Summary of a small disaster

Wrt. overleverage and money management.

travis - I was serious in my response.

Look up "the kelly ratio" - the key lesson is that you have to underbet.

Especially if you are doing automated trading since you will have a tendency to overestimate your edge because of datasnooping et al.

I did a similar thing and I had a nearly 50% drawdown because of overleverage.
 
Over leverage is probable but it was probably a worth while bet if you have the stomach for it.

It comes down to timing, sometimes you get lucky and get a run initially and sometimes you dont but you are still capped at 0. No one caps your wins but you.
 
1) Backtest to find the worst-case for drawdown, and plan for it (i.e. have more than enough capital to handle it).
2) Be focused - find the single best system and just trade it (no more trading 6 systems with 18k!).
3) Don't be afraid to use leverage, once you are supremely confident in and comfortable with your system.

The last point does not mean you have a system that never loses, but one whose good and bad performance is very well known, and you have a level of comfort with it.
 
OK, so you took a bank loan of 8K, made some money, paid off the loan and then have 3K left. Congratulations!!! This is some achievement to be celebrated. Most people end up with a 8K debt and zero cash.

Anoither thing is, you cant possibly be trading more than one futures system with 10-20K. Most contracts are sized to have 3-10K in margin requirement, so if you trade more than one contract its probably a case of overleverage.

Get a job, save up a few thousand, and paper trade your systems in the meantime. You will come back stronger and more confident later.
 
Thanks to everyone for the info and advice and here are some specific answers:

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bespoke:
Systems have been tested for 10 years

I have a very low capital (always had, even when I started), and over 20 so so systems (only 60% wins)

Thanks, good luck to you, too. Yes, I meant two or three systems across 9 different instruments. Actually they are in total over 20, but I had to simplify the description of everything.

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chvid:
Thanks for the advice. I understand.

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trackstar:
I think you are the closest one to understanding what's been happening to my systems.

I think there must be something good about them, but I do overleverage for sure, and on top of that mistake I also do very bad discretionary trading outside the systems (hopefully I will stop, but it's almost an addiction). Here's the whole story.
I began last March, and took 4k to 23k in just 3 months. Then lost half of it in a couple of weeks (just like it happened recently, again and just as quickly). Then I did some discretionary trading and the remaining 13k. Then I tried again, months later, as i said above with a loan, and I tripled the capital in one month, but then pretty much lost it all, some due to some discretionary trading and this time, much more, due to my systems failing. Except this time it was the other way around - first I lost half of my capital with discreationary trading, then quit that altogether, became disciplined but lost the rest of it because of my system (which did poorly because of low capital). Now I am a bit desperate, but I'll get through it once again (I've been trying for 10 years already).

I have the stomach for it to answer your question. Maybe my problem is the irregularity of gains. It makes you feel like money is easy at one time, you treat it like dirt, but then there's other moments that make you regret not saving that money that seemed so easy. When I tripled my money in a month, going from 8k to 26k, I'd never imagine that I could ever possibly get back to 4k within another month. So, as I said, I paid the loan back, and even traded discretionary, which made me lose money and I deeply regret it now. It's just that it's so irregular that it makes you overconfident.

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andrewbee:
Got it. Sounds very reasonable, and I've been going in that direction already.

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kotika:
Yeah, you understood what happened to me correctly. Now I will celebrate, but may have to ask for another loan, unless I can make that 3k grow (yet now it's only 2100).

Thanks for the advice. I understand that I may be overleveraging, even though with IB margins it is indeed possible to trade a few systems (some of the futures have intraday margins as low as 1500 dollars) with little capital. Then of course like it happened to me, you can also go from 13k to 3k in 2 weeks.
 
I really fear for you bro, because it sounds like you've got trading addiction (you already admitted as much yourself). There is no greater enemy to long-term success, and if we're not in it for long term success, why trade at all? Go to a casino; at least they'll give you free drinks.

Some people can do discretionary trading. You are not one of them, and neither am I. That's why for me the ONLY way forward is complete automation. Zero emotions involved. Unless you can get to that place, you will always be a wannabe.
 
Quote from andrewbee:

I really fear for you bro, because it sounds like you've got trading addiction (you already admitted as much yourself). There is no greater enemy to long-term success, and if we're not in it for long term success, why trade at all? Go to a casino; at least they'll give you free drinks.

Some people can do discretionary trading. You are not one of them, and neither am I. That's why for me the ONLY way forward is complete automation. Zero emotions involved. Unless you can get to that place, you will always be a wannabe.
More...
A good and easy solution is to have another smaller "gambling" account where you can do wathever you want and therefore feeding the need.
 
Yes, both of you are totally right. I agree with everything you said, and it is not the first time I thought of it, and not the first time people tell me such things.

I already realized I had to fully automate my trading and already did so, but - having automated everything - I still don't have enough capital to just sleep on it. Accidents happened, due to taking risks with such a small capital.

Also I have been looking for other ways to spend time and "play" so I don't have to look for action in the markets, since I do agree - I am not made for it. Hopefully one day I will have the right systems and the right capital, so I will only have to turn the program on in the morning and turn it off at night, and stay away from temptations.
 
Quote from Corey:

How much correlation (more importantly, covariance) analysis did you do between strategies?

In my eyes, there are three primary ways to create diversification: time frame, strategy, and instrument.

Mean-reversion trading currency over 5 minute intervals should be non-correlated with trend-following equities over multiple weeks.

Go through each strategy and try to 'box' this diversification.

If all your strategies run on the same instrument over the same time-frame, you may be more correlated than you think...
More...

Travis, there is a hell of a lot of good info in this brief post.
 
I also wish to add this for the record.

I can't do discretionary trading for these three reasons among others.

I am not not patient enough to stick to any rules, which means that even if I write anything down, like "wait until 3 pm to do something", then I anticipate the timing.

The second reason is that I tend to go against the trend, all the time. Even if I was good at picking tops and bottoms, then I exit too early, but most of all...

...the third reason is that I do not apply the stoploss when I go wrong. So I may pick two winning trades out of three, but on the third one I lose more than what I made on the other two.
 
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