Systematic Performance Stats
- Thread starter gjmason
- Start date
Over the past 3 months, our worst drawdown has been $1519 on a single NQ contract basis. That's the largest dip below the starting equity at March 20th or any subsequent new equity peak.
Is this a useful number? In a different 3 month period our worst drawdown might be much higher or lower.
Is this a useful number? In a different 3 month period our worst drawdown might be much higher or lower.
With regards to Schindler's performance of $1910 profit on a 1 contract basis via 44 trades....that comes to about $43 per average trade after costs. You better make sure your costs stay down, if slippage rears it's ugly head, it could gobble up any hopes of profit down the road. If you're trading activity is only
44 trades over 3 mos ( 14 trades per month) get you're average trade up to >=$200 per contract, to offset the vagaries of noise.
44 trades over 3 mos ( 14 trades per month) get you're average trade up to >=$200 per contract, to offset the vagaries of noise.
Aaron,
I think those are good numbers. I trade systematically as well, and generally require that the average trade is larger than the average noise level (as measured by e.g. ATR). You are right on the border with an average trade of net 2 NQ points
Still very good, and highly tradeable, given that slip is virtually non-issue in NQ/ES most of the time.
I think those are good numbers. I trade systematically as well, and generally require that the average trade is larger than the average noise level (as measured by e.g. ATR). You are right on the border with an average trade of net 2 NQ points
Still very good, and highly tradeable, given that slip is virtually non-issue in NQ/ES most of the time.
GJ Mason,
I trade a systematic approach about 80% of the time but as markets are made up of supply and demand by humans I also use 20% discretionary. And yes I am pulling profits out, I have too I do it for a living.
I would have to employ a secretary to list all my trades here and besides give me a good reason too.
What has your performance been??
I trade a systematic approach about 80% of the time but as markets are made up of supply and demand by humans I also use 20% discretionary. And yes I am pulling profits out, I have too I do it for a living.
I would have to employ a secretary to list all my trades here and besides give me a good reason too.
What has your performance been??
Aaron, thanks for your response. Ofcourse the maxDD for a longer period would be more beneficial but I thought you were only offering up numbers for the period you originally stated. Does your fund only trade one system in one market or do you trade multiple systems in different markets? Obviously I trade the NQ (on a short term basis) but worry that one day I will become too large for the market. (maybe just wishful thinking
)If you enter NQ with market or stop order, how big do you think you can get before slippage eats into majority of your profits? How many contracts do you currently trade?
Right now we trade only the NQ's and the Dax. Between the two markets there is plenty of room for us to grow. We are a tiny drop in the bucket in both markets. We never trade more than a couple hundred NQ's per day. Even so, to avoid slippage we don't just blast our trades into the market with one order. If we want to use a market order we'll spread a few trades out over a few minutes. If we want to use a stop order, we'll use a few different price levels.
You can easily see how much you can trade at a time by looking at the size of the bid or the ask. Here's a good exercise for you...Around the time you usually trade take some data on how many contracts are offered at the bid or the ask. Check like once every minute for 50 minutes, or so. Do this on an average volume day (or across several days). Now take the average and the standard deviation.
You don't want to be blasting in so many contracts that you consistently take out the best price and get most of your trade filled at worse levels. If the average offer is 50, say, then if you buy 50 at the market, half the time you will get filled at the offer and half the time some of your order will get filled at a tick higher than the offer. If that is fine with you, then go ahead. If you want to be more sure of not getting a worse fill, then trade in units smaller than 50.
Another alternative is to use a limit order. You won't necessarily get filled, but you won't have to worry about slippage when you do get filled. You have to weigh the opportunity cost of occasionally not catching a trade versus the slippage cost of market orders.
If you do have the good fortune to outgrow the NQ's then add other markets -- the ND, QQQ, ES, SP, DAX, Euro Stoxx, Nikkei, currencies, interest rates, individual equities, etc. There is plenty of liquidity out there.
You can easily see how much you can trade at a time by looking at the size of the bid or the ask. Here's a good exercise for you...Around the time you usually trade take some data on how many contracts are offered at the bid or the ask. Check like once every minute for 50 minutes, or so. Do this on an average volume day (or across several days). Now take the average and the standard deviation.
You don't want to be blasting in so many contracts that you consistently take out the best price and get most of your trade filled at worse levels. If the average offer is 50, say, then if you buy 50 at the market, half the time you will get filled at the offer and half the time some of your order will get filled at a tick higher than the offer. If that is fine with you, then go ahead. If you want to be more sure of not getting a worse fill, then trade in units smaller than 50.
Another alternative is to use a limit order. You won't necessarily get filled, but you won't have to worry about slippage when you do get filled. You have to weigh the opportunity cost of occasionally not catching a trade versus the slippage cost of market orders.
If you do have the good fortune to outgrow the NQ's then add other markets -- the ND, QQQ, ES, SP, DAX, Euro Stoxx, Nikkei, currencies, interest rates, individual equities, etc. There is plenty of liquidity out there.
Originally posted by nqtrader
Aaron, thanks for your response. Ofcourse the maxDD for a longer period would be more beneficial but I thought you were only offering up numbers for the period you originally stated. Does your fund only trade one system in one market or do you trade multiple systems in different markets? Obviously I trade the NQ (on a short term basis) but worry that one day I will become too large for the market. (maybe just wishful thinking
If you enter NQ with market or stop order, how big do you think you can get before slippage eats into majority of your profits? How many contracts do you currently trade?
nqtrader
I have some experience trading up to 700 NQ contracts per trade, i've detailed that experience here.
http://www.elitetrader.com/vb/showthread.php?s=&postid=67921&highlight=slippage#post67921