Just wanted to say that I'm actually enjoying this discussion. I can certainly see how comparing the results of active trading to using a simple buy and hold strategy is a good metric. And yet, I also fully understand that a strategy has to be evaluated against what the trading plan says, and how closely the actual results measure up against the possible results of a trading plan in case the plan wasn't followed religiously. In some ways, this mirrors well the notion that trading a higher time frame causes less stress and perhaps more overall profits rather than day trading in and out multiple times, except for the very few of course who can manage to trade intraday successfully. Saying all that though, the fact that Lajax is up after 10 trading days is a good result in and of itself, so that is the first point that stand out. If I recall all the great stats that he has posted, and this time specifically in relation to the equity curve, I would say that after 10 trading days, this result is not nearly as good as you would expect given that very nice up-slopping equity curve. But, once again another "but", when I look at the data where he showed the distribution of all consecutive trades, I do seem to recall that most profits were the result of a few very nice trending days, so perhaps this current sample of 10 trading days didn't quite allow him to hit a few home runs since the market may not have offered it. The last point that stands out for me is that when scanning these charts, there were way more points made about emotions that crept up into the trading decision process (which I enjoyed reading about since this makes this quite real), where as the backtesting and forward testing was a bit more mechanical, so its not a big surprise that the results are not as favorable as the results of the back testing and forward testing. So in summary, I think that everyone is right. The fact that a small SIM profit was squeezed out is a great result when you consider most people lose money, but more personally, the fact that a trading plan was devised and mostly followed with positive results is a huge step in the right direction. The actual money gain though is small, and certainly not representative of the results that Lajax is going after I'm sure, and so this result does point to the fact that more needs to be added into the strategy or things need to be tweaked. That's for documenting all of this so well Lajax. I'm sure if you didn't take the time to post all of this for the benefit of everyone else, you'd be much further ahead yourself since you would have spent all that extra time on just working on it, so the effort is very much appreciated.
Claiming "he grossly underperformed the market" while also claiming "every fund that has ever existed has been compared to a benchmark" is doublespeak. Mutual funds that try to mimic a benchmark are measured through quarterly results, and not over a 10 day period, so the comparison of a combine to a fund's benchmark is a weak argument. I agree with the comment about showing positive alpha, as that is also what hedge funds strive for, even if their strategies are uncorrelated to the S&P (or similar benchmark index). However, even hedge fund performance isn't measured by a 10 day block of time, so the only way to accurately compare a 10-day combine is with another 10-day combine.
I noticed that your average hold time for winning trades far exceeds the average hold time for losing trades, which of course is a good sign of discipline, even if you had several days with more losing trades. The overall outcome was net positive after fees (despite the overall percentage ratio). Also, keep in mind that when you trade with 5 contracts in the combine, it's not something you can do in the live account, given the scale-up rules. Therefore, to increase the odds of a seamless transition to the live account, my opinion is to trade in synch with the scale up plan, even for the combine. Even if you "cheat" a little with an extra lot once in awhile to meet the performance metrics, it serves no purpose to trade max 5 lots since you cannot trade that way in the live account.
And since he traded for ten days, the only meaningful metric to compare his results to would be the ten day benchmark for the same period. Comparing his results to other combines would be largely pointless because other combines are biased in regards to trader skill, timing, etc., while the benchmark is an unbiased comparison representing no discernible strategy. If ten days is an irrelevant sample by default, which it may very well be, then giving him any feedback at all would be pointless because the sample size isn't large enough. If that's the case then all of the people handing him the trading equivalent of the little league "participation trophy" are being just as inappropriate and unhelpful as I have been accused. I don't know if lajax blocked me or whatever but as I stated earlier, I'm not trying to come off as the "give up cuz u suk bro lol" guy. I am trying to give an honest critique of his results.
Given that every trader at ET is successful and every trader at ET makes a living off his trading, the casual observer may be puzzled not only by the character of the criticism heaped upon people like lajax but by the quantity of it. He might wonder why -- as these traders presumably have all developed thoroughly-tested and consistently-profitable trading plans -- they appear to be unfamiliar with the process of the development of said trading plans. This quandary may be resolved by hypothesizing that they not only do not have trading plans but have no idea how to go about developing one. The suggestion that one throw out everything one has been working on due to preliminary results being unsatisfactory suggests a lack of familiarity with the scientific method. Those few who are familiar with this method understand that results are instead analyzed in order to determine the characteristics of failures as well as successes. These characteristics are then isolated and tested in order to ameliorate and even reverse the failures and strengthen the successes. One then tests one's plan again in order to determine the effects of these changes. This is called "process". That so few understand this process or that lajax is going through it is informative but not surprising. I'm sure that lajax appreciates the comments of those few, like wrb and Scalper, who do understand it. The rest really ought to find something else with which to occupy themselves during their respective trading sessions (one hopes that outside their respective trading sessions they are engaged in self-fulfilling activities that do not include making unsolicited comments on message boards).
This doesn't have anything to do with your combine run, so it you'd like to move it to another thread or start a new journal, feel free to move it. Given all the lines you've drawn, I assume you're still trying to implement the SLA or AMT or both. If so, and I don't want to appear discouraging, you're making the same mistake that nearly everyone does, which is drawing so many lines that you're not even paying attention to price anymore, much less focusing on it. Unless you're trying to make this so mechanical that it can be coded, you're missing what AMT has to offer. Thus the tangle of supply lines and demand lines and channel lines and so forth. Take a deep breath and start over. Do your prep. The overnite high is 45. When price begins its downmove, when and where does it stop?
If this is in response to my question, there is no beginning other than what's in your own mind. To start at the beginning of the trading session is like watching a play beginning with Act 3. The trading session must be approached. And one of the first questions to ask is whether price is trending or ranging. If you want to draw an analogy to hunting, one must first spend at least a moment observing the animal's behavior before blasting away, and if and when one does fire, the results obtained by using the sight are generally better than firing from the hip. The entire day Thursday was spent in a hinge. This hinge had an apex of 29. The midpoint of the swing from the ON at 45 to the low at 14 was 29. The midpoint of the swing from 14 to the pre-open high at 43 was 29. Price then swings from 43 to 25, with a midpoint of 34. All of this takes place well before the open. During the first 15m of the session, price forms another hinge with an apex of 34. Price falls out of this then rallies to the apex at 34. Price then makes a lower high, creating another hinge. But whether one focuses on this new hinge or the trendline beginning at 0946, price drops out of all this at 29. So at what level can the trader postulate that traders are finished ranging and are ready to begin trending? (and none of this requires lines)