Reversion to the mean only trading...

[steve2222]

Hi Mark,
Third question:
In the main model in post 1 where you quoted performance for it running 24 hours a day. Do you have a daily loss limit/drawdown where it stops trading for the day? When running it what does history show for the number of losses in a row?

When you run it under your own conditions (I think it was for about 3 hours a day) do you apply a daily loss limit? Also what is your experience for the number of losses in a row when running on those truncated hours each day?

Thanks

 

[SimpleMeLike]

1.) answers

there is an undeniable correlation between risk reward and percentage of wins.

trend traders risk little and lose often yet win big. if they would risk more and take profits faster then they would win more often.

so think of it as a sliding scale

the larger risk and smaller profit = more wins

the smaller risk and larger profit = less wins

typically i have found in discretionary trading like you are doing larger stops will give more time for a trade to work in your favor that you didn't have an optimal entry on.

2.) answers

i have used all sorts of bars for testing, i like tick bar charts and range bars by far the best.

range bars for the same reasons you touched on you know immediately what your looking at value wise.

another advantage is no matter the market and what your methods they will always look the same and never change. you can increased the range bar size and things will slow down but it will look exactly the same.

so consistency is why i like range bars, but if you get them too small less than a full point they can become untradeable because they will artificially fill gaps in the data with pseudo bars.

Thank you for the response MarkBrown.

 

[MarkBrown]

Hi Mark,
Third question:
In the main model in post 1 where you quoted performance for it running 24 hours a day. Do you have a daily loss limit/drawdown where it stops trading for the day? When running it what does history show for the number of losses in a row?

When you run it under your own conditions (I think it was for about 3 hours a day) do you apply a daily loss limit? Also what is your experience for the number of losses in a row when running on those truncated hours each day?

Thanks

that model does not the 2nd model does limit to 3k during the hours 859-1240.

3% - 11 in a row losses fir model 1 and
6% - 6 in a row for model 2 which trades far less.

it never had more than a couple consecutive losses during my time, i did testing and let the testing determine the time slot. i didn't just grab that out of the air cause that's when i like to trade. that time slot was also the best for positive slippage which is most important to me that my entries are accurate as can be to match test.

 

[SimpleMeLike]

Hello MarkBrown,

Regarding scaling up from 1 contract to 10 contracts. What were your scale up rules?

 

[MarkBrown]

Hello MarkBrown,

Regarding scaling up from 1 contract to 10 contracts. What were your scale up rules?

i have a spreadsheet that calculates it. so the delta is how much you have to make to add a contract per contract basis. starting balance is just that whatever you start with. as you can see you can pick from net profits or total account balance either one.

 

[SimpleMeLike]

i have a spreadsheet that calculates it. so the delta is how much you have to make to add a contract per contract basis. starting balance is just that whatever you start with. as you can see you can pick from net profits or total account balance either one.

Thanks for the response MarkBrown

 

[trade4succes]

I like the idea.

How dependent is the system's profitability on the ES, vs. another instrument?

(e.g. would it work on the T-notes?)

 

[SimpleMeLike]

i have a spreadsheet that calculates it. so the delta is how much you have to make to add a contract per contract basis. starting balance is just that whatever you start with. as you can see you can pick from net profits or total account balance either one.

I really like this. This mean, everything is set up to logically scale down when the trading is not doing well.

What do you mean by Delta Size? How does this play a roll in scale up?

Also do you have a recorded video of the webinar today? I was not able to attend due to working the full time job.

Thanks

 

[volpri]

Me thinks definition clarification of scaling in and scaling up as concerns trading may be needed here in this thread. Wouldn’t hurt to define scaling out.

 

[steve2222]

Morning Mark,

Is your web site URL (http://markbrown.com/) meant to lead to anything as I just get a blank page?