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My system is truely 100% mechanical. All the discretion went into the system
design. I have taken everything into account. Entries, exits, money
management, even a system failure point. The system is self-adjusting in
terms of volatility, so if some market goes haywire mid-trade, I have built
in algorithms that will automatically reduce exposure.
To be fair, the system is a very simple, EOD long term channel breakout type
deal on a large basket of futures markets (currently 30). It only looks at
closing prices. The system is all programmed in Excel using VBA. Each night,
I download CSI EOD data. Then I simply run my daily update VBA program in
Excel. It reads in the CSI data files and generates orders for the next day.
I even have it programmed to automatically calculate rollover dates for each
market. When there is activity, which is usually every other day on average
with all those markets, I email my broker the orders. I can use fax for
backup if I want.
It would be terribly boring if it were not for the fact that I have chosen
to leverage it very high with the only constraint being to try and keep the
risk of ruin < 1%. I have learned to not be bothered too much by the huge
drawdowns which are *inevitable* with the leverage I am using because I have
ultimate confidence that the system will come back eventually and rocket to
new equity highs. I funded this program with pure risk capital and am
committed to the roller coaster ride that is required to get to the target
goal as fast as possible. I am sure most could not emotionally handle the
ride I'm going through. Paradoxically, I have never been more calm, happy,
and content in my trading life.
Scott Hoffman
Issaquah, WA
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