Am I ready to go live?

Gotcha said:
After seeing @volpri 's post and being reminded that you are still in SIM, I kind of have to take back what I said about nice job with regards to the equity curve. Don't get me wrong, its great that you're in SIM, but this equity curve and going to 3 contracts is now quite deceiving. Every tick while trading live matters a lot, unlike in SIM where its easy to just focus on the finish line and not be obsessed with every twist and turn. There really is no benefit to trading 3 contracts in SIM over just trading 1, unless maybe you're practicing scaling out and all that jazz.

With 42% losers to date, do you realize how many you can have in a row and this still be within the statistical parameters of a winning strategy? I ran a monte carlo simulation of your stats. 58% win rate, since since I saw the average win vs. ave loss was 1.2, i use 1$20 for an average win and $100 for an average loss. I think this is true to your stats, even though on second look it might seem that you risking $200 per trade, so $200 would be your average loss, but the ratio would at least me the same.

Anyway, as you can see, you can fall anywhere within the green and red lines. Yes the midpoint PnL is nicely positive, but if we look at how many losers you can have in a row, the max was 13 for the worst simulation, and the average was 5.67 across all 200 simulations. That means you can expect having 6 losers in a row. If you're trading 3 contracts, and lets say your stop is $200, this means you're down $600 on this trade, and by having to expect 6 losers in a row, you'd be down $3,600. Of course the winning streak is even better, but when going live and starting with a losing streak, I wonder if psychologically you will be able to keep trading as you should.

My personal feeling is that you should test live with one contract as soon as possible. You might have a winning system, but you might find your emotions cannot actually handle the parameters of your system. You might see that you don't actually want to risk $200 per trade cause you start getting itchy once it goes against you $100. You might also find that after being down, you might not be able to actually hold for full profit because you just want to get back to break even and get out. Any of these "adjustments" will completely mess with your stats. So its best to find out how you will react, not just how the system reacts to the market.
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Gotcha,

I am trying to "sim" in my mind as much as I can. Rarely do I find myself telling myself, "It's only sim."

Trading 3 contracts in sim has been good psychologically as well as technically. It's good to go thru sim reps of good trades/profits as well as bad/losses.

I'm not scaling in. I'm purely discretionary trading while trying to interpret indicators / signals. I'm usually using limit orders for entries & often for exits. Rarely getting stopped out. I'm using max 4 point stops, but often much tighter on the common small range days.

Thks for the Monte Carlo sim! What does it show for my max draw down?

I agree, I want to start live ASAP. But, I've agreed with my wife no earlier than Aug 1st. A couple more weeks won't matter in the long run. Would hate to miss a big drop day, though!

Tks for your thoughts on possible reactions to going live. Forewarned is forearmed. :finger:
 
comagnum said:
Backtesting paints a rosey picture when your generating a lot of trades because the true cost in short term, which is significant, is not baked in. Your backtest is not factoring in the bid-ask spread that we all have to pay at least one-way, and often round-trip. Your backtest is acting like you are a big market maker like Goldman or JP Morgan - you are simply not going to get fills like the backtest will have you believe. It also does not factor the effect of your orders & fills on the market.

'You can lead a horse to water' - I pointed you to your platforms (Tradestation) recommendations on baking in the bid-ask spread. They advocate to use 1 tick $12.50 for the ES, a seasoned pro will often bake in up to double of that since you will eat plenty of RT spreads ($25).

I was on the Tradestion forum for years - without fail some novice always had some backtest like yours - the group pounded it down with the reality of the overlooked bid-ask spread, that trader got it and moved on. It seems like you are falling in love with this program trading system you are paying for. Novice trades have expectations on the opposite extremes of the more seasoned traders as what they can accomplish out of the gate. It always takes a lot longer and costs a lot more than most aspiring traders can stomach to round the learning curve. Best of luck to you.

http://www.customizedtrading.com/resources/slippage
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comagnum, you may have gotten a mistaken impression. I'm not using a system to place trades. I have not back-tested anything. I don't know how to back test the discretionary sim account trading I've been doing.

I do understand the "bid/asked spread" to which you refer. I've been using mostly limit orders for entry. Since I started trading 3 contracts in July (previously 1 contract), I have encountered partial fills and fills taking time or more than one hit at my price before getting all 3 filled. I do understand entering MKT orders will result in 1/4 pt or so "not in my favor" fills (depending on the volatility & depth of orders at the moment of entry). I can't think of a better way to take into account slippage in accounting for my results & making forecasts than by using my actual sim results. Pls be assured I am not unaware of the factor. I am hopeful I will be successful enough that it will become a bigger factor - meaning at that point I'll be trading larger multi-contract lots! :rolleyes:

Tks for your concerned counsel & good wishes. I'll be paying attention to this factor as I go forward.
 
Simulated trading seems to draw a fair amount of criticism around here...however;

1 It's a great way to forward test a strategy.

2 Any sensible individual who attempts a risk enterprise, eg gymnasts, aerialists, test pilots, fighters etc. practice in a simulated or otherwise aided environment before going "live".

3 If you can't show profitability in simulation, you will not be profitable by going live.

Doing fine Doug...keep it up. We all screw up, just learn from any and correct. If you feel ready on August 1, go for it.
 
speedo said:
Simulated trading seems to draw a fair amount of criticism around here...however;

1 It's a great way to forward test a strategy.

2 Any sensible individual who attempts a risk enterprise, eg gymnasts, aerialists, test pilots, fighters etc. practice in a simulated or otherwise aided environment before going "live".

3 If you can't show profitability in simulation, you will not be profitable by going live.

Doing fine Doug...keep it up. We all screw up, just learn from any and correct. If you feel ready on August 1, go for it.
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WHAT?
Warning: positive thinking killed the turtle crossing the road!
 
Please report back 1 week after going live. Thanks....nobody listens...he might listen if his wife grabs him by the nose and gives him a kick in the posterior part of the organism.
 
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