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Had I just stuck to 1 contract the whole time, I'd be up $494. Instead I am down $1K plus. So, switching to 2 contracts, and hitting a losing streak, definitely had a big impact.
Of course, had I encountered a winning streak after trading 2 contracts, I would be singing a different tune!
So, I'd say a bad run over a period of less than 10 trades(within expectations), coupled with increased size, caused this.
The ironic thing is everything I have brought public lately (TST Combine #1, TST Combine #2, now this system with my own account) has suffered. A tad embarrassing, it tis...
First, thanks a lot for this journal. It is very inspiring!
I have noticed that you mentioned:
May I know if you have backtested the system with this kind of non-constant position sizing?
If you cut size when you are in a drawdown, it is more difficult to get out of it.
Just thinking...
to help put things into perspective, would it be possible that you plot separately couple or few times weeks/months long sideways/drawdown performance that occurred in your backtest curve with equity high being the starting point.
Once that is well understood then it will be clear that your current performance perhaps is just one of those periods already accounted for in your execution.
You may have to wait months and years for system to produce results. If this is the case then reflecting on weekly performance is too often, perhaps only a monthly performance is a proper zoom level?
The 2nd chart in this post (link below) shows the walkforward and live equity curve. You can get a sense of drawdown amounts and durations from that chart.
Here are the updated charts as of Week 22 (plus 1 Sunday night trade on Week 23).
So far, the system is at a 32% annual rate of return. Acceptable, but nowhere near what is should be doing. The last few weeks have been pretty representative of …