I stopped out on XLE for a 1K gain. If I want a home run on a large position, I will need to learn more patience. At any rate, I donât like the resistance here at 1400 S&P and the fact that May is approaching. Exposure is much more comfortable here. I opened a 100 share SDS position at the close, since my unrealized gains are back negative. Code: Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description CME ($17.16) -0.52% 275.93 12 $3,311 CME Group Inc NTAP ($33.60) -2.76% 40.52 30 $1,216 NetApp Inc LM ($40.04) -1.71% 26.56 88 $2,337 Legg Mason Inc TSO ($392.03) -10.91% 26.42 136 $3,593 Tesoro Corporation CELG ($44.25) -4.11% 76.95 14 $1,077 Celgene Corp SDS ($5.00) -0.33% 15.16 100 $1,516 UltraShort S&P 500 ProShares MMI ($9.38) -0.28% 38.54 88 $3,391 Motorola Mobility Holdings Inc SWY $12.54 1.06% 20.71 57 $1,180 Safeway Inc PGR $17.16 1.56% 21.09 52 $1,097 Progressive Corporation (The) CSCO $17.63 0.80% 19.42 113 $2,195 Cisco Systems WMT $27.55 2.52% 57.52 19 $1,093 Wal-Mart Stores MDT $6.22 0.27% 36.98 62 $2,293 Medtronic, Inc DGX $9.12 0.84% 57.42 19 $1,091 Quest Diagnostics Real-time Account Net Worth $73,078.54 Real-time Unrealized P/L ($451.23) Real-time Realized P/L (Today) $1,135.92 Net Long Exposure 33%
Code: [color=green][b] Initial Capital (2/10/2012) $30,000 Total Net Profit $5,271.76 (Per Share) $0.36 Gross Profit $7,333.88 Gross Loss ($2,062.12) Profit Factor 3.56 Total Number of Trades 406 Percent Profitable 77.83% Winning Trades 316 Losing Trades 90 Avg. Trade Net Profit $12.98 Avg. Winning Trade $23.21 Avg. Losing Trade ($22.91) Ratio Avg. Win:Avg. Loss 1.01 Expectancy 0.56 Largest Winning Trade $412.91 Largest Losing Trade ($163.90) Max. Consecutive Winning Trades 20 Max. Consecutive Losing Trades 6 Total Shares/Contracts Held 14598 Total Commission $670.90 Return on Initial Capital 20.27% Annual Rate of Return 86.43% Buy & Hold Return 0.47% Trading Period 2 Mths, 17 Dys Max. Equity Run-up(Daily) $5,533.90 Date of Max. Equity Run-up 4/26/2012 15:00 Max. Drawdown(Daily) Value ($2,251.72) Date 4/10/2012 15:00 as % of Initial Capital 8.66% Max. Trade Drawdown ($281.81) Net Worth $73,034 Wkly Performance 7.85% Dollar Gain/Loss $2,273 S&P Wkly Performance 1.73% Cum. Perform. (2/10/12) 20.10% S&P Cum. Performance 4.44% Correlation to S&P 0.53 Net Long Exposure 11% [/b][/color] There was a higher period of volatility this month, but I came out the other size in one piece. The stats are looking good. Just need to be vigilant for a broad market sell off next month, when program trading may induce a computer "panic."
Code: [color=green][b] Initial Capital (2/10/2012) $30,000 Total Net Profit $4,202.13 (Per Share) $0.26 Gross Profit $7,555.02 Gross Loss ($3,352.89) Profit Factor 2.25 Total Number of Trades 455 Percent Profitable 70.77% Winning Trades 322 Losing Trades 133 Avg. Trade Net Profit $9.24 Avg. Winning Trade $23.46 Avg. Losing Trade ($25.21) Ratio Avg. Win:Avg. Loss 0.93 Expectancy 0.37 Largest Winning Trade $412.91 Largest Losing Trade ($163.90) Max. Consecutive Winning Trades 20 Max. Consecutive Losing Trades 35 Total Shares/Contracts Held 16143 Total Commission $729.90 Return on Initial Capital 16.16% Annual Rate of Return 64.36% Buy & Hold Return 0.18% Trading Period 2 Mths, 24 Dys Max. Equity Run-up(Daily) $5,533.90 Date of Max. Equity Run-up 4/26/2012 15:00 Max. Drawdown(Daily) Value ($2,251.72) Date 4/10/2012 15:00 as % of Initial Capital 8.66% Max. Trade Drawdown ($281.81) Net Worth $71,946 Wkly Performance -3.65% Dollar Gain/Loss -$1,142 S&P Wkly Performance -2.25% Cum. Perform. (2/10/12) 15.92% S&P Cum. Performance 1.96% Correlation to S&P 0.67 Net Long Exposure 73% [/b][/color] Wall Street ended its worst week of the year, and I think I did too. I still have some firepower left for next week though. While XLE continued higher a couple days after my exit last week, it is now well below my exit point. While some stocks do continue higher after my strategy exits, about the same number head lower by roughly the same magnitude. I believe this is reflected in the buy and hold performance always hovering around zero. It is as if I am riding a train in one direction, and then jumping onto another train in the opposite direction. Over time, I may not change my location (market is at the same level), but I have covered a lot of ground (net realized profits). There are windows of opportunity that open and close on every stock several times a year. One reason I don't like to hold a stock for more than a few days, is that not only does the edge diminish after entry over time (window closes), but also the longer I continue to hold a loser, there is the potential for increasing damage to be done. There is no room for emotional attachment. I must remove the dead weight in order to stay afloat.
I am leveraging up my positions in anticipation of the market rallying around the Facebook IPO tour in the near future. In addition, while the Eurozone crisis has weighed on the markets, the market seems to be rallying back from any selloffs. This to me is bullish where the market buys after bad news. Besides, I canât help but believe Europe has already been priced into the market to some degree. I bought back into XLE today, in anticipation of another energy bear bounce. I think in a roundabout way, I am trying to recoup unrealized losses on National Oilwell by buying an ETF in the same sector. Probably a little risky, but if it makes money, I wonât complain. I couldnât resist buying up a few more index and country ETFs today, so exposure is more than what is should be right now. Code: Current Holdings: Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description NOV ($287.84) -7.97% 75.24 48 $3,611 National Oilwell Varco Inc SWY ($261.55) -5.48% 20.40 234 $4,773 Safeway Inc MCO ($136.67) -3.81% 40.29 89 $3,585 Moody's Corp CELG ($133.35) -3.86% 73.58 47 $3,458 Celgene Corp DOW ($98.37) -2.73% 33.01 109 $3,598 Dow Chemical CAT ($71.94) -2.03% 98.55 36 $3,548 Caterpillar Inc LMT ($63.44) -1.79% 88.72 40 $3,549 Lockheed Martin COST ($61.80) -1.75% 84.11 42 $3,533 Costco Wholesale GILD ($61.19) -1.72% 50.21 71 $3,565 Gilead Sciences ETN ($59.87) -2.51% 46.68 51 $2,381 Eaton Corp JEC ($53.65) -4.51% 40.99 29 $1,189 Jacobs Engr Group TROW ($49.42) -1.38% 60.84 59 $3,589 T.Rowe Price Group EWG ($38.98) -1.08% 21.53 167 $3,596 iShares MSCI Germany Index Fd EWL ($36.40) -1.01% 24.22 149 $3,609 iShares MSCI Switzerland Index ACWX ($27.12) -1.14% 39.08 61 $2,384 iShrs MSCI ACWI ex US Idx Fd EFA ($26.80) -1.11% 52.35 46 $2,408 iShares MSCI EAFE Index Tr VEU ($21.00) -1.76% 42.60 28 $1,193 Vanguard Intl FTSE World ex US CI ($12.48) -1.04% 46.22 26 $1,202 Cigna Corp DOV ($10.40) -0.44% 58.98 40 $2,359 Dover Corp HD ($9.66) -0.82% 51.03 23 $1,174 Home Depot Inc ECON ($7.50) -0.63% 23.95 50 $1,198 EGShares Emrgng Mrkts Consumer FMC ($7.26) -0.21% 105.87 33 $3,494 FMC Corp WAG ($7.00) -0.58% 34.29 35 $1,200 Walgreen Co LNC ($5.61) -0.47% 23.47 51 $1,197 Lincoln Natl Corp FIS ($3.33) -0.28% 32.33 37 $1,196 Fidelity National Information CSCO ($3.20) -0.27% 18.81 64 $1,204 Cisco Systems EWH ($0.46) -0.04% 17.26 69 $1,191 iShares MSCI Hong Kong Idx Fd EPP $0.64 0.05% 42.32 28 $1,185 iShares MSCI Pac Index Fd GS $0.77 0.03% 109.56 22 $2,410 Goldman Sachs Group AAXJ $0.93 0.08% 54.79 22 $1,205 iShrs MSCI Asia ex Japan Idx SDS $3.00 0.19% 15.90 100 $1,590 UltraShort S&P 500 ProShares IWF $3.04 0.25% 63.97 19 $1,215 iShares Russell 1000 Gwth Inde IVV $3.36 0.27% 136.62 9 $1,230 iShares S&P 500 Index Trust IVW $3.55 0.30% 73.42 16 $1,175 iShares S&P 500/Barra Gwth Ind FAST $3.68 0.15% 43.78 55 $2,408 Fastenal Co VIG $3.99 0.33% 57.08 21 $1,199 Vanguard Div Appreciat ETF AAPL $5.10 0.15% 567.03 6 $3,402 Apple Inc HRS $5.51 0.15% 41.56 86 $3,574 Harris Corp VTI $6.03 0.51% 69.71 17 $1,185 Vanguard Total Stock Mrkt ETF SRCL $7.28 0.62% 84.22 14 $1,179 Stericycle Inc LOW $7.41 0.62% 30.47 39 $1,188 Lowe's Cos IWR $7.59 0.65% 106.81 11 $1,175 iShares Russell Midcap Index QQQ $7.63 0.63% 64.14 19 $1,219 PowerShares QQQ Trust Series 1 IWP $8.80 0.73% 60.47 20 $1,209 iShares Russell Midcap Growth DNR $17.04 1.41% 16.98 71 $1,206 Denbury Resources KLAC $18.48 0.52% 49.64 72 $3,574 KLA-Tencor Corp AET $21.28 0.89% 42.67 56 $2,390 Aetna Inc PAYX $24.04 0.67% 29.89 120 $3,587 Paychex Inc XLE $417.12 1.56% 66.78 400 $26,711 S&P Sel Energy Spdr Fund Real-time Account Net Worth $92,316.55 Real-time Unrealized P/L ($980.99) Real-time Realized P/L (Today) $97.24 Net Long Exposure 144%
Hi Rol, How did this month treat you? I'm hoping you cut some exposure last week or hedged at some point. This portfolio looks like its in about -13% drawdown at this point, is this within reason for this strategy? Mike
Hi Mike and everyone else curious of my performance. From the equity high of $92,316, I am down 7.3% at $85,600. Yes, the strategy jettisoned most all of my positions last week and earlier this week for substantial losses. Current unrealized losses are $586. I took an 800 share discretionary position in SPY late this afternoon for an average cost of 128.33, so long exposure is 115%. I must improve my skills at identifying broad market topping conditions and taking action. Trader Vic has some actionable material on that in his book "Methods of a Wall Street Master". I have been busy doing some home remodeling, so haven't followed intraday action too closely. I'll try and post an equity curve with stats sometime this weekend.
Hey - Good job on cutting the exposure. 7.3% isn't very bad at all, seriously. We all have tough months. Maybe rather than focusing on timing the tops, focus on assuming that you're going to get caught at the top a lot and having a preventative risk management process in place beforehand. Like never having a correlated exposure > x% no matter the broad market condition. Or maybe never going more than 70% long of net capital. My point is, don't focus on reactionary procedures that take action when you're already exposed, assume the situation will happen and design your allocation such that you're never too exposed in the first place.
Nice turnaround today, but still about 2K from my high water mark. I am hanging on to 950 shares SPY, but closed out most of my longs at the close. It seems whenever the FED hints at or takes new action, the market makes big moves like today on hints of QE3. I need to be less aggressive on positions allowed by automation. The markets have not been too friendly to my strategy for about the last year. I am giving back to much of my gains. The market, when it hits longer term S/R and fails to break through seems to be doing an about face and trending quickly in the opposite direction, taking my gains with it. This was not the case with backtesting from 1993 to mid 2011. Frankly, I am surprised I have been net profitable since starting my strategy automation in fall 2010. I am sure a lot has to do with all the uncertainty with debt ridden countries affecting the markets. This is why I want to be more on the lookout for topping and bottoming action off longer term S/R. Last Friday I was 14% long going into the 260 point DOW sell off. My strategy shut down to opening new longs, though because Thursday night the Russell 2000 broke below its 200 DMA, so I was grateful for that added feature. It took me awhile to figure out why it failed to open any new trades that day. Real-time Account Net Worth $90,229.43 Real-time Unrealized P/L $3,622.61 Real-time Realized P/L (Today) $377.61 Net Long Exposure 140%