Only two ticks? Well, candletrader makes 1.5 pts or 6 ticks. http://www.elitetrader.com/vb/showthread.php?s=&threadid=19359&perpage=10&pagenumber=2 On the same thread Scientist says he makes 2pts per contract per day on average. :eek: And now let's get real.... http://www.elitetrader.com/vb/poll.php?s=&action=showresults&pollid=783 18 Members make above 5 ES pts / day! HAHAHAHA! Let's get real once again about consistency of returns http://www.elitetrader.com/vb/poll.php?s=&action=showresults&pollid=658
Good post on the reality of this game... one thing: 1.5pts a day is the result of some high risks that I take, and the resultant drawdowns in equity curve may not be to everyone's taste... on reflection, during the current phase of market conditions, my average is actually more like 1 point a day... most of the best ES traders I know (who also happen to have pretty smooth equity curves) are averaging between 0.5pt and 1pt a day... in many places I hear of totally ridiculous claims e.g. on Hitmans MSN thread, there was a deluded idiot who claimed he was able to average 9 points a day (which would perhaps be possible in a frothy bubble environment, but not in current conditions)... in my view, AAA's post about 2 ticks a day was excellent... 0.5pts a day on size is a good living... people claiming to average more than 3 points a day are (on average) downright liars in my opinion...
20% high to trough drawdowns on my equity curve are not uncommon (this is the result of choppy periods when even my scalping sucks and/or when I step up size outside of what many people would regard as sensible money management)... thankfully, the equity curve is in an uptrend (kind of), so such drawdowns don't phase me... commissions are around 25% of my gross (alarm bells start to ring if commissions rise to 33% of my gross), cos I do quite a bit of scalping alongside less commissions-intensive strategies... As I have previously mentioned, 1pt to 1.5pt per contract is on the high side relative to most of my highly consistent online buddies (who, without a single exception, are averaging considerably under 1 point a day with, I am sure, beautifully smooth equity curves)... I pay for the relative outperformance through some often rapid and wild drawdowns on my equity curve... many people wouldn't be able to stomach such DDs, but I believe in the long-run potential of what I have been doing, so I try and not let DDs phase me...
If you prefer to define drawdowns in % terms... I have another question: how much contracts you trade per $10k? As you can see, I try to find out what is your avg p.a. return vs worst drawdown
I know what you are up to my Brother I would prefer not to give out such information at this stage, but may well do so for future clients, should I decide to go against my principles of free-spiritedness and set up a hedge fund...
The original post by AAA has a few flaws in it for one reason. First, comparing leveraged and deleveraged returns are kind of like a footnote to most of the outsized return numbers that we hear about. If you study the manager profiles of CTA's, CPO's, etc you find the MER or margin to equity ratio. Since that number varies from manager to manager, you almost always have to adjust the return according to the amount of deleveraging. In reality, once you deleverage and then subtract the sizable management and incentive fees, you find alot of these managers are not in the same league you might have thought they were.. The sword slices both ways. Candletrader referred to it in the previous post, the drawdowns can be excessive if you want to use the leverage available.
Dear Super-Return Trading Brethren! Let me say this here, once and for all, LOUD AND CLEAR: Nobody gives a hoot how much somebody can make "per contract" in a day! This is a completely relative figure! It's all about margin! Doesn't anybody here talk about that? Thus, all these "how many points" figures are completely distorted and misleading in terms of "%returns on account"! Look at this to see what I mean: -I trade, I currently (try to) average 2-3 points per day. Some days I have more, which boosts that average; -Thursday 24/07, for example, I made over 15pts on the ES! -I caught almost 12pts on one move! (yes - the one before the close - why? Because there was an excellent selling opportunity (retest and failure of a -triple- fibonacci confluence resistance on the Daily!, plus triple bounce off the 89EMA support with eventual failure! etc etc and more...) -However, on this move, I closed out 50% @984.75 (prior support), and kept the rest till close. -So I really only made 12pts on half of the trade, didn't I? -Can I still say I caught 12pts? Of course I can - Because nobody looks at margin! This is a main problem that people face when they're discussing point-per-contract returns. Most people don't look at margin at all. This is what I do: I look at my margin (money in account), take whatever personal margin rule I have established (i.e. when I'm day trading, I use $7.5k-pc, when I scalp, I can use $5kpc), and at the end of the day, I evaluate my "Point per contract return" by looking at the margin. I.e. if I've made 10pts trading 1 contract on a $75k account (assuming I'm going with $7.5kpc, that becomes a 10-contract-account), I really have just made 1 point! Since: (((#CONTR(1)) / ((ACC-SIZE(10))) * #OF-PTS = PT-P-CONTR-RET Or: Contracts divided by accountsize multiplied with #of points. So, if Contracts = 1; Accountsize = 10; #of points =10; then (1/10)*10=1. Right? So If I've made a 10-point-return on my $75k account with one contract, then I've really just made 1 point anyway, since taking higher risks on 10% of your equity is, mathematically, the same as taking 10% of the risk on 100% of your equity. Mathematically. However, Psychologically, it's all quite different. People (who claim 10pt-returns-per-day) seem to get this all wrong. Psychologically, people are a lot happier to take 10X the risk (100%) on 1 contract, then 10% of the risk on 10 contracts. However, this doesn't count! If you're not doing your full contract size (appropriate to your account), then all measures of how-many-points-per-day are irrelevant. The bank / hedge fund investors / whoever doesn't care about how many points you can score per contract. They care "how many % you do on your FULL account". Amen. I know this was a bit elaborate, but since everybody gets confused here, I just wanted to make that clear. Sincerely, ~The Scientist
Brother Candletrader! Regarding the 20% dd's - May I ask what kind of stop-losses you use? You must be using stops in excess of 2-3 pts in order to do that? I would never accept such hight dd's, I'd believe they'd wipe me out eventually! And/or do you use high margin? This probably is the issue. (As discussed in my previous post) Maybe you should look out for shorter timeframes? I tend to not to be willing to risk more than 2% per trade, I.e. when I scalp, I would not take into account more than 6T (8T/2pts including slippage), which is 2% risk on my $5k-pc rule (which I use when I'm scalping). Do you trade reversals or trends/retracements? What's your style? If your risks are so high, you might lower it by trading (short-term) retracements, since stops are very small. Retest-failures off daily highs/lows, particularly if supported through Stoch/RSI (double/triple) divergences or even price projections can also be very profitable and have a high R:R. Particularly during the typical S&P reversal times. I would also recommend that you always monitor and chart at least the NQ, if not even the YM next to your ES - To look for correlation, but also to maybe enter a trade in these issues if the setup is better than the ES - Often the ES don't "quite get there" on i.e. a retest-failure. Correlation, to me, is extremely important when monitoring the ES. While I mainly trade the ES (liquidity, lower commissions), it is technically rather random compared to the NQ, for example. I've run countless tests and systems on both, and figured out that the NQ are a lot more "technically reliable". Even if you have a look at programs like OT (OmniTrader) that generate automatic trading signals by testing hundreds of TA indicators, you get staggering results on the NQ, while it doesn't seem to spit out much at all in returns on the ES! Many people poo-poo OmniTrader. I found that if you have very good knowledge of TA, you can do amazing things with it. Now you can even develop trading systems in it! I think in terms of systems development, it will soon beat TradeStation, the way eSignal just has and WealthLab -long- has. Anyway, I would personally say that NQ is much better to trade with a purely technical/mechanical trade-system and ES is better suited for "discretionary trading". However, if you're trading "discretionary", then the ES are better, since mechanical systems don't get such a good bite of it's opportunities and "human discretion" rules on the ES. Also, the NQ are a "leading indicator" for you if you're trading the ES, since the ES are "following" the NQ. The reason, as we know, is that the YM is the primary market, while NQ is the speculative market and the ES find themselves "wedged" right in between... Also, you said that commissions take a lot of your deal? You might be able to negotiate professional rates! Are you with IB? If you're doing more than 350CRT (contract-round-turns), which would be 35RT on 10 contracts per month, it would be worth going with i.e. RemotePro by FFasttrade, which offers you $3.32/RT rather than IB's $4.80/RT, so you'd be saving $1.48/RT! If you're doing just 5RT per day on 10 contracts, you'd be saving yourself $74/day - $1,480/month - $17,760/pa If you're doing (scalping-style) 20RT per day on 10c's, you'd even be saving $296/day - $5,920/month - $71,040/pa! Only downside is that you've to shell out $550/month for the platform. However, if you're doing high-volume (>350CRT/M), it could be worth it. FFastTrade also claim that they've got the fastest execution and feed in the industry. Ask them about it. It would be good to find out if there are better rates out there. As soon as my volume gets to the next higher level, I'll certainly try to negotiate more. Remember - At the end of the day, they all want your money! I think there's a chat about this issue on ET on Tuesday. Yours Sincerely, ~The Scientist Alter Ipse Amicus. - <i>A friend is another self.</i>