Grinding it out, day after day

Discussion in 'Journals' started by lescor, Jan 9, 2010.

  1. lescor

    lescor

    I've never heard of Madscan
     
    #1331     Dec 30, 2010
  2. lescor

    lescor

    It's just a trade. They sold off hard, bounced back some, then the Whitney interview tanked them again but they didn't make new lows and seemed to be holding steady. They've also likely been hammered by year end tax loss selling which is now ending.

    So I put on some longs and sit and wait. I've defined my risk on the downside. Money is cheap, it costs nothing to hold them. Hopefully the scary headlines drift off the front page and they retrace somewhat. No rocket science here.
     
    #1332     Dec 30, 2010
  3. joeyd72

    joeyd72

    Disclaimer: i am a noob so please go easy on me. :)

    I read through all 224 pages. (Sadly i was up until 3 am reading all of it) and I copied and pasted all of the important lessons that lescor was saying. I want to learn as much as possible. I read Tom Williams book of Master the Markets and Berstein's the story of Risk.

    First I want to say thank u for all the insights.

    My question is how were able to start with 40k in capital when you first started trading?

    My second question is How do you normally calculate your R:R ratios? Also, I know you use excel sheets but for your approximate entry and exit points but I never really understood how to come up with the numbers.

    If you don't want to disclose this I understand.

    My primary goal is to not lose money and take it day by day rather than having my mind set on becoming a millionaire, it's tempting though.
     
    #1333     Dec 31, 2010
  4. lescor

    lescor

    +15k for the week, a paltry 111,000 shares traded. Daily pl was +6, 0, +1, +1, +7. Ending the year with a 12 week win streak.

    In what I think might be a first, I was completely skunked on Thursday, not a single share traded. Most of the week's pl came from putting on a ES short, NQ long spread trade Monday morning when they had a sharp divergence that I didn't see any news or reason to explain, and adding to my muni fund positions today as they moved up nicely.

    I'll have some kind of recap of the year along with some stats in the next day or two.
     
    #1334     Dec 31, 2010
  5. es and nq pair trade, thats rare. Was this a pot shot trade?, be interesting to know your record for the year on 'instint' pot shot trades and if they contributed to your p and l.


    Looking back i see you started trading with a $15k prop account and in your first full year trading you netted $200k.
    It seems from your older posts you never risk more than 2% of your account (not leverage) per trade. You also are diversified over many postions some of the time depending on the set ups, which of course reduces risk if not correlated. But what id really like to know is based on your starting account of $15k what formula did you use for position sizing?.

    I guess you have to work out firstly 'whats the maximum number of trades can my systems produce today', then from there $15k account devided by 2% equals $300 risk per trade. So if you wanted to make the most of your leverage you need to get as much of your $15k account into the market so trade more stocks to diversify instead of going for home runs. Am i going along the right lines here? in terms of mindset, thinking?.

    So lets say you have a $15k account and you risk a maximum worst case senerio of $300 per trade (2%), You are able to trade upto 50 postions at once($15k devided by $300) so long as those postions are not too corelated and mixed?, is this something you would do to make the most of your account? or would you never have all your account in the market at once? not talking leverage, im only talking account size so base this on $15k for this example.
     
    #1335     Dec 31, 2010
  6. just seen this quote from you:

    "What you do is estimate the worst case scenario, how much you think you'd lose on a "really bad day". Then double that amount. Determine your share size based on that and make sure you're ok with that much potential red some day."

    with the above formula in mind can i assume now the $15k starting bank example now only runs a maximum of 25 postions at once as we are doubling the worst case senerio?, but the point is is it ok to have all our account in play at one time?
     
    #1336     Dec 31, 2010
  7. lescor

    lescor

    2010 Recap.
    For the year I grossed $825,141. I traded a total of 27,258,000 shares, 241 futures contracts and 204 options contracts. I don't have my net total to the penny yet, but it is very close to $750k.

    The year ended up better than I had hoped for. Going into 2010 my main worry was government intervention in the markets making trading harder and less profitable. I was worried about new regulations or taxes that would potentially kill some strategies and suck volume and volatility out of the market. There was also a lot of hype over high frequency trading and there was some concern that all these new bots and algorithms would change things for the worse. I set my goals on the low side because of these unknowns. Fortunately these things didn't turn out to be issues for how I trade and the year ended what I'll call better than average.

    For me the year was dominated by three things.
    1. A massive error trade on April 15th that cost me $81,000. I accidentally input incorrect price data for a spreadsheet that I use to send 1000's of automated orders.
    2. May 6th flash crash and ensuing volatility explosion. This event and the three weeks after it accounted for 40% of my year.
    3. Lack of volume. The second half of the year, many days felt like a ghost town. There was a lot of thin stocks with wide spreads and just not much happening. My screen time dropped dramatically compared to other years as I essentially stopped trading after the first hour of the day most of the time.

    Here's some stats, followed by some charts.
    I traded 251 out of 252 days. I had an internet outage on June 24th that kept me out all day.

    Top 5 best days:
    May 21 121k
    May 6 100k
    Dec 9 49k
    May 18 25k
    May 5 24k

    Top 5 worst days:
    April 15 -81k
    June 29 -33k
    May 4 -23k
    April 13 -19k
    July 2 -18k

    Number of days >$10,000: 36
    Number of days <-$10,000: 7

    165 profitable days, 87 losing days
    45 profitable weeks, 7 losing weeks
    Longest weekly win streak: 14 (Jan 1-Apr 9) Continuation of streak going back to Oct 26, 2009, total 24 weeks.

    Average $/day 3,274
    Average cents per share traded .030

    Average winning day 7,579
    Average losing day -4,890
    Daily profit factor 2.9

    Month totals
    JAN 67,342
    FEB 86,194
    MAR 62,074
    APR (24,556)
    MAY 329,447
    JUNE (29,438)
    JULY 40,781
    Aug 30,274
    Sept 23,008
    Oct 28,331
    Nov 103,362
    Dec 108,599
     
    #1337     Jan 1, 2011
    DrNo likes this.
  8. lescor

    lescor

    2010 equity curve

    <img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=3049359>
     
    #1338     Jan 1, 2011
  9. lescor

    lescor

    2010 average daily pl

    <img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=3049361>
     
    #1339     Jan 1, 2011
  10. nice work. and most people have given up on opens. you prove it can still be done.
     
    #1340     Jan 1, 2011