Actually the more I think about it, it sounds like you dont exactly have the same rules every time. But you quasi make up your SL and TP along the way?
What is your average maximum adverse excursion?
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Determining optimal # of contracts to buy when daytrading emini S&P 500
- Thread starter Thundershock
- Start date
Actually the more I think about it, it sounds like you dont exactly have the same rules every time. But you quasi make up your SL and TP along the way?
What is your average maximum adverse excursion?
Quote from Algo_Design_Kid:
Actually the more I think about it, it sounds like you dont exactly have the same rules every time. But you quasi make up your SL and TP along the way?
What is your average maximum adverse excursion?
Well when I said the same rules, I meant that I use the same technical strategy every time. The stop loss is based on a very specific technical event happening but as a backup in case the market suddenly unexpectedly crashes on me without any warning, I use the 10 point stop loss.
My average loss on those bad days has been --3.25 points
Yeah I've already established to myself that my system works quite well and am way beyond trading one contract. I'm just trying to optimize the money management part (maybe using Kelly Criterion if it can be applied to futures) Needless to say, it might be impossible really because the market's volatility is constantly in flux.
Probably should stick to one lots at first, since your average risk on every trade is 2.5% and the maximum is 5%, which isn't insubstantial.
Having been patient over an extended period of time you are in the enviable position of having a significant edge that you have great confidence in. Most have more marginal edges. I think you need to capitalize on BOTH of the significant assets you posses -- your edge and your patience. Don't discount the value of the latter. It's as rare as diamonds and worth just as much. Don't trade seven contracts on $10,000. IMHO it puts you far too leveraged. Be happy with two or three contracts. You are reasonably leveraged with two and certainly pushing the envelope above three. Seven is way, way too aggressive.
In time you'll trade five and then seven and someday 20. You have been patient and that patience can be "money-in-the-bank" if you let it be.
In time you'll trade five and then seven and someday 20. You have been patient and that patience can be "money-in-the-bank" if you let it be.
Swan, thank you for the well written response. If there's one thing I've learned in my years of trading, it's that overtrading is the primary culprit for a lot of people's losses, mainly being because commission will eat into their profits. Let me ask you though. Why do you feel that seven contracts would be way way too aggressive assuming an 80% accuracy rate? As I stated before, there would be a 1 in 17,000 chance of that happening. I agree that if I didn't always have a set stop loss put in each time it would be extremely dangerous but that's not the case with me.
Quote from Thundershock:
Swan, thank you for the well written response. If there's one thing I've learned in my years of trading, it's that overtrading is the primary culprit for a lot of people's losses, mainly being because commission will eat into their profits. Let me ask you though. Why do you feel that seven contracts would be way way too aggressive assuming an 80% accuracy rate? As I stated before, there would be a 1 in 17,000 chance of that happening. I agree that if I didn't always have a set stop loss put in each time it would be extremely dangerous but that's not the case with me.
1 in 17000 chance in real world trading means it will probably happen soon. Getting away from theory and books and tests, when entering and exiting your slippage alone will skew your results.
Start with one lot and if you are successful for over a 6 month period, then scale up and you own the world.
EF