Mechanical ES system

jboydston · Apr 9, 2003

Using a $1000 stop, the max drawdown is just that. Unless we get real unlucky right off the bat, 5-10K should do.

shyhh · Apr 9, 2003

Quote from spreadem:

You never said how much money it takes to trade this system... $5,000 ... $10,000 ... $20,000.

You may have a great system, but if I only have $5,000 I wouldn't feel comfortable risking ($1000) 20 percent of my account.

Trading SPY should yield the same result with 1/5th of the size. $200 stop is about 4% of your account.

shyhh · Apr 9, 2003

Quote from jboydston:

Using a $1000 stop, the max drawdown is just that. Unless we get real unlucky right off the bat, 5-10K should do.

I don't know whether i get it right but a max drawdown = to a single trade stop seem quite unlikely to me.

jboydston · Apr 10, 2003

Right, I meant one would need 5-10K to trade this without blowing out. One might not feel comfortable with much exposure to the market, or percentage risk.

I just want to know if this will work or not. I know personally that it is working now. I've been doing it for several months. Even if successful this will not make you rich overnight. I need a long term strategy. That's what this is about. Can someone trade mechanically long term successfully? This not just for fun, I intend to make a living at it, if possible.

jboydston · Apr 10, 2003

4/9/2003

Long 883.50
Stop & Reverse 876.25
Short position still open

P&L -362.50

larrybf · Apr 10, 2003

GMS..... your post on 4-09-03 should be read and re-read by all mechanical system traders repeatedly. It is the reason why i do not and/or cannot trade mechanical systems.

Walther · Apr 10, 2003

Quote from jboydston:

4/9/2003

Long 883.50
Stop & Reverse 876.25
Short position still open

P&L -362.50

If you are serious about this, you should post time of trade .
If you are really trading just with MA save yourself a time and add some directional filter before you run out of money.
Walter

jboydston · Apr 10, 2003

4/9/2003

Long 883.50 @ 8:00
Stop & Reverse 876.25 @ 9:30
Short position still open

P&L -362.50 [/B][/QUOTE]
Commis = -5.60
Slippage = 0

Net = -368.10
YTD = -368.10

jboydston · Apr 10, 2003

Quote from gms:

Reflecting on your question, the difference between backtested results and trading realtime includes all the natty little nuances of living in an imperfect world as an imperfect person, some of which are, but not limited to:

lost connectivity
passing the wrong trading parameters
bad feed
temp computer problems
news/rumors
not getting filled at the price the system thinks it got filled at
tweaking your system (changes everything)
Your nerves and quality of life

lost connectivity
Can this not be solved via technology?

passing the wrong trading parameters
What do you mean by this?

bad feed
Does this happen often?

temp computer problems
Again, can't technology be used to reduce this?

news/rumors
Could this not move the market in our favor just as easily?

not getting filled at the price the system thinks it got filled at
This is why we calculate in slippage. Do you knew a reason why this calculation is not sufficient?

tweaking your system (changes everything)
The point of mechanical trading is not to have to tweak. Am I wrong?

Your nerves and quality of life
The second reason I want to trade mechanical. Shouldn't this reduce stress? Do any of you feel that mechanical trading was more stressful?

My intention is not to criticize but to understand this once and for all. Thank you for your time.

spreadem · Apr 10, 2003

What percentage of your trading stake is $362.50. Assuming that your risk is 1% of your account then we must conclude that the trading account needed to trade this mechanical ES system is at least $36,250.

Percent risk (money management) should also be a part of your trading system.