No More Discretion

Although the "base" system I am using for this contest was set in stone (ie, no discretion), the "add on to winners" portion of the strategy, where I increase size as the profit in a position grows, had discretion in it:

Initial entry - 100% mechanical, no discretion
Exit - 100% mechanical, no discretion
Additional entries, for profitable positions - 100% discretion


Although I liked the idea an adding on to winning positions, and tests I have run with other systems show that the idea is sound, I did not like the discretionary aspect of it.

So, I decided to fix this.

I went back, and divided the historical trades roughly in 2 - an in-sample "test" period, and an out-of-sample "verification" period.

I ran a couple of simple ideas (for when to add on) through the "in period" and chose one, based on test results.

I then checked, and the scheme holds up on the "verification" out-of-sample period.

Normally, I'd like to run this in real time (without real money) for a few months.  But, in this case I am going to put it to use immediately.

So, here is what this system looks like now:

Initial entry - 100% mechanical, no discretion
Exit - 100 mechanical, no discretion
Additional entries, for profitable positions - 100% mechanical, no discretion


Why am I eliminating discretion?  I'll talk about my reasons in a future post.

We will see how this works out!

Contest Update:

LeaderBoard: http://www.worldcupadvisor.com/worldcupchampionships/default_nwcc2.aspx

My Performance: