I have the plans to help me achieve the state of peak performance. That's going to take me a lot of time to reprogram my brain, but based on a great comment from Flowtastical, it can be really as simple as:
Study your best trades and execute them better. That is peak performance.On the other track...
I'm still trying to "make it my own" trading the ES with the DS system. And since I'm back to trading on SIM (simulation account) to really nail down what my style should be, one thing that has been bothering me is the lack of confidence I have with fills on SIM with limit orders.
SIM fantasy fills - to good to be true
When you use limit orders to enter and exit a position, you usually get a fill even if it doesn't trade through your price -- I call those "SIM fantasy fills." So today, I began a day of experimentation trading the DS system with more of an aggressive scalping style (12 to 30+ trades a day) so that I could generate as many trades to evaluate.
The goal - make SIM results more realistic
Since I was a bit taken aback by the differences between SIM results vs. live trading in my last foray, I wanted to able to find a way to trade my SIM account so that it would better match real life results. Next time, I don't want to be so surprised about my live P&L differences vs. SIM.
Adjustments made when trading SIM
For my experiment, my profit target was set to +2.00 and stop loss was -2.00. However, as I started to complain about how the SIM fantasy fills were too easy and not like reality, CLETrader (the resident expert in the DS room on scalping strategy) recommended some of the following revisions to my bracket order on SIM:
- Move my profit target limit order to +2.25 (and including the bullet below = +2.50)
- Place my limit entry at a 0.25 favorable (more difficult to fill) level
- Stop loss would remain at the original price
- A $5 commission added per round trip
The adjustments accomplished a few tasks
- The original entry limit order would have been filled in real life
- However, every order, regardless of outcome, will have overstated profit by a tick. This needed to be adjusted in the final results.
- The original profit limit order would have been filled in real life
- However, the trades the hit the profit target order will have overstated profit by a tick. This needed to be adjusted in the final results.
The only difficult part of this task is the additional overhead necessary to calculate and apply the adjustment for every individual trade manually or semi-manually via Excel to generate the revised results. But to me, this is a task worth doing in order to give better confidence whether the trades would have filled (or not) in real life.
An error in my experiment
In hindsight, I applied the incorrect values to my bracket orders today, and didn't modify my profit target limit order by another tick. In some cases, this did make a difference on whether I got the fill or not.
Please note that I was NOT trading a specific strategy consistently throughout the day (although it was more scalping related), and in addition, note the error explained just above which also impacts the results. So this "experiment" has a lot of holes, and the actual P&L is somewhat meaningless.
I had 36 trades (I'm really tired now!) with a not that great 51.6% accuracy, which goes to show how I wasn't on track with the DS system which usually gets 70-80% accuracy. Average gain was $96 and average loss was $87 (both raw SIM output), so we're talking about some tight margins on this particular day.
One more interesting highlights is how the raw SIM data ended the day showing a gross profit, whereas the adjusted data showed a significant net loss. With a relatively large volume of trades, the commissions and adjustments quickly overcame any gross profits.
When trading (especially active traders) via SIM utilizing primarily limit order entries/exits with an even risk/reward ratio, it is very useful to make adjustments to your final SIM results to avoid a false sense of confidence and success.
The method discussed here of adjusting the entry orders, in addition to penalizing the results of the trades, is likely to error against the trader's P&L greater than reality. However, if reality ends up being a little easier because of this approach to trading on SIM, I consider that a successful outcome.