2018 PL

Discussion in 'ETFs' started by VolAlgo1, Jan 3, 2019.

  1. 2018 PL(actually to 2nd Jan'19) =+74.46% Short-Term Algo: 2018 P/L = Profit of $7,446 on a $10,000 account.Trades#53 Win#31 Lose#20 Flat#2
  2. tommcginnis


    What was your average hold?
    What was your average win-hold?
    What was your average loss-hold?

    What this algo for long and short positions?
    If so, what were average holds by long and short, for total, win, and loss?

    (I ask because
    1) I want to know, and
    2) if you haven't worked them up, you'll find some insight there -- worthwhile.)

    Lastly, any surprises?
    Last edited: Jan 3, 2019
  3. TraDaToR


    Dude, we are P§L bros... Exactly the same number 74%, except I trade futures. Calculated it yesterday.
    VolAlgo1 likes this.
  4. Cool man.Well done.I am sure that you will perform well again in 2019.

  5. Average trade length = 12 days
    Average trade length-Wins = 19 days
    Average trade length-Losses = 9 days

    Average trade length-Long = 13 days
    Average trade length-Short = 12 days

    Average trade length-Wins-Long = 16 days
    Average trade length-Wins-Short = 32 days

    Average trade length-Losses-Long = 10 days
    Average trade length-Losses-Short = 9 days
    tommcginnis likes this.
  6. tommcginnis


    WOW. VERY interesting.
    Now, I don't mean to jump on your screen-name, Vol Algo, but these numbers seem to match a volatility algorithm very nicely. To wit:

    What really jumps out at me is that your long and short average profitable trade are so far apart (16 days, long//32 days, short) -- to the point where it tumbles right into skewing the total wins' length (19 days) against the total losses' length (9 days).

    By rude comparison, in two long/short trend-exploitation index-trading tracks that I've developed,
    ☼ the average hold is about 7 days long or short,
    ☼ the average profit about 8+ days, and
    ☼ the average loss about 3 days.

    The one split in there is that, for both systems, the average (profitable) hold for one is about 10 days, and the other, about 7 days, but with the short profitable holds being 5-7 days -- much shorter. (And this makes great sense, as over the last few years, day-candles show extended gains, then sharp drawdowns, biasing profitable results to longer holds of long positions, and shorter holds of shorts.)

    So again, your Long Profitable length of 16 and Short Profitable length of 32 really scream of a different market (and obviously different entry/exit).
  7. Yes.I guess that our algorithms must have different parameters.Your systems look very interesting.
  8. tommcginnis


    Oh, not just different parameters, but wholly different entities -- e.g., yours trundles along and on occasion, violently spikes (being a very quick upsurge, followed by a just-as-quick drop). While mine (in tracking "an" underlying) bounces along upward or downward -- but in discernible-and-therefore-tradible trends, and on occasion violently turns.

    While many people (including me) make reasonable equivalencies between mirrors of SPX and VIX (or between an underlying and its volatility track), from this (little taste of) trading results, it really lays out just how different *successful*tracking* and trading of these things can be.

    I hope this is a lesson that I can remember -- I'd love to delve further/deeper into this. I'm sure it'd be fun, *and* educational, **and** even profitable.