Important - Know when to break the rules
Posted: Wed Sep 04, 2013 7:37 am
I think one of the problems I suffered with over the years [ apart from all the rest yes I know] is I have been relatively stubborn in my marriage to some of "those rules" you just dont break as a trend followr / systematic trader.
One of those rules is sticking to your system when times get tough - I thought I 'd share my experience - it maybe a valuable exercise if I get some feedback here of what others have done and found ?
I had 2 systems - both robust. I say robust because one of them was a 1 [effective] paramter system [ maybe 2] - trade a large bask of futures on the Bollinger band break-out system - use something like a 200 day MA and a 1 standard deviation break-out
Not only was this a system that by mid 2010 had performed very well - but it also seemed to have a steepening equity curve unlike so many basic systems that had flattened off a tad !
Anyway the worst drawdown it had suffered was about 25% and at 35% I bailed out sensing something just want at all right
Every "guru" , every TF and people like Mr Covell Im sure would argue how not sticking to your system and bailing is the wrong thing to do !
I just checked teh performance of this system - its now in a 92% draw down - all criterai totall blown away from anything that had happned in teh previous 30 years
Secondly the TMA which I have already written about on here - i bailed on that two having traded it for many years and made good money on it
a medium term system traded on a large basket of futures with good risk control in place and heat limiter saw this system totally disintergrate into oblivion.
When all is said and done it is actually amazing that if you look at some turtlish type systems traded over a much larger portfolio than the turtles used and without the aggressive "adding" they used - that in fact these have held up far better and are showing no real signs of degradation ?
its all a learning curve and all food for thought - can we get a discussion going here beacuse maybe I'll learn what I did wrong [ if anything?] maybe you'll learn what you did wrong / right and maybe we can share some ideas !!!!
One of those rules is sticking to your system when times get tough - I thought I 'd share my experience - it maybe a valuable exercise if I get some feedback here of what others have done and found ?
I had 2 systems - both robust. I say robust because one of them was a 1 [effective] paramter system [ maybe 2] - trade a large bask of futures on the Bollinger band break-out system - use something like a 200 day MA and a 1 standard deviation break-out
Not only was this a system that by mid 2010 had performed very well - but it also seemed to have a steepening equity curve unlike so many basic systems that had flattened off a tad !
Anyway the worst drawdown it had suffered was about 25% and at 35% I bailed out sensing something just want at all right
Every "guru" , every TF and people like Mr Covell Im sure would argue how not sticking to your system and bailing is the wrong thing to do !
I just checked teh performance of this system - its now in a 92% draw down - all criterai totall blown away from anything that had happned in teh previous 30 years
Secondly the TMA which I have already written about on here - i bailed on that two having traded it for many years and made good money on it
a medium term system traded on a large basket of futures with good risk control in place and heat limiter saw this system totally disintergrate into oblivion.
When all is said and done it is actually amazing that if you look at some turtlish type systems traded over a much larger portfolio than the turtles used and without the aggressive "adding" they used - that in fact these have held up far better and are showing no real signs of degradation ?
its all a learning curve and all food for thought - can we get a discussion going here beacuse maybe I'll learn what I did wrong [ if anything?] maybe you'll learn what you did wrong / right and maybe we can share some ideas !!!!