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I have been using this for years
I buy 4 sp500 and with my first profit objective ALWAYS sell 2 out of the
4
and raise my stop loss for the other 2 to be where the parabolic stop is
on the 78 min bar
Ben
----- Original Message -----
From: "Clyde Lee" <clydelee@xxxxxxxxxx>
To: <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 years
> I worked with a very successful CTA. He was an absolute believer
> in scaling out 1/2 of your positions at some profitable point.
>
> I did not believe this until I started using Sharpe ratios and then
> found that the equity curve would be one hell of a lot smoother
> if this approach was taken.
>
> The other aspect is the psychological aspects. If you grab a
> profit and then the trade turns against you the psychological
> effect is quite different than having the whole thing turn!!!!
>
> Clyde
> - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> Clyde Lee Chairman/CEO (Home of SwingMachine)
> SYTECH Corporation email:clydelee@xxxxxxxxxxxxxxxxxxx
> 7910 Westglen, Suite 105 Office: (713) 783-9540
> Houston, TX 77063 Fax: (713) 783-1092
> Details at: www.theswingmachine.com
> - - - - - - - - - - - - - - - - - - - - - - - - - - - -
>
> ----- Original Message -----
> From: "topos8" <topos8@xxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Sent: Monday, September 16, 2002 12:43 PM
> Subject: [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
http://docs.yahoo.com/info/terms/
> >
> >
> >
>
>
>
>
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>
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>
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