Rol, would you offer some advice on how to achieve a R:R 1:1 or > 1 for strategies? Even with trend filter the R:R is hovering around 0.8:1 or 0.9:1
I am finding that I lose more on my losers, but I have more small winners. I am no expert on automation. I just use it to mimic how I trade discretionary. I guess even though I automate, I am a discretionary trader at heart. I currently have a 2000 sh ETF position on the Brazil index using EWZ, that I am break even on.
Actually EWZ is a 1200 share position. I forgot I lightened up at yesterday's close. Trend reversal is underway!
Code: [color=green][size=2][b] Total Net Profit $2,791.53 (Per Share) $0.13 Gross Profit $5,445.94 Gross Loss ($2,654.41) Profit Factor 2.05 Total Number of Trades 195 Percent Profitable 66.67% Winning Trades 130 Losing Trades 65 Avg. Trade Net Profit $14.32 Avg. Winning Trade $41.89 Avg. Losing Trade ($40.84) Ratio Avg. Win:Avg. Loss 1.03 Expectancy 0.35 Largest Winning Trade $377.22 Largest Losing Trade ($322.95) Max. Consecutive Winning Trades 21 Max. Consecutive Losing Trades 11 Total Shares/Contracts Held 22160 Total Commission $455.53 Return on Initial Capital 2.79% Annual Rate of Return 35.92% Buy & Hold Return 0.52% Trading Period 28 Dys Max. Equity Run-up(Daily) $2,929.48 Date of Max. Equity Run-up 3/28/2013 15:00 Max. Drawdown(Daily) Value ($698.05) Date 3/25/2013 15:00 as % of Initial Capital 0.70% Max. Trade Drawdown ($427.77) [/b][/size][/color] I struggled most of the month to make consistent gains. 3 trades delivered larger than usual losses, thus impeding progress. Discretionary trading of EWZ (which was exited at the close Thursday) provided a large chunk of the gains to end the month.
Code: [color=green][size=2][b] Total Net Profit $2,352.96 (Per Share) $0.08 Gross Profit $8,607.93 Gross Loss ($6,254.96) Profit Factor 1.38 Total Number of Trades 294 Percent Profitable 64.29% Winning Trades 189 Losing Trades 105 Avg. Trade Net Profit $8.00 Avg. Winning Trade $45.54 Avg. Losing Trade ($59.57) Ratio Avg. Win:Avg. Loss 0.76 Expectancy 0.13 Largest Winning Trade $377.22 Largest Losing Trade ($322.95) Max. Consecutive Winning Trades 21 Max. Consecutive Losing Trades 11 Total Shares/Contracts Held 31120 Total Commission $643.01 Return on Initial Capital 2.35% Annual Rate of Return 23.60% Buy & Hold Return -0.03% Trading Period 1 Mth, 5 Dys Max. Equity Run-up(Daily) $2,929.48 Date of Max. Equity Run-up 3/28/2013 15:00 Max. Drawdown(Daily) Value ($2,969.18) Date 4/4/2013 15:00 as % of Initial Capital 2.97% Max. Trade Drawdown ($462.48) [/b][/size][/color] Down $400 for the week, but had a max DD of 3K at one point. Closed AGQ at the close for a 1K gain, but was down over 2K at one point, so entry was suboptimal. If my entry wasn't so poor, I may have held on to it in case the reversal gains traction. I am seriously considering suspending stock trading, to focus more on ETFs with a combination of automation and discretionary trading. I usually consider fundamentals when sizing up, like today I avoided the South Korean ETF, because of the threat of war in the region. I am not getting the big stock gains to offset the losers like I used to, so maybe I need to avoid stocks altogether, and shoot for the occasional big ETF wins, since I seem to be having more success there. Long exposure is now 65%.