If the market has put in a real low - there's potential for some
of these systems to catch runners - such as the RSI oversold system
and QE BTS - at various times in the past they caught moves last 2
to 3 months, I added an example of that from the past on the QE BTS
and RSI oversold
again none of the mean reversion systems are exiting today -
they are holding. And it appears that for the RSI oversold and QE
BTS systems,
a secondary trend hold condition kicked inthat is going to hold the trade for a while beyond simple mean
reversion bounce
would be nice if they caught a monster trade like these past
ones
looking through some past images, man these old FAN
scaleout systems we made for the mean reversion systems years ago
are so pretty
The idea was that the fan volatility scaleout could buy too
early but still take little draw down on sell offs because it could
at times scalout of of most of the 1st and 2nd entries off intra
day volatility - here's a few examples
1. the Long you see after the short, had 3 entries from
one of the mean reversion systems. The first entry was 20 ES
contracts - which the system was able to scale out of 17 of those
contracts the next day taking profits, only leaving 3 out of the 20
contracts, this meant that on the next sell off, it didn't take any
draw down because 85% position of the 1st entry was taken off with
profits that more than made up for the draw down on the 3 remaining
contracts. The 2nd entry was able to scale out of 1/3 of the
position for profits, and the 3rd and final entry scaled out - but
notice how the scaleouts were WIDER, not as aggressive, that's
because the system adjusted its scaleouts for the increase in
volatility, the large candles, and thus widened the scale out
prices
2. shows the Brexexit long back in 2010 I think. 1st entry of 20
contracts was able to scale out of 18 for profits leaving only 2
contracts so that you really had no draw down by the time the 2nd
entry occurred
anyway fun stuff - clearly not something for the website, more
of a professional fund etc. However, one day I'll revisit this -
right now it's simply doing the mean reversion systems and scaling
out, so you have up to 3 main entries. What I think makes more
sense is not scale in all the contracts in 1, 2, 3 entries, but
scale those in as well like the exits
anyway fun stuff- fun fact - I printed one of these out on
a powder coated metal - size of a poster board - looks bad ass on
the wall
yeah - you ain't doing that systems without a nice account size
LOL. MES would be easier to do.
again I think it should scale into many parts vs 3 entries to
match the scale outs - for fun I'll revisit it one day and try and
add that
by the way the scaleouts make the stats insane: this is from
like 2017 but you can see about 6000 trades, 99.4% winners, 642
consecutive winners LOL, and the profit curve is basically a
straight line 45 degree angle
Wow Matt, good to see that system again. There was a hedge fund
you traded this system for some time back. I tried to sign on but
was messed around a bit. If I recall the fund was not allowed to
trade more than 15-20% of this "riskier" futures system.
yeah the regulatory these days is extreme. You have to have a
Series 3 license to be able to trade more than 10% of the account
with futures. And the 10% number was never clear to me what that
meant? my guess is that it's whatever the future contract controls,
so ES at 4369 x 50 = 218,450, which on a 5 million account only
allows you to hold a maximum 22 ES contracts, which would not work
on that FAN system. And again - while the scaleouts lower the risk
in most cases, it's not always the case if price doesn't bounce
intra day and you have solid back to back down candles - which is
why I said to really make that system where I'd be happy with the
risk is to have it also scale in like it scales out, vs scaling all
in on 1, 2, or 3 entries. The way I will approach it when I revisit
the systems to still have it scale in some shares on entries 1, 2,
and 3 but not all of them, so instead of entering 20 contracts on
the first or 2nd entry, have it enter 5, then look to buy the other
15 intra day on pullbacks lower than the main entry
mean reversion systems update - no changes, none of the open systems looking to exit yet
Posted by matt on 9th of Oct 2023 at 01:59 pm
If the market has put in a real low - there's potential for some of these systems to catch runners - such as the RSI oversold system and QE BTS - at various times in the past they caught moves last 2 to 3 months, I added an example of that from the past on the QE BTS and RSI oversold
again none of the mean
Posted by matt on 9th of Oct 2023 at 03:47 pm
again none of the mean reversion systems are exiting today - they are holding. And it appears that for the RSI oversold and QE BTS systems, a secondary trend hold condition kicked in that is going to hold the trade for a while beyond simple mean reversion bounce
would be nice if they caught a monster trade like these past ones
something fun
Posted by matt on 9th of Oct 2023 at 02:53 pm
looking through some past images, man these old FAN scaleout systems we made for the mean reversion systems years ago are so pretty
The idea was that the fan volatility scaleout could buy too early but still take little draw down on sell offs because it could at times scalout of of most of the 1st and 2nd entries off intra day volatility - here's a few examples
1. the Long you see after the short, had 3 entries from one of the mean reversion systems. The first entry was 20 ES contracts - which the system was able to scale out of 17 of those contracts the next day taking profits, only leaving 3 out of the 20 contracts, this meant that on the next sell off, it didn't take any draw down because 85% position of the 1st entry was taken off with profits that more than made up for the draw down on the 3 remaining contracts. The 2nd entry was able to scale out of 1/3 of the position for profits, and the 3rd and final entry scaled out - but notice how the scaleouts were WIDER, not as aggressive, that's because the system adjusted its scaleouts for the increase in volatility, the large candles, and thus widened the scale out prices
2. shows the Brexexit long back in 2010 I think. 1st entry of 20 contracts was able to scale out of 18 for profits leaving only 2 contracts so that you really had no draw down by the time the 2nd entry occurred
anyway fun stuff - clearly not something for the website, more of a professional fund etc. However, one day I'll revisit this - right now it's simply doing the mean reversion systems and scaling out, so you have up to 3 main entries. What I think makes more sense is not scale in all the contracts in 1, 2, 3 entries, but scale those in as well like the exits
anyway fun stuff- fun fact - I printed one of these out on a powder coated metal - size of a poster board - looks bad ass on the wall
The fan took a lot
Posted by srusso1 on 9th of Oct 2023 at 03:00 pm
The fan took a lot money 20 contracts that is bad to the bone.
yeah - you ain't doing
Posted by matt on 9th of Oct 2023 at 03:02 pm
yeah - you ain't doing that systems without a nice account size LOL. MES would be easier to do.
again I think it should scale into many parts vs 3 entries to match the scale outs - for fun I'll revisit it one day and try and add that
by the way the scaleouts make the stats insane: this is from like 2017 but you can see about 6000 trades, 99.4% winners, 642 consecutive winners LOL, and the profit curve is basically a straight line 45 degree angle
Wow Matt, good to see
Posted by mundy on 9th of Oct 2023 at 05:30 pm
Wow Matt, good to see that system again. There was a hedge fund you traded this system for some time back. I tried to sign on but was messed around a bit. If I recall the fund was not allowed to trade more than 15-20% of this "riskier" futures system.
yeah the regulatory these days
Posted by matt on 9th of Oct 2023 at 06:28 pm
yeah the regulatory these days is extreme. You have to have a Series 3 license to be able to trade more than 10% of the account with futures. And the 10% number was never clear to me what that meant? my guess is that it's whatever the future contract controls, so ES at 4369 x 50 = 218,450, which on a 5 million account only allows you to hold a maximum 22 ES contracts, which would not work on that FAN system. And again - while the scaleouts lower the risk in most cases, it's not always the case if price doesn't bounce intra day and you have solid back to back down candles - which is why I said to really make that system where I'd be happy with the risk is to have it also scale in like it scales out, vs scaling all in on 1, 2, or 3 entries. The way I will approach it when I revisit the systems to still have it scale in some shares on entries 1, 2, and 3 but not all of them, so instead of entering 20 contracts on the first or 2nd entry, have it enter 5, then look to buy the other 15 intra day on pullbacks lower than the main entry
I remember that too from
Posted by skwan1940 on 9th of Oct 2023 at 05:45 pm
I remember that too from years ago - just curious do you still trade for that hedge fund?