1% a day consistently: possible?

[stephencrowley]

No. The point is, when the variance increases linearly with time the ending point could be anywhere, rich or ruins.

Also, my strategy is all about heding which may be why you don't understand it.

Quote from Thunderdog:

But isn't variance as risk a moot point in this context? The variance increases because price moves over time. If it moves in the direction of your trade, I think you would welcome this variance. If price has little or no variance, then the portfolio has little or no return (excluding options and/or hedging strategies, of which I know next to nothing about).

As an aside, I trade intraday. However, I think your statement is a bit of a red herring.

 

[stephencrowley]

Thanks for the encouragement.. at least ET isn't completely overrun with negativity.

All very good points.. it remains to be seen how this will scale when I go live but I believe based on the average trade duration and relative insensitivty of parameters to performance that I should be relatively safe.

Psychology is another good point.. I think it'll be ok though because I could easily stomach a drawdown twice as large as the ones I've seen in backtesting..

Quote from Thunderous:

Stephen,

Good thread. If you've backtested thoroughly, are comfortable with the historical drawdowns of your system, and find that your slippage/fills are within your expected tolerances, then yes, I think you can approach/achieve/exceed 250% per year. The limiting factors as I see them are as follows (and in this order):

1. Account size - $100k and under gives you the best chance of executing according to plan. As you trade larger amounts, your fills, and slippage will start to vary from expectations.

2. Psychology - the trader/system designer is often the biggest variable in the system. Can you keep trading when you are at the limits of your expected drawdown? Are you thoroughly familiar with the characteristics of your equity curve?

3. Robustness of strategy over time and markets

4. Frequency of trading opportunities

I don't see compounding as an issue, as the practical aspects of trading ever larger sizes would quickly hit a wall in terms of actual execution and market impact.

Your initial post shows that you're on to something. Have faith, and prove it to yourself. It's not easy, but it's possible.

 

[Thunderdog]

Quote from stephencrowley:

No. The point is, when the variance increases linearly with time the ending point could be anywhere, rich or ruins.

Also, my strategy is all about heding which may be why you don't understand it.

Without giving away any proprietary stuff, would you care to elaborate in broad, general terms on the manner in which you plan to hedge?

 

[stephencrowley]

Long-short portfolios of stuff that moves together. Strict stop-loss when inevitably one of the holdings of the basket announces bad earnings or something and the relationship changes.

Quote from Thunderdog:

Without giving away any proprietary stuff, would you care to elaborate in broad, general terms on the manner in which you plan to hedge?

 

[dis]

Quote from romik:

when i paper traded my strategy in S&P500 eminis i AVERAGED 20% a day, in real world it works out around 12.8%, mainly due to Tradestation's inability to execute market orders quickly, hopefully my daily average will raise once I switch my trading platform to a more appropriate one. .

So, it takes you only ~6 days to double your money. At this rate, you can multiply your account only ~2**(252/6) or ~4,000,000,000,000-fold every year. No wonder you feel compelled to switch your trading platform.

 

[TradeCobalt]

Thunderous.

I do also appreciate the positive post and think you can pass along some good advise to us all.

This board is 90% filled with traders with an Axe to grid. To bad there is not more education going on to be mutually beneficial.

SC.....good luck on the project. 1% can happen but you may find more success with Futures or Currency.

I have a few accounts in our pool that can do 10% + a month but they are all options premium sellers.

A nice combo (in my opinion) is to use your options selling premium with a nice swing or scalping systems to help supplement returns and use the middle of the box as that does not add intraday risk to your sheets.

Trade well.

 

[PitchBlack]

Quote from dis:

So, it takes you only ~6 days to double your money. At this rate, you can multiply your account only ~2**(252/6) or ~4,000,000,000,000-fold every year. No wonder you feel compelled to switch your trading platform.

Well, as you seem to be the smartest person on ET i will repeat a part of one of my previous postings:

The logic of your math sucks and you have apparently no knowledge about the futures markets ( Romik talks about the ES).

To calculate the ending equity you need at least the following elements to make a realistic calculation:
-margin per contract
-maximum position that can be absorbed by the market
-starting capital

I will give 2 examples just to show that your calculation is based on simplicity and lack of knowledge about trading:

first example:
starting capital 5000 $
net profit per day 600$ ( equals 12 %)
maximum number of positions unlimited
margin per contract 1000$

We start trading 5 contracts, we trade 21 days.
You cannot simple compound at 12% a day because you need 500$ to add a new contract. This lowers the effect of compounding. The ending equity for the month will be 49640 $.


second example:
starting capital 100000 $
net profit per day 12000$ ( equals 12 %)
maximum number of positions unlimited
margin per contract 1000$

We start trading 100 contracts, we trade 21 days.
The last day we will theoretically trade 961 contracts. But the question is: how big can we grow before the position is too big to be executed in a normal way?
That is the point where ALL the compounding calculations go wrong. They all calculate simply by compounding without taking the limitations of real trading in account. That's how they want to proof that, at the disputed returns, you should own the whole world.

 

[lato]

Hey guys,what you arguing about?

It is amazing how you can get rich by not being perfect.
I read some stuff here is good quality conversation and knowledge,but can you just wait untill tuesday the latest to find out who is the last man standing.Who can make 1% daily,who cares,if you can good for you,if you can't than you can't.If you did better on few mililons than 98% of CTAs,than this can tell you that you are above average.

The last man standing is the only thing that matters.

What i am saying is being profitable.but in this game the better choice of words would be"not falling for the temptation,that only will take your money away".

experience is far greater teacher than any explanation

Good trading to you all.

 

[ElectricSavant]

Why wait until Tuesday? I made 0.03% Saturday, today and I will on Monday too, as I will not trade...

Michael B.

Quote from lato:

Hey guys,what you arguing about?

It is amazing how you can get rich by not being perfect.
I read some stuff here is good quality conversation and knowledge,but can you just wait untill tuesday the latest to find out who is the last man standing.Who can make 1% daily,who cares,if you can good for you,if you can't than you can't.If you did better on few mililons than 98% of CTAs,than this can tell you that you are above average.

The last man standing is the only thing that matters.

What i am saying is being profitable.but in this game the better choice of words would be"not falling for the temptation,that only will take your money away".

experience is far greater teacher than any explanation

Good trading to you all.

 

[mahras2]

Quote from spike500:


To be honest i don't believe Romik can make these returns consistently (yet).

I dont believe it can be done period. 1% I understand may be possible. But 12.5% with a sizable capital capacity (as in the returns do not decrease exponentially after the account gets to only 10K)....now thats pushing it.

I dont believe it but hey I will see if I am ruled by a world called Romik soon enough if its true. And yes regardless of whats argued if it can even remotely achieve anywhere near 12.5% with a sizable capital capacity, they will take over the world. Here I was thinking a 100% year is good!

Talk is pretty cheap...lets see some people doing it and post some verification.
(I know of one person who had been able to do around 1-2% a day and eventually entered a third party trading contest to prove it. I had a 100% month which I documented in a journal...which wasn't consistent due to the use of high leverage. That is also a reason why I do not say that I can post some wild return a day as its not sustainable. Regardless of arguements that may be made.)