BWolinsky Trading

Discussion in 'Journals' started by bwolinsky, Jun 21, 2009.

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  1. Hi, all. I had a thought to start a journal as a kind of interactive way of posting about both my real trades and my other experiments in finance.

    I have written some of the most profitable and highest risk adjusted return systems at wl4.wealth-lab.com under the username nexial_1002002 including 4 top 10 most profitable limit order scripts, 3 top 10 market order scripts by profit and wl score, and a vendor on collective2.

    If anybody ever looked at my real trades which are available on the internet, you'd notice I've only traded QID and QLD.

    Two and a half years ago I built my system to arbitrage the variances in QID and QLD through volatility based overbought and oversold conditions using a shell program still available on wl4.wealth-lab.com that was written in mid 2001 after an article in Active Trader Magazine presented the basic foundation. Pairs trading in QID and QLD has been my main focus since then, and has returned compound annual returns of greater than 25% for the last two and a half years.

    A lot happens in two and a half years. At the end of 2008 just prior to Christmas, I happened upon a developer called Scottd that wrote Cash Cow allegedly from Jack Hershey's teachings. I took it upon myself to write it in WL4. Since, I've written it in WL5 where there is a lot more stable data. I've found that there are a few key reasons many have tried and failed to produce a working version of Jack Hershey's methods.

    1)Data. The volume of .SPX that spydertrader optimized on was in WL4. It is, then, only in Fidelity that you'll be able to trade the working version.

    2)Jack's loopy, but appears to have a quite robust system after some major modifications.

    Those modifications made have been as follows:

    1)Don't sell on close

    2) One of the variables is essentially a first derivative of sorts and is set in the original program at 1.4, when it should be less than 0.2, and my current value is lower than that.

    I characterize the system as a momentum based system with confirming increasing volume.

    I've created a system to forward test the program in WL5, and I believe it will work quite well. At least a double.

    I attempted to start this thread yesterday, but had to revise some of my statements as they were a bit self-promoting.

    So, going forward, I plan to keep a log of real trades and paper trades. Real trades I anticipate only being in QID and QLD as this is a statistically significant system with the following results since QID and QLD's inception on June 16th 2006 using 96% of equity:
    Long + Short
    Starting Capital $1,000,000.00
    Ending Capital $4,346,427.57
    Net Profit $3,346,427.57
    Net Profit % 334.64%
    Annualized Gain % 64.98%
    Exposure 19.04%

    Number of Trades 74
    Avg Profit/Loss $45,221.99
    Avg Bars Held 2.08

    Winning Trades 52
    Winning % 70.27%
    Gross Profit $5,452,092.96
    Largest Winning Trades $412,896.72
    Avg Profit $104,847.94
    Avg Bars Held 2.27
    Max Consecutive 8

    Losing Trades 22
    Losing % 29.73%
    Gross Loss ($2,105,665.39)
    Largest Losing Trade ($324,749.34)
    Avg Loss ($95,712.06)
    Avg Bars Held 1.64
    Max Consecutive 4

    Max Drawdown ($530,952.50)
    Max Drawdown Date 9/3/2008
    Max Drawdown % -14.64%
    Max Drawdown % Date 9/3/2008

    APD 0.691
    APAD 1.602
    Wealth-Lab Score 291.3291
    RAR 341.2764
    MAR 4.4397
    Profit Factor 2.5892
    Recovery Factor 6.3027
    Sharpe Ratio 2.0064
    Sortino Ratio 3.7027
    Ulcer Index 4.0339
    WL Error Term 5.462
    WL Reward Ratio 11.8961
    Luck Coefficient 3.9381
    Pessimistic Rate of Return 1.8383
    Equity Drop Ratio 0.0449
    K-Ratio 1.2135
    Seykota Lake Ratio 0.0316
    Expectancy 0.7053
    Expectancy Score 17.3948
    Max Losers Held 1
    Max Winners Held 1


    I had presented this system to a Venture Capital Firm with a funding request of $5 million. They agreed to fund my request after thoroughly exmaining real trades and the hypothetical trades in the backtest.

    Jack's system in WL5 has the following returns at 199% of equity since 9/1/2008:
    All Trades
    Starting Capital $10,000.00
    Ending Capital $49,788.29
    Net Profit $39,788.29
    Net Profit % 397.88%
    Annualized Gain % 853.52%
    Exposure 27.25%
    Total Commission ($544.00)
    Return on Cash $0.00
    Margin Interest Paid $0.00
    Dividends Received $0.00

    Number of Trades 34
    Average Profit $1,170.24
    Average Profit % 2.65%
    Average Bars Held 19.41

    Winning Trades 26
    Win Rate 76.47%
    Gross Profit $52,616.98
    Average Profit $2,023.73
    Average Profit % 4.36%
    Average Bars Held 19.38
    Max Consecutive Winners 8

    Losing Trades 8
    Loss Rate 23.53%
    Gross Loss ($12,828.69)
    Average Loss ($1,603.59)
    Average Loss % -2.92%
    Average Bars Held 19.5
    Max Consecutive Losses 1

    Maximum Drawdown ($8,522.46)
    Maximum Drawdown Date 11/21/2008
    Maximum Drawdown % -35.95%
    Maximum Drawdown % Date 11/21/2008

    Wealth-Lab Score 2,006.43
    Sharpe Ratio 2.91
    Profit Factor 4.1
    Recovery Factor 4.67
    Payoff Ratio 1.49


    I want to see more trades out of it to guage risk, as well as reward. Right now I don't have enough data to safely say anything about it. The PDF below has my results of Cash Cow from BWolinsky.

    So, I guess it will be a split thread. I will log the SDS and SSO trades of Cash Cow here, as well as the real big money trades.

    My explanation of my background is that after attending a top 50 Liberal Arts College called Centre College with a Bachelor of Science in Financial Economics and a minor in mathematics, I began my independent investment advisory services firm immediately following graduation. I've had great success managing several million dollars, but have found the instiutional methods a bit restrictive. You always have to use the products that best suit the client, and, yes, I've worked with brokers who, in my opinion, do the opposite. I joined c2 on March 20th, 2007, and had managed an investment club for 4 years prior to that while I was attending college. While in college is where I developed Superbands. It then evolved to the quite robust SuperBands, with Linear Regression Analysis. That system is truly only for institutions as it places far too many trades for manual entry.

    Pairs Trading QID QLD Scalper is my best system, and has attracted instiutional interest. The Cash Cow system I anticipate being profitable, but how profitable is a real question.

    I manage millions of dollars, and have years of industry experience. I'm giving the Cash Cow system a year to see what its true colors are, but, as always, my EOD system for Pairs Trading QID QLD Scalper, the first performance summary listed, will do for my real trading.

    I will only be ex-posting trades as they are completed and not in real time. If you don't believe I made the trades, then dig, you'll find I did.
     
  2. I will be discussing the trades after they are completed. ET is a very good place to pump and dump, and to avoid that appearance I promise to talk about each of the trades, but probably the more relevant trades will be the ones with real dough on the line in QID and QLD. I think there's a lot of people watching the cash cow from bwolinsky system out there, though, but for me personally real money means a bit more. I am putting my reputation on the line, here with Jack's system.

    Jack's system only makes sense as TS or WL code. The logic gates are an absolutely stupid and esoteric way of teaching. A simple program like what Scottd wrote would suffice, and makes lots of sense when you see the code.

    Also, I would add <b> I have taken Level II of the CFA Curriculum and will find out my results on August 16th of this year.</b>
     
  3. Why don't you have any "Real Trade Stats" on your C2 system? You mean to tell us that nobody has autotraded your system? Every system, with at least one autotrading client, has "Real Trading Stats" available.

    Shouldn't a pairs-trade involve a simultaneous long/short position? What variances are you exploiting, exactly?

    I've dealt with Madison Dearborn in the past with my brother's CLEC, and have never heard of any vcap firm investing in a trader. You don't honestly believe we're buying the "institutional interest" BS, do you?
     
  4. Wasn't QID/QLD ripped-off from James Altucher?
     
  5. Definitely not, I borrowed a market order script from him. I forgot what it was called. It had to do with buying and gaps and betting stocks would fill the gaps.
     
  6. I'm not going to post the letter of interest from them, let's say it was pay to play, and required a brilliant over the phone 30 minute non-stop presentation, but...fuck, Magna's already riding me. I'm not going to post the presentation b/c it would be free advertising.

    And I'm not a trader. I'm an RIA Rep, and there's a big difference. Not to mention, high net worth clients grant brokers and advisors discretionary authority for a reason. The presentation I gave was more about how to establish a systematic "reasonable basis" for initiating my positions. I've noticed there's only 3 reviews of Fidelity Investments, and I'm truly surprised there aren't more. Fidelity gives you the tools to be successful, but most want to jump into something they haven't researched. The research at Fidelity more than covers the extra dollar or three dollars over other firms. WL is for active traders and you should already see that having been writing programs in WLP for so long that I have been actively trading for a long time. WL5 is Fidelity's marketing tool, and a powerful resource to the informed, quantitative person.

    A pairs trade normally when securities have different underlying would require a short sale followed by a buy. In the case of QID and QLD, you can simply buy the undervalued without having to short the overvalued, because they are the exact same thing. That is to say, both are based on QQQQ, so why would you waste commission doing both trades when they'll move in the exact same direction whether in the case of an oversold you buy QLD and short sale QID when what you can simply do is buy twice as much QLD or twice much QID in the overbought case?


    I think that about covers it. The other characteristic of the system is the adaptation for volatility. Simply curve fitting static overbought oversold levels won't lead to a long term robust system. When you adapt the threshold levels for volatility, which no one has ever discussed and is nobel prize winning, then you get a formula that adapts to changing market conditions. These formulas are non-extremum values, meaning they can go infiinitely high and low.

    In the end I'd call it a z-score normalized volatility based, overbought, oversold trading system. Pairs trading to the lay man.
     
  7. Right, you can't post what doesn't exist.

    Now why is it that QID/QLD has zero auto-trade results posted to C2?

    No funding-source would allow you to breathe a word regarding a strategy they're invested in. You fucked-up with vcap. Had you mentioned a buy-side firm it would have remained remotely plausible, but regardless, you would not be allowed to go public. The first order of business would have been a contract of [material] suppression.
     
  8. It would have mine, accept for the fact then I would lose WL, and not be able to even have a signal. No one had to autotrade, b/c the signals would come at night.

    You know, you can say what you want. I have the letter of interest, and I definitely wouldn't lie about that as a candidate in the CFA curriculum. I haven't said anything about c2. I doubt anyone even knows who I am, and if they want, there's other ways of finding out who a person is.

    The VC firm is called the National Private Investor Lender Forum. They asked to be a co-investor with another one of my high net worth clients pending the letter of committment from that client, which is in the works. Either way, it's a letter of interest that I will be able to fill.

    I know why they did it, too. They haven't gotten as high a returns as they'd like, and wanted to be a co-investor b/c they needed assurance from a 3rd party that confirmed that what they're about to invest in has backing.
     

  9. Your confession appears on Page 2 of your thread, this is perhaps the quickest confession I have seen among snake oil salemen on ET.

    My advice to you if you start with a different ID: deny deny deny until you cannot explain yourself anymore.
     
  10. This is your backer? $5MM, eh? Thanks for the info: http://www.npilf.com/
     
    #10     Jun 21, 2009
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