Do the systems have any sort of hard stop? I am surprised
there hasn't been any sort of bounce and worried about protecting
against some sort of deeper sustained pullback.
patellee - discussed many years and it's
discussed in that section - again I know it's not fun, these
'pucker trades' never are, as I said when the markets do this,
these mean reversion systems are not fun feel good systems, hard on
psychology - which is why I always suggest never swing for the
fences for these - because if you go too big, you can't stand heat.
Now where I'll tend to go big is on 3rd entries because they are
rare
mean reversion systems do not have initial stops - they stop out
on bounces - I tested that 100 ways from Sunday and you would
always tend to stop out at the lows -was always better to stop out
on bounces
that said one option is to use a stop that is slightly wider
than the max historical DD - again, doesn't guarantee that price
doesn't slightly exceed the max DD and stop you out at lows but it
is an option
on SPY CCI divergencethe
MAX historical DD was 16.5% on the 1st entry - and what's
funny is that trade still made money- here's an image of
it - this is 2008 so moves were more exaggerated - see
attached image showing this max DD trade
SPY Trend/Pullbackmax historical DD was 11.4% on 1st
entry
SPY QE BTSmax historical DD was 13.6% on 1st entry
one could use those as guides for stops - but we are not even
close to those and HOPEFULLY we do not get close to those
For MES trades, that 16% was about 255pts for -$1275 per
contract.
16% in current prices from 5959 is 953pts for -$4767 per
contract.
It's really hard to allocate with this system considering there
are so many potential entries from the multitude of subsystems and
no stops for risk control.
Hey Matt, I think posting stats for different entries will be
very helpful for us, cuz sizing is our discretionary decision.
Understand that probably takes time so maybe sometime in the
future. Thanks.
Do the systems have any
Posted by patellee on 6th of Mar 2025 at 12:51 pm
Do the systems have any sort of hard stop? I am surprised there hasn't been any sort of bounce and worried about protecting against some sort of deeper sustained pullback.
Not at 3rd entries yet.
Posted by mastermind on 6th of Mar 2025 at 01:35 pm
Not at 3rd entries yet.
Trend/Pullback looking at 3rd entry
Posted by matt on 6th of Mar 2025 at 01:45 pm
Trend/Pullback looking at 3rd entry today
patellee - discussed many years and
Posted by matt on 6th of Mar 2025 at 01:04 pm
patellee - discussed many years and it's discussed in that section - again I know it's not fun, these 'pucker trades' never are, as I said when the markets do this, these mean reversion systems are not fun feel good systems, hard on psychology - which is why I always suggest never swing for the fences for these - because if you go too big, you can't stand heat. Now where I'll tend to go big is on 3rd entries because they are rare
mean reversion systems do not have initial stops - they stop out on bounces - I tested that 100 ways from Sunday and you would always tend to stop out at the lows -was always better to stop out on bounces
that said one option is to use a stop that is slightly wider than the max historical DD - again, doesn't guarantee that price doesn't slightly exceed the max DD and stop you out at lows but it is an option
on SPY CCI divergencethe MAX historical DD was 16.5% on the 1st entry - and what's funny is that trade still made money- here's an image of it - this is 2008 so moves were more exaggerated - see attached image showing this max DD trade
SPY Trend/Pullbackmax historical DD was 11.4% on 1st entry
SPY QE BTSmax historical DD was 13.6% on 1st entry
one could use those as guides for stops - but we are not even close to those and HOPEFULLY we do not get close to those
For MES trades, that 16%
Posted by dtheo on 9th of Mar 2025 at 01:03 pm
For MES trades, that 16% was about 255pts for -$1275 per contract.
16% in current prices from 5959 is 953pts for -$4767 per contract.
It's really hard to allocate with this system considering there are so many potential entries from the multitude of subsystems and no stops for risk control.
Hi Matt Thanks for responding to
Posted by cashola on 6th of Mar 2025 at 01:18 pm
Hi Matt
Thanks for responding to his question because I was thinking the same thing.
Also, will the systems be able to go short on a bounce given the current backdrop?
Hey Matt, I think posting
Posted by kvn666 on 6th of Mar 2025 at 01:15 pm
Hey Matt, I think posting stats for different entries will be very helpful for us, cuz sizing is our discretionary decision. Understand that probably takes time so maybe sometime in the future. Thanks.
I am curious about this
Posted by cashola on 6th of Mar 2025 at 01:20 pm
I am curious about this as well because it probably does impact profit factor and win rate.