MTP - Expectancy

[Eddo]

If anyone else using MTP has studied any of the courses or read any of the books published by Dr Van Tharp I hope that you might be interested in a little study I have undertaken, but more importantly (from my point of view) I hope you might wish to add your own feedback/experience/results.

I have just completed a study based on my MTP trades since 1st January 2006 to end June 2006 (six months) to check on my expectancy using MTP.

Over that period of time I produced:

Total trades 143
Worst negative R = -1
Best positive R = +8

Over those 143 trades I have an expectancy (total R / total number of trades) = 0.22

Now, my first reaction to that was that 0.22 expectancy didn't look like a particulary high number but it did show that trading with MTP WILL GIVE me a positive return over a significant number of trades.

When converting the 0.22 expectancy into the expected return per trade, I was very pleased to find that based on a 2% risk of my equity per trade, I can expect a 0.44% gain per trade (i.e. 2% * 0.22 = 0.44%). Over this six month trial on 143 trades that is a 63% return on my capital (125% per annum - which is certainly better than my stockbroker is doing !)

My personal objective is to try to increase the 0.22 expectancy level and I feel that there are two ways to do that:

1. Get the stop to breakeven as soon as the 100% intial risk level is achieved.

2. Try to manage the winning trades better in an attempt to 'catch' the few monster R trades which invariably I miss out on because I have closed out too soon.

I would be really interested to know if anyone has any comments on all of this and I would be interested to know if any other MTP users, who have performed a similar exercise, are getting a much better expectancy than I am - if so please let me know what your doing !

Thanks - Chris :)

[davidl]

Great post Chris!! Thanks for posting your data. I wish i could post my results for you, but i just dont have enough trades under my belt yet. I'll post my results as soon as i get 30 trades.

By the way, i hope you realize that you are a millionaire. If you keep up your same pace, with a starting account of $10000, in 5 years your account will be at 1.3 million. Also, I bet over the next 5 years that your expectancy per trade will go up. Congrats!!


David

[davidl]

One other thing. I think you should recalculate your figure for 125% return for the year. I think your doing a bit better than that.

After 6 months $16300, after 12 months $26569. With a starting account of $10000.

[Eddo]

Great post Chris!! Thanks for posting your data. I wish i could post my results for you, but i just dont have enough trades under my belt yet. I'll post my results as soon as i get 30 trades.

By the way, i hope you realize that you are a millionaire. If you keep up your same pace, with a starting account of $10000, in 5 years your account will be at 1.3 million. Also, I bet over the next 5 years that your expectancy per trade will go up. Congrats!!


David

Thanks David,

I would certainly recommend that you do the calculations as soon as you have enough trades to work on -

The one thing of course I did not say is that even with an expectancy of only 0.22 the overall return will get bigger with the benefit of ongoing position sizing - so that my 0.44% return on equity with a starting equity of £20,000 ($37,000) was initially £88 ($162 per trade) but as the equity curve grows so does the profit per trade - i.e. with equity at £40,000 ($73,600) my profit per trade becomes £176 ($323).

Now thats without improving my current Expectancy figure - if I can improve that or other member are already doing that, then things start to look really very interesting :) :)

[Matt Bowen]

Hi Chris,

Excellent thread...I wish we had more traders like you!!! You are one of the best traders on this board and I knew that when you started posting from all of your detailed reports. Good for you Chris, this will pay you back in spades.

Speaking of Expectancy, I sent out a great expectancy report, not once but twice to all of our readers who are on our mailing list. It's a pity that they didn't open the file up and read it...they are missing some of the best information on trading (that they will get their hands on for free). I track the e-mails and 52% on the non-customer list did not even click on the link to read the expectancy report. I didn't know people were that lazy or they must be waiting for someone to trade their account for them???

Something funny:

Every time I send out e-mails, I track how many people open the files and links that are in the free newsletter. It's really sad because we give away some great information and they don't even open the file to read it. I call these people the "Microwave mentality" they want something for nothing and then when you give it to them, they instantly want to know everything, but here's the kicker: they don't want to read it. I'm like: "Are you kidding me, you expect me to help somebody who does not even want to help themselves... no way, I'm not wasting my time. Life is too short, I don't have time to spoon feed people...and at the same time I don't feel bad or guilty because I've given them the resources...they just need to do the work. I grew up in a military environment, if you decided to become lazy you simply got a swift kick in the ass and that was all the motivation you needed, ha ha!!!

Sincere wishes for a good life
and (always!)... higher profit$,

Matt

[Eddo]

Hi Chris,

Excellent thread...I wish we had more traders like you!!! You are one of the best traders on this board and I knew that when you started posting from all of your detailed reports. Good for you Chris, this will pay you back in spades.

Speaking of Expectancy, I sent out a great expectancy report, not once but twice to all of our readers who are on our mailing list. It's a pity that they didn't open the file up and read it...they are missing some of the best information on trading (that they will get their hands on for free). I track the e-mails and 52% on the non-customer list did not even click on the link to read the expectancy report. I didn't know people were that lazy or they must be waiting for someone to trade their account for them???

Something funny:

Every time I send out e-mails, I track how many people open the files and links that are in the free newsletter. It's really sad because we give away some great information and they don't even open the file to read it. I call these people the "Microwave mentality" they want something for nothing and then when you give it to them, they instantly want to know everything, but here's the kicker: they don't want to read it. I'm like: "Are you kidding me, you expect me to help somebody who does not even want to help themselves... no way, I'm not wasting my time. Life is too short, I don't have time to spoon feed people...and at the same time I don't feel bad or guilty because I've given them the resources...they just need to do the work. I grew up in a military environment, if you decided to become lazy you simply got a swift kick in the ass and that was all the motivation you needed, ha ha!!!

Sincere wishes for a good life
and (always!)... higher profit$,

Matt

Thanks Matt,

I was amazed that people don't bother to read the reports you sent out - I am actually a client of Dr Van Tharp in that I bought the Developing a Winning Trading System a year or so ago (actually with hindsight I bought the wrong one and should have gone for the Peak Performance course) and I also have a couple of his books - despite that I always read your attachements with interest - this weekend for example I printed out the Expectancy report and spent my weekend reading and digesting it - there was nothing in it that I hadn't read before from the matterial I already own ........... but I still read it again and enjoyed it and it was your report which prompted me to post my results.

Could I ask you what your view is on my current Expectancy figure of 0.22? I feel that it should be higher and that the reason its not is because I am not staying in the really big R trades long enough - I think that my problem is that I have had so many trades where I have got my stop to break even only to be stopped out (for a zero gain) on a minor reverse only to see the trade zooooooommmmmmmmm off in the direction that I had been that I get nervous when I have a reasonable gain and to protect that am placing a new stop which is too tight (I am now trying Steves ATR stop but havent yet got enough trades in on that to give any really sensible input yet).

Anyway - I would be interested in have your view on my current 0.22 figure.

Chris

[ericd2281]

Chris,

I just picked up on this thread and figured I would give you my experience with the Van Tharp Peak performance seminar. I found it to be a great weekend course and well worth my time. I still review and use the material on a daily/weekly basis. The teachings are beneficial to both the trading aspect of one's life and other areas. That being said I would highly recommend the course.

Also, one other item regarding expectancy that may or may not have been included in the material you read is the importance of the number of trades conducted with a positive expectancy in a given time period. For example, an expectancy of 0.22 for a day-trading or short term system will, on average, produce more profit per period than a longer-term system.

Also, another factor to look at is the standard deviation of your R-multiples. the lower the standard deviation, the more consistent the returns. The method Van Tharp recommended to use the standard deviation was to divide your expectancy by the standard deviation (to get the standard error). The higher the result is, the larger and more consistent the returns are projected to be.

Matt- Regarding the attachments to the emails you have sent out, I have found them to be very useful-especially the Turtle Trading Rules, and Money Management reports. I found it very interesting how methodical and comprehensive the Turtle Trading Rules were.

Regards,
Eric

[Eddo]

Chris,

I just picked up on this thread and figured I would give you my experience with the Van Tharp Peak performance seminar. I found it to be a great weekend course and well worth my time. I still review and use the material on a daily/weekly basis. The teachings are beneficial to both the trading aspect of one's life and other areas. That being said I would highly recommend the course.

Also, one other item regarding expectancy that may or may not have been included in the material you read is the importance of the number of trades conducted with a positive expectancy in a given time period. For example, an expectancy of 0.22 for a day-trading or short term system will, on average, produce more profit per period than a longer-term system.

Also, another factor to look at is the standard deviation of your R-multiples. the lower the standard deviation, the more consistent the returns. The method Van Tharp recommended to use the standard deviation was to divide your expectancy by the standard deviation (to get the standard error). The higher the result is, the larger and more consistent the returns are projected to be.

Matt- Regarding the attachments to the emails you have sent out, I have found them to be very useful-especially the Turtle Trading Rules, and Money Management reports. I found it very interesting how methodical and comprehensive the Turtle Trading Rules were.

Regards,
Eric

Thanks Eric -

Just one thing however - what do u mean by 'standard deviation' ? What I did was to take the total R figure achieved after my 143 trades and then divide that number by the total trades - i.e. Total R figure was 31 /143 -0.22

Could you just explain how I get your standard deviation figure please

Many thanks - Chris

[ericd2281]

Chris,

If you are working in MS Excel and have the list of all R-multiples in cell C1 to C165, use the function '=STDEV(C1:C165)'. That will give you the standard deviation result.

The standard deviation gives you insight into the range of results that would be expected. It basically describes the width of the bell curve that is commonly spoken of for standard tests like IQ test, college entrance exam etc. The way it relates to your trading results is this......

A real high-level overview of what you can expect can be found below
-Your expectancy over 143 trades is equal to 0.22
-Standard Deviation is found to be .10 (based on above formula)
- ~68% likelihood that your expectancy will be between .12 (.22-.10) and .32 (.22+.10)
- ~95% likelihood that your expectancy will be between .02 (.22- 2*.10) and .42 (.22+ 2*.10)

A higher Standard Deviation would look like this:
-Your expectancy over 143 trades is equal to 0.22
-Standard Deviation is found to be .20 (based on above formula)
- ~68% likelihood that your expectancy will be between .02 (.22-.20) and .42 (.22+.20)
- ~95% likelihood that your expectancy will be between -.18 (.22- 2*.20) and .62 (.22+ 2*.20)

Basically a lower standard deviation results in more constant results. It is a lot more complicated than this to fully understand everything but this should help.

I am not sure where Van explains this part of expectancy at. I think that would be a good place to start looking as he can probably explain it better than I can.

Hope this helps!

[Eddo]

Eric
- blimmey ! I put the formula STDEV(05:o147) into the excel file and got a resulting figure of 1.66 - is that good or bad:confused: :confused:

Chris

[ericd2281]

Chris-

if you don't mind, email me your excel file and I can look at it further- edetterman@comcast.net

Don't quote me on these numbers, but I vaguely remember Van mentioning that when you divide your expectancy (.22) / standard deviation (1.66) a number over .25 is very good and a number over .15 is good.

In any event I will check my notes from the seminar to verify.

Regards,
Eric

[Eddo]

Chris-

if you don't mind, email me your excel file and I can look at it further- edetterman@comcast.net

Don't quote me on these numbers, but I vaguely remember Van mentioning that when you divide your expectancy (.22) / standard deviation (1.66) a number over .25 is very good and a number over .15 is good.

In any event I will check my notes from the seminar to verify.

Regards,
Eric

Its sent - I think .22/1.66 = 0.13 which (if your numbers were right) means I am below good .............. I must do better !!:)

[Eddo]

Its sent - I think .22/1.66 = 0.13 which (if your numbers were right) means I am below good .............. I must do better !!:)

Eric - just a follow up I think your absolutely correct because a number of 0.13 would give me a 0.26% gain per trade - and based on my numbers (see attached) that is almost excatly what I have got - i.e. an average gain of £52 per trade based on my trading capital pot of £20,000 (i.e. £20,000 * 0.26% = £52)

My MSA software comes up with the same figure - see attached

Many thanks again -

PS David - if you read this you will note that its going to take me just a little longer to become the millionaire :(

Chris

[Eddo]

Eric - just a follow up I think your absolutely correct because a number of 0.13 would give me a 0.26% gain per trade - and based on my numbers (see attached) that is almost excatly what I have got - i.e. an average gain of £52 per trade based on my trading capital pot of £20,000 (i.e. £20,000 * 0.26% = £52)

My MSA software comes up with the same figure - see attached

Many thanks again -

PS David - if you read this you will note that its going to take me just a little longer to become the millionaire :(

Chris

Just to finish off my ramblings - please find attached the MSA figures if only I had had the balls to actually use correct position sizing on the same trades - this is based on a 2% risk on the current capital sum -

PS David - I might get there when you thought I would after all !!

[jswin]

Great results! I was wondering what you did to ascertain postition size in the real-life example compared with the hypothetical example.
As I understand it, the latter incorporated a fixed fraction of 2%. To clarify, was this 2% of $20,000 (so a max loss of $400) per trade regardless of equity growth, or was this 2% of the equity in the account as it stood at the time of the trade?
Thanks,
Joel

[jswin]

Hi Chris, sorry, ignore that, I guess when you say 'current capital sum' that refers to a 2% equity risk at the time of the trade. Did you use any form of position sizing in the first example?
Thanks again.
Joel

[Eddo]

Hi Chris, sorry, ignore that, I guess when you say 'current capital sum' that refers to a 2% equity risk at the time of the trade. Did you use any form of position sizing in the first example?
Thanks again.
Joel

Hi Joel

Yes the second set of figures shows what the result would have been had I been making proper use of position sizing by risking 2% of whatever the capital sum was at the time of each trade having started with a capital sum of £20,000,

The actual results (the first set) did not have this because in practice I had made some losses on other trades (Not MTP generated) which reduced my capital sum and in turn reduced that actual sum I was prepared to risk on the next trade - in short my figures posted related to only the MTP trades but with a risk based on a capital sum which was being affected by some non MTP trades (most of which I might add ended in disaster) !

I hope that helps - Chris

[jtrade]

2. Try to manage the winning trades better in an attempt to 'catch' the few monster R trades which invariably I miss out on because I have closed out too soon.


Chris - thanks for this very interesting thread.

Although I have owned MTP for a while, I have only very recently started to trade with it live. With a relatively low winning percentage, I think the solution that best suits my personailty - and which I use with other trading methods - is to trade multiple lots (I usually trade 3 lots) and scale out at the MTP target points. In the current USDJPY trade (long from 114.42), I would have exited one at the Min Wave 5 pt of 116.77 and be holding the remaining 2. Then there is the question of how tight to trail one's stop and I must say the ATR stop on the daily chart looks mighty wide... scares the bejeebers out of me :eek: ! I have just moved my stop on this trade, on which I only have a single contract, to just below the ATRStop on the 4 hr chart (see attachment - please excuse the MA ribbon, which is an experiment...).

This may prove to be too tight - I would say holding trades is my biggest problem area in trading : I suffer from premature stopping-out :mad: ! I will be attending a workshop led by the legendary Ed Seykota next weekend, at which I hope to address this particular issue...

The charts below should be the daily (1440m) showing the WPTs and the 240min with the ATRStop (the horizontal red line is where I have just moved my stop).... I think I may have to put the 240min chart in another post...

J.

[jtrade]

Here's the 240min chart related to my post above...

[NHN123]

Chris - thanks for this very interesting thread.

Although I have owned MTP for a while, I have only very recently started to trade with it live. With a relatively low winning percentage, I think the solution that best suits my personailty - and which I use with other trading methods - is to trade multiple lots (I usually trade 3 lots) and scale out at the MTP target points. In the current USDJPY trade (long from 114.42), I would have exited one at the Min Wave 5 pt of 116.77 and be holding the remaining 2. Then there is the question of how tight to trail one's stop and I must say the ATR stop on the daily chart looks mighty wide... scares the bejeebers out of me :eek: ! I have just moved my stop on this trade, on which I only have a single contract, to just below the ATRStop on the 4 hr chart (see attachment - please excuse the MA ribbon, which is an experiment...).

This may prove to be too tight - I would say holding trades is my biggest problem area in trading : I suffer from premature stopping-out :mad: ! I will be attending a workshop led by the legendary Ed Seykota next weekend, at which I hope to address this particular issue...

The charts below should be the daily (1440m) showing the WPTs and the 240min with the ATRStop (the horizontal red line is where I have just moved my stop).... I think I may have to put the 240min chart in another post...

J.

Hi,

really good thread here, have been reading with great interest.

On the ATR issue, if you think it is too far away, have you tried changing the settings to suit your trading style? i.e. 2* volatility instead of three, or maybe change the rachet to accelerate faster?

I have the same problem with early exits. I am getting better though. What I am doing at the moment, is paper trading for about 6 months. What this allows me to do, is do things text book style, without worrying about paying the bills or anything. Hopefully this will train my mind to think like a pro because I will see at the end that doing it properly is the best thing long term, if you get what I mean!?

I've also just started to read a van tharp book, trade your way to financial freedom, which someone kindly leant me. I think I will learn alot from it. Has anyone else read it?

Cheers and the best of luck to you all (not that it is about luck!)
Nick

[ericd2281]

Interesting thread here.....

I just completed reading New Market Wizards by Jack Schwager (HIGHLY recommended book) and in it pretty much every trader mentioned (except options traders) spoke of using an exit strategy that involved 'scaling out' of positions.

i.e. Exit 1/3 of the position at 1st WPT target, Exit 1/3 at 1.5 ATR, Exit 1/3 at 2.5 ATR

Obviously this would be fit to how the individual trader's risk tolerance but that seemed to be a common theme between the traders interviewed in the book. It seems that most traders were willing to let the trades that were very successful run by using a looser stop.

Also, I distinctly remember two trade entries found by MTP standard setups this year in Futures-Gold and Copper that would have been stopped out much quicker had they used a tighter stop policy. I believe these trades alone would have generated enough profit to 'cover up' a lot of lost profit that may result from using a loose stop.

I had one question that I was wondering about since I read the turtle trader rules....

How do each of you position size in Futures or Forex when, based on the distance between the entry and the stop, your position size would be significantly above or below your desired risk based on the number of units you choose?

i.e. You intend to position size to 2%.....but the risk on 1 contract is 1.5% and on 2 contracts is 2.5%?

Is this just a problem that must be dealt with when trading relatively small accounts?

[NHN123]

Now I think the question I am about to ask is related to this thread, because it is about accumulation of profits, but with an evil twist of tax.

I don't want tax advice, I am really just wondering (generically speaking) what one does at the end of tax years.

Lets take a $50,000 account at the start of the year. You then get a few profits under your belt and your capital is now 60k. This allows you to increase your $risk, which potentially means you can profit more - I think you know what I mean.

Then it comes to the end of the year. By accumulating your profits, you have done very well, and your capital is up to 90k. Then, and this is where my question comes in, you have to pay the tax man 40% of your 40k profit, which is 16k. So now you have to reduce your trading capital by this, which leaves you with 74k to start the next year with.

What I am trying to ask is, these figures that you clever chaps have produced on this thread, should they take into account things like tax?

It may seem a stupid question, but I think it is a logical one. I may be missing something however, as I am not a tax expert - so apologies if I am....

Thanks
Nick

[ericd2281]

Nick,

I am not a tax man here either but I think the question is more of a cash flow and cash management question......

In my mind there are several options which one could use based on if they have a regular job to pay their bills or not

1) Calculate the money that would be owed to any tax agency on a weekly or monthly basis depending on how often you trade and remove the money from your trading account and place in some risk-free investment i.e money market account until that payment is due. This would reduce the account size and related position size. In my opinion, this is a more conservative approach.

2) Keep the money in the account until the tax is due and then remove it from the trading account to pay the tax bill. In my opinion, this is a more aggressive approach as you may be in some level of a drawdown.

This same exact concept would be used for traders that do not have a day job or other source of income.

For those traders out there, what is your cash management strategy? i.e. hold x months worth of expected expenses in a risk-free investment to surivive a draw-down?

Eric

[NHN123]

Nick,

I am not a tax man here either but I think the question is more of a cash flow and cash management question......

In my mind there are several options which one could use based on if they have a regular job to pay their bills or not

1) Calculate the money that would be owed to any tax agency on a weekly or monthly basis depending on how often you trade and remove the money from your trading account and place in some risk-free investment i.e money market account until that payment is due. This would reduce the account size and related position size. In my opinion, this is a more conservative approach.

2) Keep the money in the account until the tax is due and then remove it from the trading account to pay the tax bill. In my opinion, this is a more aggressive approach as you may be in some level of a drawdown.

This same exact concept would be used for traders that do not have a day job or other source of income.

For those traders out there, what is your cash management strategy? i.e. hold x months worth of expected expenses in a risk-free investment to surivive a draw-down?

Eric

That makes a lot of sense - put some away somewhere for expenses, including tax.

I will discuss how to estimate these sort of things with my accountant...

Thanks
Nick

[ericd2281]

Nick,

To save yourself some money in bean counter hourly billing expenses, here is what I do......

1) Pay virtually everything with Credit Card, Check Card or Electronic Debit from Checking Account
2) Setup web access to all above noted accounts to download statements & data to MS Money
2) Use MS Money (or Quicken) to track expenses and enter future expenses (i.e. taxes, mortgage, insurance etc.)
3) Figure out monthly expenses using MS Money reporting
4) Determine how many months of cash should be put in risk-free investment and adjust periodically

Email me with any questions you may have at edetterman@comcast.net

Eric

[davidl]

Just to finish off my ramblings - please find attached the MSA figures if only I had had the balls to actually use correct position sizing on the same trades - this is based on a 2% risk on the current capital sum -

PS David - I might get there when you thought I would after all !!

Chris, all i did was compound your 6 month 63% increase over 5 years (10 periods), assuming you keep the same pace. I'm sure your realize that.

David

[Matt Bowen]

Hi Nick,

That picture is the ultimate dichotomy of about 80% of the traders I work with. Ultimately, it comes down to the metrics and when a trader see's how much money they have left on the table...then and only then do they understand that by taking the quick profit that they are really screwing them selves out of the long term gains needed to make money.

Seriously, the MTPredictor product is predicated on the fact that the trader is going to hang on to the trade for the full ride...either by using the WPT exit strategy or by using the ATR... If a trader does not follow this crucial part of the trading plan they will never make long term profits.

Every time I hear a trader say: "I can't hold on or scares the bejeebers out of me" then they are trading too large of size. This means they are trading scared money...Money they can't afford to lose and whenever they do this they will FAIL EVERY TIME because the pressure is too great. You have to cut down your size so you are comfortable...DON"T EVER let you emotions control the trade (you will lose this game trust me)...let the position size control the trade.

You picture while amusing to some...because they are in fact that person with the same problem... this is why we constantly hammer out the position sizing...people get tired of hearing it and believe me...I hate preaching it, but 9 out of 10 problems people have trading are related to position sizing and screwing up the management of the trade. Every time somebody calls me up and says: "I have a problem"...my first questions is take me through the trade, I want to SEE the problem. Sure there are trades that don't work, but I can't tell you how many times I have seen mis-management of a trade or they traded too much (because they did not position size correctly) and this was the root of the problem.

In any event, Great post and the picture should help other people see this...

All the best,

-Matt

[Matt Bowen]

Hi Chris,

Anyway - I would be interested in have your view on my current 0.22 figure.


I really can't say anything more than Eric has already stated. Eric is truly a gifted individual as he works with metrics far better than I do and believe me when I tell you this...Eric can do things in Excel that I never knew were possible, a true genius in the world of metrics.

The only thing I would add to the discussion is the fact that Real-Time trading cost are much more expensive (this includes slippage). So your overall cost of trading is higher and thus will impact the expectancy numbers.

-Matt

[NHN123]

Hi Nick,

That picture is the ultimate dichotomy of about 80% of the traders I work with. Ultimately, it comes down to the metrics and when a trader see's how much money they have left on the table...then and only then do they understand that by taking the quick profit that they are really screwing them selves out of the long term gains needed to make money.

Seriously, the MTPredictor product is predicated on the fact that the trader is going to hang on to the trade for the full ride...either by using the WPT exit strategy or by using the ATR... If a trader does not follow this crucial part of the trading plan they will never make long term profits.

Every time I hear a trader say: "I can't hold on or scares the bejeebers out of me" then they are trading too large of size. This means they are trading scared money...Money they can't afford to lose and whenever they do this they will FAIL EVERY TIME because the pressure is too great. You have to cut down your size so you are comfortable...DON"T EVER let you emotions control the trade (you will lose this game trust me)...let the position size control the trade.

You picture while amusing to some...because they are in fact that person with the same problem... this is why we constantly hammer out the position sizing...people get tired of hearing it and believe me...I hate preaching it, but 9 out of 10 problems people have trading are related to position sizing and screwing up the management of the trade. Every time somebody calls me up and says: "I have a problem"...my first questions is take me through the trade, I want to SEE the problem. Sure there are trades that don't work, but I can't tell you how many times I have seen mis-management of a trade or they traded too much (because they did not position size correctly) and this was the root of the problem.

In any event, Great post and the picture should help other people see this...

All the best,

-Matt
Hi Matt.

I'm still at the stage of making these mistakes, hence the picture I posted. But I am getting there, slowly but surely; and I must say this is largely due to your reports you send with that "psychological c##p" on it.

I really wanted to say thank you to you and the guys at MTP.

I am now taking the time to learn more without jumping in (or doing anything other than forward testing for that matter).

I have now realised that all my trading losses are down to me; when I first bought MTP, I still kept losing money and then getting scared to trade after a losing run - then you can guess what always happened - I talked myself out of trades, and of course, they would have been beauties. Then I jumped back in, and lost a few, then got scared again, and missed trades that would have dealt with the losses very nicely...

I think anyone who cannot win in the long term using MTP's approach (me included) seriously has to look at what they themselves are doing wrong... Think about it, the MTP system/method has consistantly performed very well over the last 17 years or something like that; I have, on the other hand, consistantly blown my entire account, and had to put more money in, and been on margin call every day for months (It's embarrassing to say, but I went short crude oil last year at $49, and was aiming for about $0.50 profit, I eventually got out at somewhere around $65 - that was a typical trade in those days for me; a few quick bucks then a win that would wipe out my profits, and then rest of my account, and my credit cards and my savings... get the picture?) So where does that tell you the problem lies?

Anyway, with MTP, even with correct position sizing, I was still losing cos I wasn't running my profits, although I was cutting my losses - a step in the right direction, at least!

What I am trying to say, is to get your expectancy up, and be a long term success is stick to the rules Steve, Tony and Matt have worked so hard on over the years - it works best if you do that. Cut your losses, and let your profits run - I learnt the hard way!

Sorry if I'm rambling but I wanted to tell you about my long and painful journey I've had in my trading career (if you can call it that)

[davidl]

Interesting thread here.....

I just completed reading New Market Wizards by Jack Schwager (HIGHLY recommended book) and in it pretty much every trader mentioned (except options traders) spoke of using an exit strategy that involved 'scaling out' of positions.

i.e. Exit 1/3 of the position at 1st WPT target, Exit 1/3 at 1.5 ATR, Exit 1/3 at 2.5 ATR

Obviously this would be fit to how the individual trader's risk tolerance but that seemed to be a common theme between the traders interviewed in the book. It seems that most traders were willing to let the trades that were very successful run by using a looser stop.

Also, I distinctly remember two trade entries found by MTP standard setups this year in Futures-Gold and Copper that would have been stopped out much quicker had they used a tighter stop policy. I believe these trades alone would have generated enough profit to 'cover up' a lot of lost profit that may result from using a loose stop.

I had one question that I was wondering about since I read the turtle trader rules....

How do each of you position size in Futures or Forex when, based on the distance between the entry and the stop, your position size would be significantly above or below your desired risk based on the number of units you choose?

i.e. You intend to position size to 2%.....but the risk on 1 contract is 1.5% and on 2 contracts is 2.5%?

Is this just a problem that must be dealt with when trading relatively small accounts?

Eric, it can be a problem with small forex accounts. But my broker has micro accounts, in other words i can calculate my 2% risk down to a penny. I think there is a term for that gap, but i cant recall it. Gap being, only able to risk 1.6 % instead of the full 2%. Asymetrical leverage maybe???

[Matt Bowen]

Hi Nick,

Believe me...I feel your pain!!!

It took me 8 years to become a profitable trader...am I stupid...no, I'm just like everybody else, I wanted to be right on 80% of my trades and at 70% winning trades I still felt like a failure (imagine that), talk about having your head screwed on backwards. The reason It took me so long to get it right is because I wanted to be the "Big Brain" smart guy who never loses on his trades. Truth is, I was getting my ass handed to me and I couldn't admit it. In fact, one summer I went through $60,000. in trading accounts in a matter of three months. I was a raging maniac, I got so pissed-off I threw a monitor out a window of my house...and you don't think that was psychology at work??? Trust me, at 22 I had a lot more testosterone going through my system...as you can tell, I was trading emotionally and that will not work.

http://www.mtptrader.com/stop.gif


Let me tell you something, this business will either make you or break you...I did both to me. I went through what's called "Trader's Hell" and that is where your need to be right outweighs all other aspects of the business. I seriously wanted to quit the business on more than one occasion. I had a friend who saw how miserable I was and he said to me" "look man, you are going about this business all wrong...you are trying to control the market and you will never win like this". He gave me a course called: Successful investing (It's now called the Peak Performance Course) and this is what helped me turn around. I'm not even going to tell you who or what the course is because I get blamed for being a salesman all the time, but I can tell you this it was like looking in the mirror and seeing the horror story unfold. There was so much baggage and crap in my life that I did not want to deal with and because I refused to deal with it, I got sucked into "Trader's Hell"

Why is this significant? Because think about this for a second (and ladies you will appreciate this one) Most traders are Men, it's no secret. Now let me ask you something guys...Do you ever stop to ask for directions when you are lost and be honest?
No, and do you know why? Pride, Ego, what ever they you want to call it, the bottom line is No, you don't ask for directions because it's a Blow to your Ego. Mr. Know it all (and do it all)...can't ask for directions! Do you talk about your trading losses, No, it's a Blow to your Ego. Having to admit your wrong is not something the average male is going to tell you or admit to. How many times have you been at a cocktail party and you talk to your friends about the trade you just took a hit on? Hell no, you want to bury that sucker under the floor. However, you are going to let them know you made a killing on Google last year...because you need to have that Ego stroked. People have a fundamental need to feel accepted.

The moment I decide to admit I was a losing money as a trader (and that I had a problem at trading) everything changed, why? Because losses are a BIG part of trading and how you handle them is everything. I simply did not know how to handle losses...I was so focused on the profit that I paid no attention to losses until I was in serious trouble. In fact, how you handle losses determines how much you make. Again, this get's back to position sizing because position sizing does not allow you to get into trouble (providing you honor your stops).

I tell people all the time: Listen, nobody is going to tap you on the shoulder and say: "hey, you suck at trading or your losses are getting out of control and you need to fix this problem". I actually wanted to develop a monitor that had a punching fist and every time I did something stupid it would punch me in the face, but then I figured I would probably never make it to afternoon session because of all my morning mistakes, ha ha!

http://www.mtptrader.com/punch.gif

Seriously, you have to have a method in place that stops you from doing any more damage and evaluates your performance. You have to find the root of the problem before you get knocked out of the game with a margin call. The point is this: If you use position sizing, you will never get knocked out and that is the real secret to trading.

Sincere wishes for a good life
and (always!)... higher profit$,

Matt

[nszasz]

Hi Everybody

Talking about expectancy I would like to doublecheck on one issue: the exact calculation of it.

Let´s take an example:

My trading capital is: 100,000
My planned risk is 2%: 2,000
My actual risk is 1,760 (due to number of ctrs)
My actual loss is 2,130 (due to gaps and/or slippage)
Then my loss is:
a) 2,130/2,000 = 1.065R or
b) 2,130/1,760 = 1.21R

Thanks in advance for any comments.

[Matt Bowen]

Ni Naz,

My trading capital is: 100,000
My planned risk is 2%: 2,000
My actual risk is 1,760 (due to number of ctrs)
My actual loss is 2,130 (due to gaps and/or slippage)
Then my loss is:
a) 2,130/2,000 = 1.065R or
b) 2,130/1,760 = 1.21R

You have calculated the R-Multiples and these are actually negative R's.

When you calculate the R-Multiple you are simply taking the number of points captured at the end of the exit and divide by the initial risk.

A trading system can be characterized as a distribution of the R-multiples it generates. Expectancy is simply the mean or average R-multiple generated.
So, in order to calculate expectancy you need a series of trades rather than one individual trade.

When you have an R-multiple distribution from your trading system, you need to get the mean of that distribution. (The mean is the average value of a set of numbers). And the mean R-multiple equals the system’s expectancy.

Expectancy gives you the average R-value that you can expect from the system over many trades. Put another way, expectancy tells you how much you can expect to make on the average, per dollar risked, over a number of trades.

So when you have a distribution of trades to analyze, you can look at the profit and loss of each one of the trades that was executed in terms of R (how much was profit and loss based on your initial risk) and determine whether the system is a profitable system.

Please note that you can only get a good idea of your system’s expectancy when you have a minimum of thirty trades to analyze, and the preference would be to have 100 to 200 trades to really get a clear picture of the system’s expectancy.

Sincere wishes for a good life
and (always!)... higher profit$,

Matt

[Eddo]

Hi,

really good thread here, have been reading with great interest.

On the ATR issue, if you think it is too far away, have you tried changing the settings to suit your trading style? i.e. 2* volatility instead of three, or maybe change the rachet to accelerate faster?

I have the same problem with early exits. I am getting better though. What I am doing at the moment, is paper trading for about 6 months. What this allows me to do, is do things text book style, without worrying about paying the bills or anything. Hopefully this will train my mind to think like a pro because I will see at the end that doing it properly is the best thing long term, if you get what I mean!?

I've also just started to read a van tharp book, trade your way to financial freedom, which someone kindly leant me. I think I will learn alot from it. Has anyone else read it?

Cheers and the best of luck to you all (not that it is about luck!)
Nick

Hi Nick

Yes I have read the book - actually mine was the Financial Freedom throught Electronic Day Trading - which I think has a lot of the same stuff. Its excellent and put me on what I truelly believe to be the right road - the sections in my book on Expectancy and Position sizing are worth there weight in gold - I have read, re-read and re-read again - having said that there are still bits of that side of life which I think are still unclear and which have been pointed out to me by Eric (from the forum) who is an absolute star with regard to this aspect of our trading and has been sending hours helping me (thanks Eric).

One point about your plan to paper trade - my suggestion is DON't DO IT! It will (in my view) give you a false sense of security because you will have no pressure and therefore will be less likely to make a mistake.

I suggest you open a account with Finspreads who will let you trade for as low as 1p per point for an initial period - by doing that you will be risking a little dosh which I believe to be essential to put you into a proper trading pressure mode

Just a thought - Chris :)

[Eddo]

Interesting thread here.....

I just completed reading New Market Wizards by Jack Schwager (HIGHLY recommended book) and in it pretty much every trader mentioned (except options traders) spoke of using an exit strategy that involved 'scaling out' of positions.

i.e. Exit 1/3 of the position at 1st WPT target, Exit 1/3 at 1.5 ATR, Exit 1/3 at 2.5 ATR

Obviously this would be fit to how the individual trader's risk tolerance but that seemed to be a common theme between the traders interviewed in the book. It seems that most traders were willing to let the trades that were very successful run by using a looser stop.

Also, I distinctly remember two trade entries found by MTP standard setups this year in Futures-Gold and Copper that would have been stopped out much quicker had they used a tighter stop policy. I believe these trades alone would have generated enough profit to 'cover up' a lot of lost profit that may result from using a loose stop.

I had one question that I was wondering about since I read the turtle trader rules....

How do each of you position size in Futures or Forex when, based on the distance between the entry and the stop, your position size would be significantly above or below your desired risk based on the number of units you choose?

i.e. You intend to position size to 2%.....but the risk on 1 contract is 1.5% and on 2 contracts is 2.5%?

Is this just a problem that must be dealt with when trading relatively small accounts?

Eric,

The spreadbet route solves the problem in my view - for example currently I am Short EURGPB at £5 per point - my entry was 6918 with my initial stop at 6963 (ie 45 pips = max risk £225 = about 2% of £10,000).

My margin require (ie fund needed in the account) to hold that position was only about £350 - but I get the gearing to get £5 gain/loss per pip - currently the position has made 84 pips so my gain to date is 84 * 5 = £420

Hope that might be of some help - Chris

[Eddo]

Now I think the question I am about to ask is related to this thread, because it is about accumulation of profits, but with an evil twist of tax.

I don't want tax advice, I am really just wondering (generically speaking) what one does at the end of tax years.

Lets take a $50,000 account at the start of the year. You then get a few profits under your belt and your capital is now 60k. This allows you to increase your $risk, which potentially means you can profit more - I think you know what I mean.

Then it comes to the end of the year. By accumulating your profits, you have done very well, and your capital is up to 90k. Then, and this is where my question comes in, you have to pay the tax man 40% of your 40k profit, which is 16k. So now you have to reduce your trading capital by this, which leaves you with 74k to start the next year with.

What I am trying to ask is, these figures that you clever chaps have produced on this thread, should they take into account things like tax?

It may seem a stupid question, but I think it is a logical one. I may be missing something however, as I am not a tax expert - so apologies if I am....

Thanks
Nick
Nick

Your in England - use a spreadbet account - its tax free :)

[Eddo]

Hi Chris,



I really can't say anything more than Eric has already stated. Eric is truly a gifted individual as he works with metrics far better than I do and believe me when I tell you this...Eric can do things in Excel that I never knew were possible, a true genius in the world of metrics.

The only thing I would add to the discussion is the fact that Real-Time trading cost are much more expensive (this includes slippage). So your overall cost of trading is higher and thus will impact the expectancy numbers.

-Matt

Hi Matt

Thanks for that - but just to be clear the post I placed to start this thread was not a paper excercise, it was real trades with real money !

It also INCLUDES my dealing costs - for example my breakeven trades really were breakeven in that my exit point has taken in the cost of the spread on the trade - so my breakeven really were 'free trades' in short my R multiple figures have already taken account of my dealing charges.

It doesn't of course take account of my data feed with eSignal but that is a relatively small expense in the greater picture -

Hope that makes sense - best wishes

Chris :)

[NHN123]

Hi Nick

Yes I have read the book - actually mine was the Financial Freedom throught Electronic Day Trading - which I think has a lot of the same stuff. Its excellent and put me on what I truelly believe to be the right road - the sections in my book on Expectancy and Position sizing are worth there weight in gold - I have read, re-read and re-read again - having said that there are still bits of that side of life which I think are still unclear and which have been pointed out to me by Eric (from the forum) who is an absolute star with regard to this aspect of our trading and has been sending hours helping me (thanks Eric).

One point about your plan to paper trade - my suggestion is DON't DO IT! It will (in my view) give you a false sense of security because you will have no pressure and therefore will be less likely to make a mistake.

I suggest you open a account with Finspreads who will let you trade for as low as 1p per point for an initial period - by doing that you will be risking a little dosh which I believe to be essential to put you into a proper trading pressure mode

Just a thought - Chris :)
Hi Chris,

My philosophy was,that by paper trading, I would get my mind in better shape; if I do not need to worry about the money I would then trade the way I want to trade and not take the money into account each time.

I do take your point however, but if I get the results that I am aiming for by the end of my "experiment", I will hopefully see that this is the way to do it, and be a better trader for it.

There are a lot of good points to spread betting, namely tax free, and no currency risk, and what I like is they roll your contracts automatically, so you'll never get to delivery if you forget to close out... there are also loads of drawbacks for me. But I'll have to way them up.

Thanks

[Eddo]

:) Hi Chris,

My philosophy was,that by paper trading, I would get my mind in better shape; if I do not need to worry about the money I would then trade the way I want to trade and not take the money into account each time.

I do take your point however, but if I get the results that I am aiming for by the end of my "experiment", I will hopefully see that this is the way to do it, and be a better trader for it.

There are a lot of good points to spread betting, namely tax free, and no currency risk, and what I like is they roll your contracts automatically, so you'll never get to delivery if you forget to close out... there are also loads of drawbacks for me. But I'll have to way them up.

Thanks

Hi Nick

I do understand your logic - but the Finspreads offer (no I don't work for them) of letting you trade for as low as 1p per point will just give that little bit more reality to your 'experiment' and after your six months, not only will you have overcome your problem, but you will also have a little dosh in the account to show for it and I really believe that that will make the excercise 100% more effective

Whichever way you do it - you will succeed - and don't be too hard on yourself most of us have done all the things you said you had done - I certainly have on more than one occassion - trading too big a position was my biggest error - then failing to pull the plug then into the spiral of death :eek: !

But I emerged and its working thanks to MTP and its people, Dr Van Tharp (who doesn't even know he helped me!) and a lot of good old fashioned support on this forum from like minded people like you

Go for it my friend

[Eddo]

A bit of a quiet morning and so I thought I would update this link with the figures to the end of July 06 (August is looking even better but there is still a week to go before I have those figures!).

Anyway I am attaching two sets of data showing:

1. The actual returns on my MTP based trades (real trades) wef 1st Jan 2006 - 31st July 2006. Please note that these figures include the breakeven trades which pulls the profitable sales figure down from 39% to the 34% figure - in practice my breakeven trades really are breakeven because I only close on a breakeven trade after I have covered my costs in terms of the spread I have paid to enter the position.

2. Now this is the really interesting thing I think - chart 2 shows the returns on the same trades if I had been using correct position sizing from the start - in practice I have only been applying strict position sizing (2% of capital per trade) on this account since 1st July for reason's I won't bore you with here .......... but the point is that year to date I am +48% on my starting capital on these trades (which as I have said before is a zillion % better than my stockbroker) but could have been +115% had I applied strict position sizing on the same trades - in my view a 115% increase in my capital over a 7 month trading period with a hit rate of 34% is an excellent return.

Where the hell was I for the first 56 years of my life :confused: ? ............ if only I knew then what I know now - thank you MTP, Van Tharp :)

[davidl]

thanks for posting your results, Chris. Looks like your on the right track. Well done.

David

[Matt Bowen]

Hi Chris,

I'm glad you brought up the Expectancy issue and I wanted to post something for those who are not sure what Expectancy is or how it is calculated.

--------------------------------------------------------------------------

Expectancy

At the heart of all trading is the simplest of all concepts—that the bottom-line results must show a positive mathematical expectation in order for the trading method to be profitable. ~Chuck Branscomb

What is expectancy in a nutshell?

A trading system can be characterized as a distribution of the R-multiples it generates. Expectancy is simply the mean or average R-multiple generated.

What does that mean?

By now you should know that in the game of trading it is much more efficient to think of the profits and losses of your trades as a ratio of the initial risk taken (R).

But let’s just go over it again briefly:
VERY IMPORTANT
One of the real secrets of trading success is to think in terms of risk-to-reward ratios every time you take a trade. Ask yourself, before you take a trade, “What’s the risk on this trade? Is the potential reward worth the potential risk?”

So how do you determine the potential risk on a trade? Well, at the time you enter any trade, you should pre-determine some point at which you’d get out of the trade to preserve your capital. That exit point is the risk you have in the trade or your expected loss. For example, if you buy a $40 stock and you decide to get out if that stock falls to $30, then your risk is $10.

The risk you have in a trade is called R. That should be easy to remember because R is short for risk. R can represent either your risk per unit, which in the example is $10 per share, or it can represent your total risk. If you bought 100 shares of stock with a risk of $10 per share, then you would have a total risk of $1,000.

Remember to think in terms of risk-to-reward ratios. If you know that your total initial risk on a position is $1,000, then you can express all of your profits and losses as a ratio of your initial risk. For example, if you make a profit of $2,000 (2 x $1000 or $20/share), then you have a 2R profit. If you have a profit of $10,000 (10 x $1000) then you have a profit of 10R.

The same thing works on the loss side. If you have a loss of $500, then you have a 0.5R loss. If you have a loss of $2000, then you have a 2R loss.

But wait, you say, how could you have a 2R loss if your total risk was $1000? Well, perhaps you didn’t keep your word about taking a $1000 loss and you didn’t exit when you should have exited. Perhaps the market gapped down against you. Losses bigger than 1R happen all the time. Your goal as a trader (or as an investor) is to keep your losses at 1R or less. Warren Buffet, known to many as the world’s most successful investor, says the number one rule of investing is to not lose money. However, contrary to popular belief, Warren Buffet does have losses. Thus, a much better version of Buffet’s number one rule would be to keep your losses to 1R or less.

When you have a series of profits and losses expressed as risk-reward ratios, what you really have is what Van calls an R-multiple distribution. As a result, any trading system can be characterized as being an R-multiple distribution. In fact, you’ll find that thinking about trading system as R-multiple distributions really helps you understand your system and learn what you can expect from them in the future.

So what does all of this have to do with expectancy?

When you have an R-multiple distribution from your trading system, you need to get the mean of that distribution. (The mean is the average value of a set of numbers). And the mean R-multiple equals the system’s expectancy.

Expectancy gives you the average R-value that you can expect from the system over many trades. Put another way, expectancy tells you how much you can expect to make on the average, per dollar risked, over a number of trades.

So when you have a distribution of trades to analyze, you can look at the profit and loss of each one of the trades that was executed in terms of R (how much was profit and loss based on your initial risk) and determine whether the system is a profitable system.

Let’s look at an example:

http://www.mtptrader.com/Expectancy1.gif

So this “system” has an expectancy of 2R, which means you can “expect” to make two times what you risk over the long term using this system, based on the data that you have available.

Please note that you can only get a good idea of your system’s expectancy when you have a minimum of thirty trades to analyze, and the preference would be to have 100 to 200 trades to really get a clear picture of the system’s expectancy.

So in the real world of investing or trading, expectancy tells you the net profit or loss that you can expect over a large number of single unit trades. If the total amount of money in the losing trades is greater than the total amount of money in the winning trades, then you are a net loser and have a negative expectancy. If the total amount of money in the winning trades is greater than the total amount of money in the losing trades, then you are a net winner and have a positive expectancy.

Example, you could have 99 losing trades, each costing you a dollar. Thus, you would be down $99. However, if you had one winning trade of $500, then you would have a net payoff of $401 ($500 less $99)—despite the fact that only one of your trades was a winner and 99% of your trades were losers.

We’ll end our definition of expectancy here because it is a subject that can become much more complex.

Van Tharp has written extensively on this topic and it is one of the core concepts that he teaches. As you become more and more familiar with R-Multiples, position sizing and system development, expectancy will become much easier to understand.

To safely master the art of trading or investing, it is best to learn and understand all of this material. Although it may seem complex at times, we encourage you to persevere because like any worthwhile endeavor, as soon as you truly grasp it and then work towards mastering it, you will catapult your chances of real success in the markets.

Hope that helps,

[pbtrdr]

Great post, Matt! Very informative. Really appreciate all the information you are sharing with us.

Mike

[pbtrdr]

Hi Chris,

Thanks for posting your expectancy data. As someone new to the MTP method I was wondering what profit target stops were used: the standard WPTs or the ATP? Thanks in advance for your help.

Mike

[Eddo]

Hi Chris,

Thanks for posting your expectancy data. As someone new to the MTP method I was wondering what profit target stops were used: the standard WPTs or the ATP? Thanks in advance for your help.

Mike

Hi Mike,

In short ........... both !

I use the WPT's as my initial profit tgts and run the ATR as the trailing stop (as soon as it gets onto my side of the trade) - if a WPT is reached and the trailing stop is 'miles' behind I make a judgment call (usually based on the overall strength or weakness of the market) as to cut the postion at the Wpt or let it run with the ATR stop.

Sometimes, cutting at the Wpt gets me out too early (and visa versa) however I don't believe that anyone ever went broke taking a 2R+ profit

Hope that helps

[Angel]

Hi All,

Many thanks Chriss for your very valuable and honest testimonial and thanks also Matt for expectancy's reminder :)

Let me ask two questions :

1) Chris, please could you give us a clear example of how do you calculate and include the spread in your R/R ? It's just for clarifying this very important topic.

2) Would it be a good thing to include a spread feature in the new MTP version in ?

Thanks for your attention,

Have a good week end all

Angel

[Eddo]

Hi All,

Many thanks Chriss for your very valuable and honest testimonial and thanks also Matt for expectancy's reminder :)

Let me ask two questions :

1) Chris, please could you give us a clear example of how do you calculate and include the spread in your R/R ? It's just for clarifying this very important topic.

2) Would it be a good thing to include a spread feature in the new MTP version in ?

Thanks for your attention,

Have a good week end all

Angel
Hi Angel,

The calculation is very simple - as an example see below based on a Short trade:

Capital sum £10,000 with 2% of capital = 1R (i.e. £200)

1. Go short DAXI at at 5810 (bid price)
Stop at 5820
Points at Risk (i.e. 1R) is 5820 - 5810 =10
Size of position = 1R/Points Risked (200/10 = £20 per point).

2. Close trade at 5785
Points Gain on trade = Entry Price - Exit Price (5810-5785 = 25)

Therefore the R:R is:
(Points Gained*£'s per point) /1R
= (25*20) /200
= £500/£200
Therefor my R Gain on this trade is 2.5 R

Hope that helps - Chris :)

[Matt Bowen]

Hi Angel,

No problem... but really Chris is the one to thank. I know how long it takes to compile that data and that is very tedius work, that's why only professionals take the time to do it :) right Chris?

Seriously, I think everyone should have a running record of their trades as it will only help them gauge their performance.

Thanks again.

[Eddo]

Hi Angel,

No problem... but really Chris is the one to thank. I know how long it takes to compile that data and that is very tedius work, that's why only professionals take the time to do it :) right Chris?

Seriously, I think everyone should have a running record of their trades as it will only help them gauge their performance.

Thanks again.

Hi Matt - yes right !

As soon as a trade goes on I record it into an Excel spreadsheet, and as soon as that trade has completed, I then enter it into the MSA software for the analysis - having done that there is no hiding place !!

Without these records, you would be running your business blind, and who but a fool would run a business without knowing what their figures are :eek:

Best wishes - Chris

[Eddo]

Hi Angel,

The calculation is very simple - as an example see below based on a Short trade:

Capital sum £10,000 with 2% of capital = 1R (i.e. £200)

1. Go short DAXI at at 5810 (bid price)
Stop at 5820
Points at Risk (i.e. 1R) is 5820 - 5810 =10
Size of position = 1R/Points Risked (200/10 = £20 per point).

2. Close trade at 5785
Points Gain on trade = Entry Price - Exit Price (5810-5785 = 25)

Therefore the R:R is:
(Points Gained*£'s per point) /1R
= (25*20) /200
= £500/£200
Therefor my R Gain on this trade is 2.5 R

Hope that helps - Chris :)

Hi again Angel,

Just reading my reply to you I don't think that I made it clear that the example quote INCLUDES the spread on the Market - thus when I open short at 5810 and close at 5785 - the market has actually moved 27 points (not 25) because the spread on that market is 2 points i.e. it has to make 2 point in my favour for me to get to breakeven.

So in this example, market moves 27 points, I make 25 points profit. I hope that makes it clear.

Bye the way I have a little Excel spreadsheet which I use before each trade to very quickly calculate my position size based on my spreadbet brokers prices - does the same job as Steve's eSignal R:R module but works on the actual prices I am trading - which are not quite the same as the eSignal prices - i.e. the spreadbet market is trading on the Cash market and its prices are not the same as those produced by eSignal.

Chris

[Angel]

Hi Chris,

Thanks so much, now it's clear for me.

This is another valuable STEP in my trading education because of you, Matt and Steve as well :)

Have a good week and god bless you all !

Rgrds

Angel


No one fails at anything, everything you do produces results

[Rimu]

Hi again Angel,

Just reading my reply to you I don't think that I made it clear that the example quote INCLUDES the spread on the Market - thus when I open short at 5810 and close at 5785 - the market has actually moved 27 points (not 25) because the spread on that market is 2 points i.e. it has to make 2 point in my favour for me to get to breakeven.

So in this example, market moves 27 points, I make 25 points profit. I hope that makes it clear.


Chris

Hi Chris,
Is your 2 point spread total (round trip) or 2 a side. I've been looking at trading some of the european indicies but the best I can get here in Australia on spreadbet is 2 a side (3 on the mini's). :( Might have to move!!!

[Eddo]

Hi Chris,
Is your 2 point spread total (round trip) or 2 a side. I've been looking at trading some of the european indicies but the best I can get here in Australia on spreadbet is 2 a side (3 on the mini's). :( Might have to move!!!

Hi Steve,

The spreads vary per market - for example the US30 is 4 whilst the FTSE is 2, I have a short Forex trade on at the moment (4 hr GBPNZ) where the spread is 20 points -

But whatever it is, its the total cost (round trip). I think of it as the bid/offer cost I have when trading regular shares - if long, I buy at the offer and sell at the bid, and visa versa. I don't know what the costs of trading eMini contracts is (I have never used them) but I am sure they must have a similiar buying and selling price as well.

I suspect my costs in terms of spread might be higher than trading eEmini contracts but for me, the major advantage is that with the spreadbet account any gains are totally tax free and secondly I get excellent leverage for a relatively small margin - i.e. I can be £20 per point (long or short) the FTSE and would only need £1,000 of capital on account to sustain that position i.e. a £20 per point gain with only £1,000 capital on account which means I don't have to keep a large capital sum with the spreadbet broker ( I rarely would have more than £10,000) - the rest of my trading capital (which I would have had to keep with the broker if the margin requirements were higher) can sit in a short term bank account getting 4.5% interest.

Chris

[Eddo]

August was a good month with 54 trades for me of which:

21 (39%) were winners
7 (13%) were breakeven - real b/e with costs covered
26 (48%) were losers none with a higher R loss of over 1

My best R:R winner for the month was a 4.75R on a lovely 4 hr GBPNZD short trade which I closed last night - so no real monster winners but still an up month.

The MSA figures are attached showing the actual position which has not applied true posn sizing until last month - the second shows the position had I been applying true posn sizing since the start of the year.

So with 8 months of the year gone - so far so good :)

[Biggo]

Hi Chris

Thanks for sharing you results with us they are great & its great to see what can be acheived with good MM & MTP.
Can I ask you how you get forex data into MSA as I thought you could only use it for futures or stocks & not Forex ?

Cheers

Phil

[Eddo]

Hi Chris

Thanks for sharing you results with us they are great & its great to see what can be acheived with good MM & MTP.
Can I ask you how you get forex data into MSA as I thought you could only use it for futures or stocks & not Forex ?

Cheers

Phil

Hi - I trade on a spreadbet account and so all my trades entered into MSA are simply based on: Profit, Size of Psn, Entry Point, Exit Point, Stop Point, Long/Short.

Thus is doesn't matter if its FOREX, INDICES or Equities - they all have the above info and thats what goes into MSA - hope that helps - Chris

[ericd2281]

Chris,

Good point....I enter data into MSA in terms of risk/reward i.e.

Profit/Loss Risk
$375 $100
$875 $200
$-100 $100
$-100 $100

I use MSA as it has a ton of functionality and I have more faith in the calculations than I do in a manual spreadsheet.

Also, just some general thoughts and observations about Expectancy & Position Sizing......

I also use MSA to determine the position sizing I will be using. For example, I am not yet psychologically advanced enough to tolerate a drawdown of more than 20%. Because of this limitation I optimize the position sizing for the highest return-drawdown ratio with a MAXIMUM drawdown of less than 20% using a Monte Carlo analysis (95% Confidence Interval).

I understand that my return generated by the system will be reduced when using a 3/4% or 1% position size instead of a 2% but that seems to work for me much better since I am far less likely to stop trading the system because of a drawdown.

Any thoughts on this?

Regards,
Eric

[Eddo]

Chris,

Good point....I enter data into MSA in terms of risk/reward i.e.

Profit/Loss Risk
$375 $100
$875 $200
$-100 $100
$-100 $100

I use MSA as it has a ton of functionality and I have more faith in the calculations than I do in a manual spreadsheet.

Also, just some general thoughts and observations about Expectancy & Position Sizing......

I also use MSA to determine the position sizing I will be using. For example, I am not yet psychologically advanced enough to tolerate a drawdown of more than 20%. Because of this limitation I optimize the position sizing for the highest return-drawdown ratio with a MAXIMUM drawdown of less than 20% using a Monte Carlo analysis (95% Confidence Interval).

I understand that my return generated by the system will be reduced when using a 3/4% or 1% position size instead of a 2% but that seems to work for me much better since I am far less likely to stop trading the system because of a drawdown.

Any thoughts on this?

Regards,
Eric

Hi Eric - nice to hear from you

Attached is a snagit of my MSA input file

I am setting my position size using an Excel spreadsheet that I produced to cater for the prices in view of me trading on a speadbet account - it calculates my entry, exit and posn size based on the prices generated by the spreadbet broker - its been working quite well - but my lord you have to hurry when I get a setup on a 3 min chart !! :p lol - Currently I am working on 2% on a £13,000 account (aprox $24,000)

[ericd2281]

Chris,

I just looked up and reviewed your MSA results.....They look very, very good. I am beginning a project to do a very thorough analysis of MTP results to get a better idea of things over an extended period of time.

Do you (or anyone else) know of any sources for data that shows commodity trading advisors or Hedge Fund statistics? I think it would be interesting to review some of these results against other professional advisors.

Also, if ya need some help in excel to develop anything drop me an email and I would be glad to help if I can.

Eric

[Eddo]

Chris,

I just looked up and reviewed your MSA results.....They look very, very good. I am beginning a project to do a very thorough analysis of MTP results to get a better idea of things over an extended period of time.

Do you (or anyone else) know of any sources for data that shows commodity trading advisors or Hedge Fund statistics? I think it would be interesting to review some of these results against other professional advisors.

Also, if ya need some help in excel to develop anything drop me an email and I would be glad to help if I can.

Eric

Hi Eric

I don't have any sources for trading or Hedge fund stats - but I think that Matt might have. Clearly he has a wealth of background and no doubt contacts within this industry.

Thanks for the offer for Excel help - at the moment the little sheet I have for calculating my entry, exit and £ per point is doing fine but I will come back to you if I need further help -

Best wishes - Chris

[Petergermany]

Hi, Chris!
Let me know, please:
1. what are the Instruments you considered for Futures?
2. What are the time frames?

[Eddo]

Hi, Chris!
Let me know, please:
1. what are the Instruments you considered for Futures?
2. What are the time frames?
Peter,

I thought I had already told you this via private emails however all my trades are done on a spreadbet account and I trade the following on 3, 5 and 15 min charts plus forex on 4 hr and sometimes daily charts.

I monitor and trade the following indices:

DOW 30
S&P 500
Russell 2000
Nas 100
FTSE 100
DAXI

I also monitor and trade Forex cross pairs

May I just suggest Peter (in view of the many emails you have sent me with an ever increasing number of questions) that you might be 'thinking too hard' about all of this ! Don't overcomplicate things is my message, this is not rocket sience ! - let MTP find the setups on whatever market or timeframe you want to trade, decide if you want to take the trade or not, and then if you take the trade, manage it properly with either the ATR stop of the WPT tgts (or in my case a combination of those two things and my brain - with the brain bit coming in at a very poor third :rolleyes: )

Just a suggestion which I hope you will take in the spirit that it is intended

Good luck with it - Chris

Hope that helps

[Petergermany]

Thank you, Chris!
E good, healthy Cold shower I had from you!
But... realistic!

[Petergermany]

Hi, Chris!
ATR is available also for EOD5.0 version?
Thanks,
Peter

[Steve Griffiths]

Hi Peter,

Rather than grilling Chris with 1,000's of questions, why don't you email us here at MTPredictor, we will be more than happy to answer all the questiosn you have on our software.

Steve

[Petergermany]

Thanks, Steve!
Does EOD 5.0 version have ATR and filters?

[Steve Griffiths]

Hi peter,

Yes EOD v5.0 does have the new ATRStop..........

I hope this helps ?

Steve

[Petergermany]

Hi, Steve!
Where could I read about the filters for setups on EOD5.0, please?
I read on Forum that you developed three filters . I need to understand what they are about.
Did you check their effectiveness?
Thank you,
Peter

[jjc]

Here is an interesting 'MPT expectancy' on the SPX daily.

'What if' we get a WPT near the Gann 45 degree by Sep 8? Could we then see a 50% Fibo retrace of 1289 by Gann time of Sep 22?.

We appear to be in converging trendlines off MACD. We also appear to be in a diagonal triangle on price and in-line with Elliot Wave count.


disclaimer; I know nothing about Gann, Elliot Wave, Fibonacci, Diagonal Triangles and Converging Trendlines other than they look pretty on a chart. :)


j

[Todd Morgan]

Hi Eric,

Here are two sites that can give you some information on CTA and Hedge Funds. There are several more but these are off the top of my head.

http://www.autumngold.com/

http://www.barclaygrp.com/products/databases/btg.html

Best,
Todd


Im beginning a project to do a very thorough analysis of MTP results to get a better idea of things over an extended period of time.

Do you (or anyone else) know of any sources for data that shows commodity trading advisors or Hedge Fund statistics? I think it would be interesting to review some of these results against other professional advisors.

Also, if ya need some help in excel to develop anything drop me an email and I would be glad to help if I can.

Eric

[Todd Morgan]

Hi Chris,

Those are great results. Thanks for posting that info.

One question if I may. In the trades that you've recorded and posted here did you take every set up in your markets regardless of the trend filters that are now included in MTP, similar to Matt's sytle?

Or did you take only set ups in the directions of the trend as defined in MTP, similar to Steve's style?

Or did you use some combination of both?

Thanks,
Todd


August was a good month with 54 trades for me of which:

21 (39%) were winners
7 (13%) were breakeven - real b/e with costs covered
26 (48%) were losers none with a higher R loss of over 1

My best R:R winner for the month was a 4.75R on a lovely 4 hr GBPNZD short trade which I closed last night - so no real monster winners but still an up month.

The MSA figures are attached showing the actual position which has not applied true posn sizing until last month - the second shows the position had I been applying true posn sizing since the start of the year.

So with 8 months of the year gone - so far so good :)

[Matt Bowen]

Hi Chris,

Hey Steve tells me you were in that DAX trade yesterday... Good for you!!! That will should put a nice spin on your expectancy report ;)

I would have love to been in on that trade with you, but man I just can't get up that early and then turn around and trade the U.S. E-mini session...that will turn you into a zombie real fast :eek:

In any event...Great trade, Glad to see somebody get it.

[Eddo]

Hi Chris,

Hey Steve tells me you were in that DAX trade yesterday... Good for you!!! That will should put a nice spin on your expectancy report ;)

I would have love to been in on that trade with you, but man I just can't get up that early and then turn around and trade the U.S. E-mini session...that will turn you into a zombie real fast :eek:

In any event...Great trade, Glad to see somebody get it.

Hi Matt

Yes it was lovely !! I closed out at the close of play last night which in hindsight was a shame 'cos it kept on going this morning but I like to go to bed flat :D ! After covering my spreadbet costs I finished up with 6.2 R gain which left me with a £1,736 ($3,246) gain on a £280 ($525) risk - and yes its put a lovely steep hill on my MSA chart

Also in the Short GBPUSD short trade which is still droping like a stone :) but my current short FTSE 5 min trade can't make up its mind - have to wait for the US to open in 20 mins for that to be resolved now I think

[Eddo]

Hi Matt

Yes it was lovely !! I closed out at the close of play last night which in hindsight was a shame 'cos it kept on going this morning but I like to go to bed flat :D ! After covering my spreadbet costs I finished up with 6.2 R gain which left me with a £1,736 ($3,246) gain on a £280 ($525) risk - and yes its put a lovely steep hill on my MSA chart

Also in the Short GBPUSD short trade which is still droping like a stone :) but my current short FTSE 5 min trade can't make up its mind - have to wait for the US to open in 20 mins for that to be resolved now I think

Typicall isn't it .......... after the sun comes the rain ! yesterday one trade a winner, today three trades all going South for a 1R loss each :mad: But even with the three losers today (so far today anyway) I am still up £850 ($1,590) on the two days - speaks wonders for position sizing etc .....

[Eddo]

Typicall isn't it .......... after the sun comes the rain ! yesterday one trade a winner, today three trades all going South for a 1R loss each :mad: But even with the three losers today (so far today anyway) I am still up £850 ($1,590) on the two days - speaks wonders for position sizing etc .....

Just to finish off re yesterday - I had four losing trades - interestingly they were all short trades (so I did have the right idea!) but they all got stopped out (prior to dropping like stones!) for a 1R loss :( .

Not to be put off I took my fifth short for the day on a 5 min Russell at around 7 PM GMT, which gave me a nice 2R gain after costs - so for me it was a down day (who said we don't tell people when we make a loss?) but even with four losers and one winner I only finished up with a 2R loss on the day.

That leaves me with a 10.8R gain month to date after 8 trades :)

[Eddo]

Hi Chris,

Those are great results. Thanks for posting that info.

One question if I may. In the trades that you've recorded and posted here did you take every set up in your markets regardless of the trend filters that are now included in MTP, similar to Matt's sytle?

Or did you take only set ups in the directions of the trend as defined in MTP, similar to Steve's style?

Or did you use some combination of both?

Thanks,
Todd

Hi Todd,

Sorry about the delay in getting an answer to u - I just spotted your question.

I use a combination of both - I have the Trin, STF and a Momentum indicator running on my charts and when I get a setup I tend to take them if those things are not 'too far out of synch'. So I guess I am somewhere between Matt and Steve -

Chris

[Todd Morgan]

Hi Chris,

Yeah....I'm doing something similar as well. Yet I'm tending to ignore the trend filters and take just about everything that comes down the pike. I mean, if every bet is independent then it seem counterintuitve to elimiante some signals.

However, we shall see as more data comes in.

Also, I'm using a combination of the Target exit method and ATR exit method for taking profits. I'm finding that for me its tends to come down to Relative Strength. I have traded for years on the basis of certain intra-day RS models so it’s like second nature to sell the weak and buy the strong.

Like this morning. I got two long sigs at the same time ...NQ and ER2. Took both of them...both had nice little runs, but it became apparent that the NQ was the "weak Sister." So I decide to take profits in the 1st target zone. Which yielded a nice 2.9R profit.

But the AB was stronger and I decided to let it run a bit through the targets and use the ATR stop. Which in this case was the right move....yielded a 4.2R profit. I know it won’t always be this easy.

My goal I think is to use some combination of Relative Strength and both methods of managing exits. Will report when I know more. :)

Best,
Todd


Hi Todd,

Sorry about the delay in getting an answer to u - I just spotted your question.

I use a combination of both - I have the Trin, STF and a Momentum indicator running on my charts and when I get a setup I tend to take them if those things are not 'too far out of synch'. So I guess I am somewhere between Matt and Steve -

Chris

[ericd2281]

Hi Chris,

Yeah....I'm doing something similar as well. Yet I'm tending to ignore the trend filters and take just about everything that comes down the pike. I mean, if every bet is independent then it seem counterintuitve to elimiante some signals.

However, we shall see as more data comes in.

Also, I'm using a combination of the Target exit method and ATR exit method
for taking profits. I'm finding that for me its tends to come down to Relative Strength. I have traded for years on the basis of certain intra-day RS models so it’s like second nature to sell the weak and buy the strong.

Like this morning. I got two long sigs at the same time ...NQ and ER2. Took both of them...both had nice little runs, but it became apparent that the NQ was the "weak Sister." So I decide to take profits in the 1st target zone. Which yielded a nice 2.9R profit.

But the AB was stronger and I decided to let it run a bit through the targets and use the ATR stop. Which in this case was the right move....yielded a 4.2R profit. I know it won’t always be this easy.

My goal I think is to use some combination of Relative Strength and both methods of managing exits. Will report when I know more. :)

Best,
Todd

Todd et. all,

I am starting to look at and analyze/test the effects of common objective MTP filters on the overall expectancy of the results over a long period of time. I expect the experiment to last a year or so with usable results coming as early as 4-6 months.

I agree with you in that each event (trade) is independent so one could not predict the outcome, but a trader can look at past results to get a good idea of what would most likely work out better in the future. For example, I looked at the average expectancy (R-Multiple) per trade on results from 7.26.2004 to 7.22.2004 attached in another post on the board here and found the following...

3 Min. ES, NQ, YM E-Mini's Average R-Multiple/Trade: 0.494 (327 Trades)
3 Min. ES, NQ, YM E-Mini's Cumulative R-Multiples: 161.75 (99% of Total)
3 Min. ES, NQ, YM E-Mini Total Trades: 327 Trades (70% of Total Trades)

5 Min. ES, NQ, YM E-Mini's Average R-Multiple/Trade: 0.009 (138 Trades)
5 Min. ES, NQ, YM E-Mini's Cumulative R-Multiples: 1.25 (1% of Total)
5 Min. ES, NQ, YM E-Mini Total Trades: 138 Trades (30% of Total Trades)

Because of this large discrepancy I am currently only trading the 3 Minute Signals. Granted there will surely be some 5 minute trades that would end up being profitable that I did not look at based on the past history but I am ok with that since I know that over the long run I should get somewhere around 99% of the expectancy with 30% less data entry, scrambling to get orders entered, commissions, slippage etc. Assuming a $20k account and only 1 contract traded on the 138 5 minute signals (I fully understand this is incorrect position sizing and totally wrong, but it is an intentionally low assumption to make a point) and $5/side commission, this would reduce your return for the year by $1,380 or roughly 6.9 percentage points. Assuming a $20k account and an average of ~7 contracts (taken from Matt's current RT results here- http://www.mtptrader.com/showthread.php?p=5055#post5055 ) traded on the 138 5 minute signals and $5/side commission, this would reduce your return for the year by $10,253 or 51 percentage points. Certainly a trader could choose to take all of the signals, shown above but I do not fully understand why they would take them if they understand the above results.

It will surely be interesting to see how things work out in the analysis I will be conducting to see if any 'filters' work in the same manner as the data shows above.

Also, any questions/comments are appreciated especially since it is difficult for me to explain this in a web bulletin board setting.

Regards,
Eric

[Eddo]

Excellent Eric,

I will be most interested in your results - unfortunately, in the past when logging my results I haven't put in the trade time-frame (I have the WPT level but stupidly didn't enter the chart time). I will do that in the future.

Have you thought of also including in your study the Wpt Point? i.e. was the trade at the Min Wpt or the Typ Wpt.

Chris

[ericd2281]

Chris,

Thanks, for analytical purposes I will add that to the trade log. Basically any information that is recorded in the data entry of the trades can be extracted, reported on and analyzed. :)

Regards,
Eric

[gremtp]

Hi Eric
Welcome back. I left you on the “Automatic set up” thread (pretty quiet lately) and I find you back on this one. Which one are you going to use?

Would it be possible for you to explain in more detail what do you intend to do and how are you going about it? What data are you collecting and against what parameters are you analysing it?
I am doing my own analysis on MTP RT and perhaps we could exchange notes or share the burden.
Lastly, can I ask where do the data you refer to in your post (#78) come from?
Thanks and regards

[Todd Morgan]

Hi Eric,

Fantastic project. I'll be quite interested to follow along with it. If I can help in any way please let me know. I could contribute data as needed.

Interesting stuff from the other data set you referenced. I've only been back at this MTP RT for 5 weeks now after a 21 month layoff from using MTP RT. So at this point I've had only 51 trades. But the results are excellent.

Yet, I too seem to be having better/more consistent results with 3min trades than with 5mins trades(same as it was when I used MTP RT before). I've even considered eliminating the 5min setups all together. I may keep the 5min charts on my screen to just to be able to look at the 5 min ATR stop once a 3min is triggered. Time will tell.

I've also brought the ETF equivalents of the E-mini's on to my screen for an added bit of diversity. They are the SPY, QQQQ, DIA, IWM. You’d be amazed at the differing triggers and results from the emini’s and their ETF equivalents. One would logically think that they would exactly the same since they’re just differing tradables of the same underlying. But the triggers and the trade result are quite different at times. It’s quite interesting.

And I've also included the most liquid sector ETF's of OIH, SMH, RTH. I'm getting very promising results from these sector ETF's on a longer term basis...60mins+.

I'm bringing these ETF's on board because I have a super low "cost of capital" and "market maker margin" requirements so it's virtually no difference for me to trade the e-mini's or the EFT Security/Share equivalents. Alas, you may or may not be interested in that data as well.

Best Regards,
Todd







Todd et. all,

I am starting to look at and analyze/test the effects of common objective MTP filters on the overall expectancy of the results over a long period of time. I expect the experiment to last a year or so with usable results coming as early as 4-6 months.

I agree with you in that each event (trade) is independent so one could not predict the outcome, but a trader can look at past results to get a good idea of what would most likely work out better in the future. For example, I looked at the average expectancy (R-Multiple) per trade on results from 7.26.2004 to 7.22.2004 attached in another post on the board here and found the following...

3 Min. ES, NQ, YM E-Mini's Average R-Multiple/Trade: 0.494 (327 Trades)
3 Min. ES, NQ, YM E-Mini's Cumulative R-Multiples: 161.75 (99% of Total)
3 Min. ES, NQ, YM E-Mini Total Trades: 327 Trades (70% of Total Trades)

5 Min. ES, NQ, YM E-Mini's Average R-Multiple/Trade: 0.009 (138 Trades)
5 Min. ES, NQ, YM E-Mini's Cumulative R-Multiples: 1.25 (1% of Total)
5 Min. ES, NQ, YM E-Mini Total Trades: 138 Trades (30% of Total Trades)

Because of this large discrepancy I am currently only trading the 3 Minute Signals. Granted there will surely be some 5 minute trades that would end up being profitable that I did not look at based on the past history but I am ok with that since I know that over the long run I should get somewhere around 99% of the expectancy with 30% less data entry, scrambling to get orders entered, commissions, slippage etc. Assuming a $20k account and only 1 contract traded on the 138 5 minute signals (I fully understand this is incorrect position sizing and totally wrong, but it is an intentionally low assumption to make a point) and $5/side commission, this would reduce your return for the year by $1,380 or roughly 6.9 percentage points. Assuming a $20k account and an average of ~7 contracts (taken from Matt's current RT results here- http://www.mtptrader.com/showthread.php?p=5055#post5055 ) traded on the 138 5 minute signals and $5/side commission, this would reduce your return for the year by $10,253 or 51 percentage points. Certainly a trader could choose to take all of the signals, shown above but I do not fully understand why they would take them if they understand the above results.

It will surely be interesting to see how things work out in the analysis I will be conducting to see if any 'filters' work in the same manner as the data shows above.

Also, any questions/comments are appreciated especially since it is difficult for me to explain this in a web bulletin board setting.

Regards,
Eric

[newguy]

do you by chance have the symbols(esignal) for those ETF's?
thanks
\


Hi Eric,

Fantastic project. I'll be quite interested to follow along with it. If I can help in any way please let me know. I could contribute data as needed.

Interesting stuff from the other data set you referenced. I've only been back at this MTP RT for 5 weeks now after a 21 month layoff from using MTP RT. So at this point I've had only 51 trades. But the results are excellent.

Yet, I too seem to be having better/more consistent results with 3min trades than with 5mins trades(same as it was when I used MTP RT before). I've even considered eliminating the 5min setups all together. I may keep the 5min charts on my screen to just to be able to look at the 5 min ATR stop once a 3min is triggered. Time will tell.

I've also brought the ETF equivalents of the E-mini's on to my screen for an added bit of diversity. They are the SPY, QQQQ, DIA, IWM. You’d be amazed at the differing triggers and results from the emini’s and their ETF equivalents. One would logically think that they would exactly the same since they’re just differing tradables of the same underlying. But the triggers and the trade result are quite different at times. It’s quite interesting.

And I've also included the most liquid sector ETF's of OIH, SMH, RTH. I'm getting very promising results from these sector ETF's on a longer term basis...60mins+.

I'm bringing these ETF's on board because I have a super low "cost of capital" and "market maker margin" requirements so it's virtually no difference for me to trade the e-mini's or the EFT Security/Share equivalents. Alas, you may or may not be interested in that data as well.

Best Regards,
Todd

[newguy]

I guess those are the symbols(long day) I guess I need to add that to my data feed package
:) :)



do you by chance have the symbols(esignal) for those ETF's?
thanks
\

[stevej]

I've also brought the ETF equivalents of the E-mini's on to my screen for an added bit of diversity. They are the SPY, QQQQ, DIA, IWM. You’d be amazed at the differing triggers and results from the emini’s and their ETF equivalents. One would logically think that they would exactly the same since they’re just differing tradables of the same underlying. But the triggers and the trade result are quite different at times. It’s quite interesting.

You may (or may not) find the attached equity graphs of the futures and equivalent ETFs interesting.

[stevej]

EDIT - somehow these amendments did not post


I've also brought the ETF equivalents of the E-mini's on to my screen for an added bit of diversity. They are the SPY, QQQQ, DIA, IWM. You’d be amazed at the differing triggers and results from the emini’s and their ETF equivalents. One would logically think that they would exactly the same since they’re just differing tradables of the same underlying. But the triggers and the trade result are quite different at times. It’s quite interesting.

You may (or may not) find the attached equity graphs of the ES, YM & NQ and equivalent ETFs (SPY, DIA & QQQQ) interesting. The graphs ignore margin limitations etc.

The trades are those reprted by MTP's Tony Beckwith in his 12 month experiment.

It would be unlikely in my view that all these trades could have been taken in real time by anyone other than a superhuman or an automated trading system. I certainly could not have done so.

I do not know whether Tony actually traded these results, recorded them in real time or searched for them with hindsight at the end of the day - the answer to that would be interesting.

Further, I do not know how Tony dealt with the possible setups that appear then disappear as the data comes in in real time (I assume my experience in this regard is the same as others). If the setups were taken at EOD then a number of failing trades may not have been recorded.

Steve

[Eddo]

As a matter of interest, does anyone know if eSignal provide data for the cash markets for the FTSE, DAX, SPX, DOW, etc ? If anyone can let me know that would save a phone call ! :)

[pbb]

Don't know for the ftse, yes for the others.
Go to esignal.com, on the left you see some quotes from indu/ nasdaq/spx,
qlick on major market indices and on that site you will find the major indices etc. and the symbols. Dax= $daxi ; dow= $indu

I just moved to tradestation last week, the costs are comparable. You will only not find european products. I only trade forex and find the data for forex more reliable, specially the timeframes longer than 60min. Esignal has somegreat features that tradestation does not have, but as far as I can see now, tradestation has more to offer, except for the european data.

[Tony Beckwith]

stevej

Thanks for your queries - the answers are (and covered daily in the reports I produced):

1. You may well have been able to handle these trades in real-time because they were selected on a time-priority basis and liquidity-priority basis -
a) if, say, a 3min long alerted+confirmed at 10:03 EST and a 5min. long at 10:05, the 3min. was taken. No doubling up of positions was allowed.
b) if, say, an ES set-up alerted simultaneously with a YM set-up, the ES was taken due to its higher liquidity.

2. I compiled the trade record after session-close (16:15 EST) and with NO HINDSIGHT. Signals were at the time, applying all my guidelines - every single trade, just as it should be, win or loss.

3. As in 2., if a real-time signal appeared and then was removed from the chart if price quickly made a fresh Wave C extreme, that was clearly included.

On the (rare!) occasion when I made an error, I was told by trusty readers...and corrected the record it in the next day's report.

Thanks again

Tony.

[Eddo]

Don't know for the ftse, yes for the others.
Go to esignal.com, on the left you see some quotes from indu/ nasdaq/spx,
qlick on major market indices and on that site you will find the major indices etc. and the symbols. Dax= $daxi ; dow= $indu

I just moved to tradestation last week, the costs are comparable. You will only not find european products. I only trade forex and find the data for forex more reliable, specially the timeframes longer than 60min. Esignal has somegreat features that tradestation does not have, but as far as I can see now, tradestation has more to offer, except for the european data.

Hi,

Thanks but those symbols are not the cash market prices - they are the ones I have been running but they do not generate the same prices as the data on CMC and Finspreads (which are the actual markets I am trading). Both CMC and Finspreads data charts come from a company called IT-Finance.com and I understand that their prices are the 'cash' market. The point being that they are always different (usually infront of) the eSignal prices.

Thus if I get an eSignal setup I have to then manually apply that to the CMC chart and based my trade on their data NOT eSignal.

So my question related to the possibility of getting my eSignal charts working on the same market data as I get on the CMC account - if I could do that if would make life a hell of a lot more simple !

[pbb]

Don't know for sure, but maybe the prices that you get are somehow calculated in a different way. I don't know which way is best, but I do know a few market makers on eurex and they use this data. Not all data providers use the same calculation, some also only calculate it once a minute or so. Where I worked in the past as a market maker we created the spot price in an excel sheet, at that time this price was more reliable than prices from dataproviders. Spot price data is not the providers top priority.

[Todd Morgan]

Hi Chris,

U.S. "Cash Indicies" $SPX, $NDX, $RUT, $INDU, etc... are released by certain exchanges at certain intervals. Example....the $SPX is disseminated by the Chicago Board Options Exchange (CBOE) every 15 seconds. Same with the $NDX and $RUT.

This is gonna be the same across all data vendors. Unless of course you happen upon one that calculates their own index prices and releases it in real time.

European Cash Idicies may be done differently, I don't know.

pbb was spot on when he said that "cash" data is not a huge priority for most market data vendors.


Best,
Todd


Hi,

Thanks but those symbols are not the cash market prices - they are the ones I have been running but they do not generate the same prices as the data on CMC and Finspreads (which are the actual markets I am trading). Both CMC and Finspreads data charts come from a company called IT-Finance.com and I understand that their prices are the 'cash' market. The point being that they are always different (usually infront of) the eSignal prices.

Thus if I get an eSignal setup I have to then manually apply that to the CMC chart and based my trade on their data NOT eSignal.

So my question related to the possibility of getting my eSignal charts working on the same market data as I get on the CMC account - if I could do that if would make life a hell of a lot more simple !

[stevej]

Hi,

Thanks but those symbols are not the cash market prices - they are the ones I have been running but they do not generate the same prices as the data on CMC and Finspreads (which are the actual markets I am trading). Both CMC and Finspreads data charts come from a company called IT-Finance.com and I understand that their prices are the 'cash' market. The point being that they are always different (usually infront of) the eSignal prices.

Thus if I get an eSignal setup I have to then manually apply that to the CMC chart and based my trade on their data NOT eSignal.

So my question related to the possibility of getting my eSignal charts working on the same market data as I get on the CMC account - if I could do that if would make life a hell of a lot more simple !

Chris,

You have to bear in mind that CMC & Finspreads et al are bookmakers quoting their own rather than market prices. The prices coming from the exchanges (esignal $INDU etc) are the true 'market' price.

The bookmakers generally claim their prices are based on 'the futures'. Remember there is no underlying tradeable market in cash indices so if they are to hedge their bets they can only go to the appropriate future - so in so far as they base their prices on anything in the real world it probably is the future.

You also have to bear in mind the unfortunate boolmaker's practice of skewing their spread. When the market is rising the price at which you have to buy rises faster and vice versa. Further, particularly if your bet is substantial, do you really want to place a stop with the bookmaker who is making the book against you?

I have found the only realistic way of dealing with these people is to wait for a set up to trigger then manually enter the spreadbet at market and manage the trade manually from there.

Not sure if this helps but I hope it does.

Steve

[ericd2281]

Hi Eric,

Fantastic project. I'll be quite interested to follow along with it. If I can help in any way please let me know. I could contribute data as needed.

Interesting stuff from the other data set you referenced. I've only been back at this MTP RT for 5 weeks now after a 21 month layoff from using MTP RT. So at this point I've had only 51 trades. But the results are excellent.

Yet, I too seem to be having better/more consistent results with 3min trades than with 5mins trades(same as it was when I used MTP RT before). I've even considered eliminating the 5min setups all together. I may keep the 5min charts on my screen to just to be able to look at the 5 min ATR stop once a 3min is triggered. Time will tell.

I've also brought the ETF equivalents of the E-mini's on to my screen for an added bit of diversity. They are the SPY, QQQQ, DIA, IWM. You’d be amazed at the differing triggers and results from the emini’s and their ETF equivalents. One would logically think that they would exactly the same since they’re just differing tradables of the same underlying. But the triggers and the trade result are quite different at times. It’s quite interesting.

And I've also included the most liquid sector ETF's of OIH, SMH, RTH. I'm getting very promising results fr