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Something very simplistic
- Thread starter Quah
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Originally posted by illiquid
That's besides the point. Your first few trades overlap, you exit the first two trades at near the same time. You can't count that as 6pts/contract total.
Whatever, I'm not going to argue with you - the overlap is totally irrelevent. They are individual trades, entered individually, and not dependent on the other trades. They each made their own individual 3 points. Makes no difference if they overlapped or not. 2 contracts were involved in those first two trades, each contract made 3 points. That sounds like 3 points/contract to me.
Originally posted by Quah
Whatever, I'm not going to argue with you - the overlap is totally irrelevent. They are individual trades, entered individually, and not dependent on the other trades. They each made their own individual 3 points. Makes no difference if they overlapped or not. 2 contracts were involved in those first two trades, each contract made 3 points. That sounds like 3 points/contract to me.
The overlap is COMPLETELY relevant.
Here's an example: if market opened up at 900, traded flat until 10:30, then ran to 910 by 10:35, I could list the following trades:
9:33 L 900 (+10)
9:35 L 900 (+10)
9:38 L 900 (+10)
9:43 L 900 (+10)
9:51 L 900 (+10)
10:04 L 900 (+10)
10:25 L900 (+10)
70pts total -- NOT per contract. Your per contract would remain 10.
Since your target and stop is just 3 points, the overlap is not this extreme, but your system can easily be showing 3 trades capturing the same 3pt move in the first 10 minutes. Just gotta be careful that you're not listing the same movement as separate per contract profit opportunities.
Originally posted by illiquid
The overlap is COMPLETELY relevant.
Here's an example: if market opened up at 900, traded flat until 10:30, then ran to 910 by 10:35, I could list the following trades:
9:33 L 900 (+10)
9:35 L 900 (+10)
9:38 L 900 (+10)
9:43 L 900 (+10)
9:51 L 900 (+10)
10:04 L 900 (+10)
10:25 L900 (+10)
70pts total -- NOT per contract. Your per contract would remain 10.
Since your target and stop is just 3 points, the overlap is not this extreme, but your system can easily be showing 3 trades capturing the same 3pt move in the first 10 minutes. Just gotta be careful that you're not listing the same movement as separate per contract profit opportunities.
One last time - using your own example. If you entered a trade at each one of those entry points, at the end you'd be holding a long position of 7 contracts total, all entered at 900. If you exited all of them at 910, each trade would have had a 10 point profit. If you were trading 1 contract, that will be a profit of 70 points per contract, or a total of 70 points profit.
If you were trading 2 contracts per trade, you'd have a profit of 140 points, or 70 points per contract. If you were trading 5 contracts per trade, you'd have a profit of 350 points, or 70 points per contract.....
Are these results you're posting backtesting results or actual trading results? I would assume that looking at your P/L statement at the end of the day you could tell that you weren't netting 11/contract.
It's nice to try to keep things simple and all, but even if the system is simple, I don't think you can be lax on the analysis of that system or its results.
It's nice to try to keep things simple and all, but even if the system is simple, I don't think you can be lax on the analysis of that system or its results.
I think the confusion here is in the line of results posted as:
Gross 11 points - 220/contract
It appears illiquid is interpreting this line to read 11 points/contract.
I intepret it to be the result of the gross of 7 winners minus 3 losers for a total of 11 points. Not 11 points per contract.
Gross 11 points - 220/contract
It appears illiquid is interpreting this line to read 11 points/contract.
I intepret it to be the result of the gross of 7 winners minus 3 losers for a total of 11 points. Not 11 points per contract.
Originally posted by illiquid
Are these results you're posting backtesting results or actual trading results? I would assume that looking at your P/L statement at the end of the day you could tell that you weren't netting 11/contract.
It's nice to try to keep things simple and all, but even if the system is simple, I don't think you can be lax on the analysis of that system or its results.
Are you thinking I'm saying 11 points/contract/trade?
Originally posted by inandlong
I think the confusion here is in the line of results posted as:
Gross 11 points - 220/contract
It appears illiquid is interpreting this line to read 11 points/contract.
I intepret it to be the result of the gross of 7 winners minus 3 losers for a total of 11 points. Not 11 points per contract.
That is correct - but it is per contract. I.E. - If I was trading 5 contracts, that statement would still be true - but I would actually have $1100 gross profits.
Size is not important in this system, so I don't see any reason to post anything other than results based on 1 lot trades.
Originally posted by Quah
One last time - using your own example. If you entered a trade at each one of those entry points, at the end you'd be holding a long position of 7 contracts total, all entered at 900. If you exited all of them at 910, each trade would have had a 10 point profit. If you were trading 1 contract, that will be a profit of 70 points per contract, or a total of 70 points profit.
If you were trading 2 contracts per trade, you'd have a profit of 140 points, or 70 points per contract. If you were trading 5 contracts per trade, you'd have a profit of 350 points, or 70 points per contract.....
By your reasoning, if I'm long 10 contracts at the open, sell them for a 10 pt profit at 9:35, i can list each contract as gaining 10 pts and saying by net result PER CONTRACT = 100?
The example I gave was a bit extreme, but if you're not exiting your trade before the next one is taken, you should post:
9:33 L 900
9:35 Add to long
9:38 Add to long (Sold 3 for +3)
etc
Originally posted by illiquid
By your reasoning, if I'm long 10 contracts at the open, sell them for a 10 pt profit at 9:35, i can list each contract as gaining 10 pts and saying by net result PER CONTRACT = 100?
The example I gave was a bit extreme, but if you're not exiting your trade before the next one is taken, you should post:
9:33 L 900
9:35 Add to long
9:38 Add to long (Sold 3 for +3)
etc
No, that would not be by my reasoning at all. If you opened a single position of 10 contracts at the open and sold those 10 contracts at 9:35 for a 100 point gain, that would be a 10 point per contract trade.
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