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Re: [RT] Re: Multiple Contract entry doesnt seem to make sense??????



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I agree and thank you for the advice Clyde....for 
now at least am just trying to answer the entry question. I do believe in taking 
partial profits....
 
Sean
<BLOCKQUOTE 
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  ----- Original Message ----- 
  <DIV 
  style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From: 
  Clyde Lee 
  
  To: <A title=realtraders@xxxxxxxxxxxxxxx 
  href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx 
  
  Sent: Monday, September 16, 2002 1:54 
  PM
  Subject: Re: [RT] Re: Multiple Contract 
  entry doesnt seem to make sense??????
  What you say you may believe BUT, for a number of 
  yearsI worked with a very successful CTA.  He was an absolute 
  believerin scaling out 1/2 of your positions at some profitable 
  point.I did not believe this until I started using Sharpe ratios and 
  thenfound that the equity curve would be one hell of a lot smootherif 
  this approach was taken.The other aspect is the psychological 
  aspects.  If you grab aprofit and then the trade turns against you 
  the psychologicaleffect is quite different than having the whole thing 
  turn!!!!Clyde- - - - - - - - - - - - - - - - - - - - -  - - - 
  - - - -Clyde Lee   
  Chairman/CEO          (Home of 
  SwingMachine)SYTECH Corporation    
  email:clydelee@xxxxxxxxxxxxxxxxxxx7910 Westglen, Suite 
  105       Office:    (713) 
  783-9540Houston,  TX  
  77063               
  Fax:    (713) 783-1092Details 
  at:                      
  www.theswingmachine.com- - - - - - - - - - - - - - - - - - - -  - - - 
  - - - - ------ Original Message -----From: "topos8" 
  <topos8@xxxxxxx>To: <realtraders@xxxxxxxxxxxxxxx>Sent: 
  Monday, September 16, 2002 12:43 PMSubject: [RT] Re: Multiple Contract 
  entry doesnt seem to make sense??????> As far as I know there 
  is only one reason to scale into (or out of) a> trade.  If you are 
  trading big enough size the market may not be> liquid enough to 
  accomodate a big order without significant effect on> the execution 
  price. Along the same lines, if your trade position is> of interest to 
  others it is easier to hide your activity by spreading> out orders over 
  time and over brokers.>> Aside from such considerations, there 
  is no "mathematical" reason to> scale in or out of trades.  The 
  simple fact is that your system> should be designed to make the best 
  trades - i.e. to buy or sell at> the price which offers the greatest 
  expected profit given the> information available at the 
  time.>> To take your example, either the trade at 890 is the 
  best trade or> the trade at 895 is the best trade. Why short 890's if 
  the average> profit achieved by waiting for 895 is greater?  (Here 
  I am including> the cost of "lost profits" which arises if 895 is never 
  hit when> calculating average profit). Similarly, why short 895 if the 
  average> result of shorting 890 is better?>> One aspect 
  of this is the phenomenon you mention, namely always being> short 2 
  contracts when you are wrong and sometimes only 1 when you> are right - 
  not a good betting strategy!>> I would be very suspicious of any 
  system which prescribes scale> entries - it smacks of something which 
  has not been tested very well.>> 
  Carl>>>> --- In realtraders@xxxx, "Sean Cassidy" 
  <scassidy@xxxx> wrote:> > In trying to reason through 
  this....I would like some comments.> Lets say the market is at 880 on 
  the S&P and i want to go short at> 890 and 895. One at the low end 
  and another at the high end. Doesnt> that mean that all of my losers 
  will be for 2 contracts and several> of my winners will only be for 1 
  contract. Fowllowing that....it> would then seem that if I had twice as 
  many winners as losers I would> only break even, assuming a 10 point 
  stop and profit target.> >> > I am having a discussion 
  with someone about this and would like> some feedback....although it 
  seems obvious that with this method a 67> 5 win rate breaks 
  even....before commissions.> >> > An example> 
  >> > 12 trades> >> > 8 winners at 10 
  pts                                
  80 pts> >> > 4 losers at 10 pts but on 2 
  contracts       -80 pts> >> 
  > 
  Total                                                        
  0 pts> >> > Sean>>>> To 
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