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Old Feb 25th, 2011, 06:40 PM   #19
Engine99
 
 
Join Date: Jul 2007
Posts: 267
Quote:
Quote from DGunz:

Let me get this right, you beta weighted your all your options systems against SPX and you came up with 3500 Vega. So you are currently a net purchaser of options, then correct? What about over the course of your trading???
This is a little tricky to estimate, mainly mainly because the positions are in two accounts and only one allows me to beta weigh this quickly (and that account has a lot of net long options).

The second issue I have is the portfolio itself, at any point in time there's no pre-defined allocation between S2 (net long options) and delta neutral (S21, S11 and S10), so it depends on what trades qualify and how much buying power I've left. Overall the $$$ allocation for S21, 11 and 10 is predefined (so is the risk) and the trades are not hard to enter. I enter them at pre-defined times, e.g. S21 enters almost daily and always finds candidates.

S2 on the other hand may not find a candidate for a week or two a day, so that one is harder and because it's net long it's harder to get a fill as well.

If I'm net long or short depends on the strategy.
S10, S11 and S21 are short options and benefit from theta.
S2 is net long delta and vega and benefits much less from theta.

Hope that helps.
    Quote
Old Feb 25th, 2011, 06:45 PM   #20
Engine99
 
 
Join Date: Jul 2007
Posts: 267
Sweet trading week (up 1k9). Especially Thursday and Friday kicked butt and did well while I'm at the beach in Cabo. Tue/Wed sucked big time though. I hope I found my sweet spot now. I've three core automated (non correlated strategies). S11, S10, S21 all are short volatility, benefit from theta and are somewhat delta neutral. S2 is long vega, delta and also benefits from theta. Those are two core strategies that somewhat hedge each other. S81 is brand new and is stock based. Until now I've tracked S81 under S12, but now that I've increased size it deserves it's own track record. I'd have a much better week without my gambling issue earlier in the week but I'm not complaining about it. It pays part of my trip to Cabo ;). S2 gained based on the volatility increase this week, S11 suffered quite a bit because of the delta move. Overall I'm still happy and excited that I didn't exit my compulsive S&P 500 emini trade at the worst time and that I finished another week in the green. Green for the year is also nice, I definitely needed a little confidence boost.The S&P 500 recovered some losses today but closed red for the week, still has a kick ass performance for the year though compared to my results.
I'm not traveling for work next week, I'm still in Mexico until Tuesday. For all the folks following this, I hope you did well. jed and DG, I especially appreciate your input, I was wondering if anyone is reading this ;). DG it sounds like I can learn from you, I've never looked at quantifying my edge by comparing it to similar strategies, I always looked at the "CNBC benchmark" aka the S&P 500 ;).
One more side note. I finished Adventures of a currency trader http://www.amazon.com/Adventures-Cur.../dp/0470049480
and while the book was corny at times it is a fun read and taught me some stuff regarding discipline. Since I've still to learn in that department I'll probably go for another online poker challenge to practice that.


Here are the results in detail
S1:-2837
S2: 5659
S10: 2305
S12: 1126
S11: 496
S21:-444
S81: 175
Weekly Performance:
1940
S&P 500 Weekly Performance:
-4398
Overall Performance since launch:
6480
S&P 500 Performance since launch:
10225
Risk Free Checking Account Performance since launch:
352
    Quote
Old Mar 2nd, 2011, 02:39 PM   #21
Engine99
 
 
Join Date: Jul 2007
Posts: 267


Long story short, I’ve had two very bad trading days, blowing almost 11 grand. (without doing impulsive or discretionary trades)
The reason the last two days went wrong so badly wasn’t that the market didn't cooperate, that’s something a trader has to be prepared for, the reason is that after 10 years of trading I still “bend” the rules and it comes back to hurt me (and I know I shouldn’t be doing this in the first place).

What you see in this screenshot are my S2s on TOS. You see that the current batch is up about 6 grand. What you also see is the capital in each/every trade (right column). While most of my trades are about 10 grand capital per trade (which results in about 1% risk of my account per trade) you see two rows with 20 grand and one with 40. The 20 grand ones are:
NETL (up 1k9) and RDC (breakeven) but the 40k position one is down almost 3 grand. The trade is PCLN and I entered after earnings. Nothing wrong with the setup, however greed has struck once again and I went in much larger than on the other positions (also chasing the entry big time to make sure I don’t lose out), and needless to say it doesn’t work and the market is teaching me a lesson.

While S2 is great and an awesome hedge during volatile times, it doesn’t protect from trader stupidity and greed.

As a 10 year trader I can’t believe:
1. I gave all my 2011 profits back and then some the last couple days
2. I forget about the variance in any trading system
3. I still fall for the same mistakes (less often but still) I fell when I started

Anyway, just thought I’d share cause being cocky doesn’t pay, only making money does, and following the rules is definitely a more consistent approach than playing a big swinging cowboy. Good luck all, it’s dangerous out there.

engine
aka theclosetgambler.com
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Old Mar 2nd, 2011, 05:39 PM   #22
jedwards
 
 
Join Date: Jul 2009
Posts: 313
Ouch, that sucks, I'm sorry to hear that. I've had a rough 3 days as well, although mainly because my system seems to really be suffering now. Sticking with the automated trades is something that I still have a really hard time with as well. But I've gotten my ass handed to me enough such that I'm learning pretty well not to futz with things, although I've started to dabble in it again, trying to squeeze out a few tens of dollars. I guess it's my latent gambling personality kicking in as well.

The thing that really sticks into my head is that Mark Douglas says in order to be the casino and not the gambler, you need to take all the trades of a particular setup exactly the same. Picking and choosing between particular trades immediately turns you into the gambler and not the casino. It's gotten to the point where I've written a set of rules on a piece of paper and taped it to my wall, and every morning, I read them like a prayer, in hopes that I remember. It's weird and primitive behavior, but it kind of reinforces the behavior in me, and it helps a little.
    Quote
Old Mar 3rd, 2011, 10:15 AM   #23
Engine99
 
 
Join Date: Jul 2007
Posts: 267
thanks for your input, it's right on the money.
I fully agree with the statement and I've read the book, so I should have remembered ;)

You'd think having it all automated makes things easier but in reality the hardest thing to do is to keep my hands off the keyboard and "adjust" the strategies.

Thanks again, I definitely appreciate the advise
    Quote
Old Mar 4th, 2011, 08:35 PM   #24
Engine99
 
 
Join Date: Jul 2007
Posts: 267
Awesome trading week (up a grand). This has been the biggest emotional roller coaster I've had in my trading in a long time. Monday Tuesday were very bad but Wednesday and Thursday were amazing. Thursday was the biggest one day gain I've ever had. Here are my daily nbrs. for this week (-2034, -8315, 4634, 6946, -42). I'm still on a high from yesterday's gain, amazing luck that the positions turned around so well. Here are some observations. S21 has had two bad trades (out of about 20 so far) but those two trades more than account for my losses. I've made some adjustments to the strategy this week, so I'm hoping to reduce the risk a little more. I still have faith in the strategy though. S11 gained a grand, that worked out well. S10 also gained from time decay, however the increasing volatility hurt a little. S2 was a great hedge and profited from the volatility increase. S81 sucked big time. I've entered ok setups but I entered with way too much leverage and they mostly went against me. I'm trying to get out with minimal damage and I hope going forward this strategy is still as promising as the backtesting results. I got back from Cabo Tuesday night, work has kicked in fully. I'll be on the road again next week, going to San Diego. Systems will be on auto-pilot and I won't have much time checking my performance other than in the evenings.
I hope everyone who did bad Monday/Tuesday got as lucky as I did and recovered their losses. For all the ones following this journal, have a great weekend !!!



Here are the results in detail
S1:-2837
S2: 8342
S10: 3027
S12: 1126
S11: 1449
S21:-510
S81: -2928
Weekly Performance:
1189
S&P 500 Weekly Performance:
283
Overall Performance since launch:
7669
S&P 500 Performance since launch:
10508
Risk Free Checking Account Performance since launch:
397
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