Realistic per futures contract per trade profitability

Discussion in 'Strategy Building' started by logic_man, Mar 24, 2013.


  1. You are the only one talking about win-loss ratios.

    Gross and net are definitely important for a trader. If my wins gross $500/trade, but my losses gross $600/trade and my winning percentage is 50%, I am losing net $100/trade. How can that not matter?

    Niederhoffer wasn't saying "My winning trades averaged $70 over 2 million contracts" and providing no information on his losing trades, he was saying "Adding together all of my wins and all of my losses, I made $140 million over 2 million contracts traded, for an average of $70 per contract traded". Win-loss ratios don't factor into it at all.

    Now, do you understand? The question is about the likely maximum productivity for trading capital. That's why I added that I would like to know Niederhoffer's average trade duration for those trades, to figure out how much he made per minute, which would give me a better estimate of that maximum likely productivity, at least as measured against someone whose track record is publicly-known.
     
    #11     Mar 24, 2013
  2. tiddlywinks

    tiddlywinks

    Dude, I got into once before with you. Reread YOUR posts.
    You are a typical elite board member interested in being right. period.

    Serve your logic_man cool-aid to others who are ripe. Now, do YOU understand?

    Trade On!
     
    #12     Mar 24, 2013
  3. OK, dude, whatever.

    So, anyone else besides this tiddly-wanker jackhole have thoughts on Niederhoffer's quote?
     
    #13     Mar 24, 2013
  4. well, if one winner is 2k
    and a lot of losses are $150, over time it could average out to about $70
     
    #14     Mar 24, 2013
  5. If he traded 2 million contracts over 16 years, from the founding of his hedge fund until the time he wrote "Education of a Speculator", that is around 400 contracts per day. If he traded 50 lots, which seems like a realistic number for a trader his size, that's 8 trades per day, or one every 3 hours, which means he made a little over $20/contract per hour. If he traded 100 lots, that's 4 trades per day, one every 6 hours, for a little over $11/contract per hour.

    If my math is all correct, then those are some reasonable benchmarks to measure anyone's trading against to determine how productive your capital is being.
     
    #15     Mar 24, 2013
  6. etfarb

    etfarb

    Thats pretty on point. But VN trades way larger lots than 50s or 100s lol

    Interesting break down to be honest. I've been wondering this for a while. From education of a speculator VN makes it clear how the speculator needs to trade from the top and never in the bottom.

    I'd be curious as to what goes on in his blackbox/backtests
     
    #16     Mar 25, 2013

  7. "top" meaning at the "ask" never hit bid ?
     
    #17     Mar 25, 2013
  8. bone

    bone

    It became a bullshit question when Victor Niederhoffer was mentioned in combination with the term "top tier".

    His explosions are legendary.

    It's not a realistic question leaving VN out of the equation, as the answer is entirely dependent upon the instrument's volatility and the trader's holding timeframe.
     
    #18     Mar 25, 2013

  9. Soros sent his son to Niederhoffer to learn how to trade. I suppose Soros is tainted by association in your mind? If you were in Soros' shoes at the time, what makes you think you would have thought differently of Niederhoffer, given the information available at the time, not 20/20 hindsight.

    If anything, Niederhoffer's blowouts might help us confirm that his capital productivity was "too high" because it came from too much risk. That would allow us to say that his profit per unit of time was unsustainable in a competitive market. If we need to take it down to the microsecond to encompass every possible holding time, fine, but saying the question is "bullshit" implies that there is no common unit available for comparison across styles, when there is a very simple one, i.e. time.

    I know that, this being ET, everyone is making $100/hour per contract daytrading day in, day out, but back in real life, I'm trying to benchmark some ideas on what kind of trading results are feasible, as opposed to what can I dream of making.
     
    #19     Mar 25, 2013
  10. Yes, my size estimate might be too low. That would mean fewer, but larger trades, taking the profit per hour down. At 1 400-lot trade per day, he's making about $3/hour per contract. Not to say that's anything to sneeze at, obviously, over time and with scale.
     
    #20     Mar 25, 2013