Trader PnL 2017

[Gotcha]

The win rate is about 75%. There is no scaling in or scaling out. There is no averaging up or averaging down. Each strategy trades 1 contract, independently of other strategies. The 20 day run would likely produce a 3% return.

Oh... I guess the way your platform reports average price its almost as if you were scaling in/out. So if lets say you had 2 trades, one goes long at 2050 and get 2 points, and second goes long at 2060, and gets 2 points, it would be like a long at 2055 average, and exit at 2057 average, even though this average really has nothing to do with the individual trades?

75% win rate is fantastic. Since the average number is clearly not useable, what is your typical target and stop?

 

[nonlinear5]

So if lets say you had 2 trades, one goes long at 2050 and get 2 points, and second goes long at 2060, and gets 2 points, it would be like a long at 2055 average, and exit at 2057 average, even though this average really has nothing to do with the individual trades?

In the way you are describing, this would indeed be "averaging up" and/or "scaling in". But it doesn't look like it in my case. Here are the actual trades for today (7 buys, 7 sells):

Since the average number is clearly not useable, what is your typical target and stop?

None of the strategies use either targets or stops. Both entries and exits are triggered by setups, which have been proven to yield favorable risk-adjusted returns. If you want to get a sense of these risk-adjusted returns, I can give you the Sharpe ratio: it's about 3.5.

 

[Gotcha]

In the way you are describing, this would indeed be "averaging up" and/or "scaling in". But it doesn't look like it in my case. Here are the actual trades for today (7 buys, 7 sells):

None of the strategies use either targets or stops. Both entries and exits are triggered by setups, which have been proven to yield favorable risk-adjusted returns. If you want to get a sense of these risk-adjusted returns, I can give you the Sharpe ratio: it's about 3.5.

Thanks for taking the time to post this. Seeing the details of the trades answers many questions.

 

[jl1575]

My leverage is carefully measured, historically tested, and formulaically optimized against the size of my trading account. Today, I ran 10 automated strategies, and 7 of them made 1 trade each. The performance of the strategies is highly correlated (which is not a good thing). This means that in all likelihood, they all are either profitable on a given day, or they are all losers on a given day.

So, what seems to be an insanely high win rate is just a side effect of 10 different strategies trading 1 contract in almost unison. So, with regards to today's results, instead of saying "7 trades, 7 wins", I could have been much more modest, and say "1 trade, 7 contracts". In reality, the 10 different strategies are operating independently, so it's not a stretch to treat their trades separately. I hope this makes sense.

Congratulations on your excellent automation systems!

 

[carrer]

Some of the info is deleted for protection.

 

[A2x2]

Net: +38

Was up about 112.. moved my stop-loss too early just now on the last trade and gave back a bunch of my profits..

 

[nonlinear5]

No setups, no trades for me today.

 

[A2x2]

Net: -58

 

[nonlinear5]

No trades for me since last Thursday, Jan 12.

 

[A2x2]

Net: -59