ES Journal Archive (2006 - 2008)

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Quote from illiquid:

...A series of winning trades would indicate you are in rhythm with the markets, losing trades = out of rhythm...
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So when would you expect your "luck" to turn and at which moment you start bringing size back to max? You can easily have a following situation where you have 1W, 1L(-), 1L(-), 1L(-), 1W(bringing size back to max), 1L. Also, Apex82 made a valid point on probability in any method, so by reducing size after every losing trade you lose faith in your method, at some point I wouldn't be surprised to see losing trades become larger than winning ones.

If your % win is ~80, then why would you reduce size after a losing trade? I mean you are the one that referred to a person's ability to trade 1 lot and being in sync with a market by placing good entries, so I assume you have a favourable % win rate. I would understand it if your % win rate was below 50, but then you wouldn't be in sync 50% of the time anyway. See the logic?
 
Here is an example that caters for favouring probability.

Your max loss per trade is preset to 2% max of your TC. Let's assume TC to be $500,000.00 of which 2% is $10,000.00 Let's take a basic strategy where you are using 3:1 reward risk and your stop is 2 pts & target 6 pts. You are using a higher % win method. Instead of trading your max allocation of 100 lots per trade ($1k margin) you reduce initial size by 50%, so your initial trade size is 50 contracts. You would add 10 contracts after every losing trade. So after 5 bad trades you still have lost your max 2% of TC only on your last trade.

Here we go:

W +15k
L -5k
L -6k
L -7k
W +24k (back to 50 units)
W +15k
W +15k
W +15k
L -5k
L -6k
L -7k
L -8k
L -9K
L -10k (2% max so back to initial size 50 units)
W +15k
W +15k
W +15k
W +15k

Net: $51k assuming comm of $5 r/t

What has to be mentioned is that the above example was based on 50% winners, what about a 75% method? :)
 
Quote from romik:

Here is an example that caters for favouring probability.

Your max loss per trade is preset to 2% max of your TC. Let's assume TC to be $500,000.00 of which 2% is $10,000.00 Let's take a basic strategy where you are using 3:1 reward risk and your stop is 2 pts & target 6 pts. You are using a higher % win method. Instead of trading your max allocation of 100 lots per trade ($1k margin) you reduce initial size by 50%, so your initial trade size is 50 contracts. You would add 10 contracts after every losing trade. So after 5 bad trades you still have lost your max 2% of TC only on your last trade.

Here we go:

W +15k
L -5k
L -6k
L -7k
W +24k (back to 50 units)
W +15k
W +15k
W +15k
L -5k
L -6k
L -7k
L -8k
L -9K
L -10k (2% max so back to initial size 50 units)
W +15k
W +15k
W +15k
W +15k

Net: $51k assuming comm of $5 r/t

What has to be mentioned is that the above example was based on 50% winners, what about a 75% method? :)
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In your example, after 6 trades you would have actually lost 45K cumulative or 9%, right??

Thats why I thought the max 2% should be in terms of a total consecutive loss, at which point you revert back to the initial size. In your example that would be after the second loss, meaning the intial size should be smaller, no?

Didn´t B1S2 state that his hit rate was only about 25%?? So if you have a trading method that has a low hit rate you must have a larger gain to loss ratio, meaning you need to go after homeruns. To rely on hit rates higher than 50% is not realistic, IMO.
 
Quote from whoispaul:


Thats why I thought the max 2% should be in terms of a total consecutive loss, at which point you revert back to the initial size.
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Above is just a basic example of increasing size after every losing trade when using appropriate R/R and at least a 50% win system.

I do limit my max loss to 2%, I will revert to initial size when 2% is hit.
 
Quote from romik:

reversed, short 1432.75 increased bet size
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closed 1429.50

$100 p/p -2.75 (275)
$125 p/p +3.25 406.25

Net: 131.25

Looking for entry off 200ma now.
 
I feel that this debate will always have 2 parties, for & against. There is no right or wrong if a method is beneficial. What I can say though is that this way of 'flipping' is totally unacceptable to under-capitalised people that are dependant on an ability to find predominantly good entries.
 
when romik was testing the whatever it was for awhile, it bombed out because he was using short term stuff and grabbing everything that wiggled his direction..now he is simply taking longer term stuff everytime and is either losing minimally or winning big...excellent stuff as that is what this is all about....cutting losses short letting winners run... ...especially when his losses are fewer and fewer.....as time goes on...he is not incorrect..what he does is take every signal...whatever that is he has to take all as we never know which one is a monster.... that is how i trade intraday but i have a system that does not experience but very few incorrect signals and very very few...which really enhances the strategy romik employs....3 and 5 min charts are not the charts romik should use....anything the 5 does the 10 can do be better....
 
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