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Auto trading 1 contract 62K 5 years...
- Thread starter frostengine
- Start date
todays results:
Es -$58
NQ +$315.60
ER2 +$711.20
YM +$50.92
Today was the best day for the system thus far. One thing I noticed is everyday teh system apears to make several hundred 500+ by about 11:00 then looses and then looses all day.. then in afternoon starts making again...
Such as today was up over 1k by 11;00 then got down to only $50 then came back up by end of day...
Es -$58
NQ +$315.60
ER2 +$711.20
YM +$50.92
Today was the best day for the system thus far. One thing I noticed is everyday teh system apears to make several hundred 500+ by about 11:00 then looses and then looses all day.. then in afternoon starts making again...
Such as today was up over 1k by 11;00 then got down to only $50 then came back up by end of day...
I wonder if it would be a bad idea to simply have some sort of profit target for the system... such as if overal the system has reached say $700 for the day just shut it down..... I think over the past week the system has reached $700 at least once each of those days.. I think i'm going to begin recording when it hits that level everyday....
Does anyone see anything wrong with stoping the system in this mannor everyday?
Does anyone see anything wrong with stoping the system in this mannor everyday?
Quote from frostengine:
I wonder if it would be a bad idea to simply have some sort of profit target for the system... such as if overal the system has reached say $700 for the day just shut it down..... I think over the past week the system has reached $700 at least once each of those days.. I think i'm going to begin recording when it hits that level everyday....
Does anyone see anything wrong with stoping the system in this mannor everyday?
My $.02 from the peanut gallery.
I'd recommend doing an optimization on profit targets and stop losses to see how your results vary over the analysis period. I'm sure volatility and the simple price level will play a role in the results -- i.e. a 1% move in ER2 now would hit your hypothetical target while it wouldn't come close 5 years ago.
Quote from frostengine:
I wonder if it would be a bad idea to simply have some sort of profit target for the system... such as if overal the system has reached say $700 for the day just shut it down..... I think over the past week the system has reached $700 at least once each of those days.. I think i'm going to begin recording when it hits that level everyday....
Does anyone see anything wrong with stoping the system in this mannor everyday?
All this does is limit your profits. Unless there is some fundamental change in whatever your edge is when you have a really good day (unlikely), there is no reason to do this. In fact, above-average returns in a day might mean that your edge is temporarily greater, and you should trade more, not less.
I knew marginally winning, but ultimately unsuccessful poker players that quit the game when they hit a target win. Ultimately, they didn't end up playing enough hours in "good" games to offset the other games in which they had a lesser (or no, or negative) edge.
alanm,
My whole reason for wanting to take the profits at a preset level is simply because it appears my system performs very well early, above its expectations. Then by midday when the market quites down it ends up giving back most of its gains.. and then depending on if it catches the end of the day market correctly if it makes or looses money.... but it appears if it ONLY traded the morning session it would be profitable a lot more and a lot more often. That is the main reason I thought about cutting it at a profit target.. perhaps it should be more of a time target... just cut it at 11:00 everyday or something...
My whole reason for wanting to take the profits at a preset level is simply because it appears my system performs very well early, above its expectations. Then by midday when the market quites down it ends up giving back most of its gains.. and then depending on if it catches the end of the day market correctly if it makes or looses money.... but it appears if it ONLY traded the morning session it would be profitable a lot more and a lot more often. That is the main reason I thought about cutting it at a profit target.. perhaps it should be more of a time target... just cut it at 11:00 everyday or something...
In an effort to try and better understand when the plug should be pulled on this system I am going to document through here everyday as soon as the system hits :
#1 $700 in profit
#2 P/L at 11:00
#3 P/L at end of day
Current 9:00 CST and P/L has just hit $780
#1 $700 in profit
#2 P/L at 11:00
#3 P/L at end of day
Current 9:00 CST and P/L has just hit $780
At 10:00 CST current P/L is: $547.50