rt ES ATS journal

Trading through this drawdown has been psychologically testing and frustrating, but drawdowns always are. Volatility has been a little too high, causing a lot of whipsaw lately. Only thing left to do is take the next trade (sigh)....

Tuesday, 05/19/2009
Security: ESM9
Session PNL: ($2,373.90) USD
To-Date PNL: $3,143.74 USD
Account Balance: $88,520.88 USD
 

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Quote from RoughTrader:
About position sizing....each contract must produce $5000 of profit before an additional contract is added....
More...
Your profit was $5518 on 5/18, yet you're still trading tripples. Shouldn't you be cutting back?

The equity curve was looking good for quite a while, but now less so. This is the point where most novices start tweaking their system. The problem is, there is no way to know whether it will recover. Maybe your backtest contain a clue. My thoughts are: hmmmm...

FWIW, I hope you succeed!
 

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Quote from rwk:

Your profit was $5518 on 5/18, yet you're still trading tripples. Shouldn't you be cutting back?

The equity curve was looking good for quite a while, but now less so. This is the point where most novices start tweaking their system. The problem is, there is no way to know whether it will recover. Maybe your backtest contain a clue. My thoughts are: hmmmm...

FWIW, I hope you succeed!
More...

Yes, I forgot to scale back my position size as soon as equity dipped below $90,000. I got lucky with a daily winner of about $1200, which brought me above $90,000 again. Yesterday's loss brings the equity below again, and I am correctly trading 2 lots today.

This is a pretty good live illustration of asymmetric leverage, which quite simply, you cannot get around. Slow to build size on the way up, but losses can quickly accumulate in a drawdown because you start with larger position size.

I've been through these types of drawdowns before. A few years back I was trading a similar system on the ER2 when it was still around, but didn't have the patience to see the system through. I wound up turning off the system during a drawdown JUST before it recovered with an impressive equity runup to new highs.

I've been posting since March, and not enough time has past to really demonstrate to anyone whether the system works or doesn't work. The answer is contextual; only the moves the markets make can decide that. What is clear is that the types of intraday moves that the ES has been making lately have been producing whipsaws for my system, and the length of the drawdown depends on when stronger sentiment and ATR return to the market. So far the drawdown magnitude is within backtested statistics....

rt
 
It is time to move position size up to 3 contracts again.

Friday, 05/22/2009
Security: ESM9
Session PNL: $1,078.90 USD
To-Date PNL: $5,328.54 USD
Account Balance: $90,705.68 USD
 

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