Quote from jack hershey:
Item 1 roughtrader
The Trader666 pleaser post.
Roughtrader.
Rough trader started a journal on 25MAR09. On 26MAR09 he posted 1500 bucks PNL value.
Later in the Journal (02APR09), he posted his schedule of contracts traded based on capital in the account; it was as follows:
âI forgot to add some background information concerning size.
You can see from the trade histories I have posted that this account is trading 2 ES contracts currently.
I funded the account with an initial capital base of $75,000, and I started with one contract. My fixed ratio delta is $5,000, so when the equity hit $80,000 I started trading 2 contracts. The current balance is around $89,500, so if and when I reach $90,000, I will trade 3 ES contracts.
The scaling schedule is:
Total Profit # Contracts
$0 1
$5,000 2
$15,000 3
$30,000 4
$50,000 5
$80,000 6
etc. etc.
rtâ
He went on to clarify a little here and there. The target aspect limits his ATS profits and it can be switched away from all in all the time as you see below.
âIt's completely unattended, and I don't do anything except reoptimize every weekend for each instrument I trade.
The system's objective generally is stop-and-reverse. However, I employ profit targets for each position. There are a total of 4, and the position size is broken up as equally as possible among the targets. The system also has the option of "Always in Market", which means that the system must always be in the market with at least 1 contract. If the option is turned off, then the system can take the account flat if all targets are hit. I decided to turn it off, but the performance statistics are fairly insensitive to whether it's on or off. Again, a matter of preference.
For the ES I choose a comfortable 6 points (24 ticks) per target, such as I scale out at 6, 12, 18, and 24 points.
Interestingly, I have found that long-term profitability doesn't improve when using targets, but the volatility of the equity curve somewhat improves. For me, this makes it easier to not get discouraged during times of less-than-desirable performance.
In any case, the essence of the system is that it has no bias for the session. If price moves up by a certain amount, the setup is long. If it moves down by a certain amount, the setup is short. The vast majority of trades end by closing an existing position and opening a new one at the same price in the opposite direction.
rtâ
So as things turn out his system is making money and started with 75,000 dollars on 25MAR09 and reached 93K on 23APR09.
Now my comments.
Roughtrader has traded one month and is not applying much capital (1 to 3 contracts) and he scales out as indicated.
He does not compound profits in any sense and maintains low risk. Each fie thousand of profits warrants adding one contract.
His equity curve has gone from 0 to 20,000 dollars in a month. His applied capital has gone from a margin for one contract to margin for 3 contracts.
For me if I roughed it out my comment would be that an average of two contracts over a month made 20,000 dollars. Margin for active skilled traders has a value.
If a person uses 2,000 dollars per contract margin, then roughtrader only quintupled his applied capital. If 500 bucks margin per contract is used, then roughtrader is up about 20 times his applied capital.
Being up 500 or 2,000 percent in a month can be used to see how a longer period could go. Roughtrader tweaks the ATS weekly or so and he scales out automatically by lookup in his ATS.
For me 500 to 2000 percent a monthly is a good basic level performance of an ATS that he says relates to SCT.
For me the âcash cowâ ATS used on ES for a month when it was at the same ATS level as roughrider (like the output of 22APR09 chart; is a âcomparableâ as far as I am concerned. Anyone can run the numbers on both ATSâs.
I also recommend compounding profits. I feel that the profits earn the right for a person to use the profits as margin.
I think Trader666 spent his time well in figuring out (as I couldnât with the info I had) that only a small amount of capital was being put at risk. I assumed incorrectly roughtrader was applying profits as well as margin would permit (500 bucks a contract) and he was running the market offr up from an initial 1500 bucks (3 contracts).
Going from 1500 bucks to 94,000 can happen fast if roughtrader chooses to be all in all the time.
Bottom line: looks like roughtrader makes 20,000 a month on two contracts average while scaling out of entries on his ATS.
