After all, it's pretty "mechanical", as it's more or less the decay plus the result of the scalping/hedging action and stop-loss recovery.
To reinforce the concept, the "
mechanical" nature of this approach makes it quite robust.
This is the opposite of prediction or "signal"/"pattern" or "learning" based strategies, which instead live under the
delusional assumption that the market is somehow putting out somewhere
information useful to obtain locally a
statistical advantage in terms of take-profit / stop-loss avg balance. Which of course is an underlying assumption that nobody has ever been able to prove. Because in fact, it is
not true, and it is an "invention" of people who are statistically illiterate, often fallaciously "supported" by
conceptually incorrect application of statistical validation methodologies, such as so-called "backtesting", that is, in practice, computer-assisted generation of useless and
misleading "45-degree lines"
:
(https://jpm.pm-research.com/content/early/2019/12/24/jpm.2019.1.123)
instead of proper and thorough "
simulation studies" with meaningful simulation methods carried out on the
entire sample space, as it happens for any legit statistical methodology). The fact that the "hoped" advantage does not really exist and the fact that they are
not able to recover the stop loss, it's often the ultimate cause of long-term unprofitability.
Also, note that it is not even sufficient that an approach is conceptually valid. It is also fundamental how you "
deliver" it. That is aspects like
implementation,
execution, and
risk management are crucial. And, even the
best approach in the world,
can and will fail if also all these other aspects are not aligned. Daily practice, with the consequent experience, in this regard is certainly crucial and one never really stops improving.
Enough now with "philosophy"! Let's go back to the
results.
Just after a made the celebration post, the mkt thought well I needed a beat-up, and actually, after a few minutes, I was under about 15K
But that is the way it is, and that is why one cannot rely on guessing but have a strategy in place plan to deal with anything, especially hedging measures to fight dd, obviously.
ES FUT 20220617 GLOBEX 50 E-mini S&P 500 [ESM2, 477836957, mult: 50]
Anyway, we are currently around 104K with a maximum reached PNL seen of
109.9K. in
123 solar days trading. With a "precautional" average use
of less than 50% of the funds (2M). Currently
34%.
Let me show
again the point about the "
stop-loss recovery mechanism", which is obviously a
crucial point, and which actually makes this approach work better than others which don't implement that.
The recovery is based on the capability to move all the trading information across layers, and it is also the reason why this cannot be done manually, or "copied" (trade copying).
I am contacted on a daily basis by all kinds of "postulants", and many also ask about "
copy trading".
This approach is purely algorithmic and cannot really be used for "copy trading" because it requires additional information which is stored in the layers and moved across.
Copying trades would let you with "orphan" orders on single layers, with possibly
catastrophic results. I hope this would help avoid more people coming to me and asking about this in the future. Further, the bot works at tick level (just to attempt a single entry it makes more than 15 different checks on quotes and spread) and is able to pick
quotes that a human and not even another machine (if not adequately programmed)
can pick. And in any case, the delay would not really allow performing the same order. That means a single copied execution may give such unfavourable entries that would make you cry (like -1000$ or more), especially with options of course and their crazy quotes or you may not be able to fill at all. Not to mention the
margins aspect so that what can execute on one account can either cause liquidations on another one or be an unbalanced position. Further, there is a possible problem with loss of
sync with the underlying account (skipped event, connection lost, etc.), that the bot has the proper built-in means to solve, while a copy would be lost in a nightmare of confusion.
Here are 2 examples of layers where the stops did not allow us to make a profit, but that -as always - we are able to make profits through
information transfer and
stop loss recovery:
ES FOP 20220729 2800 P GLOBEX 50 E-mini S&P 500 [EWN2 P2800, 542609194, mult: 50]
ES FOP 20220729 2930 P GLOBEX 50 E-mini S&P 500 [EWN2 P2930, 563754452, mult: 50]
to make more evident where the "information transfer" happened I just coded that "green arrow" you can see now on the screen, with the name of the origin and target layer. And this can go on
forever, thus riding a continuous curve.
There are no "gambles" here. "Win or lose". It's "mechanical" and we stop the layer
only in profit. That is why
ALL my layers will always -
sooner or later - turn "green":
