My road to Heaven
- Thread starter Evgeniy
- Start date
Mincer #19
Week traded 3 MES contracts. On Tuesday at the opening of a large loss. I think that the week as a whole is a bit in the negative zone. I didn’t even let down the results of the week, anyway the next week again to trade 3 MES contracts.
There is a more important problem and it is as follows. The more complex and diverse the language in which you think, the more complex models you can build in your mind. Google translator is two orders of magnitude poorer than my vocabulary. Cutting off my thoughts, so that the translator translates approximately correctly, I am depriving myself. Putting your thoughts on paper is like building a railway - the more thoroughly and fully you express yourself, the stronger your road to the future. My road with electronic translators turns out to be unproductive, I brake myself. Therefore, I will further describe the primitive everyday things in English, and all that is more complicated than fried potatoes in my native language.
Week traded 3 MES contracts. On Tuesday at the opening of a large loss. I think that the week as a whole is a bit in the negative zone. I didn’t even let down the results of the week, anyway the next week again to trade 3 MES contracts.
There is a more important problem and it is as follows. The more complex and diverse the language in which you think, the more complex models you can build in your mind. Google translator is two orders of magnitude poorer than my vocabulary. Cutting off my thoughts, so that the translator translates approximately correctly, I am depriving myself. Putting your thoughts on paper is like building a railway - the more thoroughly and fully you express yourself, the stronger your road to the future. My road with electronic translators turns out to be unproductive, I brake myself. Therefore, I will further describe the primitive everyday things in English, and all that is more complicated than fried potatoes in my native language.
Forwardtest #20
It is necessary to take a closer look at the days with increased internal volatility with a decrease in external volatility (transition "3" of the day type to "2d"). At the same time, it breaks the setup "t".
It is necessary to take a closer look at the days with increased internal volatility with a decrease in external volatility (transition "3" of the day type to "2d"). At the same time, it breaks the setup "t".
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Extracts
Thoughts are the most expensive product. Building neural connections requires tremendous material resources, time and specific experience along the way. But despite their high price, only a tiny fraction of a percent is useful to other people. To understand someone else’s thought, digest it and build it into your neural network also requires a lot of work and many calories. But some other people's thoughts are worthy to throw them into your pot and cook, having received either a useful broth or a dummy.
Thoughts are the most expensive product. Building neural connections requires tremendous material resources, time and specific experience along the way. But despite their high price, only a tiny fraction of a percent is useful to other people. To understand someone else’s thought, digest it and build it into your neural network also requires a lot of work and many calories. But some other people's thoughts are worthy to throw them into your pot and cook, having received either a useful broth or a dummy.
Mincer #20
It turns out that last week I ended up with a small plus, not a minus. This is above the average.
Since last week, I began to trade only ES and only RTH. FDXM during the trading gave ~$380 profit, MNQ ~$180 loss. I decided to focus on one scenario per day and the same behavior of the participants.
I analyzed my ES trading statistics from the first day - February 28, 2020:
- 51 trading days;
- the total NP for 1 contract amounted to 160 points;
- total NP $1735;
- maximum DD -61 point;
- maximum DD -$1826;
- the average GP per contract 5,46 points per day;
- average NP per contract 3.13 points per day;
- average GP per contract 23 points per week;
- average NP per contract 13 points per week;
- The commission was 43% of the GP.
Obviously, all the problems are due to the task of gradually increasing the size. If trading was carried out on a constant raise, for example, at 3 MES, then net profit would be approximately $2400 against the current $1700 with DD -$900. Initial capital was $7774. Thus, the Calmar coefficient would be 2.82 against the current 0.95.
If we consider retroactively the optimal constant size for the actual drawdown (-$1735), then it will be 5 MES. Profit will be $4000, DD -$1525, Calmar 2.76, yield 21% per month.
Thus, it is obvious that I quickly switched to trading with one ES contract. It is clear that I was pushed there by a fee three times lower than on MES. But when trading 1 ES contract, initially the maximum drawdown would be -$3050, which is 40% of the size of the deposit. And this is a lot. Trading with the ES ticker has many bonuses, but with a mixture of “volatility explosion + personal errors” there is a high risk of an account explosion.
Let us analyze the period after extreme volatility from #14 weeks from March 30, 2020:
- starting capital of $6940;
- 32 trading days;
- the total NP for 1 contract amounted to 92 points;
- total NP $2570 (37%);
- maximum DD -20 points;
- maximum DD -$300 (-3.4%);
It turns out 25% per month with Calmar = 10.88.
Formally, with these risk parameters, you can raise the size three times to 1 ES contract. But can I keep such risk parameters in the future?
We reformulate the question - how to keep such a risk profile in the future? Two sides of the same coin:
- the first is obvious: do not get into certain states and phases of the market;
- the second secretive: to eliminate toxic setups that bring toxic profits. For this, it is necessary to follow the path of differentiating setups by market type in terms of volatility;
- and the “rib of the medal", rightful by experience: sharply reduce the size in case of failure and exit the drawdown on the lower size.
In the meantime, I’m working with the “scientific” part, in practice, from next week I will move to the next stage of siza - 4 MES contracts. Despite the fact that a double commission eats up profits and creates additional risks.
It turns out that last week I ended up with a small plus, not a minus. This is above the average.
Since last week, I began to trade only ES and only RTH. FDXM during the trading gave ~$380 profit, MNQ ~$180 loss. I decided to focus on one scenario per day and the same behavior of the participants.
I analyzed my ES trading statistics from the first day - February 28, 2020:
- 51 trading days;
- the total NP for 1 contract amounted to 160 points;
- total NP $1735;
- maximum DD -61 point;
- maximum DD -$1826;
- the average GP per contract 5,46 points per day;
- average NP per contract 3.13 points per day;
- average GP per contract 23 points per week;
- average NP per contract 13 points per week;
- The commission was 43% of the GP.
Obviously, all the problems are due to the task of gradually increasing the size. If trading was carried out on a constant raise, for example, at 3 MES, then net profit would be approximately $2400 against the current $1700 with DD -$900. Initial capital was $7774. Thus, the Calmar coefficient would be 2.82 against the current 0.95.
If we consider retroactively the optimal constant size for the actual drawdown (-$1735), then it will be 5 MES. Profit will be $4000, DD -$1525, Calmar 2.76, yield 21% per month.
Thus, it is obvious that I quickly switched to trading with one ES contract. It is clear that I was pushed there by a fee three times lower than on MES. But when trading 1 ES contract, initially the maximum drawdown would be -$3050, which is 40% of the size of the deposit. And this is a lot. Trading with the ES ticker has many bonuses, but with a mixture of “volatility explosion + personal errors” there is a high risk of an account explosion.
Let us analyze the period after extreme volatility from #14 weeks from March 30, 2020:
- starting capital of $6940;
- 32 trading days;
- the total NP for 1 contract amounted to 92 points;
- total NP $2570 (37%);
- maximum DD -20 points;
- maximum DD -$300 (-3.4%);
It turns out 25% per month with Calmar = 10.88.
Formally, with these risk parameters, you can raise the size three times to 1 ES contract. But can I keep such risk parameters in the future?
We reformulate the question - how to keep such a risk profile in the future? Two sides of the same coin:
- the first is obvious: do not get into certain states and phases of the market;
- the second secretive: to eliminate toxic setups that bring toxic profits. For this, it is necessary to follow the path of differentiating setups by market type in terms of volatility;
- and the “rib of the medal", rightful by experience: sharply reduce the size in case of failure and exit the drawdown on the lower size.
In the meantime, I’m working with the “scientific” part, in practice, from next week I will move to the next stage of siza - 4 MES contracts. Despite the fact that a double commission eats up profits and creates additional risks.
Искусство войны - 1
В небезызвестном трактате "Искусство войны", авторство которого приписывается Сунь Цзы, есть важные строки. Много важных строк.
Глава VI.12. Есть форма победы. А есть форма организации победы.
Глава IV.6 "...войско, долженствующее победить, сначала побеждает, а потом ищет сражения; войско, осужденное на поражение, сначала сражается, а потом ищет победы."
В главе VII.16. "Не идти против знамён противника, когда они в полном порядке; не нападать на стан противника, когда он неприступен; это и есть управление изменениями".
Входя в сделку и атакуя противоположную сторону (поглощая встречный объём) мы расчитываем что нас поддержат соратники и успешно разовьют атаку. После чего мы в каком-то месте передадим свой штык (закрыв позицию) своему соратнику, который по каким-то причинам решил вступить в сражение позже. Позже по времени и позже по ценнику. Ключ к стабильности - понимание действий соратников.
В небезызвестном трактате "Искусство войны", авторство которого приписывается Сунь Цзы, есть важные строки. Много важных строк.
Глава VI.12. Есть форма победы. А есть форма организации победы.
Глава IV.6 "...войско, долженствующее победить, сначала побеждает, а потом ищет сражения; войско, осужденное на поражение, сначала сражается, а потом ищет победы."
В главе VII.16. "Не идти против знамён противника, когда они в полном порядке; не нападать на стан противника, когда он неприступен; это и есть управление изменениями".
Входя в сделку и атакуя противоположную сторону (поглощая встречный объём) мы расчитываем что нас поддержат соратники и успешно разовьют атаку. После чего мы в каком-то месте передадим свой штык (закрыв позицию) своему соратнику, который по каким-то причинам решил вступить в сражение позже. Позже по времени и позже по ценнику. Ключ к стабильности - понимание действий соратников.