The initial game plan - comments appreciated

Discussion in 'Strategy Development' started by alpha_monkey, Jun 9, 2006.

  1. Hi there,

    To those with systematic trading experience, please critique my initial gameplan. This represents my plan to move from discretionary trading to systematic trading.

    I am currently at the research stage. 3 months, perhaps, from going live.

    I intend to research and trade, 100% systematically, each of the following types of strategy. I'm planning on applying them over each market and on two timeframes. This, of course, on the proviso the strategies backtest with a positive expectation. (In practise, I expect to trade one strategy over a few markets on one timeframe to begin with. I'll then introduce others as trading progresses.)


    1. Intraday trend following (BreakOut model from 15 minute Hi Los);
    2. Intraday trend following (consensus indicator model);
    3. Volatility BO;
    4. ORB;
    5. Mean Reversion BOs, i.e. breakout from the other side of a channel post trend following breakout.

    All with common trade management alongside them. i.e. stop losses etc.


    Dax, Bund, Euro, Yen, WTI, Pound, 10Yr, Mini Dow


    15mins, 90mins, Multi-timeframe in terms of the indicator trend following model.

    Money mgmt:

    To start with, 1 contract for each market / strategy / timeframe. After confidence builds, maybe 6 months+, move to a fixed percentage of trading capital per trade.

    Any comments most welcome.

  2. Glad you added 'perhaps' in the above.
    If you would make it 3 years, I would say that's too short. Better think about 10 years.

    This is my honest opinion. Many will protest, but don't forget, 95% of those who loiter around at forums are losers.
  3. qxr1011


  4. Expand your time frame(daily) AND concentrate on fewer and lesser-volatile markets(10-year note). It's better for rookies to take things slowly instead of getting wrapped up too much in intra-day volatility.
  5. Try this simple plan. Works well for me in currency futures, specific to JY, SF, CD, ED.

    89/13 system with a 5% Stop-Based Risk

    Here are the trading rules in plain English:
    • Enter a new long on a buy stop at the highest high of the last 89 days
    • Enter a new short on a sell stop at the lowest low of the last 89 days
    • Exit a long trade on a sell stop at the lowest low of the last 13 days
    • Exit a short trade on a buy stop at the highest high of the last 13 days
    For position sizing, use 5% of portfolio open equity divided by the risk of the new trade. New long risk is the difference between the buy entry stop price (not the entry fill price if there was a gap open) and the exit stop. New short risk is the difference between the sell entry stop price and the exit stop.

    Don't try unless you have a trading account of 50K or more. The drawdowns will wipe you out before you have a chance to get started. As a note a 8% stop will increase overall profits profits with little impact on the drawdowns. However, there will be an impact none the less.

    :D :D
  6. ??........5,8,13 and 89!! Those are all fibbonacci numbers! Holy Caca!