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Rol
Registered: Jul 2009
Posts: 425 |
09-30-11 10:53 PM
code:
Initial Capital (1-1-2011) $47,853
Total Net Profit $9,853.63
(Per Share) $0.04
Gross Profit $81,477.75
Gross Loss ($71,624.12)
Profit Factor 1.14
Total Number of Trades 1890
Percent Profitable 61.53%
Winning Trades 1163
Losing Trades 725
Avg. Trade Net Profit $5.21
Avg. Winning Trade $70.06
Avg. Losing Trade ($98.79)
Ratio Avg. Win:Avg. Loss 0.71
Expectancy 0.05
Largest Winning Trade $1,936.09
Largest Losing Trade ($1,446.00)
Max. Consecutive Winning Trades 29
Max. Consecutive Losing Trades 38
Total Shares/Contracts Held 228791
Total Commission $4,697.16
Return on Initial Capital 20.59%
Annual Rate of Return 24.96%
Buy & Hold Return -1.71%
Return Retracement Ratio 1.05
Trading Period 8 Mths, 29 Dys, 23 Hrs, 59 Mins
Max. Equity Run-up(Daily) $24,160.55
Date of Max. Equity Run-up 9/30/2011 8:09
Max. Drawdown(Daily)
Value ($34,775.71)
Date 8/8/2011 15:00
as % of Initial Capital 72.67%
Max. Trade Drawdown ($2,342.00)
Net Worth $71,138
Weekly Performance 13.63%
S&P Wkly Performance -0.33%
YTD Performance 19.52%
S&P YTD Performance -10.01%
YTD Correlation to S&P 0.67
YTD seems like a lot of work for the given razor thin profits. Commissions are high, and that is usually what will kill a seemingly profitable system. Therefore, the fact that I have still come out ahead is encouraging. If this is the worst my system does over the long term with an ARR of 25%, I suppose I should be happy. As one can see, just buying and holding all the stocks for the given time frame would have resulted in a -1.71% loss, so the strategy timing appears to be having a positive effect.
 ytd 2011.png
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Rol
Registered: Jul 2009
Posts: 425 |
09-30-11 11:04 PM
Quote from shortie:
still 130% exposure into Monday?
Overnight risk of a large gap down with continuation is the obvious drawback of my strategy. I probably should have left my short hedge on through the weekend, and not bought so much IWM at one time, but I have cast the die.
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Rol
Registered: Jul 2009
Posts: 425 |
10-03-11 07:00 AM
Here are 3rd quarter daily realized gains/losses. Other than the roughly 12 trading days straight sell off, performance was on par. I need to pay more attention to major news, like new hints of recession with the GDP decrease, and the U.S. debt rating downgrade, to which the markets reacted negatively. Go with the trend.
I will be shorting freely this week with my remaining BP, to hedge my longs. I think when earnings season kicks in starting the 11th next week with Alcoa, the Euro zone and Greece will be forgotten about at least temporarily. Maybe the focus will return to company earnings. With many downward revisions, companies should be able to beat expectations. The usual game I see played by analysts.
3rd quarter 2011.png
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Rol
Registered: Jul 2009
Posts: 425 |
10-03-11 11:06 PM
I pocketed 1.8K through shorting today, but have 10K in unrealized losses on my longs. We are at new lows for the year. I am at 200% exposure, so if markets keep heading lower, I will have to lighten up holdings. My IWM positions is down ($7,052.58) -6.77%. Average price is 65.08 on 1,600 shares. I plan to hold it through the end of the year. I will be turning off strategy automation for new entries.
code:
Real-time Account Net Worth $65,788.93
Real-time Unrealized P/L ($10,317.05)
Real-time Realized P/L (Today) $1,843.66
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Rol
Registered: Jul 2009
Posts: 425 |
10-04-11 12:09 AM
Quote from shortie:
you have a great strategy. the market is testing your strategy limits.
p.s. and your limits as well 
Thanks shortie! Your reminders, as well as benwm and others, to hedge my risk, are sinking in. Especially when the market is moving in a heard. I am actually pulling the trigger, which is new for me.
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