about it which is saying you know what price is going to do and when and almost always get it right and are limited by the liquidity in ES and could make more money if somehow there was more volume. You're limited by the risk parameters of your system and with not knowing what will happen next on each of your trades, not by the liquidity of the ES.
Just to see if I'm understand this correctly, you went long for 419 contracts (based on a quick count) across these 3 price levels between 2051.75 and 2052.25? I have never seen how a big order (20+ contracts) would get filled and this is the first example that I've even come across that shows is took about 2 seconds.