PureBytes Links
Trading Reference Links
|
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
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- 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
unsubscribe from this group, send an email to:>
realtraders-unsubscribe@xxxxxxxxxxxxxxx>>>> Your
use of Yahoo! Groups is subject to <A
href="http://docs.yahoo.com/info/terms/">http://docs.yahoo.com/info/terms/>>>To
unsubscribe from this group, send an email
to:realtraders-unsubscribe@xxxxxxxxxxxxxxxYour
use of Yahoo! Groups is subject to the <A
href="http://docs.yahoo.com/info/terms/">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
<font face=arial
size=-2>ADVERTISEMENT<img src="http://ad.doubleclick.net/ad/N879.ameritrade.yahoo/B1054521.11;sz=300x250;adc=ZHS;ord=1032199152?" alt="" width="300" height="250"
border="0">
To unsubscribe from this group, send an email to:
realtraders-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|