Something very simplistic

illiquid · Sep 20, 2002

Originally posted by Quah

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.

But you're saying if I'd bought that 10 lot 1 contract at a time, 10 secs apart, then it would count as 100/contract?

Quah · Sep 20, 2002

Let's start over here -

It seems we both agree that the 11 points is a proper number - you disagree that I should say that is per contract.

11 NQ points = $220. I assume we both agree with that.

Now, lets say instead of trading one contract each trade, I traded 5. Instead of having 11 NQ points gross profit, I'd have 55, right? Thus 55/5=11, 11 points/contract.

This seems so obvious I'm wondering if one of us is totally misunderstanding the other - maybe I'm missing something bigtime.

illiquid · Sep 20, 2002

The bottom line is that you cannot have gross total results = per contract UNLESS you are only net long or short 1 contract thoughout the entire day. At any time if your position increases to 2 or more contracts, the result cannot be called per contract.

ctrader · Sep 20, 2002

Originally posted by Quah
Let's start over here -

It seems we both agree that the 11 points is a proper number - you disagree that I should say that is per contract.

11 NQ points = $220. I assume we both agree with that.

Now, lets say instead of trading one contract each trade, I traded 5. Instead of having 11 NQ points gross profit, I'd have 55, right? Thus 55/5=11, 11 points/contract.

This seems so obvious I'm wondering if one of us is totally misunderstanding the other - maybe I'm missing something bigtime.

The problem is the overlap period. Illiquid doesn't think it is fair to say it is per contract when there is actually more then one contract on at a time.

I think he might have a point. If you only have enough margin to trade one contract, you won't be able to take those overlapping trades, therefore you can't expect to get the same "per contract" result that you were able to get.

I think in the interest of clarity you should state it as $220 per starting base size with the maximum position size x*base size.

That should solve it.

Quah · Sep 20, 2002

Originally posted by ctrader

The problem is the overlap period. Illiquid doesn't think it is fair to say it is per contract when there is actually more then one contract on at a time.

I think he might have a point. If you only have enough margin to trade one contract, you won't be able to take those overlapping trades, therefore you can't expect to get the same "per contract" result that you were able to get.

I think in the interest of clarity you should state it as $220 per starting base size with the maximum position size x*base size.

That should solve it.

Okay, now that I understand. If you can't take on more than one position because of margin, you won't be able to take all the trades if they overlap. Thanks for the clarification. However, I do say that my results are based on taking each trade individually, so that would mean in order to trade this system the way I'm doing it you'd need to have enough margin available to do that.

I'll make note of overlapping trades from now on. Thanks again.

inandlong · Sep 20, 2002

Yes that is it. What Quah is saying...meaning to say...is at the end of the day the system produced $220 based on using 1 contract per trade. That is accurate. While more than one trade might be open concurrently, only 1 contract is used per trade.

So the most accurate way to say it is..."Using 1 contract per trade, the system produced $220 dollars in profit."

Now for something else, Quah am I correct in that you use a limit order for the profit target order? Meaning, if you are in at 980 and you want 981, you will only take 981 or better. Hence, if the profit just trades at 981 once and you are not filled, and then backs away lower, you are still in?

Quah · Sep 20, 2002

Originally posted by inandlong
Now for something else, Quah am I correct in that you use a limit order for the profit target order? Meaning, if you are in at 980 and you want 981, you will only take 981 or better. Hence, if the profit just trades at 981 once and you are not filled, and then backs away lower, you are still in?

Yes, that is correct. There have been a number of times where (using your example) 981 traded a number of times and I still didn't get a fill - and it backed away, yet returned a few minutes later (sometimes longer) and at that point filled, before the stop hit.

inandlong · Sep 20, 2002

Taking care of my children today so I'm just sitting down to check the progress of this neat idea.

I am just up to the 9:35 trade on the NQ which I see is a long that reversed an open short for a scratch... thankfully so, cuz that baby was headed for another double-whammy.

Useful info will be provided by your thoughts about reversing a loss or taking the loss alone and waiting for the next trade.

Addendum: reversal producing nice b/e's today. Ability to add a contract, or take each trade is important.

dbphoenix · Sep 20, 2002

Originally posted by inandlong
Taking care of my children today so I'm just sitting down to check the progress of this neat idea.

I am just up to the 9:35 trade on the NQ which I see is a long that reversed an open short for a scratch... thankfully so, cuz that baby was headed for another double-whammy.

Useful info will be provided by your thoughts about reversing a loss or taking the loss alone and waiting for the next trade.

Addendum: reversal producing nice b/e's today. Ability to add a contract, or take each trade is important.

When you reverse, are you doing it immediately or are you waiting for the open of the next bar?

--Db

Quah · Sep 20, 2002

Originally posted by dbphoenix

When you reverse, are you doing it immediately or are you waiting for the open of the next bar?

--Db

I believe the reverse he was talking about was as a result of a new trade indicating the opposite direction - therefore, that would have been on the open of a bar.

If you are reversing because you hit the stoploss, then it is immediate - i.e. the stoploss trades 2 contracts instead of 1 (or whatever double your position size would be).