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Rol
Registered: Jul 2009
Posts: 425 |
06-11-12 10:16 PM
Well, that was a real head fake with futures opening up over 1% last night, but closing down over 1% today. Now glad I went flat Friday. I am down $300 on HAL, but still feel good on my overall entry. I added stocks in the S&P midcap index, so now I track about 900 stocks and ETFs.
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description
HAL ($298.00) -1.33% 27.92 800 $22,338 Halliburton Co
SLE ($31.20) -2.60% 19.99 60 $1,199 Sara Lee Corp
VRTX $3.52 0.29% 55.34 22 $1,217 Vertex Pharmaceuticals
Real-time Account Net Worth $95,752.95
Real-time Unrealized P/L ($325.68)
Net Long Exposure 26%
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Rol
Registered: Jul 2009
Posts: 425 |
06-16-12 05:11 AM
code:
Total Net Profit $7,776.12
(Per Share) $0.23
Gross Profit $19,553.17
Gross Loss ($11,777.06)
Profit Factor 1.66
Total Number of Trades 779
Percent Profitable 62.52%
Winning Trades 487
Losing Trades 292
Avg. Trade Net Profit $9.98
Avg. Winning Trade $40.15
Avg. Losing Trade ($40.33)
Ratio Avg. Win:Avg. Loss 1
Expectancy 0.25
Largest Winning Trade $1,233.31
Largest Losing Trade ($196.33)
Max. Consecutive Winning Trades 20
Max. Consecutive Losing Trades 75
Total Shares/Contracts Held 33098
Total Commission $1,318.97
Return on Initial Capital 29.90%
Annual Rate of Return 56.88%
Buy & Hold Return -0.51%
Trading Period 5 Mths, 15 Dys
Max. Equity Run-up(Daily) $8,842.35
Date of Max. Equity Run-up 6/15/2012 15:00
Max. Drawdown(Daily)
Value ($9,676.99)
Date 5/18/2012 15:00
as % of Initial Capital 37.21%
Max. Trade Drawdown ($281.81)
Net Worth $97,053
Wkly Performance 3.36%
Dollar Gain/Loss $983
S&P Wkly Performance 0.91%
Correlation to S&P 0.75
Net Long Exposure 14%
Here are numbers for the year. Beginning July 1, I will start collecting new stats based upon a starting equity of 100K. Obviously, I am experiencing sizable drawdowns, so I may need to execute systems overrides on occasion. I certainly don't expected the gains to always be steady, but I am still seeking better answers for bearish conditions, and for when I need to be switching gears. Upping my hedge when drawdowns first begin should help.
 ytd curve.png
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Rol
Registered: Jul 2009
Posts: 425 |
06-22-12 09:16 PM
code:
Total Net Profit $8,365.30
(Per Share) $0.24
Gross Profit $20,223.30
Gross Loss ($11,858.00)
Profit Factor 1.71
Total Number of Trades 809
Percent Profitable 62.30%
Winning Trades 504
Losing Trades 305
Avg. Trade Net Profit $10.34
Avg. Winning Trade $40.13
Avg. Losing Trade ($38.88)
Ratio Avg. Win:Avg. Loss 1.03
Expectancy 0.26
Largest Winning Trade $1,233.31
Largest Losing Trade ($196.33)
Max. Consecutive Winning Trades 20
Max. Consecutive Losing Trades 75
Total Shares/Contracts Held 35049
Total Commission $1,376.89
Return on Initial Capital 32.17%
Annual Rate of Return 58.21%
Buy & Hold Return -0.41%
Trading Period 5 Mths, 22 Dys
Max. Equity Run-up(Daily) $9,431.54
Date of Max. Equity Run-up 6/22/2012 15:00
Max. Drawdown(Daily)
Value ($9,676.99)
Date 5/18/2012 15:00
as % of Initial Capital 37.21%
Max. Trade Drawdown ($281.81)
Net Worth $97,666
Wkly Performance 2.03%
Dollar Gain/Loss $613
S&P Wkly Performance -0.50%
Correlation to S&P 0.73
Net Long Exposure 41%
It was a respectable week for me considering the major selloff we had. My system gave very few buy signals before the downtrend day Thursday, so I was net short the market using a discretionary SH trade, but not with much size to have a big impact. I took a 200 share discretionary gold trade this morning with UGL. I'll hold it over the weekend, as I see a potential turning point in gold. I don't think being long gold is always long equities, so net long exposure is probably off.
equity curve.png
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Rol
Registered: Jul 2009
Posts: 425 |
06-23-12 12:49 AM
Quote from hoop121:
rol,
what program are you using to run all of your stats like that?
Hi hoop, most comes from Tradestation. I created a macro using Autohotkey to export the performance report to Excel, and delete the rows I don't find useful. Some are calculations created by me within Excel, such as per share profit (idea came from Lescor's journal), expectancy (EricP), correlation (Heech), and the section at the bottom. I got the idea to put it in [Code] format for easier reading from Neke's journal. I would highly recommend to anyone that does repetitive keystroke and mouse tasks to use the free Autohotkey program. I added net long exposure recently to help monitor hedging both automated and discretionary.
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Rol
Registered: Jul 2009
Posts: 425 |
06-25-12 09:38 PM
My gold trade turned out to be a nice hedge for today. I will trail a stop. Net losses on my other positions are $166. Biggest unrealized loss is ADM at $140 on 158 shares. I got the urge to place a 1000 share position in SPY this morning, but it didn’t feel right. The usual script is to tank Monday then revert later in the week. It would be better to wait another day or two for the selling to subside.
Real-time Account Net Worth $97,852.68
Real-time Unrealized P/L $256.65
Real-time Realized P/L (Today) ($19.00)
Net Long Exposure 65%
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