How did you do for 2011?
- Thread starter peilthetraveler
- Start date
Quote from dumb_mother:
4 of my 5 worst career drawdowns this year, may, sept, nov, deceach one was between 25-30% drawdown. total year returns were still 87%... if only i didn't have one or two of those i would have hit triple digits again this year. dvar of 5%
dumb_mother mathematically it is impossible to have 87% returns with 4 months of 25% losses the losses come to: (0.75)^4=31.6% or 69% drawdowns. There's only luck involved when DD's hit 70% and you need to cut back your leverage ratios.
There's only one way to learn. SIM trading doesn't cut it. And the $2000 account I was telling you about is only down $320. The $1500 has been lost in small pieces over the last several months.
Its called "tuition", my friend. It is a necessary part of the learning process.
Well, I should probably share my results.
For my proprietary futures trading which started in November we had a 21.6% loss followed by a 22.6% December gain for a since inception return of -3.88% net of fees and my equities trading account for the year was -4.32%. My public record only started since May and I made profits for other clients this year but I haven't computed the annual returns on those since they are supposed to be confidential.
The last month of the year wasn't my best equities performance but being the second month for my futures trading not having technical problems in December and letting price flow gets me excited about 2012.
For my proprietary futures trading which started in November we had a 21.6% loss followed by a 22.6% December gain for a since inception return of -3.88% net of fees and my equities trading account for the year was -4.32%. My public record only started since May and I made profits for other clients this year but I haven't computed the annual returns on those since they are supposed to be confidential.
The last month of the year wasn't my best equities performance but being the second month for my futures trading not having technical problems in December and letting price flow gets me excited about 2012.
I'm actually doing that BWOL. However, the backtesting itself isn't enough based on what I have read. The physical act of trading and the associated psychological conditioning is a very necessary part of the learning process.
Now, I understand that you have fully automated the process; good for you. I'm not yet at that stage, nor am I convinced that this provides the greatest chance for success. In the proprietary environment, I have seen a few traders succeed well without all of the quantitative backtesting that you are talking about.
I can afford to lose a few thousand dollars as a part of the learning process. I think it is a necessity.
You don't need to lose any money under the guise of "tuition" or for some sake of losing process, because until you have your methods down you will continue to lose money.
Thinking back on how I got started I've always recognized the need for quantitative analysis, and you don't have to force yourself to be part of the market when you aren't ready.
I wouldn't advise continuing trading until you've acquired a consistent method but even though I believe once you have your first good backtests, then you can trade, but not until then.
Indeed you shouldn't expect to have success unless your methods indicate you have a good chance to be succesful. All else is randomization 50/50 chances and trading CFD's should only be for experienced professionals because though you are attracted to dollar for dollar returns in the dow without any scientific, reasonable basis to support your decisions it will be well worth the time it takes to explore your options prior to ever putting on anymore trades.
Yes,
However, the backtesting that I have done shows that randomness is acutally quite successful.
I have backtested multiple different indicators, and have discovered that simply using the rule: go long(short) after a green(red) candle and hold for 2.5 candles, provides a very profitable result. You can add stops in there as well, but that seems to reduce profit.
This is extremely easy to code and automate! However, is too good to be true.
Though easy, the candlestick optimizations aren't good methods, and I don't have to do any backtests to prove that to me, but as long as it goes without saying I already know that those methods are not useful and they are really the best examples of curve fitting out there. You shouldn't depend on them at all because the candlestick methods some naieve institutions use to find trading strategies do not have any predictive power. I've seen optimizations of such methods, and they do not ever produce edge beyond 65%, and if your win percentages are less than that there are far better things to devote your time to than candlestick charts and backtests. It is overly simplistic, but just as CNBC anchors point out all of the useless statistics about what percentage moves mean in terms of future price changes they don't have any sound methodology to perform anything that I would call a highly robust backtest.
If you move past the candlestick chart curve fitting methods, you'll find edges if you are creative enough with your analyses, because I already know that this is like chasing momentum and the Hershits methods tell you to do this but it doesn't work, so do not expect such methods to ever be profitable long term as I already know those particular methodologies are inherently flawed and have been shown to be unprofitable long term.
Please don't think I'm trying to be discouraging, because only a quant like mind will ever produce edge long term, and while I don't think it can be taught the mathematical aptitudes applicable to statistical analysis require much more thought than the ones you are optimizing for.
Bhardy, listen, this method needed some adaptation from a core script that was in Active Trader magazine, and I highly suggest reading those ideas that have been coded already, because they can give you a starting point to refine your techniques and methods.
Don't trade until you have something that looks like this.
Don't trade until you have something that looks like this.