My system gets smashed by these kinds of days statistically around 3% of the time. IMO they are unavoidable. If you take a look at the action for the day, the price moved sideways while chopping up and down in a narrow range - a trend follower's nightmare. The problem with filtering out these kinds of days is there are plenty of days where only half the day will be choppy, and the other half will be a powerful trend. Careful simulation has shown me that the system is better off taking every single trade, rather than filtering and missing out on the trending moves of those half-half days. it's a drastic hit, within the context of a few days of trading. In the context of a month or quarter, it's just noise in the equity curve. As for the number of trades, this is a good observation. The optimization process produces several 2-parameter combinations that perform roughly equally well, which is a good sign for a system. The difference between the combinations is how tightly the system follows trends. Tighter parameters lock in on a lower fractal, while looser parameters look at the bigger picture of the day. In a world of ideal executions, having tighter parameters is better because the trade efficiency increases. However, missed limit order fills are the bane of my trading, so a balance has to be made. After reoptimization last Friday evening, I decided to choose looser parameters to reduce the whipsaw and reduce the number of trades. It's really a matter of preference. rt
The time frame is strictly intraday, with 1-minute bar resolution. It's a trend-follower, as I described in the first posts of the thread. rt
Sorry, missed your last question. I trade the ES, YM, and NQ in my other accounts, only because those accounts are larger than the one I am demonstrating in this thread. The ES size in those accounts is also larger. The account for this thread has limited capital, so I am starting out with the ES only with very small size. As I mentioned, I really don't like to use aggressive leverage. As the size gets larger, I will add the NQ and then the YM to the system trading menu for this account. rt
I forgot to add some background information concerning size. You can see from the trade histories I have posted that this account is trading 2 ES contracts currently. I funded the account with an initial capital base of $75,000, and I started with one contract. My fixed ratio delta is $5,000, so when the equity hit $80,000 I started trading 2 contracts. The current balance is around $89,500, so if and when I reach $90,000, I will trade 3 ES contracts. The scaling schedule is: Total Profit # Contracts $0 1 $5,000 2 $15,000 3 $30,000 4 $50,000 5 $80,000 6 etc. etc. rt
Thursday, 04/02/2009 Security: ESM9 Session PNL: $434.70 USD To-Date PNL: $4,494.10 USD Account Balance: $89,872.24
I guess the hit looked worse than it really is. Having seen your bankroll, I agree that your risk and worst loss are reasonable. My initial reaction was that you need to do something about the big hits. But your observation that it is unavoidable is consistent with my experience. It is very hard to improve a system by adding more rules or filters. I would be curious how the past two weeks compare with your simulator (hint..hint). I am very impressed with what you have shown us so far. [rwk]
Today the price moved thinly until the last 15 minutes. The session was hovering around BE until the very end of the session, when the system was trapped short in a burst upward. A good example of how you can never tell how the day will turn out until the very end. I've had plenty of times where the session PNL is negative until the closing minutes of the day, and the the system catches a powerful move that leaves the account with a tidy profit. Works both ways. Friday, 04/03/2009 Security: ESM9 Session PNL: ($1,150.90) USD To-Date PNL: $3,343.20 USD Account Balance: $88,721.34
Fairly lackluster day, lackluster results. Price chopped down and grinded reluctantly back up for a U-shaped session. Monday, 04/06/2009 Security: ESM9 Session PNL: $486.60 USD To-Date PNL: $3,829.80 USD Account Balance: $89,207.94
Tuesday, 04/07/2009 Security: ESM9 Session PNL: ($473.00) USD To-Date PNL: $3,356.80 USD Account Balance: $88,734.94
Wednesday, 04/08/2009 Security: ESM9 Session PNL: $1,064.50 USD To-Date PNL: $4,421.30 USD Account Balance: $89,798.44