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Rol
Registered: Jul 2009
Posts: 425 |
07-13-12 04:39 AM
Quote from d08:
Good luck Rol, you probably don't need it though.
Your journal definitely wins the award for the best title.
Thanks d08, it appears you and me both have staying power. I often consider luck as conditioning yourself to do enough of the right things while systematically eliminating wrong behavior. This puts one in the position to benefit from favorable market moves when they occur. Of course, right and wrong is obvious in retrospect. I wish the title was original, but I caught the phrase somewhere on ET and it stuck. You have said my style is similar to yours. I suspect you are more daytrading than overnight holding based on your gains and losses, and putting on more size per position. I may get there someday.
On a side note. Overnight futures are pointing higher. The punishment phase for longs may be over tomorrow. Long exposure is 48%. DD 0.56%. 25 open positions. I want to see my account balance blast through 100K tomorrow. Midcap futures actually dipped below the 200 DMA today.
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Rol
Registered: Jul 2009
Posts: 425 |
07-13-12 10:33 PM
code:
Total Net Profit $316.12
(Per Share) $0.13
Gross Profit $797.24
Gross Loss ($481.13)
Profit Factor 1.66
Total Number of Trades 60
Percent Profitable 61.67%
Winning Trades 37
Losing Trades 23
Avg. Trade Net Profit $5.27
Avg. Winning Trade $21.55
Avg. Losing Trade ($20.92)
Ratio Avg. Win:Avg. Loss 1.03
Expectancy 0.25
Largest Winning Trade $65.55
Largest Losing Trade ($74.47)
Max. Consecutive Winning Trades 11
Max. Consecutive Losing Trades 4
Total Shares/Contracts Held 2519
Total Commission $80.59
Return on Initial Capital 0.32%
Annual Rate of Return 10.25%
Buy & Hold Return 0.56%
Trading Period 11 Dys, 6 Hrs
Max. Equity Run-up(Daily) $711.02
Date of Max. Equity Run-up 7/13/2012 15:00
Max. Drawdown(Daily)
Value ($408.85)
Date 7/12/2012 15:00
as % of Initial Capital 0.41%
Max. Trade Drawdown ($125.61)
Net Worth $100,238
Wkly Performance 0.41%
Dollar Gain/Loss $413
S&P Wkly Performance 0.05%
Cum. Perform. (7/1/12) 0.24%
S&P Cum. Performance -0.26%
Correlation to S&P 1.00
Net Long Exposure 39%
I kept exposure under 50% this week. If I always tell myself this is the start of the mother of all selloffs, it prevents me from taking more risk than I should. Then when the turnaround occurs like today, I am pleasantly "surprised."
 equity curve.png
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Rol
Registered: Jul 2009
Posts: 425 |
07-26-12 02:47 AM
Going on record with my market exposure in case I am able to turn some of my positions into gains the next couple of days. I have struggled so far this month to break out for sizable gains. I regressed and took a 6500 share position in Dean Foods a few days ago, which went down 2.3K and back up for about a $200 loss. I was becoming impatient with waiting for trading gains, and tried to hit a home run. On the bright side, I had turned off my system while I focused on DF, and may have missed some of the downtrend of the broader market by not opening new longs during that time. Other than that, things have remained flat line as I hover above 100K, in spite of the S&P being negative for the month.
Real-time Account Net Worth $100,265.06
Real-time Unrealized P/L ($332.29)
Real-time Realized P/L (Today) $111.65
Net Long Exp, 58%
Drawdown, 0.00%
Number of Positions 33
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Rol
Registered: Jul 2009
Posts: 425 |
07-26-12 10:28 PM
Intraday exposure rose to 69%, and then closed at 45% long exposure. I was becoming concerned today as the DOW was up 200 points midday, but my NW was barely budging as several stocks were tanking, probably due to earnings related misses. But into the close, many of my positions rallied, likely due to short covering.
Account Net Worth $101,005.51
Unrealized P/L ($31.06)
Realized P/L (Today) $440.87
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Rol
Registered: Jul 2009
Posts: 425 |
07-27-12 10:02 PM
code:
Total Net Profit $2,019.54
(Per Share) $0.14
Gross Profit $4,274.18
Gross Loss ($2,254.64)
Profit Factor 1.9
Total Number of Trades 215
Percent Profitable 64.65%
Winning Trades 139
Losing Trades 76
Avg. Trade Net Profit $9.39
Avg. Winning Trade $30.75
Avg. Losing Trade ($29.67)
Ratio Avg. Win:Avg. Loss 1.04
Expectancy 0.32
Largest Winning Trade $293.65
Largest Losing Trade ($164.84)
Max. Consecutive Winning Trades 24
Max. Consecutive Losing Trades 31
Total Shares/Contracts Held 14433
Total Commission $391.81
Return on Initial Capital 2.02%
Annual Rate of Return 28.92%
Buy & Hold Return 1.45%
Trading Period 25 Dys, 6 Hrs
Max. Equity Run-up(Daily) $3,819.78
Date of Max. Equity Run-up 7/27/2012 15:00
Max. Drawdown(Daily)
Value ($2,116.35)
Date 7/20/2012 15:00
as % of Initial Capital 2.12%
Max. Trade Drawdown ($230.00)
Net Worth $101,914
Wkly Performance 3.90%
Dollar Gain/Loss $3,825
S&P Wkly Performance 1.62%
Cum. Perform. (7/1/12) 1.91%
S&P Cum. Performance 1.90%
Correlation to S&P 0.68
Net Long Exposure 19%
Real-time Realized P/L (Today) $1,011.55
Real-time Unrealized P/L ($115.75)
I haven't really outperformed the S&P this month, but my long exposure averaged around 50%. My equity curve reminds me of the need for patience as I wait for my strategy exits. Commissions are about $100 more because of the 6500 share DF trade.
equity curve.png
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Rol
Registered: Jul 2009
Posts: 425 |
08-10-12 10:59 PM
code:
Total Net Profit $1,337.18
(Per Share) $0.08
Gross Profit $4,973.48
Gross Loss ($3,636.30)
Profit Factor 1.37
Total Number of Trades 294
Percent Profitable 58.50%
Winning Trades 172
Losing Trades 122
Avg. Trade Net Profit $4.55
Avg. Winning Trade $28.92
Avg. Losing Trade ($29.81)
Ratio Avg. Win:Avg. Loss 0.97
Expectancy 0.15
Largest Winning Trade $293.65
Largest Losing Trade ($164.84)
Max. Consecutive Winning Trades 24
Max. Consecutive Losing Trades 31
Total Shares/Contracts Held 17062
Total Commission $503.96
Return on Initial Capital 1.34%
Annual Rate of Return 12.36%
Buy & Hold Return 0.85%
Trading Period 1 Mth, 8 Dys, 6 Hrs
Max. Equity Run-up(Daily) $3,819.78
Date of Max. Equity Run-up 7/27/2012 15:00
Max. Drawdown(Daily)
Value ($2,116.35)
Date 7/20/2012 15:00
as % of Initial Capital 2.12%
Max. Trade Drawdown ($230.00)
Net Worth $99,212
Wkly Performance -0.61%
Dollar Gain/Loss -$621
S&P Wkly Performance 1.07%
Cum. Perform. (7/1/12) 1.21%
S&P Cum. Performance 3.48%
Correlation to S&P 0.55
Net Long Exposure 55%
I have been stuck in a rut recently, unable to make much headway. I withdrew 2K. I went back to my original strategy today where I scan the entire universe of stocks (excluding ones with margin restrictions), but with several refinements in place. Entry price will include the futures ROC in its calculations, using Tradestation's globalvariable.dll. This will help account for overall market volatility when placing trades. Before, I would use a somewhat static entry, with a manual input override option. I also short now and currently have a 400 share SH position. I felt I have been placing too many trades with little return, since the large caps tend to be less volatile, so commission are adding up. I also liked my first strategy, as it was more interesting to watch some of the more volatile issues. I have more BP now but am taking less risk than last fall, so this should help reduce DD somewhat. YTD I am up 12K, so my efforts have not been a total waste so far this year.
equity curve.png
This has been downloaded 271 time(s).
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