Questions re: going live with a system?

B

BrooksRimes

I have 3 years of experience trading options and am moving to intraday futures trading.

I developed a system trading the YM (Dow emini) on 5 minute bars and backtested it in Amibroker. Its basically a reversal system. I optimized on 1/3 of the data and then tested on the other 2/3.

My trading day is 9:30-1pm EST. It trades 1-2 times per day, has 70% winners and makes 55 tics per trade (W+L). It uses a fixed point profit exit and a fixed point loss exit and exits after N bars. I tried a lot of exit strategies (trailing, ATR, risk based, etc.) and fixed point worked best (surprised me). The average trade lasts about an hour and a quarter.

This is my first time taking a mechanical system live and I have some questions:

- how hard is it waiting several hours for an entry signal?
- how do you keep from getting bored and what do you do between signals?
- how hard is it to watch a trade for an hour plus to see if it wins or loses?
- I tested systems that reduce the time in the market but the net profit is a lot less. It may be better for stress level but worse for the wallet.

Constructive advice appreciated.

Thanks,

Brooks
 
If you are disciplined, it is not hard at all. You could set your system up with an audio alert so that you don't have to constantly stare at a computer screen. In between orders, you can do more research, set up spread sheets to model your account growth and count your millions of dollars, or, you could review your actual trading results and compare them with your model results and ask yourself, what the heck is going on here? :)

Speaking tongue in cheek of course,

Mike
 
Take your percent per day gain and extrapolate it out to percent per year and figure out how many Ferrari SuperAmericas you can buy.
 
Waiting for trades is no big deal. You should be so busy it is almost a nuissance. Spend your days testing more and more ideas. Then as you get more proficient with programming you could automate the systems so you can let them run for you.
 
Hi Brook,

There is not a lot of data on Dow Emini... You might want to test your system on the ES for about 10-to-1 point factor.
I either introspect on my internal feelings as an exercise or just read a book and peek at the screen once in a while. I consider the boredom a good sign.
 
Quote from BrooksRimes:



- how hard is it waiting several hours for an entry signal?
- how do you keep from getting bored and what do you do between signals?
- how hard is it to watch a trade for an hour plus to see if it wins or loses?
- I tested systems that reduce the time in the market but the net profit is a lot less. It may be better for stress level but worse for the wallet.
More...


if you are not 100% confident and pleased with your system you will not stick to it day in day out, the system must match your personality 100%. this means win/rate, profit factor, trade frequency, trade length, drawdown all must be within your mental and capital tolerance.

to keep busy you can excerise, read or work on research and development, but if your mechanical the worse thing you can do is sit there and watch because a lot of the time, the trades will be counter-intutitive and that lends itself to constant 'tweaking' of ones systems. i would go with the longer time trade for more profit, good moves take time.

use sound alerts or go auto, imo.
 
What's the big problem? Surely you can see if you're close to an entry signal or not? If it's too much trouble to watch it after entry, can't you just enter OCO profit taking and stop exits?
 
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