Day trading and Sharpe Ratio

[schweiz]

It sounds like you average down or have a martingale strategy.

I never average down, I always take a full position. If I have a drawdown of 20%, I have to recover 20%, whereas other traders will have to recover with a 20% smaller position, so they need to recover 25%. I manage my drawdowns very carefully.
My "recovery mode" makes small profits but with an almost 100% success rate. The problem is that I need lots of trades to make decent profits in "recovery mode". Therefore I use trendfollowing systems in "normal mode" as they bring in the good money. "Recovery mode" is like a repair set to fix the temporary problem before I can start to trade again.

I read many times that trading should be simple. For me trading is not simple. But those who think that trading is simple also don't understand or believe how I trade. Just because they use simple systems. If trading would be simple James Simmons would not hire a small army of smart people to develop trading systems. He would not need them.

 

[southall]

My "recovery mode" makes small profits but with an almost 100% success rate. The problem is that I need lots of trades to make decent profits in "recovery mode". .

That doesn't make sense for ES which can handle large size.

You claim to have a method for trading ES which has an almost 100% win rate.

Congratulations, you have found what every trader is searching for: 'The Holy Grail' of trading.

 

[schweiz]

That doesn't make sense for ES which can handle large size.

You claim to have a method for trading ES which has an almost 100% win rate.

Congratulations, you have found what every trader is searching for: 'The Holy Grail' of trading.

The typical idiotic reaction. You don't even read what I write, or you are not able to understand very simple English sentences. Reactions like yours are the reason why many people don't post here. If somebody is above average they want to slaughter him. Why share anything if the only thing you receive are insults and manipulations of what was posted?

We should open a thread especially for frustrated people like you. In that thread people should only post about negative things like failures and losses. Those who are frustrated can read there about other people's misery to feel better.

I will try to rephrase what I wrote in plain English at the level of children's age that start to read and write. I will do it slowly and step by step.

I have a system "recovery mode". That is not the system I trade normally. I normally trade a trendfollowing system that tries to take the whole intraday move. That can be between zero and even +40 points, all depending on the behavior of the market.

When I make a losing trade, I switch to the "recovery mode" which is a completely different system. It will take only small profits. But as I takes small profits the trades are very short. Just take 1-2 points and get out. The probability of making a profitable trade is much higher because the time is shorter and the profit can be attained very quick. Much faster and safer then recovering in trendfollowing mode. In trendfollowing mode I can stay for hours in a position, can give back a lot of open profits and can even end in a loss. My stoploss is at 3 points, so in recovery mode I need to make 3 points to wipe out my drawdown. Once the drawdown is wiped out I go back to the trendfollowing system.

Your remark:"That doesn't make sense for ES which can handle large size." has absolutely nothing to do with what I posted. Large size is not the problem. Having to make much more trades for small profits is the problem. Making fast small profit with as less risk as possible, and wipe out the drawdown, is the goal. But your remark proofs that you don't understand at all what I am speaking about.

In trendfollowing mode I don’t have an almost 100% win rate, if I would have it I would have no drawdowns and also no need to go in “recovery mode”. I would just continue in trendfollowing mode.

 

[southall]

The typical idiotic reaction. You don't even read what I write, or you are not able to understand very simple English sentences. Reactions like yours are the reason why many people don't post here. If somebody is above average they want to slaughter him. Why share anything if the only thing you receive are insults and manipulations of what was posted?

Well its an idiotic reaction to your idiotic claim of an almost 100% win rate with virtually no drawdowns when trading ES with one of your methods.

When I make a losing trade, I switch to the "recovery mode" which is a completely different system. It will take only small profits. But as I takes small profits the trades are very short. Just take 1-2 points and get out. The probability of making a profitable trade is much higher because the time is shorter and the profit can be attained very quick. Much faster and safer then recovering in trendfollowing mode. In trendfollowing mode I can stay for hours in a position, can give back a lot of open profits and can even end in a loss. My stoploss is at 3 points, so in recovery mode I need to make 3 points to wipe out my drawdown. Once the drawdown is wiped out I go back to the trendfollowing system.

So to summarise, you trade a normal system that has drawdowns, but when you get a drawdown you fire up your 'Holy Grail' almost 100% win rate system that always wipes out your drawdowns quickly.

I can only think you are some kind of vendor looking to peddle this nonsense to the gullible.

 

[Gotcha]

My "recovery mode" makes small profits but with an almost 100% success rate.

What you're saying just doesn't add up. If you have a system that has an almost 100% success rate, it makes no sense to trade something with a lower win rate, even though the points might adds up to a bigger profit per trade. If you could make 1-2 ES points with over a 90% success rate (since you say its almost 100%), then you could compound the shit out of that to the moon.

I think everyone has the right to be skeptical because your claims are outrageous. The general understanding is that the shorter the time frame, the less likely you are to be right about direction. HFTs, from what I read, have about 55% win rates, but obviously with thousands of trades per day, the profits add up. Are you saying your win rates are so vastly better than machines which have an inconceivable amount of stats at their disposal and have been programmed by multiple very smart guys?

Perhaps you can post a chart, with trades marked by the platform, because the more you post, the more you discredit yourself without anything to back up your claims.

 

[ironchef]

I also can't remember the last time I had a drawdown that lasted over 48 hours, and there's nothing particularly clever or difficult about the way I trade: I just have a genuine edge combined with a decently high win-rate (together, in my case, with a significant proportion of trades that either break even or more commonly make a tick or two in profit, which I consider a "break-even" to all intents and purposes), and I trade very frequently, by general standards.

No wonder so many people day trade. My last drawdown lasted from the end of Jan to the end of April.

 

[schweiz]

I can only think you are some kind of vendor looking to peddle this nonsense to the gullible.

Show my any proof that I sell or suggest to sell anything. All you did till now is making fake suggestions and false accusations without ANY proof at all.

 

[schweiz]

Really? It doesn't sound that way at all, to me.

To me it just sounds "normal-to-good" for someone making their living by doing fast-ish intraday trading, with multiple trades per day. (I have no idea whether that's what Schweiz is actually doing - that's just how it sounds, to me.)

I also can't remember the last time I had a drawdown that lasted over 48 hours, and there's nothing particularly clever or difficult about the way I trade: I just have a genuine edge combined with a decently high win-rate (together, in my case, with a significant proportion of trades that either break even or more commonly make a tick or two in profit, which I consider a "break-even" to all intents and purposes), and I trade very frequently, by general standards.

@Xela,

sorry, but according to @southall, @Gotcha, @SabreMan what you tell is impossible. ROFLMAO.

 

[schweiz]

What you're saying just doesn't add up. If you have a system that has an almost 100% success rate, it makes no sense to trade something with a lower win rate, even though the points might adds up to a bigger profit per trade. If you could make 1-2 ES points with over a 90% success rate (since you say its almost 100%), then you could compound the shit out of that to the moon.

To know why I trade a trendfollowing system instead of the "recovery mode", you need to know the performance of the trendfollowing system. As you don't know that, you are just posting nonsense based on your imagination instead of real proof.
I am not going to make any of you smarter; but if you would see the characteristics of the trendfollowing system you would understand my choice. The answer is already partially in what I posted earlier.

 

[schweiz]

Win rate 43%, average loss -5%, average profit +12%. Number of trades per year 62.

If you do the sums for average expectancy after a year of trading the sum is:

(+12%*0.43-5%*0.57)*62=143% per year expected profit (this figure excludes compounding effects which in reality i should benefit from).

Of course it could be less or more than 143% in any given year due to statistical dispersion and trading conditions.

I am happy to take a 50 or even 60% drawdown in order to make 143%.

You don't believe what I post but we should believe what you post? 143% non compounding would be compounded a 4 (or even higher) digit return. You would beat even the most successful funds in the world. Very credible! LOL.