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Squawk / 22 July 2016 at 11:18 GMT
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Germany
Now. Something for the weekend.

MAN vs MACHINE

(as fxtime called it - some kind of modern turtle experiment. For the moment strictly intraday.)

So there is nice way for first look at trader performance.

And it definitely not resticted to algo trading ;-)

######

Part #1 of the Rule Set.

You trade for 20 consecutive days.

You have a 'notional' account size of 15K.

Your max. postion size is 2 lots at any time. You trade max. 2 different markets in these 20 days.

You can trade 24h, but no overnight positions allowed. You are flat 5pm NY.

When you are down 1500 USD from the initial account (account < 13.5K) you are OUT.

When you are down 1000 USD on the day you stop trading for this day.

Your target is 3000 USD P&L (account > 18K).

######
1y
quant quant
2/2 (MAN vs MACHINE)

Some additional techicals:

Lotsize/Markets: This comes from Futures Trading. For the lotsizes if using CFD/Spot/etc use some reasonable equivalent, try to emulate the Future contract exposure. For Spot Forex use 1 LOT = 100K. (And trade always full lots.)

Its about playing the game, not gaming the rules !

The idea behind this ruleset:

These assessments rules are made to keep a trader engaged. It gives at least a minimal required sample size to show edge and risk management. You cannot bet on homeruns or sit through drawdowns in this framework.

And to be clear: The rules look simple, but beware ;-)

So start up your excel sheet and calulator, or your development system.

And have a nice weekend.
1y
Krunil48 Krunil48
So your target is to make 20% in 20 days with no more that 10% loss. What proportion of taders do you think can achieve that?
1y
quant quant
Good question.

But these are common metrics for a _first_ assessment. I know at least 2 Prop Shops displaying variations on this theme for their funded trader program.. For traders, not for algos.

In my opinion especially the loss limit is is not very well sustainable in an open ended program. There will be rough patches. Every model breaks from time to time or needs re-adjustment.

But with this rules there is no way to start with a broken model.

The rules enforce a trading style with more trades, smaller targets with the result of very controlled risk and most efficient use of capital, or better said margin.

And it shuts down when out of sync with the market !!!

Required for an algo. And best practice for a trader too.
1y
quant quant
For the percentages:

And this is a guess, plus own experience. I don't own a prop shop for better statistical insight :-)

If you are already trading a suitable style you should go through without any effort. This is your day business.

For the rest of the crowd (man or algo):

Failing is the expected outcome! At least for the first couple of runs If you succeed by chance, by lucky events, random price shockes, news,. central bank speakers or whatever - be fair - take a another run. But if this trading style seems to fit you, take another run even if failing at the beginning. Make some homework. Retry. Things will get better very rapidly. If not, take the parts you like, as your search has not ended here.

So much for now.
1y
Krunil48 Krunil48
Thank you for your reply... I'm afraid I don't trade the instruments you mention but use a spread betting account for spot. Just to confirm, I calculate that if I was trading GBPUSD my 'lot' size for £100,000 exposure would be £10/ point = $130,000 (approximately). On a £15000 account, a 15 point move = 1% of my account (£150). Similarly, 2 'lots' by a 15 point move = 2%.
You say that someone with a suitable trading style could achieve the returns you've mentioned of 20% per 20 days with less than 10% loss. Can you confirm that you believe it is actually possible to achieve this or you can do so yourself?
1y
Qi2 Qi2
Hi Quant, is it ok to do this on a demo? In my real account, I can't trade with the suggested lots size, as I trade on a multi-dealer platform and minimum is 10 standard lots...:(
1y
Qi2 Qi2
I screwed up already, I am so used to trading with 10 lots, and for whatever reason, I started out the same this evening. But for amusement purposes, I thought may as well send the results
1y
Qi2 Qi2
I checked out the lot size (I am not used to trading on MT4) and 10 lot's is 100K, so I am fine, I have not broken the rules so far :).
1y
quant quant
Thank you for the interest in this topic.

Another simplifying step.

To make things better comparable lets get rid of absolute or percentage target values in USD (or whetever account currency).

Different leverage can make this numbers near to useless.

The stats should give you reasonable samples size for a trade setup to answer this question:

What is your net expectancy for every trade in ticks (or pts/pips if better suitable)

And with some added addtional statistical insight about the market day structure (thats the one of the themes for the next posts) we will get very nice insight were stops and targets should be. It about finding the sweet spot that gives the optimal risk adjusted exposure (size/frequency/risk) to the market.

And it detaches in a sound way from the financial outcome of single trades - but lets stick to the technical part for the beginning.
1y
Krunil48 Krunil48
Thanks Quant, for your reply and look forward to your next post.
Ps. Looks like Qi2 has nearly made their 20% in their first hour of trading!
1y
Krunil48 Krunil48
Hi Qi2...excuse me for replying if weren't talking to me, however, looking at your account (thanks for posting) I'd say you definately were trading 1lot = 100k. For example, your first trade, if you bought 106,401 yen then sold 106,455, you made 50.73 (pressume 54.00 less commission?). Still, impressive result in terms of straight wins.
1y
Qi2 Qi2
Hi Krunil48, ok thanks for pointing that out! I'll start a new account.
1y
Qi2 Qi2
Here's the new account, and this morning's summary. The system is designed on EUR/USD, EURGBP, and trades the GBPUSD. Vancouver time, it performs only 6:30 AM to 9:30 AM, its success rate on entry is 92%, typically earns 5 pips, but will earn up to 17 pips.
1y
Qi2 Qi2
Added a few trades, the moves in the last 20 minutes were simply to tempting :)
1y
quant quant
The "cable trader" stats:

Day #1 / Monday 2016-07-25

4 trades / 12 round turns / + 8 ticks (pips)

As this is from a futures demo account (traded the CME 6B Sep 16) this should be penalized at least by 1 tick per round turn for execution/slippage. (And for commissions by another tick).

So this would be (slightly) negative in the real world.

Trading was quite overshaded with executions errors on the demo platform.

Yesterdays market was trading in balance with low volume. Nothing to push too agressively.
1y
quant quant
yesterday's 24h profile - picture perfect
1y
fxtime fxtime
Ah market profiling ....always a must have data set. Steidlmayer changed traders mindsets beautifully with the use of these imho.
1y
quant quant
The "cable trader" stats:

Day #2 / Tuesday 2016-07-26

4 trades / 10 round turns / -86 ticks

Had 3 losing trades in the LON+NY session, 1 small winner at the end of the NY session.

Could not find any sizable follow through with my entries.
1y
quant quant
yesterday's 24h profile - 'neutral' day type (outside day)
1y
quant quant
The "cable trader" stats:

Day #3 / Wednesday 2016-07-27

1 trade / 2 round turns / -41 ticks

Mechanical breakout trade did nor reach scale out or target before news, scratched the trade to late. Ran into full stop. No further trades (pre FOMC).
1y
quant quant
yesterday's 24h profile

(in the 2nd chart the yest profile is splitted additionally at the FOMC event)

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