Hey folks, long time no post from me, so here's an update while that paint is drying. I'm currently also about 15% up YTD. Today started great, was up about 5%, but now down to +1%, since grains and some other stuff went back down. This DO stuff Rob has sure is some magic if he's still doing great for today. I'm currently implementing dynamic optimization, planning to have that done in a few weeks. Let me also tell you a story about how I avoided a ~10% loss, which was I assure you, not lucky at all. Part of the reason I was away is because I was doing a cross-Atlantic trip in a sailboat (for you sailors out there, we weren't going with the ARC, but had our own deal. Boat was Seawind 1260, from Tenerife to Guadeloupe was 17 days). I do trust my system, but not so much to leave it trading on its own unattended for 3 weeks (internet over the ocean is wonky and I just didn't want to worry about trading on the trip), so I planned to shut the system down. So it's late November, we're waiting for a favorable weather window on Tenerife and it looks like Saturday 27th is the day for departure. I see that Thursday is Thanksgiving so I decided to close all positions by Wednesday, so I don't have to mess with low liquidity on Friday. Little did I know... Looking at how the folks in this thread have done, and looking at my system, it would have been about 10% down in those few days. I ended the 2021 with about 14% up, pretty happy with it.
That's a great story! By weird coincidence, my brother in law made the same journey at almost exactly the same time as you did. Rob
I'm jealous of these positions, the DO i'm running has me in SMI (Swiss bluechip index), some Japenese equity indices, MXP and thankfully oil. Down around %4 over the past ten days.
after a nice rally P&L is now going down, looks like MXP, CAC, NIKKEI, Cattle, EuroStoxx, BTP, well a lot of things seem to go wrong..
I was expecting some sort of Armageddon when the system was turning on today after all the news over the weekend, but the P&L barely moved from Friday.. Made some money on crude, lost a little on some other things.. hmm..
Finally Code: Actual Max Accumulated Broker 2022-03-01 17:00:47.677 393227.27 400000.0 724955.86 394415.38 2022-03-01 19:00:59.529 393227.27 400000.0 724955.86 394415.38 2022-03-02 01:00:20.423 400000.00 400000.0 743380.96 412840.48 2022-03-02 03:00:16.999 400000.00 400000.0 743380.96 412840.48 2022-03-02 05:00:25.848 400000.00 400000.0 743426.67 412886.19 2022-03-02 07:00:27.854 400000.00 400000.0 747241.74 416701.26 2022-03-02 09:00:31.877 399869.79 400000.0 747111.53 416571.05 So I hit HWM first thing this morning with a massive overnight profit to which I've since added another 4K, for a total MTM today of 747 - 725 = 5.8%. Now in a very small drawdown. Blimey. I guess this is some of that positive skew I've heard so much about.... Rob
Code: ******************************************************************************** Profit and loss report report produced on 2022-03-02 09:14:16.183920 from 2021-12-31 00:00:00 to 2022-03-02 09:14:04.672019 ******************************************************************************** Total p&l is 17.353% ==================================== P&L by instrument for all strategies ==================================== codes pandl 0 AEX -1.8 1 VIX -0.7 2 EU-DIV30 -0.5 3 DOW -0.5 4 BUND -0.4 5 V2X -0.4 6 SP500_micro -0.3 7 NASDAQ_micro -0.3 8 GAS_US_mini -0.2 9 JPY -0.2 10 INR -0.1 11 CAD -0.1 12 BTP -0.1 13 MXP -0.1 14 CAC -0.1 15 EUROSTX -0.0 16 GBP -0.0 17 RUSSELL -0.0 18 OAT -0.0 19 BITCOIN 0.0 20 DAX 0.0 21 EURO600 0.0 22 KOSDAQ 0.1 23 KR10 0.1 24 MUMMY 0.2 25 EU-AUTO 0.2 26 LEANHOG 0.2 27 GOLD_micro 0.4 28 EU-BASIC 0.5 29 COPPER 0.6 30 IRON 0.7 31 SOYOIL 1.1 32 CORN 1.3 33 SOYBEAN 2.0 34 CRUDE_W_mini 2.1 35 BRENT-LAST 2.2 36 GASOILINE 3.8 37 HEATOIL 5.5 Total futures p&l is 15.155% Residual p&l is 2.197% ========================== P&L by strategy ========================== codes pandl 0 dynamic_TF_carry 13.57 0 residual 3.78 ================== P&L by asset class ================== codes pandl 0 Equity -3.16 1 Vol -1.11 2 FX -0.45 3 Bond -0.38 4 Sector 0.66 5 Metals 1.67 6 Ags 4.57 7 OilGas 13.36 ******************************************************************************** END OF REPORT ********************************************************************************
Just rereading my last post and I'm not sure it comes across very well, given the context. It's very hard to get the right tone at a time like this. Is it morally okay to be pleased about "making profits out of a crisis"? I think something I just posted on twitter sums up how I feel: "I'm happy that I bought insurance against bad things happening, and the insurance paid out (because, for me at least, the gains here are offset by long only losses so I'm losing money overall). I'm obviously not happy that there bad things happening: far from it." Rob