Something very simplistic

[Magna]

Originally posted by Quah
Decent day for ES, not too good for NQ....almost always going to +2.50 instead of +3 needed for exit.

I remember when you first added NQ trades and never quite understood why you selected 3.00 as target and 3.50 as stop. Using the standard conversion of 1 ES = 2.5 NQ it seems, if nothing else for the sake of uniformity, to use 2.50 as NQ target and 3.00 as NQ stop. Quah, I know you don't like to tinker, and certainly don't want to adjust a system for one day's results, but was there a reason why you selected the initial 3.00/3.50 instead of 2.50/3.00 which more closely approximate the ES figures.

 

[Quah]

Originally posted by Magna
I remember when you first added NQ trades and never quite understood why you selected 3.00 as target and 3.50 as stop. Using the standard conversion of 1 ES = 2.5 NQ it seems, if nothing else for the sake of uniformity, to use 2.50 as NQ target and 3.00 as NQ stop. Quah, I know you don't like to tinker, and certainly don't want to adjust a system for one day's results, but was there a reason why you selected the initial 3.00/3.50 instead of 2.50/3.00 which more closely approximate the ES figures.

No, there was no real reason why I chose 3.00 - in fact, I think the day after I posted that I should consider changing it to 2.50, but I never did. One thing I guess I liked about 3.00 was that it "covered" commish when compared to ES. Not that it makes any sense to think that way.

There have been many times it's went to +2.50 and not gone the rest of the way - and off the top of my head, I don't ever remember it going -3.00 and not continue to -3.50, so maybe it is time to make a change to that since it seems I thought it made sense from the beginning anyway.

Starting tomorrow, the targets for NQ will be +2.50 or -3.00 instead of +3.00 or -3.50. Let's see how that plays out, I'll keep notes on both. Thanks for bringing that up.

 

[inandlong]

Yeah sure, I'm out 50 grand on the NQ and now you tell me it was just a thought! What kind of a no good, low down, dirty rotten, filthy stinking....

Actually, I was going to post the same thing later, you know about 1 a.m. like the rest of my posts. I remember that 3 was somewhat arbitrary, and that you were going to look at 2.5 but didn't because you were too lazy and felt that we were a bunch of leeches anyway. Wasn't that it?

Let's see, so if the new NQ goal works perfectly and there are no losers, and with 1 contract I can recoup my 50K in....

 

[dbphoenix]

Originally posted by Quah


No, there was no real reason why I chose 3.00 - in fact, I think the day after I posted that I should consider changing it to 2.50, but I never did. One thing I guess I liked about 3.00 was that it "covered" commish when compared to ES. Not that it makes any sense to think that way.

There have been many times it's went to +2.50 and not gone the rest of the way - and off the top of my head, I don't ever remember it going -3.00 and not continue to -3.50, so maybe it is time to make a change to that since it seems I thought it made sense from the beginning anyway.

Starting tomorrow, the targets for NQ will be +2.50 or -3.00 instead of +3.00 or -3.50. Let's see how that plays out, I'll keep notes on both. Thanks for bringing that up.

I've been keeping track of this for a couple of weeks because I wanted to look at a tighter stop. However, nothing tighter than 3.5 has worked well. The closer you get to two, the closer you get to noise, and the likelihood of DWs increases.

This is only my experience, tho. I don't want to discourage anybody from experimenting with it.

--Db

 

[Magna]

Originally posted by dbphoenix


I've been keeping track of this for a couple of weeks because I wanted to look at a tighter stop. However, nothing tighter than 3.5 has worked well. The closer you get to two, the closer you get to noise, and the likelihood of DWs increases.

Db,

Curious, while watching the movement in relation to the stops, did you also track the movement in relation to the targets. In other words, during the sample you were watching would a 2.5 target have been made before a 3.0/3.5 stop would've had a chance to be hit?

 

[dbphoenix]

Originally posted by Magna
Db,

Curious, while watching the movement in relation to the stops, did you also track the movement in relation to the targets. In other words, during the sample you were watching would a 2.5 target have been made before a 3.0/3.5 stop would've had a chance to be hit?

No, I didn't. However, the lower the targets, the higher percentage the commission represents. Plus I assume you'll want to revise your SARs. And don't forget that a DW will wipe out three lower-target trades.

--Db

 

[Magna]

Db,

Please understand I'm playing Devil's Advocate here, not challenging your research, but wanting to see if getting the NQ targets/stops proportionately in line with the EQ targets/stops might make sense.

Originally posted by dbphoenix
However, the lower the targets, the higher percentage the commission represents.

While it's true that the lower the targets, the higher percentage the commission represents, the commission relative to target on a 2.50 NQ move is precisely the same as the commission relative to target on the "standard" 1.00 ES move.

Plus I assume you'll want to revise your SARs.

I agree, SARs would have to be revised to 3.0 instead of 3.5, but that reduced target might be hit more often as a benefit of that reduction.

And don't forget that a DW will wipe out three lower-target trades.

With the lower 2.50/3.00 numbers a DW would be 6.0 pts and three lower target trades would be 7.50 pts, so it would wipe out 80% of it, not quite the whole thing. In the ES a DW is 2.5 pts and three target trades is 3.0 pts, so in that case the DW wipes out 83%, slightly worse.

Again, I'm not sure whether reducing the NQ numbers to get them more in line (proportionately) with the ES numbers will produce better results. Like you said, it gets it a little closer to the noise so that's certainly a consideration. But it seems to be worth a shot and I'm glad Quah is going to incorporate it in his trades at least for a bit to see what happens.

 

[Runningbear]

With the ever shrinking NASDAQ, it makes since to reduce the profit target, as a 2.5 profit target will represent a larger percentage in a few months tim than it does now. When the index reaches 500, you'll propably need to adjust your profit target downwards again. When the index finally recovers you will need to look at ajusting it upwards again.

I believe the smaller the profit target the more likely it is to get hit.

Runningbear

 

[dbphoenix]

Originally posted by Magna
Db,

Please understand I'm playing Devil's Advocate here, not challenging your research

I wouldn't call it "research"; just what I've noticed.

While it's true that the lower the targets, the higher percentage the commission represents, the commission relative to target on a 2.50 NQ move is precisely the same as the commission relative to target on the "standard" 1.00 ES move.

Perhaps. However, I was referring to the percentage in comparison to the larger NQ move.

I agree, SARs would have to be revised to 3.0 instead of 3.5, but that reduced target might be hit more often as a benefit of that reduction.

They might be. But then you're also looking at more trades and more commissions.

With the lower 2.50/3.00 numbers a DW would be 6.0 pts and three lower target trades would be 7.50 pts, so it would wipe out 80% of it, not quite the whole thing.

True. I wasn't being literal, just reminding those who are interested of a few things that should be considered.

Again, I'm not sure whether reducing the NQ numbers to get them more in line (proportionately) with the ES numbers will produce better results.

Only way to find out is to test it. However, it isn't necessarily up to Quah to do the testing. Changing the stochastic length might solve a number of problems.

--Db

 

[inandlong]

How goes the battle today guys?

Edit: Ah, I just went to the nice spreadsheet that Quah so generously keeps for us. Thank you very much.