 |
Mike805
Registered: Jul 2004
Posts: 1773 |
06-01-12 10:07 PM
Quote from Rol:
I am leveraging up my positions in anticipation of the market rallying around the Facebook IPO tour in the near future. In addition, while the Eurozone crisis has weighed on the markets, the market seems to be rallying back from any selloffs. This to me is bullish where the market buys after bad news. Besides, I cant help but believe Europe has already been priced into the market to some degree.
I bought back into XLE today, in anticipation of another energy bear bounce. I think in a roundabout way, I am trying to recoup unrealized losses on National Oilwell by buying an ETF in the same sector. Probably a little risky, but if it makes money, I wont complain. I couldnt resist buying up a few more index and country ETFs today, so exposure is more than what is should be right now.
Real-time Account Net Worth $92,316.55
Real-time Unrealized P/L ($980.99)
Real-time Realized P/L (Today) $97.24
Net Long Exposure 144%
Hi Rol,
How did this month treat you? I'm hoping you cut some exposure last week or hedged at some point. This portfolio looks like its in about -13% drawdown at this point, is this within reason for this strategy?
Mike
|
| |
|
Edit/Delete Quote Complain |
Rol
Registered: Jul 2009
Posts: 425 |
06-01-12 10:44 PM
Quote from Mike805:
Hi Rol,
How did this month treat you? I'm hoping you cut some exposure last week or hedged at some point. This portfolio looks like its in about -13% drawdown at this point, is this within reason for this strategy?
Mike
Hi Mike and everyone else curious of my performance. From the equity high of $92,316, I am down 7.3% at $85,600. Yes, the strategy jettisoned most all of my positions last week and earlier this week for substantial losses. Current unrealized losses are $586. I took an 800 share discretionary position in SPY late this afternoon for an average cost of 128.33, so long exposure is 115%. I must improve my skills at identifying broad market topping conditions and taking action. Trader Vic has some actionable material on that in his book "Methods of a Wall Street Master". I have been busy doing some home remodeling, so haven't followed intraday action too closely. I'll try and post an equity curve with stats sometime this weekend.
|
| |
|
Edit/Delete Quote Complain |
Mike805
Registered: Jul 2004
Posts: 1773 |
06-01-12 10:59 PM
Quote from Rol:
Hi Mike and everyone else curious of my performance. From the equity high of $92,316, I am down 7.3% at $85,600. Yes, the strategy jettisoned most all of my positions last week and earlier this week for substantial losses. Current unrealized losses are $586. I took an 800 share discretionary position in SPY late this afternoon for an average cost of 128.33, so long exposure is 115%. I must improve my skills at identifying broad market topping conditions and taking action. Trader Vic has some actionable material on that in his book "Methods of a Wall Street Master". I have been busy doing some home remodeling, so haven't followed intraday action too closely. I'll try and post an equity curve with stats sometime this weekend.
Hey - Good job on cutting the exposure. 7.3% isn't very bad at all, seriously. We all have tough months.
Maybe rather than focusing on timing the tops, focus on assuming that you're going to get caught at the top a lot and having a preventative risk management process in place beforehand. Like never having a correlated exposure > x% no matter the broad market condition. Or maybe never going more than 70% long of net capital.
My point is, don't focus on reactionary procedures that take action when you're already exposed, assume the situation will happen and design your allocation such that you're never too exposed in the first place.
|
| |
|
Edit/Delete Quote Complain |
Rol
Registered: Jul 2009
Posts: 425 |
06-07-12 01:19 AM
Nice turnaround today, but still about 2K from my high water mark. I am hanging on to 950 shares SPY, but closed out most of my longs at the close. It seems whenever the FED hints at or takes new action, the market makes big moves like today on hints of QE3. I need to be less aggressive on positions allowed by automation. The markets have not been too friendly to my strategy for about the last year. I am giving back to much of my gains. The market, when it hits longer term S/R and fails to break through seems to be doing an about face and trending quickly in the opposite direction, taking my gains with it. This was not the case with backtesting from 1993 to mid 2011. Frankly, I am surprised I have been net profitable since starting my strategy automation in fall 2010. I am sure a lot has to do with all the uncertainty with debt ridden countries affecting the markets. This is why I want to be more on the lookout for topping and bottoming action off longer term S/R.
Last Friday I was 14% long going into the 260 point DOW sell off. My strategy shut down to opening new longs, though because Thursday night the Russell 2000 broke below its 200 DMA, so I was grateful for that added feature. It took me awhile to figure out why it failed to open any new trades that day.
Real-time Account Net Worth $90,229.43
Real-time Unrealized P/L $3,622.61
Real-time Realized P/L (Today) $377.61
Net Long Exposure 140%
|
| |
|
Edit/Delete Quote Complain |
Rol
Registered: Jul 2009
Posts: 425 |
06-08-12 09:53 PM
I closed out my SPY trade yesterday around the open. I moved my stop up because the market appeared to have trouble moving higher. I thought of reversing my position, but thought that would be reckless emotional trading. I am flat going into the weekend. Account balance is 96K after a 5K contribution. When I get to 100K, I will stop contributions and begin a new equity curve. YTD profits are 6.8K, but are largely due to my discretionary gold trade to start the year, and this SPY trade, which is troubling to me for automation. I plan to scale back automation, and maybe even override it after I have a nice run of a few months and be on the lookout for topping action.
I have doubled my hedge size, when in DD. Also, this last time around, I took profits on my hedge when the market dropped more, and this hurt overall performance of the hedge. I have to avoid this temptation and let the hedge work as designed.
 spy.jpg
This has been downloaded 297 time(s).
|
| |
|
Edit/Delete Quote Complain |
| Receive
an email whenever a new post is added to this thread by subscribing
to it. |
|
|
|
|
