No - not confusing anything at all. If the system can't yeild it, then that is a limitation of the system. The mental ceiling comes into play when one starts to think enough is good enough and ceases further developement to make better or replace mothods and systems - surely? Best Natalie
You're disagreeing, then agreeing. I didn't say that one couldn't beat his own system once in a while. But we're talking - or I thought we were - about an average over an extended period of time.
Agreed, and like smoking you have to want to do it in order to succeed eventually in achieving that? Best Natalie
That's what separates those who prefer a day at the zoo from those who'd rather spend it jumping out of a plane.
it may be "optimized", but it uses MA crossovers so it by definition is going to be a relatively poor performer. you might want to think about looking beyond such a limited tool. ie, revamp the mental limits. at least shorten up the MA periods as much as possible.
Natalie, I think DT-waw and I are taking a somewhat skeptical view for one simple reason. No one is reporting thekinds of returns implied by averaging one ES or S&P point per day. I have said before that plenty of people can do it for a year or two. I'm not aware of anyone who has done it consistently for five or more years. Even with a relatively small starting equity, the money become astronomical over time. Why is it so difficult? I suppose an academic would say because of the random nature of markets. Systematic traders are frustrated by changing market environments. Discretionary traders are not machines. In addition to the changing nature of markets, they face personal performance issues. Tiger Woods doesn't win every golf tournament he enters either. I don't think the "one point a day" limit plays a role for most traders. If you are trying to average one a day, it is silly to quit when you make a point because you will inevitably have losing days. You need to build a cushion. I think there is an aspect of what you propose that does happen. Personally, I try to be in the green every day. I know intellectually that it is meaningless, that a proper systematic or semi-sytematic approach depends on trading consistently and not modifying my approach to protect a positive day. Yet I do it. And I will continue to do it. It's important psychologically to me, and that is a benefit that you can't quantify.
Thanks AAA, So you are saying that the psychological issues play a much greater role in this than any of us suspect. So the question I would immediately ask from that is how to overcome the psychological issues long term? (more a rhetorical question and thought, and not directed towards towards you). I think much of this goes to the heart of trading long term and being consistent long term. I'd love to hear more of your thoughts on this. Best Natalie
I have carefully read this entire thread... In the context of the current (non-bubble) environment, I would tend to agree with gist of the (non-strategy specific) comments on this thread made by DT-waw and AAAintheBeltway (and, to some extent, with LawrenceChan)... In a nutshell, back out 1pt a day per contract over a year and compound it... to suggest that such a phenomenal performance is merely "average" is laughable... the most consistent, smoothest equity curve ES traders that I personally know are averaging around 1pt a day... a handful of us are averaging slightly over 1pt a day as a result of intentionally magnified risk (under current market conditions), but our equity curves suffer from correspondingly larger and more volatile drawdowns (which carry with them associated psychological issues that many traders just couldnt handle)... in my view, moving too far away from 1.5pt a day as an average is moving into the realms of fallacy and cloud-cuckoo land... [ Again, ceteris paribus, we are talking current maket conditions and NOT the bubble environment, when a sustained multiple point ES average equivalent on stocks was feasible... ]
Breakout systems aren't better on 5m, 15m, 30m, hourly bars. EMA crossovers with shorter periods give poorer performance... Within 1-12 / 12-28 EMA; 1 - 7% profit targets on 5 min bars, best set is 12/28 with 5% target: net profit 804 pts.