Posted by DigiNomad on 21st of Sep 2023 at 05:39 pm
Ok. I've posted on this topic many times over the years and got
nothing back so I'll try a different approach this time and just
share my allocation approach to the systems (I
very muchwelcome critiques...even if derogatory):
Once the reversion to mean systems start going long I take
the 1st entry with a 5% net liq allocation. The second entry
(today) was a 10% allocation (total is now 15%). The next entry
will be a 30% allocation (total 45%). I would set a stop
after that.
IMO, there are to many SPY systems in play to save
allocations for all of them and still make decent money, so I just
go with the 1st that triggers.
thanks for sharing your approach. realize that we only
have 2 sub systems in trades, one with a 2nd entry and one with a
1st entry, that's very low.
again I've also shared this before: The max number of total
entries from all the sub systems I think is 13, and that only
lasted a couple days before things started closing out - something
like that very rare, most of the entries are 2 or 3 with 5 or
7 generally being the most
The other thing one can consider is just limiting your max
entries: make it 6, or 8 or 10. 10 would 99% of the past
history
the other way to limit trades is to do only SPY or ES. Or...a
better approach would be if the same sub system triggered for both
SPY and ES on the same day, Don't do them both! That's an easy way
to limit as well
Posted by DigiNomad on 21st of Sep 2023 at 06:23 pm
Thank for the insight Matt. I'm still searching for an objective
'system on the systems.'. I approach most tasks like this
with allocation targets but maybe there's another way? The problem
is that the systems are typically so good that they rarely take a
3rd entry. Planning for a 3rd entry therefore leaves a lot of
capital idle. Coming up with an objective system on your systems is
a lot more complicated than it may seem!
Posted by jhbernstein on 21st of Sep 2023 at 06:17 pm
I use elements of both.
I only trade ES (for the tax advantage) and allocate 1
contract for every $16k in the account for each signal. (So a $32k
account would go long 3 contracts, a $64k account 4, etc.) Last
year I noticed a max of 8 entries in 1 direction at any one given
time, which would give me leverage of 8x in the account. A lot to
be sure, but that's what I feel I can withstand if/when things move
against me. If we got to more than 8 entries, I just wouldn't take
them.
I may decrease the allocation to 1 contract for every $20k in
the account just to give me a little more breathing room.
Posted by DigiNomad on 21st of Sep 2023 at 06:27 pm
Thanks, I'll map this strategy out to see how it works.
FWIW, I primarily use SPX for the same reason you only use ES. The
60/40 tax treatment is huge.
*I posted about SPY because that's what I use in smaller
accounts that can't handle SPX motional values
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Ok. I've posted on this
Posted by DigiNomad on 21st of Sep 2023 at 05:39 pm
Ok. I've posted on this topic many times over the years and got nothing back so I'll try a different approach this time and just share my allocation approach to the systems (I very muchwelcome critiques...even if derogatory):
Once the reversion to mean systems start going long I take the 1st entry with a 5% net liq allocation. The second entry (today) was a 10% allocation (total is now 15%). The next entry will be a 30% allocation (total 45%). I would set a stop after that.
IMO, there are to many SPY systems in play to save allocations for all of them and still make decent money, so I just go with the 1st that triggers.
Thoughts? Are you using a different approach?
thanks for sharing your approach.
Posted by matt on 21st of Sep 2023 at 05:46 pm
thanks for sharing your approach. realize that we only have 2 sub systems in trades, one with a 2nd entry and one with a 1st entry, that's very low.
again I've also shared this before: The max number of total entries from all the sub systems I think is 13, and that only lasted a couple days before things started closing out - something like that very rare, most of the entries are 2 or 3 with 5 or 7 generally being the most
The other thing one can consider is just limiting your max entries: make it 6, or 8 or 10. 10 would 99% of the past history
the other way to limit trades is to do only SPY or ES. Or...a better approach would be if the same sub system triggered for both SPY and ES on the same day, Don't do them both! That's an easy way to limit as well
Thank for the insight Matt.
Posted by DigiNomad on 21st of Sep 2023 at 06:23 pm
Thank for the insight Matt. I'm still searching for an objective 'system on the systems.'. I approach most tasks like this with allocation targets but maybe there's another way? The problem is that the systems are typically so good that they rarely take a 3rd entry. Planning for a 3rd entry therefore leaves a lot of capital idle. Coming up with an objective system on your systems is a lot more complicated than it may seem!
I use elements of both. I
Posted by jhbernstein on 21st of Sep 2023 at 06:17 pm
I use elements of both.
I only trade ES (for the tax advantage) and allocate 1 contract for every $16k in the account for each signal. (So a $32k account would go long 3 contracts, a $64k account 4, etc.) Last year I noticed a max of 8 entries in 1 direction at any one given time, which would give me leverage of 8x in the account. A lot to be sure, but that's what I feel I can withstand if/when things move against me. If we got to more than 8 entries, I just wouldn't take them.
I may decrease the allocation to 1 contract for every $20k in the account just to give me a little more breathing room.
Thanks, I'll map this strategy
Posted by DigiNomad on 21st of Sep 2023 at 06:27 pm
Thanks, I'll map this strategy out to see how it works. FWIW, I primarily use SPX for the same reason you only use ES. The 60/40 tax treatment is huge.
*I posted about SPY because that's what I use in smaller accounts that can't handle SPX motional values