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Rol
Registered: Jul 2009
Posts: 425 |
09-16-11 10:23 PM
code:
Initial Capital (9/1/2011) $66,969
Total Net Profit $3,344.79
(Per Share) $0.35
Gross Profit $3,947.09
Gross Loss ($602.30)
Profit Factor 6.55
Total Number of Trades 75
Percent Profitable 76.00%
Winning Trades 57
Losing Trades 18
Avg. Trade Net Profit $44.60
Avg. Winning Trade $69.25
Avg. Losing Trade ($33.46)
Ratio Avg. Win:Avg. Loss 2.07
Expectancy 1.33
Largest Winning Trade $274.75
Largest Losing Trade ($60.60)
Max. Consecutive Winning Trades 20
Max. Consecutive Losing Trades 5
Total Shares/Contracts Held 9501
Total Commission $199.45
Return on Initial Capital 4.99%
Annual Rate of Return 116.63%
Buy & Hold Return 1.21%
Trading Period 15 Dys, 6 Hrs, 19 Mins
Max. Equity Run-up(Daily) $3,418.92
Date of Max. Equity Run-up 9/16/2011 15:00
Max. Drawdown(Daily)
Value ($139.71)
Date 9/2/2011 15:00
as % of Initial Capital 0.21%
Max. Trade Drawdown ($314.25)
Net Worth $71,106
Wkly Performance 4.04%
S&P Wkly Performance 4.93%
YTD Performance 21.54%
S&P YTD Performance -3.28%
YTD Correlation to S&P 0.67
I underperformed the S&P for the week, but my exposure had mostly remained under 40%. I want to get more comfortable with not feeling the need to put my equity to work. S&P is still negative for the year, while in spite of my recent DD I am up comfortably. So far, I think the cumulative numbers this month are the best they have ever been.
I may start shorting next week, if fear starts to creep back into the markets. I want to get more used to shorting as a hedge to my longs when markets seem dead set on heading lower. I know I have been advised this before, but I think you need to make it part of your psyche rather than just following others, for it to be effective. If you find yourself doing something thinking "I am doing this because I heard or read it here", then it has not been internalized yet.
 9-16-2011 4-10-02 pm.png
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Rol
Registered: Jul 2009
Posts: 425 |
09-21-11 06:22 AM
Here is an example where adding to a net profitable position did not work out. I added 200sh as support held and it began moving back higher. However, as the overall market began selling off in the afternoon, CDE followed suit. I think I need to place a hard stop that would guarantee a bigger profit when adding in the direction of the trend, if the original support breaks later in the day. Anyway, I was able to net $30 on the overall trade.
 cde.jpg
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Rol
Registered: Jul 2009
Posts: 425 |
09-23-11 01:45 AM
I am in better shape this time then back on August 8 when the S&P closed at 1119. Today it closed 10 points higher at 1129, after the >3% drop in the market along with yesterday’s beating. I took a drubbing in JVA, but managed to exit on a pop today to reduce losses. Current exposure is 197% of Net Worth. I exceeded overnight BP at the open because several entries were triggered simultaneously. I was able to exit enough excess entries for a small profit. Occasionally orders don’t get cancelled fast enough when they all trigger at the same time at the open, so the day could definitely have turned out worse.
I see I got two one star ratings recently. I can’t say I blame you, as performance has been less than stellar. I am still green for the year by about 5%, but the S&P is now down around 10%. I think I am afraid to short the market because I tried it in 2009 as the market continued back above its 200dma. I think the path of least resistance at the present time appears to be down, although I haven’t heard much mention in the media of this being a bear market. Maybe when the majority concludes it is a bear market that will be the bottom. If I was at my computer when the Fed makes any announcements, I could probably make a nice strategy of following any strong trend that develops as a result.
Real-time Account Net Worth $63,297.21
Real-time Unrealized P/L ($6,657.22)
Real-time Realized P/L (Today) ($1,266.17)
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Rol
Registered: Jul 2009
Posts: 425 |
09-24-11 01:30 AM
code:
Initial Capital (9/1/2011) $66,969
Total Net Profit ($4,448.32)
(Per Share) ($0.28)
Gross Profit $5,404.14
Gross Loss ($9,852.47)
Profit Factor 0.55
Total Number of Trades 132
Percent Profitable 62.88%
Winning Trades 83
Losing Trades 49
Avg. Trade Net Profit ($33.70)
Avg. Winning Trade $65.11
Avg. Losing Trade ($201.07)
Ratio Avg. Win:Avg. Loss 0.32
Expectancy -0.17
Largest Winning Trade $274.75
Largest Losing Trade ($1,181.00)
Max. Consecutive Winning Trades 20
Max. Consecutive Losing Trades 18
Total Shares/Contracts Held 15920
Total Commission $314.65
Return on Initial Capital -6.64%
Annual Rate of Return -105.51%
Buy & Hold Return -0.90%
Trading Period 22 Dys, 6 Hrs, 19 Mins
Max. Equity Run-up(Daily) $3,397.53
Date of Max. Equity Run-up 9/19/2011 15:00
Max. Drawdown(Daily)
Value ($7,828.63)
Date 9/23/2011 15:00
as % of Initial Capital 11.69%
Max. Trade Drawdown ($1,945.42)
Net Worth $63,298
Wkly Performance -13.40%
S&P Wkly Performance -6.78%
YTD Performance 5.22%
S&P YTD Performance -9.92%
YTD Correlation to S&P 0.72
Market conditions over the last couple of month obviously have been suboptimal for my strategy. If I were to develop a strategy to fit recent unusual conditions, then it would likely not work the majority of the time. If I can avoid a complete system blow up until things improve, it would be an accomplishment.
I increased maximum position size slightly this time around, while also reducing maximum allowable positions, to better match paper trading position sizing. This will increase volatility of individual positions, but I think I am getting used to it. I had seen profits increase by 50% of beginning net worth from January thru June, so I know what the system can do.
I currently am over weighted in the Oil & Gas Operations, Chemical Manufacturing, and Non-Metallic Mining industries, so overall, I am not terribly diversified. Also, I am holding 175 shares of BIDU at a cost of $123.67/sh, that I feel well positioned in.
9-23-2011 7-31-00 pm.png
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Rol
Registered: Jul 2009
Posts: 425 |
09-26-11 11:56 PM
I took a fairly large equity swing today. Unrealized losses were over 10k early on and NW dipped below 60k. I recovered by the end of the day with an $800 profit. I am going back to a smaller position size, with more allowed positions, since I am not comfortable with the larger position size relative to NW, and the associated individual stock DD. I am still over weighted in commodity stocks, but there is much talk about how poorly commodities are doing, so perhaps a bottom might be able to form here. It was also in the news that world markets crossed the bear market threshold recently (-20%), so maybe a short here could be viewed as being late to the market.
code:
Real-time Account Net Worth $67,218.40
Real-time Unrealized P/L ($3,583.11)
Real-time Realized P/L (9-26-11) $801.55
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doublet83
Registered: Feb 2011
Posts: 231 |
09-27-11 12:13 AM
Seems to me you have a viable strategy here. With a strategy like this you're bound to have a big draw down when the market tanks, while outperforming the market in other periods.
The fact that you are still outperforming the market materially during a year with an impressive correction is a very good sign.
I wanted to ask, what is your average position size and how many positions do you typically have on at one time?
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