So with regard to your system; it makes money in good long term trends taking multiple bites as you say, but what happens when a trend changes? Are you able to get out and prevent giving back all the profits and how does it differentiate between a correction and reversal?
How does your system know when to close a profitable trade? What % of your system success is luck would you estimate? If your system is capable of managing large sums of money and generating strong returns with little drawdown, why not flog it to Goldman Sachs or some hedge fund and make millions?
Its an intra day system, and due to the random nature of the entries, quite often it doesnt do particularly well even in decent trends. It doesnt attempt to differentiate between corrections and reverals. If the trend changes, I lose money. However, my average loser is less than my average winner.
One of the tricks I use is to continually generate multiple theoretical equity curves by resampling my performance history. That at least gives me upper and lower bounds that I expect to see from these systems. If those boundaries are touched (upper OR lower) something is fundementally changing, and I reduce exposure, or stop trading.
I think its probably far to say that most of the logic is focussed on closing losing trades, rather than worrying about winners.
The methodology was originally designed specifically to allow us to scale. The reason I'm not proactively chasing additional capital is that running the current set up is pretty much a full time occupation, I couldnt even envisage how I could free up additional time to deal with chasing additional capital. I'm already in the fortunate position of having access to more capital than I currently wish to trade, at least for the forseable future.
Your question about luck is quite interesting, and something I'm currently struggling with. The number of long and short trades is rarely equally distributed. Sometimes, just by chance, you get more buys occurring in a rising market, or more sells in a falling market. I'd like to think that partially occurs due to my trend bias filters, but I'm honest enough to acknowledge there's a good dose of luck in there too, as the opposite also occurs.
The effects of luck influence every single component part of the system. Opening a trade 15 minutes sooner or later can have a significant impact. Luck effects the money management and position sizing. Simply resampling your performance history will give a good indication of what might have happened.
The worrying thing is that as a discretionary trader, trading a single method, you are totally at the mercy of luck. If you make 100% in a year, you might think great, and commit more capital, or if you lose 50% of your capital you might give up. I'd probably argue that neither outcome is really representative of your true long term edge (which wont be constant either !)
