ES Journal Archive (2006 - 2008)

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Quote from avarus:

Those "1 ES point a day possible threads?" make me laugh.
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I would not trade for only 1 point a day--I aim for 4 a day, average, over the long haul.

Some here probably average double my 4. Good for them--they've probably earned it. I begrudge no one.

1 point a day without any leverage whatsoever would add up to around 20% a year.

How many out there in ET land consistently average 20% a year?

How many PROFESSIONALS PERIOD average 20% a year, consistently?
 
Quote from Buy1Sell2:

I calculate drawdown based upon cash balance only. This is one of the factors that gives me a distinct advantage over most other market participants. It allows me to stay in winners for a greater period of time, while allowing me to get out of losers quickly. As of yet, I have had no drawdown on my short position. Calculating the drawdown on cash balance plus open trade equity causes most retail traders to make too many trades (decisions). Most decisions by retail traders are wrong, so it's best to keep the decision making to a minimum. Gppd fortune to all--:)
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Buy1Sell2:

I don’t think you understand the academic or practical understanding of “drawdown.” Let me refer you to Trading Risk by Kenneth L. Grant, Bachelor of Science in Economics and Mathematics from the University of Wisconsin, and MA in Economics from the Columbia University and MBA from University of Chicago Graduate School of Business.

Quote from page 70: “Specifically, drawdown refers to the difference between a portfolio’s highest valuation over a given period and its lowest subsequent valuation. This means that your portfolio either is at a new record high for the period of, by definition, is in drawdown. Moreover, your status doesn’t change until you have again reached a new high (or in your case Buy1Sell2 new low). Therefore, if you are managing, say, $10 million, earn $1 million over the next month, lose $50,000 on the first day of the following month, another $25,000 on the next day, and then make back the $50,000 on the third, you are experiencing a drawdown of $75,000, which won’t be officially over until you make back another $25,000 and your account balance reaches at least $11,000,001".

A thorough analysis of your drawdown patterns will offer you perhaps the most objective and comprehensive window into the risks inherent in your portfolio.

DMartin
 
Quote from dmartin:

Buy1Sell2:

I don’t think you understand the academic or practical understanding of “drawdown.” Let me refer you to Trading Risk by Kenneth L. Grant, Bachelor of Science in Economics and Mathematics from the University of Wisconsin, and MA in Economics from the Columbia University and MBA from University of Chicago Graduate School of Business.

Quote from page 70: “Specifically, drawdown refers to the difference between a portfolio’s highest valuation over a given period and its lowest subsequent valuation. This means that your portfolio either is at a new record high for the period of, by definition, is in drawdown. Moreover, your status doesn’t change until you have again reached a new high (or in your case Buy1Sell2 new low). Therefore, if you are managing, say, $10 million, earn $1 million over the next month, lose $50,000 on the first day of the following month, another $25,000 on the next day, and then make back the $50,000 on the third, you are experiencing a drawdown of $75,000, which won’t be officially over until you make back another $25,000 and your account balance reaches at least $11,000,001".

A thorough analysis of your drawdown patterns will offer you perhaps the most objective and comprehensive window into the risks inherent in your portfolio.

DMartin
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I don't think he cares. Whatever. :)

He appears to be doing very well despite his arguably delusional definition of drawdown. I bet he's also long the euro, long crude, and long gold, and maybe even long govt paper.

I think it is bad practice to be delusional about anything, but he's welcome to believe whatever he wants. If it works for him, good for him.
 
Quote from smilingsynic:

I would not trade for only 1 point a day--I aim for 4 a day, average, over the long haul.

Some here probably average double my 4. Good for them--they've probably earned it. I begrudge no one.

1 point a day without any leverage whatsoever would add up to around 20% a year.

How many out there in ET land consistently average 20% a year?

How many PROFESSIONALS PERIOD average 20% a year, consistently?
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excellent synopsis........that`s how it needs to be viewed as perception is everything.
 
Quote from dmartin:


I don’t think you understand the academic or practical understanding of “drawdown.”
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You are talking about DD from the high water mark (max. unrealized gain of an open position), he is talking about DD from cash. He doesn't count open positions as long as it is not going below the breakeven price...
 
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