For the time period in question, 60% long and 40% short. However, the average gain per trade has been approximately equal for both longs and shorts, so I don't think there is a statistically significant difference between them. Since the market has been pretty much been going up since August, which is the beginning of the time period I'm measuring, I don't think this is unusual. If we had been in a bear market since August, I think the ratios would be reversed.
Well, if you had an institution which absolutely HAD to have a position of a specific size, they could "hope" for heat to occur so they could get in at a lower or higher price, depending on which direction the trade trigger was recommending. Otherwise, though, I don't see how the fact that the strategy basically says "Entry is best at this specific price" would limit them. If the market says "Go long at 1400" and you can't buy all you want at that specific price point, that's just a fact of life. To be clear, most of my trades do,much to my chagrin, experience heat. I nearly never buy at the exact moment when the market is ready to rocket past my price. The system wasn't designed to work that way. When I go long the ES at 1400, the chances that the market will retreat to 1399.75 is quite high. But, the chances that it will ultimately go to a point where I can exit profitably is also quite high. So, let's say that I bought everything the market had to sell at 1400, would it make sense for me to also buy everything the market had to sell at 1399.75? Absolutely. That's why I say that the scalability is practically infinite.
But it's not. You're talking about single entries. You aren't talking about a strategy designed to do both, scale, or, separately, single entry.
Look, as I said before, I don't determine what does or doesn't constitute a valid trade trigger, the market does. You have to take your ego completely out of the equation. If the market says "Go short" or "Go long", it's all the same to me. Short, long, whatever, as long as it makes money, who gives a shit?
logic man, TY for your patient answers. Would your algorithm lend itself to assigning a strength to your trigger?...is that what you are optimizing? ES The algorithm "should" work in any market which fluctuates, which is pretty much all of them, although, of course, that needs to be verified. For the time period in question, 60% long and 40% short. However, the average gain per trade has been approximately equal for both longs and shorts
No, it's implemented as single entries because I don't have enough scale to require it to be implemented as multiple entries. If I had enough capital to require multiple entries, there is no reason why it could not be implemented in that way. The entry price is the optimal price, but you can enter at any price between the optimal price and the initial stop. In that sense, the strategy refutes the "don't average losers" rule. Basically, the strategy says "If price X happens by time Y, enter". If that logic plays out, there is no reason why you could not enter a long trade at a lower price than "X", if your trade experienced an adverse excursion. Yes, if you were entering long and price blew through "X" and just kept going, you would not be able to enter at "X" minus however many ticks the adverse excursion encompassed. So, in that sense, sometimes you would be unable to scale into massive positions. But, on the plus side, since at any given tick of the ES you can trade upwards of 1000 contracts, that's hardly an issue.
The market would never ever say to anyone that the stop should be 50 points lower.Can you please explain how that could be or what you look at to get this idea?
TY for the responses! Yes, I have been able to discern variations in the strength of the signal and that is the basis of my optimizations. I BELIEVE that these optimizations have an objective basis in reality. I HOPE that that belief is accurate and that future market action will display similar characteristics. The underlying assumption of my trading strategy is "when people or institutions with capital believe they can profit from entering a trade, they enter it without delay". Does that seem like a valid assumption? Seriously, you tell me if it seems valid because it seems valid to me, but maybe I'm missing something. Believe it or not, from that one assumption, one can deduce an entire trading strategy.
logic man, I have enough information to know how you are trading and thank you for sharing. Since you are swing trading and entering as you do...it now becomes how you exit I believe. ES P.S. I think a trading statement would be the best addendum to your resume, but try for a DD of no more than 15% in year two....you can do it....go for perfection.