It's good to be terrified when you make too much money. Are you happy that 25% in a month is in line with historic expectations / your risk target? If not you might need to have a rethink about your leverage - unless you'd be just as comfortable with a 25% loss. GAT
That's reassuring. It's a 25% annual target, and the daily volatility seems to be being realised bang on. I know from looking at the backtested equity curve that you do get some 'steps' up (particularly on smaller account sizes), so I've increased my account size, which should smooth returns. Out of curiosity, do you still maintain ISAs? Even with a 28% clip, it's better off in futures. I'm considering drawing them out.
Similar situation here. My account reached its deepest point in drawdown by mid April and has been rising ever since. Compared to that low point is my account now some 40% up and hovering around all-time-highs. This strong rise did worry me slightly, but I made some analysis tool to look at the daily account volatility and compared that to my system settings. This all seems to be fine, so nothing to worry about, is my conclusion.
Yes I put the maximum into ISAs every year - I've got a large long only equity / ETF portfolio and it makes sense to gradually move this into ISAs (bed and ISA trade). Also I don't compound my futures returns, so any excess profits I make are first used to fund my ISAs. Although the SR would be higher if I put absolutely everything I owned into futures, I have two misgivings; a) the size of the daily swings in my p&l would be gigantic in GBP terms (my long only portfolio has huge £££ swings, but I don't look at these daily, only once a year) unless I reduced my risk target down to compensate, affecting my expected returns accordingly. b) the stream of dividends is a psychologically more secure way of earning an income than futures MTM GAT
It would be helpful, for those of us who are new to your journal, to know the exact start date you are using. My guess its the start of this journal (Feb 11 2015), but not sure. Thanks.
Fundseeder have now got working trade statistics on their site. Here are mine (futures only): profit factor 1.31 average win $1,274 average loss $1,014 all trade average profit: $156 These numbers are quite small because I usually trade only one contract at a time, continuously adjusting my position. However the win:loss ratio is what you'd expect from trend following. Percent winning trades: 51.1% Again you wouldn't expect this to be high; if anything slightly below 50% is normal. Average holding period: winning trades: 38 days losing trades: 22 days all trades: 30 days Again for trend following you'd expect winners to be held longer than losers. The fact I'm trading quite slowly is also evident here. GAT
What do you define as a trade? Is that a round trip (zero-position to X-position - to zero-position)? On a completely separate note, for the EWMAC fast numbers 4, 8, 16, 32, 64 (and slow = 4*fast); is there a mathematical basis to this particular progression?
It's fundseeders definition - I think if I buy 1 lot on five successive days, and then sell 1 lot on the next five days, that is ten trades - even though arguably I've only held one 'position'. However I will have held each 'trade' for an average of five days - and that figure is correct. I think it would possible to derive those EWMAC numbers using stochastic calculus - but I'm not sufficiently interested to try and attempt it. That would assume a random walk with no trends. I get these kinds of numbers with random data (both with and without underlying trends) and also with real data. GAT