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Rol
Registered: Jul 2009
Posts: 425 |
10-22-11 09:54 PM
Quote from NikEy:
don't you get an order rate problem? It looks to me like you're sending an awful amount of orders, but will probably be only executed on a portion of it each day. If you're with IB, they would block your account if your execution vs order rate is less than 10%
I am not sure what makes you think I am sending large numbers of orders that do not fill. I do not send orders until entry conditions are close to triggering. They are not just sent at the open on all stocks I am scanning for that day. I typically execute on more than 1 in 10 orders sent, if that is IB policy. Although occasionally on large gap down days, it could potentially be less than 10%, I suppose. Using portfolio BP, narrowing down the watch list premarket, or adjusting strategy inputs, I could maintain compliance if necessary. Thanks for the heads up. My goal is still to hit 100K by end of year, supplemented with contributions. Then the migration to IB will begin.
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Rol
Registered: Jul 2009
Posts: 425 |
10-28-11 11:34 PM
code:
Initial Capital (10/1/2011) $71,377
Total Net Profit $8,519.40
(Per Share) $0.15
Gross Profit $17,036.49
Gross Loss ($8,517.09)
Profit Factor 2
Total Number of Trades 565
Percent Profitable 62.65%
Winning Trades 354
Losing Trades 210
Avg. Trade Net Profit $15.08
Avg. Winning Trade $48.13
Avg. Losing Trade ($40.56)
Ratio Avg. Win:Avg. Loss 1.19
Expectancy 0.37
Largest Winning Trade $1,095.58
Largest Losing Trade ($348.07)
Max. Consecutive Winning Trades 23
Max. Consecutive Losing Trades 27
Total Shares/Contracts Held 57575
Total Commission $1,165.50
Return on Initial Capital 11.94%
Annual Rate of Return 147.09%
Buy & Hold Return 0.09%
Trading Period 28 Dys
Max. Equity Run-up(Daily) $14,898.96
Date of Max. Equity Run-up 10/26/2011 15:00
Max. Drawdown(Daily)
Value ($5,111.86)
Date 10/3/2011 15:00
as % of Initial Capital 7.16%
Max. Trade Drawdown ($5,473.00)
Net Worth $82,779
Wkly Performance 0.87%
S&P Wkly Performance 3.73%
YTD Performance 37.78%
S&P YTD Performance 2.27%
YTD Correlation to S&P 0.62
I lost 1K yesterday trying to short the run up. I had a bearish stance after the morning gap up, which made me trade against the strong upward bias that continued throughout the day. I am using the E-mini now to shut down my system if it crosses below its 200DMA. I won't try shorting again with any considerable size until this occurs.
 10-28-2011.png
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clarodina
Registered: Feb 2007
Posts: 348 |
10-31-11 08:49 AM
Roi, You mentioned you have 65% of the 8k stks on profit on your testing. Do you have min price and min volume filter rules on your testing or merely entries rules? How do you select your stock to be on live trading from the testing 8k stks? Using percent profit and profit factor to be above some value or manually decide is the equity curve smooth enough for live trading?
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Rol
Registered: Jul 2009
Posts: 425 |
11-01-11 01:55 AM
Quote from clarodina:
Roi, You mentioned you have 65% of the 8k stks on profit on your testing. Do you have min price and min volume filter rules on your testing or merely entries rules? How do you select your stock to be on live trading from the testing 8k stks? Using percent profit and profit factor to be above some value or manually decide is the equity curve smooth enough for live trading?
Hi clarodina,
FYI my username is Rol, not Roi. Some reasons for filtering out low priced stocks: Commission would be higher at $1 per 100 shares. They tend to be too volatile for my comfort. Sometime low priced stocks are genuinely poor quality stocks to be hoping for any rebound in price, otherwise they would not be low priced. I need a way to reduce the number of symbols returned from nightly scans. Some reasons for filtering out low volume stocks: I need a way to reduce the number of symbols returned from nightly scans. Slippage can be significant with market exits, even around the close. I dont feel comfortable owning a stock with low liquidity.
It is always nice to see a stock return a high PF in backtesting, but I dont limit stocks to only those with a high PF. That would be too easy to exploit (I have tried it). Past equity curves of a stock do not predict future success. Unforeseen events could always strike a company. The edge, I believe, comes from overlaying all of the individual equity curves to produce a net equity curve, and trying to determine if that curve is realistic and acceptable.
I know my strategy works fairly well most of the time, with periods of significant DD. When stocks become highly correlated it can suffer serious DD, but also can bounce back. On the other hand, a trend following strategy may be stopped out a majority of the time for small losses, while catching occasional large profitable moves. I suppose one has to pick their poison.
There is nothing magical about the stocks I pick. I would estimate that for every 5K account size, you should limit your symbol universe to 100 symbols, up to 2000 symbols.
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Rol
Registered: Jul 2009
Posts: 425 |
11-01-11 06:50 AM
code:
Initial Capital (1-1-2011) $47,853
Total Net Profit $17,875.69
(Per Share) $0.06
Gross Profit $97,376.55
Gross Loss ($79,500.86)
Profit Factor 1.22
Total Number of Trades 2458
Percent Profitable 61.64%
Winning Trades 1515
Losing Trades 940
Avg. Trade Net Profit $7.27
Avg. Winning Trade $64.27
Avg. Losing Trade ($84.58)
Ratio Avg. Win:Avg. Loss 0.76
Expectancy 0.08
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 284957
Total Commission $5,874.41
Return on Initial Capital 37.36%
Annual Rate of Return 37.89%
Buy & Hold Return -2.54%
Return Retracement Ratio 1.53
Trading Period 10 Mths, 23 Hrs, 59 Mins
Max. Equity Run-up(Daily) $30,922.59
Date of Max. Equity Run-up 10/26/2011 15:00
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 $82,333
YTD Performance 36.85%
S&P YTD Performance -0.20%
YTD Correlation to S&P 0.62
Excluding the horrendous DD in August, the numbers YTD are not too bad. $.06 per share net is probably not too bad from a high volume trader's perspective.
1-1-2011 to 10-31-2011.png
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