Here is the update of this journal for the 3rd week of May. Performance: Account Value at the beginning (Sep. 16, 2012) of this journal: $9,799 Account Value as of Friday, May 17, 2013: $13,120 Return since the beginning of this journal: 33.9% Return in the month: NA Return in the week: 0.69% Simple average daily return: 0.1395% Expect account to double on: Sep 3, 2014 Equity curve (initial value set at zero): See attached chart Parameters compliance since the beginning of this journal: Risk experienced: Medium Max drawdown experienced (based on daily close): 15.37% Initial Margin at most recent close: $11,082 VAR at most recent close (99.5% confidence): $1,203 Greeks: were all within predefined range. Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
Sorry to say this, but this system has lost its mojo. Consider optimizing, reconfiguring or scrapping all together.
Here is the update of this journal for the 4th week of May. Performance: Account Value at the beginning (Sep. 16, 2012) of this journal: $9,799 Account Value as of Friday, May 17, 2013: $13,088 Return since the beginning of this journal: 33.57% Return in the month: NA Return in the week: -0.25% Simple average daily return: 0.1343% Expect account to double on: Oct 1, 2014 Equity curve (initial value set at zero): See attached chart Parameters compliance since the beginning of this journal: Risk experienced: Medium Max drawdown experienced (based on daily close): 15.37% Initial Margin at most recent close: $8,749 VAR at most recent close (99.5% confidence): $1,341 Greeks: were all within predefined range. Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
Here is the update of this journal for the 5th week and the period of May. Performance: Account Value at the beginning (Sep. 16, 2012) of this journal: $9,799 Account Value as of Friday, May 17, 2013: $12,879 Return since the beginning of this journal: 31.44% Return in the month: -1.95% Return in the week: -1.6% Simple average daily return: 0.1223% Expect account to double on: Dec 12, 2014 Equity curve (initial value set at zero): See attached chart Parameters compliance since the beginning of this journal: Risk experienced: Medium Max drawdown experienced (based on daily close): 15.37% Initial Margin at most recent close: $13,164 VAR at most recent close (99.5% confidence): $1,305 Greeks: were all within predefined range. Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
Here is the update of this journal for the 1st week of Jun. Performance: Account Value at the beginning (Sep. 16, 2012) of this journal: $9,799 Account Value as of Friday, May 17, 2013: $13,452 Return since the beginning of this journal: 37.29% Return in the month: NA Return in the week: 4.45% Simple average daily return: 0.1412% Expect account to double on: Aug 23, 2014 Equity curve (initial value set at zero): See attached chart Parameters compliance since the beginning of this journal: Risk experienced: Medium Max drawdown experienced (based on daily close): 15.37% Initial Margin at most recent close: $10,332 VAR at most recent close (99.5% confidence): $1,386 Greeks: were all within predefined range. Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
Here is the update of this journal for the 2nd week of Jun. Performance: Account Value at the beginning (Sep. 16, 2012) of this journal: $9,799 Account Value as of Friday, Jun 14, 2013: $12,983 Return since the beginning of this journal: 32.50% Return in the month: NA Return in the week: -3.48% Simple average daily return: 0.1199% Expect account to double on: Dec 29, 2014 Equity curve (initial value set at zero): See attached chart Parameters compliance since the beginning of this journal: Risk experienced: Medium Max drawdown experienced (based on daily close): 15.37% Initial Margin at most recent close: $15,903 VAR at most recent close (99.5% confidence): $2,035 Greeks: were all within predefined range. Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
Here is the update of this journal for the 3rd week of Jun. Performance: Account Value at the beginning (Sep. 16, 2012) of this journal: $9,799 Account Value as of Friday, Jun 21, 2013: $12,777 Return since the beginning of this journal: 30.39% Return in the month: NA Return in the week: -1.59% Simple average daily return: 0.1093% Expect account to double on: Beyond 2014 Equity curve (initial value set at zero): See attached chart Parameters compliance since the beginning of this journal: Risk experienced: Medium Max drawdown experienced (based on daily close): 17.76% Initial Margin at most recent close: $13,269 VAR at most recent close (99.5% confidence): $4,676
Here is the update of this journal for the 5th week and end of Jun. Performance: Account Value at the beginning (Sep. 16, 2012) of this journal: $9,799 Account Value as of Friday, Jun 28, 2013: $13,549 Return since the beginning of this journal: 38.27% Return in the month: 5.20% Return in the week: 6.04% Simple average daily return: 0.1343% Expect account to double on: Oct 1, 2014 Equity curve (initial value set at zero): See attached chart Parameters compliance since the beginning of this journal: Risk experienced: Medium Max drawdown experienced (based on daily close): 17.76% Initial Margin at most recent close: $8,663 VAR at most recent close (99.5% confidence): $318 Greeks: were all within predefined range. Delta, ****; Gamma, ****; Vega, ****; Theta, ****; PS: Instead of weekly update this journal, Iâll update this journal monthly from now on unless there is 10% or more change in the account during the month.
I havenât updated this journal for a while since the end of Jun because there were not many transactions up till now (less than $1,800 on both buy and sell). There are several reasons for that. Iâve mentioned some of the reasons before such as that the account is too small to be efficient for trading (too volatile even adding one pair delta hedged contract a time). Also I donât have much time to take care all accounts at same time when market is in a fast paced move. Some other issues are market behaved abnormally due to QE induced one direction move. Also I feel that the journal will be too long if updated as before. Iâm planning to start a new thread use a bit big account with same title and will try to reduce some of those unnecessary, repeated, redundant words and use IB portfolio analysis generated report. It will be much fast and easy for me to update. Meantime, Iâve reconfigured parameters to accommodate the change of market condition so that the account volatile can be reduced significantly. Iâll use Jul 18 as a connection date for old and new thread since there is a deposits/withdraws record on Jul 17 for the account of new thread. Hopefully, there will be no deposit/withdraw on this account in next 6 to 12 months. Here is the update of this journal since Jul 1 till now. Performance: Account Value at the beginning (Sep. 26, 2012) of this journal: $9,500 (roughly) Account Value as of Aug 23, 2013: $13,027 Return since the beginning of this journal (money weighted return): 37.42% Return in the month: NA Simple average daily return: 0.16% Expect account to double on: Beyond, 2014 Equity curve: See attached chart Parameters compliance since the beginning of this journal: Risk experienced: Medium Max drawdown experienced (based on daily close): 17.76% Initial Margin at most recent close: $3,524 VAR at most recent close (99.5% confidence): $658 Greeks: were all within predefined range. Delta, ****; Gamma, ****; Vega, ****; Theta, ****; This thread will not be updated further and thank you all for the reading. Wish the moderator of this forum can keep/save this thread for future reference even this thread will not be active anymore.