Responses to What is the Best Strategy and Announcement

Announcement: I’ll be speaking next week with list member Garrett Drinon from SMB Capital in their Bionic Trader meeting. Come join us!

Several of you responded to my question a couple of days ago about which version of my strategy you think is best.

Here’s a summary of the particularly good ones (shared with permission):

Isaac H:

I would lean towards version 1 if slippage and fees aren’t eating all the profits… if they are, I would go with version 2 because I would assume it makes the most for a given position size. I’m not confident the drawdowns would be as small as versions 3 or 4 though…. which may mean you could more easily size up versions 3 or 4.

Fabrizio A:

I probably would like to trade the version 2 even if i’m not sure if there is a mathematical reason… I usually want to know avg winner and avg loser and calculate Kelly, which i use more as a metric than as a sizing tool. Anyway, just following gut feeling, I like profit factor, win rate, and trade frequency of that version 2.

Matt H:

I don’t know which is the best version, but I like version 2 with version 3 1.5 size and version 4 with 2 or 3x size (maybe more)

Nish K:

Version 4 looks great as it has highest win% so PSYCHOLOGICALLY easy to execute. It has best profit factor. It also has least trade count so least fees and slippage but enough for statistically significant. 

Roget B:

Is this a trick question? Haven’t you taught us it all starts and ends with the equity curve!

That said, I’d start with the one with the fewest rules and a solid PF – likely #2, maybe #3. #4 is way too overcooked. I’d want to see it eliminate a smaller percentage of trades with each iteration, not more.

All excellent responses! (Glad to see Roget listening closely to my preaching about the equity curve.)

There was another in-depth reader response that deserves its own email, so look for that tomorrow, and then I will share my thoughts next week.

Thanks again to all who responded and agreed to share with the group.

-Dave

P.S. I’ll be in NYC most of next week speaking at the event with SMB Capital. If you’re interested in meeting up for coffee or a drink, hit reply and let me know.