{"id":254650,"date":"2026-08-27T10:51:28","date_gmt":"2026-08-27T14:51:28","guid":{"rendered":"https:\/\/ibkrcampus.com\/campus\/?p=254650"},"modified":"2026-08-27T10:52:59","modified_gmt":"2026-08-27T14:52:59","slug":"algo-advantage-055-toby-crabel-short-term-futures-trading-with-size","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/algo-advantage-055-toby-crabel-short-term-futures-trading-with-size\/","title":{"rendered":"Algo Advantage 055 \u2013 Toby Crabel \u2013 Short-Term Futures Trading with Size!"},"content":{"rendered":"\n<h2 id=\"h-contributor-podcast\" class=\"wp-block-heading\">Contributor Podcast<\/h2>\n\n\n\n<h3 id=\"h-algo-advantage-episode-055\" class=\"wp-block-heading\">Algo Advantage Episode 055<\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">Algo Advantage&#8217;s Simon and guest Toby Crabel discuss how systematic trading success relies on well-tested edges, strict rules, and continuous research over fixed parameters.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The episode is available on Algo Advantage blog: <a href=\"https:\/\/www.algoadvantage.io\/podcast\/055-toby-crabel\/\">https:\/\/www.algoadvantage.io\/podcast\/055-toby-crabel\/<\/a><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Federer Won 80% His Matches \u2014 and Only 54% of His Points. That Gap Is the Lesson.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">In his 2024 Dartmouth commencement address, Roger Federer told the graduating class he won almost 80 per cent of his 1,526 career singles matches. Then he asked how many of the individual points they thought he\u2019d won.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Fifty-four per cent.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Toby raised that number himself when we spoke, and it\u2019s the most clarifying thing in the interview. Short-term systematic trading can be the same kind of game. The best programmes don\u2019t necessarily win most of their days by a wide margin \u2014 they tend to win only modestly more often than they lose, and they do it without emotional interference over an enormous sample. Elite performance in a competitive, efficient game rarely looks like clear dominance. It looks like a thin, relentless edge applied across a huge number of small, independent-looking bets.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Now push the analogy one step further than Federer did, because this is where it earns its keep. Model a 54 per cent point-win rate as independent coin flips and you\u2019d predict a best-of-five match record above 90 per cent, not 80. The gap is the lesson. His points weren\u2019t independent draws: he lost a far higher share of them on bad days and against the handful of men who could genuinely hurt him, so the losses clustered into whole matches rather than sprinkling evenly across a career.<br>Your equity curve behaves the same way. A hit rate tells you nothing about ordering, and ordering is what kills accounts. Losses arrive in convoys. Which is why Monte Carlo path simulation and loss-streak distribution matter more than the headline win rate, and why a backtest reported as a Sharpe figure with no path analysis isn\u2019t telling you much.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Toby is candid that he doesn\u2019t lose well and gets stubborn in his personal trading. His answer isn\u2019t to become a better person. It\u2019s to build the safeguards into the systems, so the threshold that says \u201cthis isn\u2019t working\u201d fires whether he likes it or not.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">That\u2019s what systematisation is for. Not precision. Protection from yourself.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">But a thin edge only compounds while it\u2019s still an edge. Which brings us to the uncomfortable part of the conversation.<\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\" \/>\n\n\n\n<h2 id=\"h-edges-die-slowly-and-they-announce-it-first\" class=\"wp-block-heading\">Edges Die Slowly, and They Announce It First<\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u201cEverything is flux,\u201d said Heraclitus, roughly 2,500 years before anyone thought to co-locate a server in Aurora, Illinois. Toby put it less poetically when I asked about the strategy that made his name:&nbsp;<em>the damn thing\u2019s had its worst years in the last three or four or five years.<\/em><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Sit with that. The author of&nbsp;<em>Day Trading with Short Term Price Patterns and Intraday Breakouts<\/em>, the book that gave retail traders the ORB (Opening Range Break-Out), the NR4 (Narrow Range in 4) and the NR7, and which now sells for around $1,500 second hand, is the one telling you the trade has decayed. Meanwhile a generation is discovering the opening range on YouTube and treating it as a law of nature.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">It isn\u2019t. Maybe it never was.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Toby saw the first crack in 1986. The Board of Trade opened a three-hour evening session in the bond pit, a system called Project A. Traders suddenly had somewhere to unload risk overnight, the close-to-open pressure that powered the morning breakout had an escape valve, and follow-through dampened. Not to zero, and not overnight. It just got worse.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">He could name the mechanism. That\u2019s the part most traders miss. Toby didn\u2019t watch an equity curve flatten and shrug, because he understood&nbsp;<em>why<\/em>&nbsp;the open carried information in the first place: with no overnight session, every participant on earth expressed their view in a single moment. The open was, in his phrase, a very precise area of energy.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Twenty-four-hour markets took that energy and smeared it across the clock.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">So what\u2019s left? A market taking out the previous day\u2019s high used to keep going. Toby now puts that follow-through at 51 or 52 per cent, and suspects it\u2019s lower, because institutional option flow means someone is standing in front of those moves all day long.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Read that against the number we opened with. A hair above half, applied relentlessly across thousands of trades, is a business. Fifty-two per cent \u2014 once you\u2019ve paid the spread \u2014 is not. The entire distance between a thin edge that compounds and one that quietly bleeds can be a couple of percentage points, which should tell you how little room there is for a decaying edge.<\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\" \/>\n\n\n\n<h2 id=\"h-the-principle-survives-the-parameter-doesn-t\" class=\"wp-block-heading\">The Principle Survives. The Parameter Doesn\u2019t.<\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">So has Crabel abandoned reference-point logic? Not remotely. He\u2019s multiplied it.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">In the early nineties he traded two markers: the opening range, and the previous day\u2019s high or low. Today he counts fifteen or twenty in any given market, and rates the previous day\u2019s&nbsp;<em>close<\/em>&nbsp;as more important than it has ever been. Time of day matters enormously, and differently in every market, because each has its own opening rituals, its own participants, its own cash market underneath. The Hang Seng\u2019s fifteen-minute pre-open still produces something close to the clean momentum Toby remembers from the 1990s, which is why he rates the Asian session so highly right now.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The idea was never \u201cbuy eight ticks above the open.\u201d It was \u201cfind where order flow concentrates, and trade the imbalance.\u201d One is a parameter. The other is a research programme.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Traders who inherited the parameter are trading a corpse.<\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\" \/>\n\n\n\n<h2 id=\"h-the-most-expensive-assumption-in-the-business\" class=\"wp-block-heading\">The Most Expensive Assumption in the Business<\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">My favourite moment of the interview.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">In the nineties, one of the largest short-term traders outside Monroe Trout ran three or four hundred million on a one-and-a-half to two-day momentum hold. Then he raised another three or four hundred. Toby asked how he planned to deploy it. The answer: extend the holding period to four or five days, so the extra size could be absorbed.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Toby told him the structure doesn\u2019t work that way. Stretch from one day to five and the vibration in and out of the position grows far faster than the profit does. More volatility, more risk, and the slippage problem you were trying to solve reappears wearing a larger costume.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The firm was gone in three or four years.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">There is no free capacity in a time frame extension. You pay for scale in execution engineering \u2014 Crabel has spent decades on tick-level execution research precisely to keep the cost of trading from swamping a short-term edge as size grows \u2014 or you pay for it in drawdown. Nobody skips the invoice.<\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\" \/>\n\n\n\n<h2 id=\"h-what-toby-told-me-to-tell-you\" class=\"wp-block-heading\">What Toby Told Me to Tell You<\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">I asked him directly what a solo systematic trader with a small account should do, given they can\u2019t run three hundred markets and five hundred models. His answer was refreshingly unglamorous.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Start with one market. Take one basic idea, build multiple variations around it, and trade the ensemble rather than a single fragile configuration. Put strict rules around it. Decide in advance where the strategy isn\u2019t working, and where the alpha isn\u2019t there anymore. Then work outward: ten or twelve markets across a few regions gets you most of the diversification benefit if you\u2019re automated.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">And test through the shocks. Toby keeps intraday data back through 1987 for exactly this reason, and has pushed his ORB research to 1923, poor data quality and all. If your backtest has never seen October 1987 or March 2020, you don\u2019t have a system. You have a fragile and pretty icon with a Sharpe ratio attached.<\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\" \/>\n\n\n\n<h2 id=\"h-key-takeaways\" class=\"wp-block-heading\">Key Takeaways<\/h2>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Thin edges are normal, but losses cluster.<\/strong>&nbsp;The hit rate never tells you the ordering, so simulate the paths.<\/li>\n\n\n\n<li><strong>Systematise your weaknesses.<\/strong>&nbsp;Toby knows he\u2019s stubborn, so the exit threshold isn\u2019t his to negotiate with.<\/li>\n\n\n\n<li><strong>Decay is structural, not mystical.<\/strong>&nbsp;When an edge fades, name the market-structure change that caused it. If you can\u2019t name the mechanism, you never understood the edge.<\/li>\n\n\n\n<li><strong>Trade principles, not parameters.<\/strong>&nbsp;Reference points still work. The specific one Toby published in 1990 largely doesn\u2019t.<\/li>\n\n\n\n<li><strong>Time frame is not a capacity lever.<\/strong>&nbsp;Extending your hold to absorb size swaps a known cost for a much larger unknown one.<\/li>\n\n\n\n<li><strong>Start with one market and strict rules.<\/strong>&nbsp;Then earn the right to add complexity.<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\">The uncomfortable version of all this: the reason Toby is still here at seventy-one, still trading, still winning tennis tournaments in the over-65s, isn\u2019t that he found the opening range breakout. It\u2019s that he was willing to watch it die and keep researching anyway.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Algo Advantage\u2019s Simon and guest Toby Crabel discuss how systematic trading success relies on well-tested edges, strict rules, and continuous research over fixed parameters.<\/p>\n","protected":false},"author":1726,"featured_media":181309,"comment_status":"open","ping_status":"closed","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":"","jetpack_post_was_ever_published":false},"categories":[339,338,341],"tags":[],"contributors-categories":[21000],"class_list":["post-254650","post","type-post","status-publish","format-standard","has-post-thumbnail","category-data-science","category-ibkr-quant-news","category-quant-development","contributors-categories-algo-advantage"],"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- This site is optimized 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