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mastacoli71
Registered: Dec 2006
Posts: 2095 |
04-02-11 09:25 PM
Ended the month on a good note, started April on a bad one. Took too much size on BLK SP500 addition Friday. Within 15 mins after the close, took an $1800 on the trade, rrrrrrrrrrrrrrr. Did not stick with my risk parameters and it cost me. I always have to be constantly on guard for the bad habits creeping there way back into my trading.
Even with low VIX, pairs performed well. Found myself down first few days on intraday stock strats so made some adjustments and evened out be the end of the week. Did not trade any eminis or options and will not for the foreseable future until I can find a strat that I am comfortable with.
Week ending 4/1/11
Daily Net P/L: +2250, +7100, +2450, +2700, - 5600
Week Net P/L: +8900 on 151000 shares
Month ending 3/31/11
Month P/L: +17200 on 679,000 shares
Updated equity curve is attached. Broke the peak of my equity curve for 2011 on the last day of March. Something to build off of now.
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njrookie
Registered: Jan 2009
Posts: 48 |
04-03-11 02:00 AM
I do a bunch of pairs and have two comments:
1. quantify your edge (based on historical convergence of pairs or your P/L when trading them previously) and read about kelly rule for optimal sizing. when you overbet, you will lose money/wipe out your account even if you have an edge over long term.
2. you mentioned that some of your pairs co-move with vix. It took me quite a while to figure it out that it means the two sides do not have the same beta. vix moves opposite of market (SPY). you might try to be beta or market neutral, instead of just dollar neutral.
I myself trade small (maybe too conservative) with daily mean about 0.25% and daily std dev about 0.5% relative to my account equity. My consistency became much better since last Nov after I reduced my trading size to 200 shares from 500 shares per hand (I trade stocks morely in $20 to $30 range.
This might be more work, but the small gains do add up eventually. Up over 16% year to date, with max drawdown less than 2%. I trade retail with portfolio margin (about 6X) and have to go prop to increase BP if I want a higher daily average. Better consistency helps to build confidence and makes it much easier to take a loss when you smell something bad. I am very comfortable with the risk I am taking.
Just my 2c.
njrookie
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mastacoli71
Registered: Dec 2006
Posts: 2095 |
04-04-11 01:25 AM
Quote from njrookie:
I do a bunch of pairs and have two comments:
1. quantify your edge (based on historical convergence of pairs or your P/L when trading them previously) and read about kelly rule for optimal sizing. when you overbet, you will lose money/wipe out your account even if you have an edge over long term.
2. you mentioned that some of your pairs co-move with vix. It took me quite a while to figure it out that it means the two sides do not have the same beta. vix moves opposite of market (SPY). you might try to be beta or market neutral, instead of just dollar neutral.
I myself trade small (maybe too conservative) with daily mean about 0.25% and daily std dev about 0.5% relative to my account equity. My consistency became much better since last Nov after I reduced my trading size to 200 shares from 500 shares per hand (I trade stocks morely in $20 to $30 range.
This might be more work, but the small gains do add up eventually. Up over 16% year to date, with max drawdown less than 2%. I trade retail with portfolio margin (about 6X) and have to go prop to increase BP if I want a higher daily average. Better consistency helps to build confidence and makes it much easier to take a loss when you smell something bad. I am very comfortable with the risk I am taking.
Just my 2c.
njrookie
Appreciate the input. Agree with sizing appropriately and small gains adding up. I have struggled with this in the past but seem to have put my arms around it now. Still, the larger size pops up here and there and then I ask myself "hmmm, how did I build a $100k / side on that position?"
I actually have been beta weighting spreads for about 2 years now but not all. It definitely helps smooth things out but you have to be cautious on the long / short diff especially with lower vol/ trending markets.
As far as stocks to trade, consider that higher priced stocks have larger ATR's / Std Devs so just trade them with less size.
Everyone has a different comfort zone. Mine just happens to be a bit more agressive then others which will cause the larger P/L swings but it is all relative. I look at P/L simply as a number now. It does not influence if I am going to hold or puke a position. If I feel my edge is still there, I will hold. Of course, there is always that drop dead puke point that I have to hold to survive another day. I did not reach that point on any pairs in March (probably just jinxed myself). That tells me I have things under control.
Anyhow, appreciate the dialogue and good luck to you.
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mastacoli71
Registered: Dec 2006
Posts: 2095 |
04-20-11 10:55 PM
Been a few weeks since I posted results. Ended up moving again cause we sold our house.
Pairs continue to produce. Had one that blew out on me and of course, too much size coupled with not stopping out cost me $5k on it. Needless to say, still fighting demons. Some day I will learn. Not in the mood to say much more.
Week ending 4/8/11
Daily Net P/L: -1800, +4600, +7800, -3800, -1300
Week Net P/L: +5000 on 102500 shares
Week ending 4/15/11
Daily Net P/L: -2100, -8000, -400, -200, -400
Week Net P/L: -11,100 on 82500 shares
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mastacoli71
Registered: Dec 2006
Posts: 2095 |
04-25-11 10:25 PM
Another week of frustration. Only myself to blame. Wish I could blame it on the low volatility but there are clearly opportunities in the market that I am not able to focus on cause of some stupid trades I am taking. Hope to get this train back on track and end the month on a positive note. Need to get that equity curve growing again.
Week ending 4/22/11
Daily Net P/L: +5000, +1200, -1300, -3800, +100
Week Net P/L: +1200 on 63,000 shares
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