ES Mechanical Madness

Hey ms,

Your hubby is a very lucky man. Which were his inspirations when he set out to develop the 8 systems you use? Have you always used 2:1 leverage, do you intend to reduce or increase leverage in the future and in your experience, do you think increasing to 3:1 for ex. or maintaining it for many years- past the million dollar mark -is realistic ? Finally with 50% y/y return for 3 years what has been your worst drawdown and was is what you expected, as the backtesting results suggested?
 
Quote from winminn1:

Thanks for helping me. You’re very nice to answer my questions. Now I got the idea how many contracts I should trade. I’d been trading for 5 years. I start with option and then Nasdq day trading also Nyse. As usual I lost money.
I’d start trading ES and NQ because of up tick rules. I was trading ES for about 1 ½ year. Last year I start making money. My trading systems are very similar to your. Can you share the idea of swing trading? If you can’t I understand it’s OK. If you do, you can send it to my e-mail as bellow.
Winminn1@comcast.net
I understand that if you copy successful people, I’ve a chance to be succeeding too.
Thank you.
More...

I don't think I can be of much help. My husband designed all my systems. I just execute them for my Ira. I know swing is basically a trend following system. Here's the Tradestation summary report for the past 5 years including $5.00 r/t commission per-trade. Maybe you can use it to compare the results with your similar system.
 

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Quote from Kicking:

Hey ms,

Your hubby is a very lucky man. Which were his inspirations when he set out to develop the 8 systems you use? Have you always used 2:1 leverage, do you intend to reduce or increase leverage in the future and in your experience, do you think increasing to 3:1 for ex. or maintaining it for many years- past the million dollar mark -is realistic ? Finally with 50% y/y return for 3 years what has been your worst drawdown and was is what you expected, as the backtesting results suggested?
More...

The 8 systems were originally developed for use with his old CTA firm. They were used to measure performance of the traders. Since they moved on, I trade them for our family account.

I don't know about leverage. I know I'm not close to margin requirements, but that's about it. I just adjust for volatility using year over year comparisons of daily ranges. I also watch the last 12 months returns for 1 contract and check to keep the size set so that I get a 50% return (which is my goal). I've asked my husband to put money management into the systems, but he just says it'd be too much work. As usual, things around the house get done last.

As far as drawdown, I've never figured it out. How do you do it?
Would it just be the lowest drop from the highest equity divided by the highest equity? If so, then the largest drawdown has been less than 10%. I don't know what the modeled results were or should be, but I'm happy with what I've seen.
 
what is your hit rate using these systems combined and what has been your bigger loss in terms of ES points and contracts held when the loss was taken? You seem to make a lot of trades, how many per month on average?
 
Quote from Kicking:

what is your hit rate using these systems combined and what has been your bigger loss in terms of ES points and contracts held when the loss was taken? You seem to make a lot of trades, how many per month on average?
More...

The combined win rate is about 40%. I average about 30 trades per-month. I had to go look up the largest loser. I lost 19.25 pts per-contract in breakout on 3/23/01. At the time I was trading 2 contracts.
 
Summary

Points of previous profit this month -22.75

Breakout -5.00*7 = -35.00

Swing +4.75*7 = +33.25

Points of closed profit after today -24.50

Open positions: None
 
Breakout

3/5 Long 1150.50
3/5 Exit long 1160.00...+9.50

Reverse

3/3 Long 1148.25
3/3 Exit long 1145.25...-3.00
3/4 Short 1150.00
3/4 Exit short 1152.75...-2.75
3/5 Long 1150.50
3/5 Exit long 1161.00...+10.50

Swing

3/3 Short 1144.00
3/3 Exit short 1148.25...-4.25
3/3 Long 1148.25
3/5 Exit long 1156.00...+7.75

Summary of closed trades

Points of previous profit this month -22.75

Breakout +9.50 * 7 = +66.50
Reverse +4.75*7 = +33.25
Swing +3.50*7 = +24.50

Points of profit of closed trades thru 3/5 +101.50

No open trades
 
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