I hate to break this to you, but the reason why you are breakeven is because your system has no edge. I would advise you to start from scratch, or move on. Its not like one day you will wake up and your system will start making money consistently.. you are daytrading futures with a simple volatility system , that might have a very small edge but its not enough to make a living. I know you probably know this already, but i am not gonna chearlead or bullshit you. You are better off getting a full time job and trade part time until you find your way. I think you created this thread either to have someone tell you how to tweak your system to make money (which is not going to happen), or tell you to never give up and piss away more time, or to have someone like me tell you to wake up. -- just keeping it real here!
Regarding your trading- I dont think it makes sense looking back at your trades and pondering whether you got out too early or late, or missed this or that trade.. In reality you never really know!! Sometimes exiting early works better and sometimes it doesnt. It kinda balances out at the end when you are exiting on a discrectionary basis. Dont over pshycho analyze yourself on a day to day basis! A simple system like yours makes most sense to just automate and not beat yourself up at the end of each day. Also it allows you to get a full time job which will take off a lot of pressure from your trading. Good luck- I know whatever you decide at the end will be the right decision.
Frankly I wonder how you determined that the "system" has no edge. What is the "system"? I found it interesting today to hear Jim Simmons talk about his techniques over the years in general. He mentioned how much the market changes, the techniques that were working well at one time, start to degrade over time. Does the competition adjust? Does the market change? Whatever happens, whatever you thought your "edge" was, is going to change. In this case, I see a guy who is changing his system periodically, taking some signals, not others. In a quandry about his exit. Trouble holding a position. So if he's breaking even, is it because the system has no edge? Or is it because he's not using his system? I think the latter has alot to do with it. And then perhaps the former is true too...but we don't know that in my opinion. I'm not much of a fan of just chasing the market around...buy strength, sell weakness just because it got strong or weak...for no other reason. But I'm not a trader of ER2, and so I don't know whether the volatility in the index gives enough volatility to take advantage of with such a method. Either way, I think the OP has some lessons to learn that have to do with managing his trade, holding his positions, things that have little to do with his methodology. I think if you're going to use a method like this, you could easily test it to see how it works, whether there is any real value for getting out early, or holding until you have an actual reason to get out. I think there is little value in using discretion unless you have the experience to actually have the discretion mean something. OldTrader
jasper....i'm sure you are taking all this with a grain of salt. I'm pretty much in the same boat as you. I've read most of your blog and it does seem like you are curve-fitting, which is what the other posters were justified in their criticism. I'm a price/vol guy so all the volatility stuff you do eludes me, but as an example I love the 200 minute SMA on the ES as my trend. Usually it doesn't hold, but I have learned to know how far it goes below before it reverses or if it changes course. I could use a 100 or 147 SMA to curve-fit, but who knows? I firmly believe you can use anything as long as you know it very well....good luck jasper....lencho
Jasper, I disagree with Trendfader. Obviously he trades against the trend while your system is trend following. Both types of traders can make money. It is not the system which is the problem, it is the fact that you don't take every signal, you need to be in when the market really makes the big move. It is the 5 or 10 big moves every month that make it profitable, but if you miss a couple or many of them then you are sunk. Your system's framework is profitable if you stick to it 100%. Your system is essential the same as an Ablesys or Powerswing type of system. (Not affiliated with these two services) http://www.wintick.com/6_0/home.asp http://www.powerswings.com/
I'm going to have to agree with Old and China here. The system is not the problem. Over time, most 'systems' make money it's a matter of how long the user can stick with it and maximize the return. Jasper, I think you are on the right track. As your first few posts said, you have tested many indicators and such and found this setup to be best for you. That's a BIG part of the game. Finding what you like and working it. Right now my suggestion to you is to improve your exits. I know, easier said than done. But it appears that this system basically has you in a trade at all times, which means when the big move comes you are already in it. The key now is to capitalize on that fact. You are going to take some shakeout losses, that's part of the system. But when the ER2 moves and you know that thing can go, you should participate in much of the move in my opinion. The other thing that comes to mind looking at past charts - if you do exit, is there any way to re-enter if it never flips? In other words, if you get out of a position for a profit and then it continues in that direction, could you jump back on that move? Again, I realize that is subjective, but perhaps some backtesting of your previous charts could help. Good luck!
But the problem with all this advice, from yourself and others, is that he doesn't know if this system has an edge or not. It's all speculation until proper backtesting is done but jasper appears unwilling to do any except to say "this has worked well over the past few days. i'll try that." needless to say, that is far from rigorous enough. sorry Jasper if that sounds harsh, but I think everyone agrees on a core message here. Backtest. Find out if the system has an edge. If no, work on something else. If yes, what is the optimal entry / exit strategy. Trade this without exceptions. end of story.
Unfortunately, right now I have a limited amount of data - 100,000 ticks - to backtest with. This is a limitation within Ensign using the IB feed for building range charts. I suppose I need to look into buying historical tick data that I can import into Ensign.