Been at this business for 3 years now (just finishing 3rd year), finally did everything right this past year. No more noob mistakes....and I lose money. Despite stupid mistakes years previous, I manage to make money. Same system. Last year system returned close to 100%, this year ending end of Aug for me, is looking at a 20-30% loss after commissions. I've had every single month be a loser for year of 2013 except one month. I'm getting really burned out. Details: trade ES, day trade but place 10-15 trades on average per month. Very mechanical trading. Little to no discretionary. One system/strategy. Some help guys would be appreciated. Thanks.
If intra-session/short-term, a very serious error IMO that needs to be addressed. Would recommend a portfolio of strategies with relatively low-mid correlation. I can't stress enough how important it is not to tie all your risk to 1-2 bread-n-butter ideas. I would strongly wager too many inexperienced ES traders search for that 50-75pt/contract/month idea, when they should be looking for the 5-10 that on annual average bring in 5-10pt/contract/month & are efficient on volume. The singular approaches using a variety of assets more suited for longer term swing & position trading imo.
OP: You may be better off asking this question elsewhere. This forum appears to be chalk full of members with no interest in staying on-topic. It appears most need a scapegoat these days to reason their poor trading in what is simply a low vix/mature bull accumulation environment. It is clear who successfully traded the 04-07 period and those that didn't. What fundamentals and external policies are causing the slow grind higher is meaningless at the time scale being discussed. Reference trading forums after the high-volatility tech bubble burst that lead to low-vix. Same attitudes. "If I can't do it, neither can you." Rather typical human behavior, which is why so few can cut it at this career.
No system is meant to last forever. A HFT I knew made tons of money for a few years, then his systems stopped working, or rather his programmers couldn't keep the edge.
Without knowing the filters you are using, tougher to know, but prior years based on daily price action did not have sustained drives as this year has had, this year has had much reduced tracements of any degree. Those using TA and not have had backtesting or study of last ten-twenty years would miss out on this type of market thrusts. Does your method rely on chop or trend? Methods like 10-15 per month, would have to be backtested like 30 years to get clear enough sample size to truely understand what drawdowns should be expereinced. But that's just me, cause I require min of 3,000 sample size. If method relies more on chop, you might test out on Meats, many methods I have made for ES actually does better in the Meats.
Actually my expected return was/is 6 points/month/contract (before commissions) based on monte carlo analysis and 30 percentile results. Sample size was 4 years. (about 600-700 trades)
Strategy is direction and volatility independent as backtested results were through turbulent 2008-2009 years as well as slower years afterwards. Performance didn't seem to deviate whether it was up or down market, high or low volatility. What I'm wondering is whether I should keep trading this strategy...if so how long? In the past, due to my noobishness, I stopped when I shouldn't have and my system always recovered but never suffered for this long period of time. According to my analysis, the system is within max drawdowns, I'm just not sure how much more of this I should/can take.