Hello, I am sim trading a system with 3 CL contracts. I have read threads regarding the ALL IN vs Scale Out vs ALL Out exit strategy. I am not sure which exit strategy I would like to use. Therefore I will just test the best case. Is my testing for exit setup correctly? I would like to make sure I am on the right path before collecting data. Entry All in with 3 contracts Breakeven: After trade moves X ticks in my favor. I bring 3 contracts to breakeven. Exit Testing Setups: 1. All out with 3 contracts at a predetermined profit target price is reached. No trailing 2. Trail the 3 contracts by X ticks until predetermined target price is reached. 3. Exit 2 contracts at first profit target, exit last contract at a predetermined profit target price is reached. No trailing 4. Exit 2 contracts at first profit target, trail the last contract by X ticks until predetermined target price is reached. Seems like alot of work, but I am not sure wish exit strategy to go with. All in and all out seems easier to me and simpler. Any thoughts on my testing I will perform? Thanks,
3 and 4 will perform best in trendy markets. 1 and 2 will perform best in range markets. you forgot scale in scale out. Which is how the pros do it. Think more in terms of risk.
What are you asking us ? What you are saying is basic quant work, you have to simulate each of your exit options, don't let a random dude on a forum tell you what to do. If doing 4 simulations is a lot of work, then you should work on your simulation environment because you NEED to be able to easily simulate any idea you have in less than 15 mins of coding. "scale in scale out which is what the pros do". I'm a professional portfolio manager in a hedge fund and I don't do this. Surely everyone has different approaches to trading.
In retrospect, all in all out is always superior, the math is quite simple, however for humans scaling in is usually how it ends up. It involves a bad word called averaging both down and up,which is how I stay alive and I will not defend it. I am always spread and I will buy any dip or sell any rally regardless of whether the current position is profitable or sitting at a loss. I like 4 legged spreads and leg into all 4 legs. After a while my record looks more like walmart than some trading strategy, very simple, buy low sell high. Although it is oh so tempting to close out a very profitable leg I never do. The trade lasts forever until I am forced to roll out the front leg. There will come a time when maybe 3 or sometimes even all 4 legs go profitable briefly which is simply not sustainable so then the best course of action is to close out everything at the mkt (if possible.) I never take the other side. Scaling out is necessary when rolling out. Also I must have enough capital to carry a double position when rolling out, so if I am long the front month I must also be able to carry the same long position in the new far out back contract until I have slowly rolled out of the old front month while slowly scaling into the new back month. It ceases to become trading and is actually nothing more than dealing. Every day I am willing to buy or sell something if the price is right. The questions you are asking are the questions somebody asks when they are trading too big. But yes, it is always superior to go all in, but I see no way for me to be consistently profitable using that superior method.
You know, this topic is close to the real answer. But i'm not sure the convo is headed in the right direction... all in/all out.....of how much? at what point do multiple all-in/all-out positions = scale in/scale out by another name?
Thanks wintergasp, This is a good advice, because my simulations is based on forward testing as I do not know how to setup a backtesting coding. The forward testing can take a long time (maybe a month or less) I have 2 systems I am testing. 1. Resistance and support based trading and price action. I am not sure if I can setup a simulation environment for this. 2. Monitoring the EMAs and counting bars. I believe this one can be simulated. Any recommendations on available simulations software?
Bets piece of advice I've read here in a while. Don't guess. Code and test! If you are managing a portfolio of any size (which I assume you are at a hedge fund) you must either be using a skilled execution trader or algorithm to work your orders in the market? Does that not count as scaling in and out?
And then you get a buy signal, you buy, and sure enough it moves up just like you hoped. But then it gives another buy signal. What do you do? Do you have rules for max position? Will adding another to your winner make you too one sided? If the first signal was good is there a reason you don't take the second? Talk about a plan, these questions are all answered in the plan before you ever go live. That is why I don't understand all this emotional crap they talk about on the psycho network forum. I am very emotionally unstable. That's why I have a plan. There is no indecision. I can't trust myself to make any good decision when it is all happening to me. The only thrill I get is when the market makes me an offer I just can't refuse. Then I may get flat. I don't know, it's not in the plan. I have no profit target. Who needs one? But usually while I am enjoying the indecision of what to do with a way out sized profit I wasn't planning on, I just stay with my program, taking every buy and sell signal like I always do. Often closing everything after having just added only less than a minute ago. Oh well, no buy or sells likely for me today, so just more bullshit on the internet. Combo answer to two threads you started.