What type of drawdowns do you go through with your system
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Quote from lucky2be Smart:
OP is not using money management
I suggest you take a look at OP's win loss percentage and win loss ratio
that can be drastically improved
which leads to lower DD and faster turn
Now don't make yourself look like a noob by posting into the opening bell
What kind of money management do you suggest to improve these stats?
Also, win / loss stats by themselves are not necessarily meaningful. Trade expectancy is what influences long-term viability. If you have 99 trades that yield $10 / contract, it only takes one considerable loss to wipeout a considerable percentage of the gains made over the 99 trades and put the trader in a nasty DD.
rt
Quote from lucky2be Smart:
OP is not using money management
I suggest you take a look at OP's win loss percentage and win loss ratio
that can be drastically improved
which leads to lower DD and faster turn
Now don't make yourself look like a noob by posting into the opening bell
You can improve win/loss percentage, but that does not necessarily imply lower DDs.
Same for win/loss ratio. In general optimized systems based on high PF ratios are not sustainable in the long run (not robust). In fact this can be simply verified by optimizing inputs based on win/loss ratios and then testing the input variables on out-of-sample data. You will find that for the majority of the time the system is not robust because the optimization is being done on the price noise rather than the fundamental signal you are trying to capture with your system.
Noob? Sure, I'm the noob...lol
Quote from lucky2be Smart:
can't talk about it
look let me simplify for OP and anyone else reading this
take a look at equity curve
there are places where 100 trades occur and all making a slight DD
this means that day trading for lets say 3 months there is NO PROFIT
this is BAD, this is very BAD
Imagine trading for 3 months without profit
holy shit
spank my ass and call me judy :eek:
abandon this system, or add CREATIVE money management to it
and again, be creative, try even things people say CAn't work
You cannot make a system work by just adding "creative" money management if the system is not robust in the first place.
Quote from lucky2be Smart:
can't talk about it
look let me simplify for OP and anyone else reading this
take a look at equity curve
there are places where 100 trades occur and all making a slight DD
this means that day trading for lets say 3 months there is NO PROFIT
this is BAD, this is very BAD
Imagine trading for 3 months without profit
holy shit
spank my ass and call me judy :eek:
abandon this system, or add CREATIVE money management to it
and again, be creative, try even things people say CAn't work
I would love for you to elaborate.....leaving me with lots of questions....oh the wonderful world of trading.
Quote from lucky2be Smart:
can't talk about it
look let me simplify for OP and anyone else reading this
take a look at equity curve
there are places where 100 trades occur and all making a slight DD
this means that day trading for lets say 3 months there is NO PROFIT
this is BAD, this is very BAD
Imagine trading for 3 months without profit
holy shit
spank my ass and call me judy :eek:
abandon this system, or add CREATIVE money management to it
and again, be creative, try even things people say CAn't work
You'd be hard pressed to convince anyone that any market-system won't produce drawdowns, or even periods of flatness (no return).
More or less, the equity curve the OP has posted does not really have any glaring drawdowns, just periods of relative flatness. Money management, which seeks to optmize geometric returns, won't filter out periods of no-growth.
But again, I urge the OP to perform a walk-forward analysis to see how the performance can be improved.
rt
I built a software tool in C++ that analyzes session PNL data from file. The file contains a scan of the user's parameter combinations, and each combination has a vector of session PNL numbers for the entire window of historical data analyzed.
The tool breaks up the vectors into smaller pieces to perform a walk-forward analysis, all under the assumption that the user re-optimizes parameters repeatedly at fixed time intervals (i.e. every 10 sessions), using a window history of specified length.
you can see that the equity return curve can vary by fitness metric used to optimize. What you don't see is how much the curves vary when in-sample and out-of-sample lengths are changed.
I never look at the tradestation performance statistics, as they are woefully inadequate in judging a system. IMO, system trading requires this level of analysis to maximize the chances that the system under question will perform into the future.
rt
The tool breaks up the vectors into smaller pieces to perform a walk-forward analysis, all under the assumption that the user re-optimizes parameters repeatedly at fixed time intervals (i.e. every 10 sessions), using a window history of specified length.
you can see that the equity return curve can vary by fitness metric used to optimize. What you don't see is how much the curves vary when in-sample and out-of-sample lengths are changed.
I never look at the tradestation performance statistics, as they are woefully inadequate in judging a system. IMO, system trading requires this level of analysis to maximize the chances that the system under question will perform into the future.
rt
here is the second pic
Ran across this today
http://unicorn.us.com/trading/el.html
Def some good stuff, planning on playing with the SystemQuality EL after the close.
http://unicorn.us.com/trading/el.html
Def some good stuff, planning on playing with the SystemQuality EL after the close.