Thanks for sharing. If the drawdown of your system is higher then TST drawdown of $2K, how do you handle this. In my opinion the requirement of an algo to pass TST combine and get funded: Specs Drawdown less then $2000 Exit all positions at 3:10pm don't lose more then $1000 per day In my opinion the goal is to find a system that does not have a drawdown of $2000 for the pass X amount of historical years (or trades). This is the only type of system I am testing for. Do you agree with the above statement so I make sure I understand?
Yes, I agree with you. I did this before in the pass and missed alot of money when I turned a system off one time. We have to let the probabilities of the systems play out.
Great work Spectre, I tried to pass the TST like 4 times 8 months ago. I was not able to, must do to my own faults. Now I am programming strategies in NT8 to test some ideas. I am also day trading in the morning in demo to see if I can make about $15K before trying TST again manually trading. So I will either pass TST manually or with an automated system. lol. it is very challenging.
Drawdown less than $4,500 and daily loss limit $3,000, when you take the $150k Combine, if that helps?
Yes, so what ends up happening. The fixed daily loss and total loss gives you a dollar amount. 1,000/dollar stop loss per attempt of system. So let’s say it’s 16 /ES ticks. 200 dollars. It gives you 4 attempts in a given day when you include commissions. So if your stop loss is 200 or 16 ticks. Your entry point has to be a high probability entry point. Meaning you have 4 attempts at homeruns. A homerun is about 700-1000 dollars. Also the TST rules don’t have a time limit. So high probability days and times and price points may only align once a week. So you essentially have to hibernate system till parameters line up. The problem I encounter is I’m intervening taking profits at 200 dollars instead of letting it run into homerun levels. I’ve looked back on trades, and it’s quite telling. So trying to meet profit target as quickly as possible is not ideal. You should design a system that is constantly on but monitors price action and sends out alerts to you. Than decision should be made to turn it on. High Probability Times -economic reports -news events -FOMC days High Probability Price Points (Proximity) -daily high low -weekly high low -monthly high low High Probability Intraday -9:30-10:30 price volatility highest -after 10:30 price tests and trends -at 12:00-1:30 price mean reverts -after 1:30, test ..trend.. High Probability Chart Points -support resistance break or bounce -trendline break or bounce Also European open around 2am EST USA is much more volatile usually.
So you have exponential EMA crossover around 6am, the price is below solid red line/previous days close. The price bounces off trendline and than retraces and fails. Resumes trend down and non farm payrolls comes out price breaks level, system goes short. High Probability -close to monthly highs(mean reversion) -EMA crossover bearish -below previous days close -failure to breach trendline -economic report -break of 240 tick support(thin blue line)
I've looked at the TST rules as well and see the max draw down as the biggest hurdle. But looking at their rules, they treat max draw differently than I would expect. I think it should be a -$2,000 from any peak to any trough. But their explanation doesn't treat it as such. If you get a $50K combine account build up to $54K, then drop it down to $51K by their rule set it doesn't violate the max draw down rule as it remains set at penetrating below $50K after you build up $2K in profits. https://help.topsteptrader.com/hc/en-us/articles/235514547 The trick is not to start trading a systematic method and be unlucky to start trading at the beginning of a draw down period. I have single contract, 1 trade a day variants that risk $500 a day in NQ, CL, and GC that should in theory have a shot at passing the TST combine and second phase. But all variants on all instruments experience draw downs of around -$3,000 at some point or another. How to avoid this as a systematic strategy trader when you should be taking every trade, every day as the system dictates? As @Xela pointed out, one option is to trade the higher threshold combine. Another approach would be to not begin trading until your strategy hits a draw down stretch between -2K to -3K, then begin trading it hoping it will revert to the mean and have a successful run and not set an all time draw down record on you.
The only logical way I see is to "allow for it" by taking the higher Combine, with small position-sizes, and thereby having a bigger error factor? It will slow you down, of course (and maybe a lot), but you'll still get there in the end, if your calculations are correct? That one wouldn't be for me: if you're betting on black at roulette, there's no advantage to waiting for a string of reds to come up with before placing your first bet: another string of either colour is no more or less likely, whenever you start.
I agree with the mathematical principle in play here you are referencing, but if you have a positive expectancy better than a 50 - 50 coin flip, say 60 - 40, then I think this method becomes slightly more feasible even though I'm sure a math PhD can prove me wrong on that assertion.