That's the thing. The trade manager analysis was done on actual trades , not demo. I’m doing a tad better than the strategy due to a disconnect from the trading server one day. By the time I discovered it, the markets had closed for the day. So I exited the next day for a little more profit.
Well the S&P500 is up around 5% this year, but I am up just 3%. I have kept a high cash balance though, so this is expected while the strong market uptrend continues. I plan to place small size short trades next week around my core long only strategy. As we all know, markets do correct eventually. I am eager to see how well I can navigate the markets when crashes occur. So far, have matched the portfolio back tester very well, which is encouraging. I’ll post comparisons for the month next week. Total Net Profit $2,898.16 Gross Profit $2,898.16 Gross Loss $0.00 Profit Factor n/a Total Number of Trades 24 Percent Profitable 100.00% Winning Trades 24 Losing Trades 0 Avg. Trade Net Profit $120.76 Avg. Winning Trade $120.76 Avg. Losing Trade $0.00 Largest Winning Trade $306.82 Largest Losing Trade $0.00 Max. Consecutive Winning Trades 24 Max. Consecutive Losing Trades 0 Total Commission $37.30 Return on Initial Capital 2.90% Annual Rate of Return 27.46% Buy & Hold Return 18.17% Trading Period 1 Month, 7 days
Hi Jakobsberg, down 6K from the 100K start balance. It has been quite volatile for me as can been seen from the chart. I wasn’t going to start posting again until I returned to profitability, but I know there are some who are intrigued by my strategy and genuinely curious about its performance. I thank the many ET’ers for not rubbing in my losses as I lick my wounds, LOL. I am still looking forward to finishing the year strong. My plan had been to start the strategy after a substantial draw down like occurred starting in February, but I wanted to gather a complete years’ worth of performance data. So we will see how it goes from here…
The comeback continues. My actual equity curve on the left starts out matching the portfolio backtester fairly closely. I’m doing better since April due to some discretionary trading around the system which has helped smooth the curve and improve the recovery. I need to continue to eliminate interference though so I don’t get emotionally involved, and just trust the system. I introduced 2 sector ETFs which have backtested well and I hope will boost returns. One 3X ETF I was not aware of came out just last year. I had pretty heavy long exposure going into today but lightened up after the bounce today. It could have turned out ugly had the Italy concerns continued to be bearish on the markets. Maybe next time I post I will actually be making money, ha ha.
Over half a year has gone by, and just returning to profit. Strat hasn’t done this badly since 2011. Performance is within expectation though, in the short term. Not giving up. Still targeting to beat the market by end of year. I have outperformed the strat mostly by modifying my exits. Is it luck or skills that I have outperformed the backtest?
Intraday today I hit a new equity peak for the year, but gave back a bit as manually entered stops were hit. Having some problems with internet connection lately and remaining connected to the order entry network when trades should execute. Working on getting that fixed, so have to monitor trades closely. I dropped the ETF I mentioned awhile back “DFEN”. The volume is low on it and occasionally even market orders don’t get filled, and besides the bid/ask spread is large, so I am wondering how accurate the backtesting can be on it. Mostly in cash now with just a small position in TNA. Unless there are questions or comments, I think the next time I post is when the Strategy is actually profitable.
You may have to change the title of this thread because the two main dips this year didn't seem to get bought on the rebound strongly enough. How does it compare straight buy and hold of the SP500?
Hi Jakobsberg, thanks for checking in. Dips come in all sorts of shapes and sizes. My definition of “dip” is probably different than what most would call a dip. Since no one knows for sure what markets will do, I have to keep plugging away. I am up 2.61% YTD. According to the Wall Street Journal, the SP500 is up 6.24% YTD. Tradestation’s TradeManager Analysis says I would be up 21.28% YTD with buy and hold on the ETFs I trade. Sure, I have some catching up to do, but the sell off earlier this year set me back quite a bit. The draw down that is always around the corner is what will keep others away and from copying me. The strategy has a good past 3 years, so it is probably due for a mediocre year. Here is a chart I started 2-6-18 comparing my performance to the SP500. I have to keep thinking longer term.