My Favorite Edges
- Thread starter Lucias
- Start date
xspurt: I'm not sure where you are getting your figures but my risk adjusted returns are very respectable. My risk adjusted returns are equivalent to returning 60% with a 44% drawdown and because I'm using futures it would be trivial if one wanted to take the risk to do that. Of course, you have to factor in Flash crash like events and open trade drawdown, as well.
d08: You can look at the top ranked CTA's over any length of time and their sharpe ratios are typically less then 1. I did an extensive study of the top funds and general pattern was that a 1:1 risk/reward was excellent with a 30% annualized return. According to a Hedge Fund report site, Tudor's best year was like 24% return. I do agree that the # of trades is excessive to the return. This is partly because I was just using it to track my predictions without concern to the position sizing which resulted in my trades generated too small profits. I've downsized my starting capital which should have a good effect. If you look at the monthly returns, you will see they are quite respectable and you could again multiply that by several factors because it is futures.
Peternam:
It shows real results when there are auto-trades for those results. Even though it is hypothetical, it differs from a hypothetical backtest such as my "Predictor Day" backtest:
http://themarketpredictor.com/Details/2010/12/14/Predictor Day Equity Curve
It differs in that this backtest was generated with hindsight. My C2 trades are entered in "real time" and thus the C2 results should be much closer to reality. It also has a non trivial limit fill simulator which while not going to be 100% accurate will also tend to be more realistic then naive simulations.
PS: C2 is now showing excessive commissions by default, like $25-$30 per trade. You have to change it to MBTrading to get a more realistic view of the commissions.
d08: You can look at the top ranked CTA's over any length of time and their sharpe ratios are typically less then 1. I did an extensive study of the top funds and general pattern was that a 1:1 risk/reward was excellent with a 30% annualized return. According to a Hedge Fund report site, Tudor's best year was like 24% return. I do agree that the # of trades is excessive to the return. This is partly because I was just using it to track my predictions without concern to the position sizing which resulted in my trades generated too small profits. I've downsized my starting capital which should have a good effect. If you look at the monthly returns, you will see they are quite respectable and you could again multiply that by several factors because it is futures.
Peternam:
It shows real results when there are auto-trades for those results. Even though it is hypothetical, it differs from a hypothetical backtest such as my "Predictor Day" backtest:
http://themarketpredictor.com/Details/2010/12/14/Predictor Day Equity Curve
It differs in that this backtest was generated with hindsight. My C2 trades are entered in "real time" and thus the C2 results should be much closer to reality. It also has a non trivial limit fill simulator which while not going to be 100% accurate will also tend to be more realistic then naive simulations.
PS: C2 is now showing excessive commissions by default, like $25-$30 per trade. You have to change it to MBTrading to get a more realistic view of the commissions.
Among the people who actually have to report their returns and have them audited, a R:R of 1:1 or better is excellent over any length of time. Given that my R:R is better then 1:1 means that my results are excellent. I've looked at hedge funds, cta's, etc and I've found this true across the board. A net return of 30% with a 1:1 tends to be the high water mark based on the EVIDENCE and not on my "wishes".
I've seen a lot of gurus and systems over my 1 year at C2 blow up while I've been one of the few to be able to turn consistent profits in the futures market.
To play devil advocate, I do believe I can do even better. However, I feel this would only be possible by placing some big bets when I'm very confident. Several of the people who have got rich trading futures did it that way. And many blow up trying it too. I am starting to add some confidence based trades into my mix.
This is a *difficult* game and those who can turn consistent profits are by default better then most. To demonstrate what I mean look at this trade sequence:
1/19/11 11:57 SELL 2 @ESH1 1282.75 1/19 14:57 1276.00 Low $663
1/18/11 9:35 SELL 2 @ESH1 1289.75 1/19 10:37 1283.00 Low $663
1/14/11 9:55 SELL 5 @ESH1 1283.25 1/18 5:22 1287.60 Normal ($1,118)
I got heavy short on my market read and my stop was just barely knicked. I got back in and turned a profit on this trade sequence of $208. If I had not been stopped out my profit would have been $1750.
Turning consistent profit while managing the risk per trade as well as I have is not trivial. If you think it is then get your results audited, trade for over 1 year, and come back and show everyone. ;0
I've seen a lot of gurus and systems over my 1 year at C2 blow up while I've been one of the few to be able to turn consistent profits in the futures market.
To play devil advocate, I do believe I can do even better. However, I feel this would only be possible by placing some big bets when I'm very confident. Several of the people who have got rich trading futures did it that way. And many blow up trying it too. I am starting to add some confidence based trades into my mix.
This is a *difficult* game and those who can turn consistent profits are by default better then most. To demonstrate what I mean look at this trade sequence:
1/19/11 11:57 SELL 2 @ESH1 1282.75 1/19 14:57 1276.00 Low $663
1/18/11 9:35 SELL 2 @ESH1 1289.75 1/19 10:37 1283.00 Low $663
1/14/11 9:55 SELL 5 @ESH1 1283.25 1/18 5:22 1287.60 Normal ($1,118)
I got heavy short on my market read and my stop was just barely knicked. I got back in and turned a profit on this trade sequence of $208. If I had not been stopped out my profit would have been $1750.
Turning consistent profit while managing the risk per trade as well as I have is not trivial. If you think it is then get your results audited, trade for over 1 year, and come back and show everyone. ;0
That might very well be but most of these guys are using billions in capital and they have a need to diversify for safety reasons, two things that make it tougher for them. The other thing is volatility, those guys have much less of it. I don't understand why you just don't leverage with a cheap broker, much easier to get the funds you are talking about. With ES you can get $300 margin per contract and I'm sure you could get a $3k loan (to trade 10 for large gains) from someone if you truly believe in your approach.
Quote from brokenmarkets:
nobody in the street or total stranger would give you money okay.
you could just take the money and run...
u [/QUOTE
@lucias-- keep up the good work. You need to understand elite is not the real world. It is a place where everyone makes 100% plus and rarely has a losing trade. Delusions are strong in this place, don't pay attention to the clearly deluded who got that way by being knocked down so many times they come here to feel good by knocking you down if they feel you actually have something.