Managing your "book"

[gmst]

Quote from tenthousandmen:


If your system only work with a few instruments, you need a serious look over. It doesn't mean that it's curve fitted, but could mean it's incomplete or not very good, or that your system works in trend or inside periods only because some contracts inside all the time while others trend all the time. The ES is kind of crappy to trade imo.....look at NQ, TF, DAX, YM indexes instead. The spread is much better and volatility makes easier trading. The ES is the whole market, while NQ TF DAX and YM are blue chips only.

It would be nice if you can clearly articulate why ES is a bad market to trade. I have been consistently profitable in FX and consistently lost money in ES. but haven't really been able to pinpoint the reasons why.

Secondly, I strongly disagree that your system should work the same on different markets. It sounds good theoretically and yes such a system would be quite robust. But individual contracts have individual personality - a combination of system optimized for each contract's personality will outperform a single system applied over multiple instruments. I am not hypothesizing here - I am rather putting forward what I learned from my experience.

Cheers

 

[RichardRimes]

I think we're getting a bit off track here. I don't think the OP wanted tips on HOW to trade or WHAT to trade. Personally I like the S&P 500 in all its incantations and think ES and its options are a god send for the retail trader. I actually do better in lower volatility simply because the market doesn't move as fast.

Be that as it may, perhaps setting a target time frame and withdrawing on a periodic basis, say each quarter take off all profits from your set trading amount. Once the profits build then you are free to open a new trading account as mentioned to experiment or take a trip. How viable is it to keep a set amount in your trading account?

In my mind its like Las Vegas if you stay long enough they eventually get your money. How many times do you go for the weekend win on Friday and come home Sunday a loser?

 

[tenthousandmen]

Quote from gmst:

It would be nice if you can clearly articulate why ES is a bad market to trade. I have been consistently profitable in FX and consistently lost money in ES. but haven't really been able to pinpoint the reasons why.

Secondly, I strongly disagree that your system should work the same on different markets. It sounds good theoretically and yes such a system would be quite robust. But individual contracts have individual personality - a combination of system optimized for each contract's personality will outperform a single system applied over multiple instruments. I am not hypothesizing here - I am rather putting forward what I learned from my experience.

Cheers

I don't really know for sure. The others are all blue chip stocks, and the ES is the whole market, so maybe this is why. Other probabilities could be that there are tons of market makers in the ES, the tick size is too big, and or volatility is too low.

Also didn't mean to say a system should work with all contracts.......I should of been more clear, that I was writing potential reasons why.

 

[d08]

Quote from bwolinsky:

I have 4 years of data through late 2007, and optimize monthly on the most recent 2 years. This keeps my models robust, and it isn't a case of having limited datasets.

Certainly the 2008-2009 period wasn't good, but figuring that the most recent 2 years is all that needs to be analyzed, indeed there is plenty of data for a 5 minute intraday system.

Your claims of being a financial scientist are just wishful thinking then. Robustness is something that is not optimized and working in various conditions, by definition. 2010 was a low volatility year with no significant surprises, 2011 had medium volatility during the summer but nothing crazy, volatility wise. 2008/9 had extreme volatility, crucial for modelling.