My auto trading system generate hundreds of trades a day, but...

Discussion in 'Automated Trading' started by tzlf, Mar 24, 2007.

  1. Danger, my native language isn't english.

    When i said "in and out in seconds" i meant that i take a position in seconds (flash fill) and when the time to get out is there i get out in seconds. I wanted to explain that i can liquidate any position within seconds if anything should happen. You should have known that as i said that i made this month on average 5.95 points net per trade; i can't do that in seconds. I will never take a position that cannot be liquidated in 1 minute.

    About risk control:
    Since 2000 i never had a drawdown of 30%, i never lost more than 4 points in 1 trade ( my stop is normally at 2 points). I'm short right now at 1433.25 and the worst quote against my position was 1433.75.
    I limit the amount invested in such a way that i can keep on starting up again after my account should be wiped out. As i make normally 100% per week that is very easy for me; i only lose 1 weeks profit when wiped out. Wiping out my account is just a very minor setback.

    The only risk i took was the first 5000$ i invested once the system ran well, from the second week on all i could lose was profit, never my capital.
    #41     Mar 28, 2007
  2. OMFG!!

    36 trades, 144 contracts... My broker banked over 500 bucks off me today!

    I'll leave the rest to your imaginations.

    Thanks again guys!

    Osorico :D
    #42     Mar 28, 2007
  3. Luke_P


    I don't see how any serious system developer would even give average profit statistics that didn't already include slippage, the spread and commissions.
    #43     Mar 29, 2007
  4. =============
    Trend definition is no problem;
    and this turned out to be a pretty good discussion.

    Think scalpers have an advantage in a sideways trend [or narrow range]; some position traders get more than 100% of the range with 1 trade/ good gaps.

    #44     Mar 29, 2007
  5. It's rather interesting that everyone talks about scalping but nothing about volatility.
    #45     Mar 29, 2007
  6. That's indeed a very good question. With my 2 points stop i sometimes get in trouble. So i have to reduce the leverage and take i wider stop, otherwise even my good trades would be stopped out.

    What does a scalper do? His stop is probably much tighter, so much more problems not to be stopped out 10 times in a row.
    #46     Mar 29, 2007
  7. spike500, if you do this, you can't increase the assets under management very much either. You are limited by the inability that scalpers have to increase assets under management due to instantaneous liquidity shortages.

    murray_t_turtle, I agree with you; but I think the advantages extend beyond the ability to execute a higher percentage of profitable trades during narrow range markets.

    Trending markets also have a degree of volatility that scalpers can take advantage of. Furthermore, "advantages" are not only limited to return, but also risk control. Less market exposure = less risk of getting hammered during a gap for a huge loss.

    False. Remember that a scalper's success rate is very high. [Good] Scalpers are momentum traders, when they get in a trade is because motion is pending - thus, the changes of getting stopped out are lower; not higher.
    #47     Mar 29, 2007
  8. Danger66,

    i added 2 simulations:

    First limiting investment in futures to 25% of net worth and monthly return of 100%

    Second limiting investment in futures to 10% of net worth and monthly return of 50%

    In the first simulation the amount available for additional investing in futures grew by almost 1455% in 1 year.
    In the second simulation the amount available for additional investing in futures grew by almost 80% in 1 year.

    The only problem is: how many contracts can you trade within the rules of the system?

    About the risk management:

    My father was a sportman who never smoked and went to the gym three times a week. He died from cancer when he was 53.
    My mother smoked dozens of cigarettes a day and drank porto like i drink water. She died when she was 64. Statistically my father should survived my mother but that doesn't change the fact that he was death first.
    In trading everyone can be wipped out no matter how short he stays in the market. I prefer more risk for a smaller wipe out and high returns above smaller risk of wipe out and smaller returns. Because if the scalper is wiped out , he really is wiped out, where as i'm not wiped out at all. The fact that in theory i should have been wiped out and not him will not change anything to the reality. It is a choice i made, and i never regretted that choice because i never have the fear of a wipe out, which makes trading emotionally much easier.
    #48     Mar 29, 2007
  9. second image
    #49     Mar 29, 2007