Following a set system.

Hi All,

Today was the hardest day so far, then having to finish up the day writing this :-(

The system/strategy I've been following gave me a real beating today, then if that wasn't enough I tried to force a few smaller trades to get back something. I know, I really do know better than this, knowing and doing are certainly two different things.

The system gave me my first entry around 10.15am, long(859), was up a few points but then it went down, reversing me at around 12.45pm (843.5) talk about feeling like the market zoomed in and got me :-(

Then it took off again upwards, covering the short and putting me long (3.10pm)at near the high of the day 863.0 Guess what happened then ???

Yes your all right the market went down. I also tried to get between some of my systems signals, and got tour up even more.

I'm sure alot of you have also said, I did not need today, at one time or another !!! I DID NOT NEED TODAY !!

Stats for the system, if only I had followed it exactly and nothing else. If you think this is ugly, it is !!!

1st trade, - 15.5
2nd trade, -19.5
3rd trade, - 20 (just stopped trading at this time (3.45)

Total 3trades, -55pts

My end of day was about that loss, even with the extra trades and commissions.

Is the above shocking me ??? Maybe it should, it sure doesn't feel good, BUT if I did not think it could happen then I'd be lieing to myself and living in a dream world. When I was testing the system it had had some days like this, not many but a couple. Over the 95 testing days. The biggest draw down run was 64 pt's, it's just over that now. Running total if I had taken everytrade since I started the 20 days would be at -67.5pts as of today.

It sure never felt like this when I was papertrading !!!

The question is can I carry on trading the same signals ?

Is it wise to carry on trading the signals ?

Apart from not starting off making a decent profit, the strategy/system is pretty much following in line with the pre-papertested results, and even with the paper results when I check in the evening using the same criteria as before I started real money(a slight bit of slippage, not much)

So was it just dumb luck I started papertesting back in April through August with good results, only to come into a drawdown as soon as real money is used ? Kind of uncanny how things work :-(

So as usual I have lots of praying and thinking to do, to make sure I should carry on. The fact is, it is keeping in step with the papertesting done at the end of the day, how much more drawdown should I allow ???

I first set out to allow 10 straight losses in a row (10x20pts =200pts) Of course my circumstances have tightened up since then as well.

Thank you for the advice and help of some of you out there, maybe you were right buying highs, selling lows will only allow me to lose all of my account. I guess until it's right in my face I couldn't or didn't want to believe it.


O.K. hind site is always better, but I've got to catch my breath and take a serious look at what I'm doing.

Have a super evening, Andy

p.s. sorry guys even just pressing the submit reply is really hard for me to do... here goes :-)
 
Andy, you really need to look at your trading plan. The market trend has been down for some time. Going long with a big Stop Loss like you do is suicide. The trend is your friend, why fight it. I have a friend that fades the counter trend every day. He will never trade a counter trend only the direction of the major trend. Every week he is showing a profit.
 
Hi all,

just an idea , would there be any difference you think apart from price if I traded QQQ v NQ. I'm not talking about profit/loss, I'm meaning maybe trading say a 100 QQQ, taking the same signals as though I was trading the NQ ?

It looks to me to be about 1NQ point to about 2.5c for QQQ, does this seem right ?

Just an idea ? Comments ?

I know I'll hate it at tax time reporting all my QQQ trades, maybe I should just papertrade the system again until I start seeing regular profitable days ?

As you can tell I'm all over the place, sorry thought I'd just share some thoughts.

Andy
 
I don't think there are hard and fast rules on any of this but I believe many systems traders would agree with this. First, 95 days was not enough backtesting. I would want to do several years at least, and using periods with different market action, ie. not just a one way bull market.

Second, I think you should plan for double the worst backtesting drawdown. The drawdown you got, around $1300 on a one lot of NQ, sounds very low to me for what is basically a 30 minute breakout system. This type of system tends to produce large drawdowns.

I have refrained from criticizing your system because I have never tested the exact or even a similar system, but I have grave doubts it will be profitable. It is very hard to come up with daytrade systems for the index futures that are profitable over time. In the history of FuturesTruth, they have only had a small handful, and my impression is most of them do not trade everyday. I know Gary Smith (not the RealMoney columnist but the author) made consistent money with a 60 minute breakout system on the S&P, but he did it going long only, and he did it in the bull market.

Perhaps one of the wealth-lab mavens here could run this system for you and report the results.
 
What are the rules to the system?

nitro - sorry, I don't feel like going through the pages if has already been explained
 
Regarding the backtesting, 95 days covers only 4-5 months of trading. June, July and August were phenomenal for your type of system (big intraday ranges), but months prior would've been much tougher. Try testing your system on December 2001 and see how it does, as it was similar to this month.

Maybe going to a smaller investment like 100 QQQ's will help you ride out what might just be a temporary drawdown, with an 1/8th of the damage. Then if it starts being profitable, add more shares.
 
Hey andy, PM me the details of your system and I will try to run it on wealth-lab.


BTW, does anyone have a source for pre-market 1-min data? Qcharts will only export the data from 9:30 to 4:15, making the first 30 minutes of every day rather sketchy results. I also have esignal, but I don't see any way to export from there.
 
Originally posted by corvus
Hey andy, PM me the details of your system and I will try to run it on wealth-lab.


BTW, does anyone have a source for pre-market 1-min data? Qcharts will only export the data from 9:30 to 4:15, making the first 30 minutes of every day rather sketchy results. I also have esignal, but I don't see any way to export from there.
More...

I use Qcharts and Wealthlab, and I was able to export pre-market data? Have you tried the export feature on Qcharts? You then pull it into Wealthlab through the data manager.
 
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