Reversion to the mean only trading...

Hi Mark,
Third question:
In the main model in post 1 where you quoted performance for it running 24 hours a day. Do you have a daily loss limit/drawdown where it stops trading for the day? When running it what does history show for the number of losses in a row?

When you run it under your own conditions (I think it was for about 3 hours a day) do you apply a daily loss limit? Also what is your experience for the number of losses in a row when running on those truncated hours each day?

Thanks

 

Thank you for the response MarkBrown.

 

that model does not the 2nd model does limit to 3k during the hours 859-1240.

3% - 11 in a row losses fir model 1 and
6% - 6 in a row for model 2 which trades far less.

it never had more than a couple consecutive losses during my time, i did testing and let the testing determine the time slot. i didn't just grab that out of the air cause that's when i like to trade. that time slot was also the best for positive slippage which is most important to me that my entries are accurate as can be to match test.

 

Hello MarkBrown,

Regarding scaling up from 1 contract to 10 contracts. What were your scale up rules?

 

i have a spreadsheet that calculates it. so the delta is how much you have to make to add a contract per contract basis. starting balance is just that whatever you start with. as you can see you can pick from net profits or total account balance either one.

 

Thanks for the response MarkBrown

 

I like the idea.

How dependent is the system's profitability on the ES, vs. another instrument?

(e.g. would it work on the T-notes?)

 

I really like this. This mean, everything is set up to logically scale down when the trading is not doing well.

What do you mean by Delta Size? How does this play a roll in scale up?

Also do you have a recorded video of the webinar today? I was not able to attend due to working the full time job.

Thanks

 

Me thinks definition clarification of scaling in and scaling up as concerns trading may be needed here in this thread. Wouldn’t hurt to define scaling out.

 

Morning Mark,

Is your web site URL (http://markbrown.com/) meant to lead to anything as I just get a blank page?