EGO CHALLENGE (26 Sept 2003)

[OldTrader]

Quote from icarus618:



Take a chill pill. I read your post and was merely pointing out what you're missing, which was the question you asked. Or was that a rhetorical question?

I'm not sure what's not to understand about calculating average points per contract to compare performance. Maybe you are missing something. Time for a remedial algebra course?

Yeah....please give me the remedial algebra course, would you? Start with HIS quote on his performance: "I did + 48 points today per 5 ES contracts ($250.00 X 48 points).", and then explain to me how you arrived at 15 points per contract.

Next, explain to me how when I multiplied 250 X 48 I got $12,000, which is 6X the value of the range in 5 lots.

In other words, if I'm missing something here, explain it to me....you haven't bothered to explain anything other than to tell me I'm wrong.

Again, the way I read AMT's quote above, he made 48 points per 5 contract unit....which is $12,000. Now, what exactly is it that I'm missing?

OldTrader

 

[acrary]

Quote from OldTrader:



Yeah....please give me the remedial algebra course, would you? Start with HIS quote on his performance: "I did + 48 points today per 5 ES contracts ($250.00 X 48 points).", and then explain to me how you arrived at 15 points per contract.

Next, explain to me how when I multiplied 250 X 48 I got $12,000, which is 6X the value of the range in 5 lots.

In other words, if I'm missing something here, explain it to me....you haven't bothered to explain anything other than to tell me I'm wrong.

Again, the way I read AMT's quote above, he made 48 points per 5 contract unit....which is $12,000. Now, what exactly is it that I'm missing?

OldTrader

I was under the impression we were going to measure pts per-contract vs total pts. AMT had 48 total pts and about 15 pts per-contract. Here's a example:

On trade #1 he bought:

5 @ 998.75
5 @ 998.00
5 @ 997.25
5 @ 996.50

and sold them all at 1000.00

This means a profit of 1.25 + 2.00 + 2.75 + 3.50 or 9.50 total pts on the first trade. This has to be divided by the number of entries 4 and you get 2.375 pts. per-contract. You can also do it the long way:

5 * 1.25 = 6.25
5 * 2.00 = 10.00
5 * 2.75 = 13.75
5 * 3.50 = 17.50

6.25 + 10 + 13.75 + 17.5 = 47.5

The 47.5 has to be divided by the number of open contracts (20) to come up with 2.375.

If you do this for all trades you come up with the 15 pts. number.

If you want to go by the total pts then it was 48 and I had 23.5.

I don't care whether we use total pts or pts per-contract just as long as we use only one.

The 12k was based on the total pts (48) * $250 per-point based on 5 contracts.

 

[TGregg]

Quote from alfonso:

Of course this can look brilliant when it works, but equally disastrous when it fails. . . Still, it's possible that AMT never has
such days, so all the more power to him.

I've seen AMT trade himself out of more than one losing position via this method - he's the Maalox Trader that I referred to in another thread . And, I've seen him cut his losses and bail on a losing trade. But I have never seen him scale in and take a loss.

Frankly, I am amazed each and every time he does it. Well, not amazed at first, but after the third or forth add I'm thinking "OMFG, he's doing it again - surely he's gonna get killed this time." But the bad guys shoot their guns, drop their bombs, and AMT escapes one more time, with a hefty chunk of cash for his efforts. Watching him trade real time is like watching an action movie. It's actually pretty hard to trade if you pay too much attention. But it sure is interesting.

 

[icarus618]

Quote from OldTrader:



Yeah....please give me the remedial algebra course, would you? Start with HIS quote on his performance: "I did + 48 points today per 5 ES contracts ($250.00 X 48 points).", and then explain to me how you arrived at 15 points per contract.

Next, explain to me how when I multiplied 250 X 48 I got $12,000, which is 6X the value of the range in 5 lots.

In other words, if I'm missing something here, explain it to me....you haven't bothered to explain anything other than to tell me I'm wrong.

Again, the way I read AMT's quote above, he made 48 points per 5 contract unit....which is $12,000. Now, what exactly is it that I'm missing?

OldTrader

It's inaccurate to claim I said you were wrong. If anything, I was just poking a little fun at you while pointing out the obvious: AMT's statement that he made 48 points per 5 contracts doesn't tell us much about his performance relative to the day's H/L range because he scaled in and out. You take it to mean he made 6x today's range. I didn't read him saying that.

In my opinion, he did great today, and better than I did. I made 10.5 points gross per contract. But I don't scale in and out. I entered and exited with my full size. The usual method to compare performances relative to the day's H/L range is to compare what a trader made per contract. In his case, you have to come up with an average per contract, which acrary generously did for the rest of us.

If you read all of AMT's posts and not just the one where he points out the big 4-8, this point is obvious.

In any case, my apologies if I rubbed you the wrong way. I'm off to enjoy the weekend. I hope you have a good weekend too.

 

[acrary]

Quote from OldTrader:



Did either AMT or Acary say they traded a one minute chart? If they did, I must have missed it. But maybe in fact they do, in which case they will have proved that particular contention wrong.

OldTrader

I used a 1 min. chart of $prem to watch the program trading activity. Other than that I had a quote page up. No other charts.

 

[OldTrader]

Quote from acrary:




I was under the impression we were going to measure pts per-contract vs total pts. AMT had 48 total pts and about 15 pts per-contract. Here's a example:

On trade #1 he bought:

5 @ 998.75
5 @ 998.00
5 @ 997.25
5 @ 996.50

and sold them all at 1000.00

This means a profit of 1.25 + 2.00 + 2.75 + 3.50 or 9.50 total pts on the first trade. This has to be divided by the number of entries 4 and you get 2.375 pts. per-contract. You can also do it the long way:

5 * 1.25 = 6.25
5 * 2.00 = 10.00
5 * 2.75 = 13.75
5 * 3.50 = 17.50

6.25 + 10 + 13.75 + 17.5 = 47.5

The 47.5 has to be divided by the number of open contracts (20) to come up with 2.375.

If you do this for all trades you come up with the 15 pts. number.

If you want to go by the total pts then it was 48 and I had 23.5.

I don't care whether we use total pts or pts per-contract just as long as we use only one.

The 12k was based on the total pts (48) * $250 per-point based on 5 contracts.

Thanks for taking the time to give me that explanation. Evidently working with the 48 points total number there was no way I was going to come up with a per contract number.

OldTrader

 

[OldTrader]

Quote from acrary:



I used a 1 min. chart of $prem to watch the program trading activity. Other than that I had a quote page up. No other charts.

Thanks Acrary. Do you find this method of tracking premium less reliable than your more systematized strategies? Not something I typically watch, but it would seem that on trend days it would have you fading the trend.

OldTrader

 

[acrary]

Quote from bulat:




How can you have as many intraday trades as you posted today based on daily bar data systems?

None of the systems had a trade for today. I had to use tape reading as my only means of trading. I didn't try to trade with either direction because my stuff indicated it wasn't going anywhere. Hopefully my stuff will give some indications next week so I can load up.

The way I trade against the daily bar systems is to write down their entry points on a worksheet before the day. Then as the day unfolds I look for low risk entry points before the entry points in the models. I trade around the position until the close while trying to kick the models butt. It's very satisfying and keeps me from falling asleep during the day.

 

[OldTrader]

Quote from icarus618:



It's inaccurate to claim I said you were wrong. If anything, I was just poking a little fun at you while pointing out the obvious: AMT's statement that he made 48 points per 5 contracts doesn't tell us much about his performance relative to the day's H/L range because he scaled in and out. You take it to mean he made 6x today's range. I didn't read him saying that.

In my opinion, he did great today, and better than I did. I made 10.5 points gross per contract. But I don't scale in and out. I entered and exited with my full size. The usual method to compare performances relative to the day's H/L range is to compare what a trader made per contract. In his case, you have to come up with an average per contract, which acrary generously did for the rest of us.

If you read all of AMT's posts and not just the one where he points out the big 4-8, this point is obvious.

In any case, my apologies if I rubbed you the wrong way. I'm off to enjoy the weekend. I hope you have a good weekend too.

I was aware of AMT's tactics in terms of scaling. I had not worked through the numbers though...I just took his quote and multiplied the two numbers. Evidently to get the accurate per contract picture you would have to go through each trade as Acrary did. My apology as well....I guess I was getting a little worked up over a rather simple matter.

OldTrader

 

[acrary]

Quote from OldTrader:



Thanks Acrary. Do you find this method of tracking premium less reliable than your more systematized strategies? Not something I typically watch, but it would seem that on trend days it would have you fading the trend.

OldTrader

No, it's a simple but tiring strategy. The idea is to anticipate a index arbitrage program kicking in and front run it. I don't think it's risky, but it is very tiring. I have to watch a basket of stocks to see when the program trade is moving the market so I can time my exit. If I were 21, I'd trade this all day long. I took a nap after the close, otherwise I'd be in bed by now. I can't believe how tired I got today. On trend days the index arb goes in one direction. If I thought it might be a trend day, I'd just hold on and trail a stop.