Saturday, October 08, 2005

Strange

It really seems I’m the only one seeking answers to such mundane questions, like:

  • What is the best Stopsize for the contract I trade
  • What, if any, is the best Targetsize
  • Can I afford to trade the Trade-management strategy choosen, given my accountsize
  • Will a fully automated, mechanical approach to trading work
  • Do Scale-In and/or Scale-Out strategies work
  • If yes, where do I Scale-In or Scale-Out to improve the overall performance

To know, whether a certain Trademanagement System works, you don’t need to test your own Tradesystem. Actually it would mean a disadvantage, if you used your own tradesystem.

Why? Because the results are not comparable.

The mechanical approach I implemented in FuturesTrader on the other hand provides something like a 50% : 50% system. That’s like flipping a coin, but everytime you run it, you get the same result and would I use your parameters with the same datafile I would also get the same result as you got.

And a change in the Stop and Targetparameters can affect the results to the better or worse, so the system really is ideal to answer the questions above. Answers, which at least I don’t get from looking at my charts.

Of course, given that I have tradesignals on my Ensign-Charts and an already existing link between Ensign and Futures-Trader, I will sometime test my own tradesignals with this new Backtesting Tool. But only when I have found tradeparameters, where I know, that these are on average over the last year or even a longer period, the best parameters for the contracts I trade.

Yesterday Sport mentioned this blog in his own blog. And 3 times the visitors than usual came around to check it out. But all of you taking a look, seem to know the answers, or…you just don’t care. You don’t need to know, because for you it works already.

But statistics tell me otherwise. About 85% of all the daytraders are not profitable. And I really can’t believe, that only the 15% already winning traders are reading this blog. 

So obviously you don’t care about profitability. I received not one E-Mail asking me: “Hi Chris, I mainly trade ES, Bonds or stocks, like MSFT and my minute-files look like this. Could your tool support these?”

To tell the truth, I don’t care. I want to know, because I want to know that the statistics are in my favour, that I really have an edge, when I trade. So I will continue to develop the tools which give the answers I seek.

4 comments:

Christophe said...

Hi Christian,

You are not the only one seeking these answers.

As far as i am concerned, the lack of questions/comments is more to do with finding it hard to keep pace with you.

I find your work extremely useful and I read your blog on a daily basis.

Regards,
Christophe

Carlo Giuntoni said...

Hi Christian

You are defenitely not the only one asking these questions. I read your blog now for almost two weeks I guess. I appreciate extremely the work you do. I posted about you in my blog.

Till now I allways backtested manaully. I tried many programs but you Futures-trader is what Ihave been looking for.

That said. No your questions abou trading.
I don't believe there is one answer to all your questions. There are many ways to Rome (or Cologne)

Position size. I trade the FDAX with contracts without scaling in or out. So for future-trading I only can afford two contracts and thats it.

I sometimes trade CFD's on the DAX and there I have a problem of size but I "solved" (??) this merely by moneymanagement. It is here not possible to outlne what I do that but it's not very special. See if you wish my website., http://radio.weblogs.com/0142482 under Tradingsystem.

Stops. Initial stops are volatility dependant in my opinion. Three years ago the volatility was much higher on the FDAX , I mean intraday volatility, a simple ATR graphic can show you that.
Over time things change, so that a tight stop can be for months very good and other months it can be very bad. Can You test this over all timeframes which are imaginable?? This is important.

So In a way your questions are important but not for my daily trading. At least at the moment. I am restricted by money or by method.

This is what I allways keep in mind as trading is concerned.
Suppose there is system which makes money every 10 year. It's statistics are overwhelming by the means of returns. But the question is who wil trade this system?? A big institution? Maybe but not if it noted on the boards too.

You tested a 20 point stop is ideal on Forex in september. Ok. A month is a month. Suppose a 100 point stop is even better. Can you afford to trade that? Can you live from it than?
I am more interested in consistency. I want to make money regularly on a daily basis, or a few days. An optimisation, may bring p my returns, but may bring down my consistency.

Carlo,

http///radio.weblogs.com/0142482/
http://daytrading-fdax.blogspot.com/

Globetrader said...

So In a way your questions are important but not for my daily trading. At least at the moment. I am restricted by money or by method.

Me as well! I'm trading usually 2 contracts now, sometimes 3. But how to trade these contracts makes an impressive difference at the end of the month. And to answer this question I'm using the backtest module for myself

Globetrader said...

An optimisation, may bring p my returns, but may bring down my consistency.

For me optimization on trademanagement is something totally different from optimization of the trade entries. Working on trademanagement and trade exits is something, where a lot of money can be made.