The leverage for 1000 contracts is about $60M. If you are trading $10-15m, it would be 5-6x leverage. It means, you may get about $1M drawdown on 2% gap move either way and 2% gaps can happen or 10-12% drawdowns per trade. We had days where the market constantly gapped up and down 1% without a trend. This would be devestating for a stops-based trading system, while a system with proper hedging would not show such drawdowns. I tend to set it up and let the trades go until the market resolves in the desired direction.
Fully Automated Trading Strategy
Started by
ogm
, Aug 18 2012 07:16 PM
23 replies to this topic
#22
ogm
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Posted 19 August 2012 - 12:53 PM
The leverage for 1000 contracts is about $60M. If you are trading $10-15m, it would be 5-6x leverage. It means, you may get about $1M drawdown on 2% gap move either way and 2% gaps can happen or 10-12% drawdowns per trade. We had days where the market constantly gapped up and down 1% without a trend. This would be devestating for a stops-based trading system, while a system with proper hedging would not show such drawdowns. I tend to set it up and let the trades go until the market resolves in the desired direction.
It doesn't mean that every gap was a loser
But I see your point.
#23
rotrot
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Posted 20 August 2012 - 06:35 AM
looks very similar to the system developed by the Foundation for the Study of Cycles...
Z Signal - Foundation for the Study of Cycles
Z Signal - Foundation for the Study of Cycles
#24
ogm
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Posted 20 August 2012 - 07:00 AM
looks very similar to the system developed by the Foundation for the Study of Cycles...
Z Signal - Foundation for the Study of Cycles
Looks like they have more bad entries (lower % profitable ) but they cut losses fast and ride the profits well, ( good profit factor )
But its long only.
What does the equity curve look like ?
