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gmst
Registered: Jul 2011
Posts: 3696 |
08-06-11 08:29 AM
Dear RoI,
very impressed with your work and your journal. Its high quality professional way of doing it, and especially impressive since you have no finance background and come from medical industry. The last post illustrates that even one day not following your system can be so deadly to the overall game-plan. Don't lose heart and keep up the good work. You have miles to go.
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macrotrader
Registered: Apr 2009
Posts: 92 |
08-06-11 11:53 AM
I experencied something similar, but I staid out the last 3 days, which saved me a good chunk of the inevitable drawdown. Question is, whether or not we are in crises mode, which can have unpredictable consequences. The last few days were already historic. A sustained downtrend like this occured only once or twice in the last 20 years. Will be looking forward to the rebuilding. I myself am staying out for a while.
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Rol
Registered: Jul 2009
Posts: 425 |
08-06-11 11:59 PM
I am posting a screen shot of the spreadsheet I use to calculate my position sizing. I am hoping by doing this it will cause me to be accountable to maintaining more conservative settings going forward. I will still leave the actual work of deriving the formulas to the individual. 
To give a perspective on the excessive risk I had been taking, I was using a buying power factor of 4, and a scale in factor of 3. A BP factor of 2 might be suitable for 2X overnight BP. A BP factor of 1 would be for a cash account. A higher scale-in factor allows you to be able to add new positions for more days during a continued market decline.
The cells in BOLD are for manually entering desired settings, and the remaining cells are then calculated. This is all done on-the-fly by my auto trading program.
 position size calculator.png
This has been downloaded 548 time(s).
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Rol
Registered: Jul 2009
Posts: 425 |
08-07-11 02:32 AM
Quote from gmst:
Dear RoI,
very impressed with your work and your journal. Its high quality professional way of doing it, and especially impressive since you have no finance background and come from medical industry. The last post illustrates that even one day not following your system can be so deadly to the overall game-plan. Don't lose heart and keep up the good work. You have miles to go.
Hi gmst, thanks for reading my journal. I read your journal intro, I think the day you started it, and could relate to many aspects of your journey so far. It sounds as if you are taking a methodical approach now to your trading as well. I am fairly organized with my professional work as well as trading. I always strive to get the greatest result with the least amount of effort.
I don’t know a great deal about professional finance, at least in how to effectively apply it to investing, but I can crunch numbers and was always good with math. My latest mishap tells me I am not ready for the big time yet. At least I still have some money left to play with.
You had mentioned in your journal that % risk should be a function of expectancy and PF. I had been thinking recently that if my system experiences a 25% DD, and yet can return 50 % APR, then that could be a considered a reasonable 2:1 reward to risk ratio. Is this thinking along the same lines?
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Camdo
Registered: Mar 2010
Posts: 12 |
08-07-11 02:50 AM
Rol
From your first post on this forum:
Quote from Rol:
........ Some reasons for starting this thread are to chronical my performance, force me to go 100% auto and not interfere with the system. ........ I knew after backtesting on a portfolio of stocks, that automation was the only way to achieve this. ........... I wanted to be able to take the human element out of it completely,even including stock selection and the maximum number of stocks to hold. ........ The discretionary trading dips on the equity curve are when I messed with the system.
Your posts of late have repeatedly mentioned manual intervention as detrimental to profits, so I thought a reminder of your origonal intentions would be in order.
Also
In your last batch of posts the table actual.png must be from inception to YTD, as you later show a graph with 1k profit 2011 YTD. So if that is correct then paper trade (8k profit) is better than actual (1K profit). Is this correct?
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Rol
Registered: Jul 2009
Posts: 425 |
08-07-11 04:24 AM
Quote from Camdo:
Rol
Your posts of late have repeatedly mentioned manual intervention as detrimental to profits, so I thought a reminder of your original intentions would be in order.
Also
In your last batch of posts the table actual.png must be from inception to YTD, as you later show a graph with 1k profit 2011 YTD. So if that is correct then paper trade (8k profit) is better than actual (1K profit). Is this correct?
Thanks for the reminder Camdo! I followed my system well during the Japan earthquake selloff, taking losses when called for, and it helped immensely with damage control during that time. I think with the increase dollar value in my account since then, I was not as comfortable with the losses the system called for taking this time, not to mention the selloff was steeper, and I suffered the consequences. I also adjusted the position sizing settings since then, to my detriment. Like heech mentioned in HuggieBear’s journal, these so called tails happen once or twice a year, so you had better be prepared. My paper trading equity curves do in fact show a >10% DD about once or twice a year.
The actual.png showing $14628.81 in net profit and the paper.png showing $8628.06 in net profit were both as of the close on 8-2. The 1k actual profit was as of Friday’s close on 8-5. A lot happened in that time! YTD paper profits as of the close on 8-5 are -$9.66, seen on the YTD stats.png “Above & Below 200 DMA” column, I posted on 8-6.
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