There is something divine about the three day weekend. The majority of the past 48 hours were spent restoring order to la casa.
I like simplicity.
Bossram alpha is so fantastically simple, yet built upon preconceived and developed complexities, that its robust nature gets me plum excited. I trade my worst when I feel rushed. I feel rushed when the market accelerates or an interruption causes confusion. Bossram is a cycle ready to trade trend pullbacks, backed by hard data, with predefined entries and exits. A quick stroll through the decision tree tells you exactly how to behave, with 100% mechanical entries, 100% mechanical profit targets, and 90% mechanical stop losses.
In back testing however, the stop losses are entirely mechanical too.
Once the system grows to three contracts, the profit taking process will become 66% mechanical as the third unit will be traded with discretion. Achieving three contracts is the goal of Bossram. At that point, I’ll have an opportunity to flex my discretionary muscles and begin my quest to compete with the best traders in the world, fully financed by the Bossram bread-and-butter operation.
Do you see how exciting this all is?
I’ve walked forward over the past two weeks with Bossram, but the cycling nature of Bossram is beyond my coding abilities so the data was compiled old school. Well not quite old school; old school traders used to print out charts on reams paper and compile the data into stupid paper journals. Then I suppose they used their abacus to calculate win rates and such. Silly traders. I surfed across the charts on my 24-inch Samsung and inputted the trades to excel on my other 24 inch Sammy.
All testing was done on RTH data only of course, as I will only trade discretionary during regular trading hours. Here are the best data bits:
Total Trades: 34 (3.4 trades per day)
Gross Profit: $2,687.50
Gross Loss: ($1900.00)
Net Profit: $787.50 (not including commission)
Win rate: 82%
Largest Winning Trade: $150.00
Largest Losing Trade: ($450.00)
Max Drawdown: ($825.00)
Some notes on the performance:
As you can see Bossram went through a bit of a rough patch. It occurred over the course of Wednesday and Thursday, two days featuring violent, news driven chop. Believe me, I’ve psycho analyzed the price action from this period to gain insight into Bossram’s weakness. The kryptonite to this system is visible, at least in hindsight. But the cycle was still profitable, and I would hate to muck up the concept with discretion, so I’m resisting the temptation to begin filtering out entries. And the walk forward data looks like an accurate cut out from the multi month back test.
Now begins the very ceremonial process of rolling the concept into a live trading environment. Before any live trading takes place on a new idea I first take the opportunity to remove any clutter from my life. I bring the budgets up to date, set logical goals, clean my office like an OCD, and archive paperwork. Finally a large thicket of sage used to smudge my home and self carrying away any negative energies lingering on the premises.
Now everything is in place to take the idea live. The live environment is the exact same as the walk forward and strikingly similar to the back test only now I have to overcome any psychological effects associated with making and losing money.
That’s how you take an idea live. The process is as fun as the outcome.
Finally, the system increases contract size based upon the max drawdown. I keep this step simple too. I use a 3x multiple of the max drawdown plus the intraday margin requirement of the instrument (in this case the e-mini S&P future contract) to determine the amount of capital needed per contract to finance the idea. The following equation renders the amount of capital needed to increase contract size:
($825.00 x 3) + $500 = $2425
For simplicity sake, for every $2500.00 increase in capital earned by the system, contract size will be increased. Once three contracts is achieved the plan will be reassessed. According to the data from the back test, Bossram alpha should increase its size to two contracts in 7.25 weeks.
Hello October 21st.
Fortunately it takes half as long to earn the second $2500.00 lot. Let’s call it 4 more weeks. Therefore, Bossram Alpha will achieve the three contract goal near November 21st.
There you have it. I’ve conservatively built a way to earn $40,000/year.
Bread and butter.
So it is written, so it shall be.
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