“Short term techniques with relatively low R of 1 – 1.25 seemed to give me high win rates of 70 – 80% for some weeks/months, but would then drop to 20% – 30% and would wipe everything out…”

Feedback in:

Greetings Mr. Covel,

I suppose I will test your claim of reading these responses!

I’ve been fascinated with trading pretty much my entire life – it wasn’t until about 3 years ago I had cash I was able to trade with and got into futures. After 3 years of day trading on and off, at the end of each year the story was the same – my account was at a drawdown due to fees and errors, and I had been unable to find an edge that I could apply consistently. I seemed to be able to find intraday opportunities that seemed to work great at certain times and would net me hefty profits, though then would be a disaster and claim whatever I had made the weeks or months prior. Short term techniques with relatively low R of 1 – 1.25 seemed to give me high win rates of 70 – 80% for some weeks/months, but would then drop to 20% – 30% and would wipe everything out. After a relatively large trading sample of the short term day trading strategies I’ve tried over the last three years, everything seems to normalize to randomness, and thus I’ve never found an edge that works consistently. That, and I’ve frankly grown tired of “clicking the mouse” during day trading – I read your book Trend Following and thought it was great, hence why I am here.

So that’s my answer. Have a great day!

Brett

Sounds like you are on the right track. More resources here.

Filed under Trend Following