Quote from bwolinsky:
I've been backtesting and strategizing for years. The rule of thumb is if you were to cut the apr in half and double the drawdown of the backtest, would you still trade it? If the answer from the first page of this thread isn't yes then you'd be lying to yourself. Mostly it's the backtest that matters and it's on me to implelement it with minimal slippage. There's a big difference when going from hundreds of thousands to millions. At that point, all that really matters is the backtest. You're welcome to post better backtests with a trades list if you think you can beat it.
Your invitation is interesting.
I see that Atticus also has some important trading strategist's concerns. And he is commenting from that viewpoint.
For those who trade ATS's as traders, there must be a range of annual trades that surface as a consequence of optimizing trader strategies.
I see here that 6 and 7 digit money is being considered as well. Perhaps the market's capacity is a concern for trading strategists as well.
As I see it a trader would want to take advantage of the market's offer as and when it is made. How do trading stragegists make that possible for the trader who has the capital mentioned (6 to 7 digit money or maybe compounding past profits)
I looked at the 29th and 30th of June as examples. I also considered that a beginner level person trading but 4 to 7 times a day with the capital mentioned, would have done 5 and 4 trades, respectively using 500 contracts. The summer kind of trading coming from an ATS would have had performance %'s of 80% and 25%, respectively. I use the term performance to mean the winning trades divided by the total trades expressed as a %.
This translates to the expected 4 to 7 trades a day at a coarse level of trading (channels to me). This is 1,000 to 2000 trades a year as compared to the 40 trades the trading strategist is recommending in his thread.
Gross on the two days would have been 243K amd 200k, respectiverly. Most of the trading on the first day was hold on the right side of the market but on the second day the trades were mostly efforts to stay on the right side of the market.
By looking at the graphics on the trading that does 40 trades a year (as posted in this thread), the dark green portion of the charts is "sideline time" which is nearly all the time. For example, since the thread began only one trade was attempted but it didn't work because of communication difficulties that had not been checked out or realized that they existed. This is a typical beginner level problem.
It seems to me that passing on a couple hundred thousand in profits daily is erring on the side of a strategic underlying misconception of something. On the other hand my data shows that the majority of commissions were spent on turns in the ES that did not make money (5 out of 9 in two days) but that, strategically speaking, being in the market did add capital at a rate of over 200K day where the trading capital was a million maximum.
Would a trading strategist plan on the increasing capital getting to a value somewhere in the vicinity of the market capacity. As Atticus said in referring to his example, the trader did exhaust the dealer's capability to serve theat trader after 800% profit during a portion of the year.
I figure the ES capacity is 10,000 contracts and using 6 or 7 digit money does make that possible while being leveraged. The 10,000 contracts is based upon trading strategies that involve using partial fills on turns and being in the market all of the time (A requirement to take the market's offer all the time during RTH's.)
I guess this thread looks more like "position trading" or investing more than it looks like trading to get the market's offer using an ATS.
