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Rol
Registered: Jul 2009
Posts: 425 |
02-25-12 07:23 AM
code:
Initial Capital (2/10/2012) $30,000
Total Net Profit $952.97
(Per Share) $0.36
Gross Profit $1,156.25
Gross Loss ($203.28)
Profit Factor 5.69
Total Number of Trades 99
Percent Profitable 78.79%
Winning Trades 78
Losing Trades 21
Avg. Trade Net Profit $9.63
Avg. Winning Trade $14.82
Avg. Losing Trade ($9.68)
Ratio Avg. Win:Avg. Loss 1.53
Expectancy 0.99
Largest Winning Trade $131.85
Largest Losing Trade ($41.56)
Max. Consecutive Winning Trades 17
Max. Consecutive Losing Trades 3
Total Shares/Contracts Held 2649
Total Commission $161.66
Return on Initial Capital 3.18%
Annual Rate of Return 76.15%
Buy & Hold Return 0.65%
Trading Period 15 Dys
Max. Equity Run-up(Daily) $1,220.83
Date of Max. Equity Run-up 2/24/2012 15:00
Max. Drawdown(Daily)
Value ($519.04)
Date 2/16/2012 8:30
as % of Initial Capital 1.73%
Max. Trade Drawdown ($90.48)
Net Worth $33,657
Wkly Performance 1.21%
Dollar Gain/Loss $324
S&P Wkly Performance 0.37%
Cum. Performance 3.66%
S&P Cum. Performance 1.91%
Cum. Correlation to S&P 1.00
I managed to beat the S&P this week, but what I am excited about, is that I did it while keeping my exposure between about 50-70%. My current exposure is 64% on 12 open positions. What I noticed happening is I will enter 3 to 5 positions early in the trading day, and then exit 3 to 5 positions at the close for little net change in exposure, but an increase in net profit. While the numbers so far are better than I could hope for, we still have not had a significant sell off this year. In the current market, which is testing yearly highs, I think it is best to keep exposure around 50%.
I think I will start a new equity curve each quarter rather than monthly. I know I will have losing months, but my new goal is not to have any losing quarters, and of course no losing years. The equity curve by trade number is usually going to be flat to downward sloping at the right edge, as it is reflecting underwater trades that have not yet closed. My current net unrealized P/L is -$23.87.
Just to give you an idea of the number of signals I have to pass up due to BP and system limits, here are daily signals I got going back to 2/13:
code:
2/13 2/14 2/15 2/16 2/17 2/21 2/22 2/23 2/24
27 65 67 74 11 37 98 82 25
This tells me that rather than increasing my leverage usage, I need to patiently increase my working capital through contributions while keeping the number of allowed new positions conservative.
 equity curve.jpg
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Rol
Registered: Jul 2009
Posts: 425 |
03-03-12 01:37 AM
code:
Initial Capital (2/10/2012) $30,000
Total Net Profit $1,319.36
(Per Share) $0.35
Gross Profit $1,694.72
Gross Loss ($375.36)
Profit Factor 4.51
Total Number of Trades 130
Percent Profitable 77.69%
Winning Trades 101
Losing Trades 29
Avg. Trade Net Profit $10.15
Avg. Winning Trade $16.78
Avg. Losing Trade ($12.94)
Ratio Avg. Win:Avg. Loss 1.3
Expectancy 0.79
Largest Winning Trade $131.85
Largest Losing Trade ($54.01)
Max. Consecutive Winning Trades 17
Max. Consecutive Losing Trades 7
Total Shares/Contracts Held 3801
Total Commission $209.66
Return on Initial Capital 4.40%
Annual Rate of Return 71.45%
Buy & Hold Return 0.64%
Trading Period 22 Dys
Max. Equity Run-up(Daily) $1,622.82
Date of Max. Equity Run-up 3/1/2012 15:00
Max. Drawdown(Daily)
Value ($519.04)
Date 2/16/2012 8:30
as % of Initial Capital 1.73%
Max. Trade Drawdown ($90.48)
Net Worth $33,960
Wkly Performance 1.12%
Dollar Gain/Loss $303
S&P Wkly Performance 0.28%
Cum. Performance 4.82%
S&P Cum. Performance 2.20%
Cum. Correl. To S&P 1.00
Current Exposure 74%
I outperformed the S&P this week while continuing to keep exposure well under 100%. The gains so far remain consistent, but I need to see how much I end up giving back in a protracted downtrend. I noticed the Russell 2000 has been weak for February and is mostly flat for the month. It lost 1.85% just today. I have not done any discretionary trading since 2-10-12, but may start shorting the indices next week to hedge my longs, if there is a catalyst to trigger bearishness.
I have been very reluctant to place any discretionary trades. If I am to consider myself the "House", then I need to allow the system to place many small bets across the spectrum of stocks and etfs I track, allowing the edge to play out.
equity curve.jpg
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tihfa
Registered: Aug 2011
Posts: 40 |
03-03-12 01:51 AM
Rol,
thank you for keeping the journal. It is very inspiring and motivating!
I have couple of questions:
1) you mentioned way back that it took you 4 years to develop the system - was part of that figuring how to setup tradestation on a server, internet connection etc...
2) i am thinking of renting a decidicated server with goddady to run tradestation. would you say i am better off buying a server and run it from home with comcast as ISP or am i better off running tradestation off of goddady?
Thanks,
tihfa
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Rol
Registered: Jul 2009
Posts: 425 |
03-05-12 02:21 AM
Quote from tihfa:
Rol,
thank you for keeping the journal. It is very inspiring and motivating!
I have couple of questions:
1) you mentioned way back that it took you 4 years to develop the system - was part of that figuring how to setup tradestation on a server, internet connection etc...
2) i am thinking of renting a decidicated server with goddady to run tradestation. would you say i am better off buying a server and run it from home with comcast as ISP or am i better off running tradestation off of goddady?
Thanks,
tihfa
Hi tihfa, thanks for checking in. I’m glad my journal inspires and motivates you . One reason I am keeping this journal is to hopefully help others prevent blowing up, as well as be organized and systematic. It took 4 years, because I was new to code writing, and the code did not exist yet in Tradestation to do what I wanted to accomplish. Also, the TS trade server has improved much since then. It was so bad at one time, with regular disconnects, and hangs, that I thought of switching. TS would often blame the user’s ISP and computer, but I could surf the net with no problem while TS was down.
I’ve heard of people running TS offsite, but I don’t know much about it. I personally would be paranoid about my strategy code being stolen. I have TS loaded on two computers at home in case one crashes. I use to have DSL as well as Comcast cable, for redundancy, but now I just have cable and TS trading desk on speed dial. I’ll likely add roaming internet , and DSL back when I get bigger. I would use the wireless if there was a power outage. Internet connectively has improved greatly over the years, at least in my area. I had a Gotomypc account at one time, but I decided when I left the house, it was a good time to get away from the TS platform, instead of always checking in on it. My trading style generally doesn’t require close monitoring , unlike futures.
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Rol
Registered: Jul 2009
Posts: 425 |
03-09-12 11:07 PM
code:
Initial Capital (2/10/2012) $30,000
Total Net Profit $1,118.63
(Per Share) $0.23
Gross Profit $1,899.91
Gross Loss ($781.28)
Profit Factor 2.43
Total Number of Trades 163
Percent Profitable 71.78%
Winning Trades 117
Losing Trades 46
Avg. Trade Net Profit $6.86
Avg. Winning Trade $16.24
Avg. Losing Trade ($16.98)
Ratio Avg. Win:Avg. Loss 0.96
Expectancy 0.41
Largest Winning Trade $131.85
Largest Losing Trade ($81.70)
Max. Consecutive Winning Trades 17
Max. Consecutive Losing Trades 11
Total Shares/Contracts Held 4882
Total Commission $265.09
Return on Initial Capital 3.73%
Annual Rate of Return 46.11%
Buy & Hold Return 0.29%
Trading Period 29 Dys
Max. Equity Run-up(Daily) $1,622.82
Date of Max. Equity Run-up 3/1/2012 15:00
Max. Drawdown(Daily)
Value ($727.33)
Date 3/7/2012 8:30
as % of Initial Capital 2.42%
Max. Trade Drawdown ($90.48)
Net Worth $33,760
Wkly Performance -0.73%
Dollar Gain/Loss -$200
S&P Wkly Performance 0.19%
Cum. Performance 4.05%
S&P Cum. Performance 2.39%
Cum. Correl. To S&P 0.79
Current Exposure 53%
I suffered my first losing week since implementing latest system. Still, 4% gain in one month is acceptable. Exposure got up to around 130%, but gains were not enough to offset losses this week.
equity curve.jpg
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Rol
Registered: Jul 2009
Posts: 425 |
03-14-12 03:47 AM
code:
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description
JCP ($158.79) -4.43% 39.37 91 $3,583 Penney (J.C.)
EXPE ($49.45) -1.38% 32.96 109 $3,593 Expedia Inc
MSI $0.07 0.01% 50.44 24 $1,211 Motorola, Inc.
RRC $5.70 0.49% 61.72 19 $1,173 Range Resources
EMN $6.44 0.54% 51.51 23 $1,185 Eastman Chemical
PXD $18.59 1.59% 106.24 11 $1,169 Pioneer Natural Resources
NOTE: The list is automatically sorted every minute. Last sort on 3/13/2012 at 3:04:29 PM
Symbol Type Filled/Canceled
V Sell 03/13/12 02:59:18 PM
AIZ Sell 03/13/12 02:59:03 PM
CPB Sell 03/13/12 02:59:03 PM
NBR Sell 03/13/12 02:59:02 PM
EWZ Sell 03/13/12 02:59:02 PM
RDC Sell 03/13/12 02:59:02 PM
VIAB Sell 03/13/12 02:59:02 PM
CCE Sell 03/13/12 02:59:02 PM
RRC Buy 03/13/12 08:46:58 AM
V Buy 03/13/12 08:46:43 AM
PXD Buy 03/13/12 08:44:36 AM
EMN Buy 03/13/12 08:40:40 AM
VIAB Buy 03/13/12 08:32:25 AM
Real-time Account Net Worth $34,224.31
Real-time Unrealized P/L ($169.85)
Real-time Realized P/L (Today) $258.59
Exposure went up to about 73% today, but closed the day for a current exposure of 35%. Biggest unrealized loss is JCP. I started including a 10% stop on a full position which would be $360 on a $3600 position. This is the current extreme of my comfort zone on a loss. I also added some rules on a loss that would have previously exited without regard to the percent loss. Now I will follow it each day with a stop if a trend reversal can gain some traction for a while. I will post how it goes with JCP. I slept through the whole morning and then checked the platform briefly before heading off to work today. I was up late watching the series on Netflix “How the Earth was made”. The Great Lakes were formed from Ice glaciers during the last ice age only about 12,000 years ago. I feel like a glacier slowly carving a profit out of the market’s landscape. You may not see much change on a day to day basis, but over a vast span of time, the evidence of change becomes apparent.
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