I'm just curious to see how everyone else is doing? I'm now in an 18% drawdown from HWM, which has happened really very quickly. Still @ 25% vol, but gotta say it's a little uncomfortable.
I'm down 4% since I started, but I only started a couple of months ago. Today is painful because I assume most of us are very short volatility.
30% I am trading 8 instruments, NQ, VX, NG, ZT, PL, 6B, HE, GE. I recently read a post that once you are down 1.5x your annual volatility you may want to consider shutting off the system to take a break or reevaluate if your system has any defects. Seemed like a good idea to me. Whoops, just saw the market and now I am down 8% overall for the lowest I've been since I started. But, I expect volatility to rebound at some point.
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I've just got back from holiday. Apparently I missed some excitement... For the record I bottomed out on Friday morning with a 10.4% drawdown, and I'm currently at 8% d/d as of this morning. It sounds like some of you guys got a bit more hurt. That is probably due to my greater diversification rather than any great skill or secret sauce that I've got. Commiserations in any case. Annoyingly my system had some issues towards the end of last week and didn't do all the trades it should have (mostly closes of course). They will happen over the course of today. It's hard to say because the market was so volatile but if anything I'll probably end up with better fills from the resulting delay. This is always a risk, but similar things have happened on previous holidays. Shutting down my system for 2 weeks would cost me money, on average (slippage and opportunity cost of profits). I have quantified and I'm comfortable with this risk. I hope everyone is hanging on! GAT