Module 6, Lesson 2
TradeStation Walkthrough
Tomas: Here I've prepared for you again a very simple indicator, which basically shows you
the current third of the day.
So here we are in the first third of the day; here we are in the second third of the
day; and here we are in the third third of the day - okay?
So you see how we take a session and split it into three thirds and now we have
three different zones – one, two, three - and our intent is to try different position
sizing for each zone - each time zone. Which, of course, is another completely inde-
pendent input for Dynamic Position Sizing and that’s again why it can be very power-
ful, because we already know that we prefer independent filters.
Okay, here is the Indicator.
A very simple one.
We just take the session, split it into three, and create three zones. We only need to
insert manually the beginning and end of the session and timeframe. You already
know this from the Breakout Masterclass as well.
So YM Market E-mini Dow Jones starts at 3:30 pm here in Spain, and closes 10:15
pm. We use 20-minute timeframe.
Actually here is Indicator - sorry, I was in the wrong code.
So we just take the entire trading session from 15:30 to 22:15, split it into thirds, and
we have Time Zone 1, 2, and 3.
And we don't have any other options here in the optimization code, so all we do, we
only optimize the number of contracts for each zone, separately for long and sepa-
rately for short. So very quick and very simple.
And again, I did this already, so here is the Optimization Report as we get it, which
was in-sample.
We sorted by TradeStation Index, and here we do not look at the first 20 because
we don't have more options. We don't have more techniques here, just this one. So
Page 1 of 3
(c) 2018 [Link] / Distribution without author´s approval is not permitted.
TRADING INVOLVES A SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS,
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
we go either directly for the first one, or if the second or third one starts with a sig-
nificantly higher average trade, we can test the second, or maximum third, one as
well. But not really - just in very specific cases. It’s not something I would recom-
mend.
Here the first one is a very good one. The average trade is very similar to others. We
have a good profit factor. So definitely, we just take the first one without any
doubts, without any hesitations, and we have a look on in-sample and out-of-sample
Performances Reports.
So I choose in-sample. Equity - okay, that's quite nice graph. Nice equity.
Out-of-sample, and it's beautiful. You know, you see we are steadily rising up -
$12000, so very nice. I think that it continues very well. You can see that's a very
smooth ride.
And this solution means that we take 1 contract in the morning, 2 contracts in the
afternoon, and 3 contracts at the end of the day, for long; and we do not change the
number of contracts for short. We have 1, 1, 1 contract for each time zone.
So that's what we add into the result code.
Okay, here is the result code: 1, 2, 3, 1, 1, 1.
You already know how we assemble the result code. We already discussed this in
previous modules, so you're familiar with that. You can definitely learn from this ex-
ample if something is not clear yet.
Again, we quickly compare here on the right side. We have the result code. You al-
ready know that from previous lesson, again. So we make a quick check: $60,795
and here we have $60,795 as well, so everything fits perfectly.
And we have our solution, which seems to be pretty good one - completely inde-
pendent input, which is time.
Let's see how much of an improvement we got, but I think that is going to be pretty
good improvement. Okay, tadadada, drum rolls, and here's the result.
So, the net profit jumped 140% - beautiful - while maximum drawdown only 9.6%.
Have a look at that, that's absolutely amazing.
We really - we more than doubled the profit from $25,000 to $60,000, almost
61,000, yet the maximum drawdown is almost the same, nearly the same. 9.6% -
that's nothing.
Page 2 of 3
(c) 2018 [Link] / Distribution without author´s approval is not permitted.
TRADING INVOLVES A SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS,
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
And the new net profit ratio is 9.4 which is a beautiful, beautiful jump – a beautiful
increase by almost 120%. So these are very, very nice results. Powerful results.
You see how much we improved our income, with almost no sacrificing the draw-
down and that's why I love Dynamic Position Sizing so much. That's the magic of it,
what we can achieve here. Again, very powerful strong results.
Okay, so that was the very last dynamic position technique. You see this one is very
simple one. You can implement it in a couple of minutes, yet very, very powerful.
And that's basically all - these are my best and most powerful concepts and ap-
proaches to Dynamic Position Sizing.
And the only one thing that remains is the smart code. And I have a small surprise
for you in the bonus session with the Dynamic Position Sizing smart code, so let's go
directly there and you'll see what more I have prepared for you in the bonus session
with the Dynamic Position Sizing smart code.
Okay, so see you there.
Page 3 of 3
(c) 2018 [Link] / Distribution without author´s approval is not permitted.
TRADING INVOLVES A SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS,
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS