What is your drawdown for the 9/11 week ?
Obtaining Trading Capital
- Thread starter funky
- Start date
What is your drawdown for the 9/11 week ?
Forgive me for asking (I'm not very up to date with tradeStation), how can you be sure how your system trades if tradestation doesn't do portfolio testing? Do you have a way around this.
The system I test on allows portfolio testing and I have learnt some useful insights from it. Your chart seems to indicate that you have have allowed for each trade as though it were an individual chronological event (one trade after another). I think it might be useful for you to use a simulation type where the equity curve shows end of day results of simultaneous trading (more true to life), and especially using position sizing based on a percentage of your equity curve at each bar (I presume this is how you intent to trade).
I'm not sudgesting this will show up floors in your system but rather that by testing the variations of realistic equity curves you will know more about how it behaves. Be aware though that when you test based on a percent of equity you are ignoring some trades on bars where there are more trades than you can have filled. To handle these variations you can use monte carlo testing, or you can test for worst case scenario(take the worst trades). In systems that generate lots of trades i have found this type of analisys invaluable.
The system I test on allows portfolio testing and I have learnt some useful insights from it. Your chart seems to indicate that you have have allowed for each trade as though it were an individual chronological event (one trade after another). I think it might be useful for you to use a simulation type where the equity curve shows end of day results of simultaneous trading (more true to life), and especially using position sizing based on a percentage of your equity curve at each bar (I presume this is how you intent to trade).
I'm not sudgesting this will show up floors in your system but rather that by testing the variations of realistic equity curves you will know more about how it behaves. Be aware though that when you test based on a percent of equity you are ignoring some trades on bars where there are more trades than you can have filled. To handle these variations you can use monte carlo testing, or you can test for worst case scenario(take the worst trades). In systems that generate lots of trades i have found this type of analisys invaluable.
Well, funky...
When you seek for capital... you'll be getting harder and more detailed questions from your "investors" than what you see in this thread or ET, in general. What you might do is try to come up with a balance of answering questions rationally / effectively without giving out your edge.
Good way to do this is have a clear line of how far you would get into the details.
Good luck.
When you seek for capital... you'll be getting harder and more detailed questions from your "investors" than what you see in this thread or ET, in general. What you might do is try to come up with a balance of answering questions rationally / effectively without giving out your edge.
Good way to do this is have a clear line of how far you would get into the details.
Good luck.
Paper trading is indeed very different than live trading. What I would suggest is that you:
1- get a series 7 license
2- get an account at a prop firm and negotiate .005 or lower commissions (not hard in this environment). Btw, your current broker is grossly overcharging you now at .01
3- obtain the most leverage available (bright is best for this, but will charge substantial haircut, from what I have read here). Firms that don't charge haircut are obviously the best, but you have to see how much leverage they will give you.
4-trade your system and keep your monthly statements as proof of the system's profitablilty
5- after you have at least a year's worth of records and still need financing, it will be much easier to obtain
However, as others pointed out, you must realize that anyone fronting money for you will expect to be compensated adequately for their risk. Put yourself on the other side of the equation- why would an investor want to give money to an unproven trader and system when there are a plethora of hedge funds managed by traders with years of experience and solid track records returning over 20% per year. Can you show substantially higher returns to justify the risk of the investor funding you??
If you can do it, raise the money yourself and trade prop. until you have a solid track record worthy of soliciting large investments.
1- get a series 7 license
2- get an account at a prop firm and negotiate .005 or lower commissions (not hard in this environment). Btw, your current broker is grossly overcharging you now at .01
3- obtain the most leverage available (bright is best for this, but will charge substantial haircut, from what I have read here). Firms that don't charge haircut are obviously the best, but you have to see how much leverage they will give you.
4-trade your system and keep your monthly statements as proof of the system's profitablilty
5- after you have at least a year's worth of records and still need financing, it will be much easier to obtain
However, as others pointed out, you must realize that anyone fronting money for you will expect to be compensated adequately for their risk. Put yourself on the other side of the equation- why would an investor want to give money to an unproven trader and system when there are a plethora of hedge funds managed by traders with years of experience and solid track records returning over 20% per year. Can you show substantially higher returns to justify the risk of the investor funding you??
If you can do it, raise the money yourself and trade prop. until you have a solid track record worthy of soliciting large investments.
Quote from funky:
do you mean why does the last image show 1321, while the others had more trades? because the last image was a slightly different system, that gave fewer trades
Toe answered this for me when he said:
"Your chart seems to indicate that you have have allowed for each trade as though it were an individual chronological event (one trade after another). I think it might be useful for you to use a simulation type where the equity curve shows end of day results of simultaneous trading (more true to life), and especially using position sizing based on a percentage of your equity curve at each bar (I presume this is how you intent to trade)."
Funky, this is a big deal. Please heed toe's words of wisdom.
Dude, what's worse is that these are trade endpoints right?
Like trade 1000 made $200 so I'll just tack $200 onto the equity at point 999 right?
Well trade 1000 might have been held for 5 days and lets say on day 3 that position was down $500. Maybe this happened to a number of your holdings that day too. In other words you aren't even charting the maximum adverse excursion of all of your trades in a properly sequenced format. Do this and watch your drawdown double.
I'm not saying that this system is bad, it just hasn't been properly backtested.
Like trade 1000 made $200 so I'll just tack $200 onto the equity at point 999 right?
Well trade 1000 might have been held for 5 days and lets say on day 3 that position was down $500. Maybe this happened to a number of your holdings that day too. In other words you aren't even charting the maximum adverse excursion of all of your trades in a properly sequenced format. Do this and watch your drawdown double.
I'm not saying that this system is bad, it just hasn't been properly backtested.
Hah sorry for bringing up the dead.. but I wonder what ever happened to Funky??
I was doing a search on automated systems and this one came up and I was curious to see how it all went out...
Did you ever just start trading your own capital or find someone that would fund your setup?
What were the real-life results?
I was doing a search on automated systems and this one came up and I was curious to see how it all went out...
Did you ever just start trading your own capital or find someone that would fund your setup?
What were the real-life results?
Yeah I am! LOL.
1. This is the purest form of forward testing on unseen data.
2. Also, goes on to show that there are some folks here who do use search function a lot
Actually, I want to learn few tips from his experience. First did he make money or not, because I am beginning to suspect that many guys even after developing robust trading systems are not able to make money even 3-5 yrs after the development, since they didn't abide by the rules and were not disciplined enough to follow their program. Secondly, I want to see how he moved forward from the choices he faced at that time.
I guess his response would be instructive (if he sees this thread).