Damn, I just hate it. I just made my biggest day ever , but there is a "-" in front of it. Nothing crazy, in the low 5 figures. I know it is quite usual for mean reversion or liquidity provision methods, but I really don't like how it feels. I will work my ass off to beat that number and make my larger win day > again. Don't get me wrong. This is my most profitable year. But edges( particularly the main one ) are getting exhausted all at once lately. Time to get back to the drawing board and possibly take time off. Thoughts? Experiences?
I feel your pain. We have all been there. I would suggest though that you look at your position sizing and amount you risk per trade. It seems to suggest that if your biggest loss> biggest gain that you may have a system with less than 50% probability win rate. This would suggest that you need to keep smaller risk per trade to be profitable. If you are also having your best year ever it is possible that you have had a string of winners and now a string of losers could change all that and cause large draw downs. Do you keep stats on your trades? If you do (and you should) then you should be able to run a MC sim on your system to determine your ideal risk per trade so that you dont have a string of days of drawdown threatening your profits more than an acceptable amount.
I've certainly had a number of 4 figure down days. But then I was no doubt trading much smaller size than you are. The natural human tendency is try to hurry and make it back. Which often leads to even more losses. Assuming you're relatively consistent, don't let a bad day turn into a bad week/month...
I agree with N54_Fan, you MUST keep stats on all your trades, that way you can use excel or your choice of money management software to really zero in on where you are making/losing money. My worst loss has been -11k it happened in 4 days and the best thing to do is simply turn off your screens and go for a walk/ play some golf etc. to calm your mind, then you may return to your computer and evaluate where you went wrong, entry/exit/strategy etc. if you think the system is good, you just had a 'bad' day, scale the position size right back until your feeling confident again. I know people want to charge back into it, win back the world and not care about the physcological side of trading, but this isnt a nascar race, trading takes time and the mind really is where good trading comes from. As for my trading loss it just came down to a crappy system with few rules which I have been attempting to correct. Im sorry I sound slightly like dr alexander elder here.
I have had my share of those days too, but I have found it easier to make up what I lost if I do it in small incriments rather than try to make it all up really fast. Once I get to the point where I was my confidence seems to come back...Good Luck! I am thinking the Holy Grail is as simple as making your losses small ones. Seems to me if you control your losses you cant help but to be profitable. It's easy to make money trading but harder to keep it imo.
So, does this mean that your strategy is fading markets for mean reversion based upon some sort of 'convergence' , 'mean' or 'fair value' ? From my experience, that is the most prevalent strategy that yields max losing days > max winning days when the trader is adding.
Not anymore. I was doing this around 2007 on equity indexes but I was waiting for the opposite "opportunity" instead of fair value. This strategy was always in the market. Now, I have 4-5 different strategies but it is mostly scalping, adding or removing liquidity, on spreads and outrights, hedged or not, depending on the instrument. Yesterday, I was losing everywhere, statistically rare but possible. Thanks for all the constructive comments. I won't rush to make it back. I will take one week of vacation in december. Yesterday I also learned that when you are holding meaningful "size" and trying to exit after a big adverse move, it is harder than with one lot...LOL.
To get an idea, I must have a 60-70% win rate, I analyze my performance monthly on a per-instrument basis and if there is no miracle today, it will be my third down week of the year.
I wouldn't worry about it too much since I've not met a trader, and I know many, whose max daily profit is larger than his max daily loss. Best not to go chasing those losses in this environment. I'm already down big for the day and it's only one hour into it lol, so I'll play it small and try and chip back at this loss. I'm just looking at this and no position makes me comfortable - just do not have a clue where this is going. Good trading.
There are numerous traders that have larger best day than worst, more on stocks than futures though. Guys like EricP from the P§L thread have max win day of 1m$ for a max loss day of 35k$ or so...