I didn't do any walk forward testing on this 8 futures bucket, but I did live trade a 4 future bucket that included CL, GC, NQ, and ZN all with $1,000 stops from July - November, 2017. I was in a sense doing some walk forward on 3 instruments and the 4 variants of my studies.
During this time on the first 4 futures bucket, my P & L reached +$35K. At that time I doubled my positions. The account then reached +$42K, but hit a draw period of -$7,500 per single position bucket, so as I was trading double it resulted in a -$15,000 draw down on the account. Not out of line for past history for that strategy, but the larger P & L swing was a more difficult occurrence to mentally trade through. Caused some "sweaty bum time" as Sir Alex Ferguson would say.
I ended up doubting the my 4 future bucket systematic approach at times after that -$15K draw, so I began making discretionary reversals of trades where i "felt" I should reverse trades against the systematic long - short decision tree. I did this on 10 trades over 4 weeks. 2 of those worked in my favor, 8 of those worked against me were winning systematic trades that I turned into losers. 80% of my discretionary changes were wrong. The account ended up dropping another -$17K based on changing by those trades on my impulses. Lesson learned. If you commit to a systematic approach, don't outsmart yourself if you are not a discretionary trader.
In the long run that slip up may turn out as a positive because it led to changes. I dropped ZN as it wasn't performing well enough under any of my 4 strategy variants. I studied a lot more additional futures and commodities to see if there were better options than ZN. I explored in more depth different trade stop loss levels for each instrument - $1000, $500, and $250. I explored the idea that adding additional instruments in an attempt to smooth out the P & L curve and/or make it more advantageous by showing similar draw down levels combined with better up run periods.
So that is the back story to how I started live trading this 8 futures bucket.
During this time on the first 4 futures bucket, my P & L reached +$35K. At that time I doubled my positions. The account then reached +$42K, but hit a draw period of -$7,500 per single position bucket, so as I was trading double it resulted in a -$15,000 draw down on the account. Not out of line for past history for that strategy, but the larger P & L swing was a more difficult occurrence to mentally trade through. Caused some "sweaty bum time" as Sir Alex Ferguson would say.
I ended up doubting the my 4 future bucket systematic approach at times after that -$15K draw, so I began making discretionary reversals of trades where i "felt" I should reverse trades against the systematic long - short decision tree. I did this on 10 trades over 4 weeks. 2 of those worked in my favor, 8 of those worked against me were winning systematic trades that I turned into losers. 80% of my discretionary changes were wrong. The account ended up dropping another -$17K based on changing by those trades on my impulses. Lesson learned. If you commit to a systematic approach, don't outsmart yourself if you are not a discretionary trader.
In the long run that slip up may turn out as a positive because it led to changes. I dropped ZN as it wasn't performing well enough under any of my 4 strategy variants. I studied a lot more additional futures and commodities to see if there were better options than ZN. I explored in more depth different trade stop loss levels for each instrument - $1000, $500, and $250. I explored the idea that adding additional instruments in an attempt to smooth out the P & L curve and/or make it more advantageous by showing similar draw down levels combined with better up run periods.
So that is the back story to how I started live trading this 8 futures bucket.
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