Elite Trader's Gambler's Anonymous ETGA

Status
Not open for further replies.
Today's Trades (Thursday)

Projected APR formula correction.

A "work in progress" column was added for a suggested base.

More useful Data Bank information.

Asterisk added to indicate day's that there was system trading done, instead of just 24 hours of carry.

Website:

www.ElectricSavant.com

ZipFile:
 

Attachments

Hi Electric,

A few questions if you dont mind.

1) What is the average expected annual return for your system 1 and 2?

2) For system 1, are you trading almost 24 hours??

3) For system 1, don't really understand what you are trying to do but from what I read, you are averaging down and going for mean reversion, that is where you profits will be highest. Do you put in buy and sell orders at the same price at, say, 15 ticks or 20 ticks up and down your starting price IN THE SAME PAIR? If so, won't the spread between bid/ask prevent one of the sides from getting filled sometimes? Also, why put in buy and sell at the same price?

4) Do you think that your system 1 is tradeable on other futures market with the rollovers and commission?

So much for now! Thanks!
 
1) I do not know. There has not been any backtesting on System #2, as it was impossible to do. I have been concentrating on the Risk to Reward Ratio and controllong Drawdown, instead of just the yield. Enough Yield and Exposure of course is necessary to consider also. I do not trade System #1 anymore, as it was too big of a commitment. System #2 at least gives interludes of going flat once or twice a year.

2) I would trade System #1, once a day, if I traded it. I also would let the NAV dictate to me when to take profits and on which side of the two trades, at that "once a day" visit. In other words, I would be concentrating on equalizing the long and short side by weighting the entries and replacements with the time increments. A skipped increment would result in less trading and more time and hopefully more pips in between. Interrupting the geometrical progression would require a directional bias, based on the condition of the NAV, therefore negating the neutrality of the original thought behind the system, of not needing to know the direction.

3) good points.

4) too much capital would be needed.

Thanks for reading....

Michael B.


Quote from LoosenUp:

Hi Electric,

A few questions if you dont mind.

1) What is the average expected annual return for your system 1 and 2?

2) For system 1, are you trading almost 24 hours??

3) For system 1, don't really understand what you are trying to do but from what I read, you are averaging down and going for mean reversion, that is where you profits will be highest. Do you put in buy and sell orders at the same price at, say, 15 ticks or 20 ticks up and down your starting price IN THE SAME PAIR? If so, won't the spread between bid/ask prevent one of the sides from getting filled sometimes? Also, why put in buy and sell at the same price?

4) Do you think that your system 1 is tradeable on other futures market with the rollovers and commission?

So much for now! Thanks!
More...
 
Ok here comes the test of the system....That I so badly need. I am going to go back to bed for a little while now....talk to you folks soon.

Michael B.
 
Hey Savants.

I try a variation of your system. I just try to add more pairs to diversify and calibrate exposure, hopefully with reduced risk from diversification i won't need to put too much money on a sub-account.

I try also to put a stop-loss on my positions, that way i sure not to hit margin call.

Works well on week-end :)

Here if you, or anybody else, want to play around trying to find the perfect pairs combination, you just have to change the numbers in bold caracters (% of account per position, and which pair to use by writing 0 or 1). The rest computes itself.
 

Attachments

Remember that max leverage on USD/MXN is 25:1 as with the other exotics..also the rates need to be updated as they change, I am looking at this spreadsheet for later comment...

Max you obviously saved 100 pages in this Journal...Thanks. I have many questions, but I am still studying your spreadsheet, so that I do not make a fool of mysef. I actually like the 22 pair trading as the risk is the lowest. But how do you weight them?..I got to look more...


Quote from Maxprofit$:

Hey Savants.

I try a variation of your system. I just try to add more pairs to diversify and calibrate exposure, hopefully with reduced risk from diversification i won't need to put too much money on a sub-account.

I try also to put a stop-loss on my positions, that way i sure not to hit margin call.

Works well on week-end :)

Here if you, or anybody else, want to play around trying to find the perfect pairs combination, you just have to change the numbers in bold caracters (% of account per position, and which pair to use by writing 0 or 1). The rest computes itself.
More...
 
hi ElectricSavant, good to see that u're doing well.

i'm curious about something. in both your systems, u hold position past news announcements right? (NFP, GDP etc)

wouldn't it get pretty wild during those times? like 100 pip gap during NFP etc. wouldn't that screw up your calculations because u can't get in or out during those times?

i was pondering this because i have a system which might require holding positions overnight...not sure if i want to hold any when the market gap 100-200 pips. T_T
 
Status
Not open for further replies.
Back
Top