[[EFU]] stopped out at $145.05, after entering at $151.09 this morning, for a loss of $575.72
[[SCC]] did not stop out after an entry (theoretical) of $138.88, although it came close.
In the comments section of the last post on this system, it was noted that the spreads on SCC were huge. This was confirmed by plotting a 1-minute chart in Tradestation. I hope to have more time tomorrow evening to post how uneven the trades were. This throws a huge monkey wrench into the system. It may be that we ignore selections unless they have twice or triple the volume of SCC. It is useless to rely on backtested results if the results do not have a realistic possibility of being replicated. It seems that SCC may be too illiquid to provide consistent results using market orders on the open.
Of course, the other two open positions [[SDS]] and [[QID]] continue to erode. These two positions can also stop out and the system will still show a positive gain since its short inception period.
This is where we want to carefully observe the performance of the system. We know it will hit losers, but as long as the losers are fewer in number and smaller in dollar terms than the winners, the system will remain an overall winner. Frankly, I am glad it may be getting ready to hit a losing streak, as this means it is an excellent time to start trading the system with real money. After four to six losing trades, I will be looking to dive in. More on that later.
I will update the blog tomorrow evening with a new spreadsheet for the Big Bamboo System. Right now it is too late to delve into the math and I am likely to make errors, so it will have to be put off until tomorrow
No New Entry Signals For Tuesday.
If I would have went back into EFU and SCC at the end of the day yesterday. Would have made up for the 4% loss and have a 6.14% gain as of 12:11 AM EST.
Susan, check the equity curve and w/l ratio for the 6% stops.
They are very good. With the increased volatility, it might be worth it to sacrifice a small portion of percentage performance for increased winning percentage / decreased stop-outs.
Good point. Would that require a smaller position size to balance the increased risk?
i love this system!
Susan, exactly. You would still keep risk at 1% of total equity (if you choose), but with a larger stop, you’d be buying fewer shares.
Wood –
I am not sure if the idea should be to be right ALL of the time. You are running at a 87.5% accurancy rate so far with the 4% stop. That is actually quite good.
Susan, if you know systems, you know it’s probably too good. I suspect after a lot of samples it will be more along the lines of 70/30, which would still be “amazing”
great work shed