I was also wondering. (And about NQ and possibly Pound and Euro futures, too.) It's going to be a lot of research, to find out, but that might also be a way forward?
How can i bring this system to the next level
- Thread starter Dekor
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I was also wondering. (And about NQ and possibly Pound and Euro futures, too.) It's going to be a lot of research, to find out, but that might also be a way forward?
I have found you only get a system with a win rate of 60% or above if you are patient with entries.
If you have something that trades 250 times a year on one instrument, it is unlikely to have a true win rate of 60%. Reason is most trading days the markets are choppy and random.
Typically profitable trading involves riding big winning trades a minority of the time each year.
Trying to develop a mechanical/rule based system to catch small 1R winners most of the time is unlikely to work in highly competitive markets like ZB or ES etc. But this is typically what all new traders want from trading. They search for the high win rate trading system with small profits. Instead of low win rate and occasional Massive profits.
If you have found something that seems to work 60% of the time and gives lots of entries you either wont get good fills or more likely your system testing isn't sampling enough trades. Over a bigger sample the true win rate is probably closer to 50%. Ideally test your system going back 20 years.
If you have something that trades 250 times a year on one instrument, it is unlikely to have a true win rate of 60%. Reason is most trading days the markets are choppy and random.
Typically profitable trading involves riding big winning trades a minority of the time each year.
Trying to develop a mechanical/rule based system to catch small 1R winners most of the time is unlikely to work in highly competitive markets like ZB or ES etc. But this is typically what all new traders want from trading. They search for the high win rate trading system with small profits. Instead of low win rate and occasional Massive profits.
If you have found something that seems to work 60% of the time and gives lots of entries you either wont get good fills or more likely your system testing isn't sampling enough trades. Over a bigger sample the true win rate is probably closer to 50%. Ideally test your system going back 20 years.
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I haven't done to much research yet to applying it to other instruments besides ZB and ZN.
However in the past i have spent some time researching to possibility to also trade mainly ES and CL with it, however i found out the system seems to prefer slower moving markets like ZB and ZN, so because of these reasons i haven't put to much time doing this research to other instruments since it was plenty of work developing it for ZB.
However in the near future when this system is fully up and running i definitely will check out some other markets and instruments.
However in the past i have spent some time researching to possibility to also trade mainly ES and CL with it, however i found out the system seems to prefer slower moving markets like ZB and ZN, so because of these reasons i haven't put to much time doing this research to other instruments since it was plenty of work developing it for ZB.
However in the near future when this system is fully up and running i definitely will check out some other markets and instruments.
First entry of the day, short at 152'20 30 minutes ago. Lets see if it can get to 152'15
Take profit has been filled, it has been very close since price also touched my stop level 152'25 before going down again!
Why would that be a reason for a system with 250 trades per year to be any more or less likely than any other kind of system to have a 60% win rate?
No logic there that I can see.
There are hundreds, or thousands, of people employed to sit on institutional trading-floors and ply their trade in the markets who would disagree very strongly with that assertion. Indeed, some of them would strongly assert the exact opposite.
They'd disagree pretty strongly with that assertion, too.
Not my experience, at all.
On the contrary, in fact: the beginning and aspiring traders I see posting in forums seem to me to be advising each other, as a self-perpetuating (and rather misguided) philosophy, that their chances will somehow be better if they seek to trade only with 1:3 or 1:4 R:R's. It seems to me to be one of the many items of widely repeated "amateur wisdom" that stacks the deck so firmly against them.
My own main method, from which I've now been making the bulk of my living for many years, has an R:R much closer to 1:1 (granted, it trades significantly more than once a day).
This is not scalping. See the thread "Scalping" in the Technical Analysis forum for reference.First things first, i know this is my first post here so probably there are going to be a few members who are not going to take this serious, anyway ...
I have created an automated scalping system in the 30 year bond futures (ZB).
The system is being forward tested for the last 10 month's with 245 trades.
Now i will share the statistics of the results: (results are based on an account balance of 50K and trading size started with 5 contracts, 2 contracts added every 15k profit)
Total lengt: 10 months (09-2016 until 06-2017, testing will continue in the future)
Total trades: 245
Winning trades: 153
Losing trades 104
Win rate: 60%
Total return: 81.17%
Max DD 9.59%
Profit factor: 1.68
Sharpe ratio: 18.9 (However i do think i made a mistake with this calculation)
So if i would have started with a 50k account in september 2016 and traded 5 ZB contracts and added 2 every 15k profit i would have made 40587.25$.
Of course i am very satisfied with these results so far, the draw down could even be lower if i would aim for a lower return.
Now i am wondering, what is the next step.
Unfortunately i do not have the funds to scale this system up to its full potential.
Also i am unable to save up a lot of funds the coming time to start this completely on my own.
Are there any members here who can advise me, perhaps some trades who have been in a similar situation?
Ps: Advice on the system or how to do the correct share ratio calculation is very much appreciated!
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I have realized by now scalping might not be the right way to describe this system.
Right now i am not sure yet which is the best way to go, i am stil exploring some more options and i might try to get a partnership with someone i know and/or is nearby. (For the programming part etc)
Automated trading, programming and potentially starting up a business out of it is all new to me, that is the reason i prefer someone nearby and possibly someone i know, for my own comfort but also because it will make things much easier regarding a potential language barrier, meetings, ...
However thank you for your interest in my system.
I haven't seen any comment from ZB day traders.
Have you considered not getting filled on volatile ZB times.
Or, less liquidity to exit where your data shows you exiting.
Or, nasty kneejerk reactions to frequent data, jawboning, fed meetings, global macro events
and less liquidity around these events.
Do you have experience day trading ZB?
Have you put on a 5 contract position yet ?
I dont think the ratio of average daily $ movement/margin is slow vs NQ or ES.
I could be wrong or overly an overly cautious/piker but just sayin...