<<< Paper >>> Monthly Objective Recap: Month 1 (May) - Complete framework programming and build basic plan for automating opening orders. Observe P and L for possible tweaking for month 2. Month 2 (June) - Increase win/loss ratio while decreasing risk/exposure. Automate blocking for news/earnings while still observing their role on probabilities. Devise a money management plan and apply it in month 3. Month 3 (July) - Apply a money management plan and adjust risk based on volatility and probability. Month 3 Results: Without Money Management * W/L Ratio: 2.79 * Avg Gain Per Trade: $213.34 * Avg Loss Per Trade: $-512.96 * Std Dev of Daily Win/Loss: $2242.33 * Max Day Win: $3780.00 * Max Day Loss: $-4950.00 * Total P/L: $6626.00 With Money Management * W/L Ratio: 2.87 * Avg Gain Per Trade: $90.32 * Avg Loss Per Trade: $-180.58 * Std Dev of Daily Win/Loss: $756.87 * Max Day Win: $1605.00 * Max Day Loss: $-1223.00 * Total P/L: $6056.00 Conclusion: With money management the variance of daily profits to losses was lower and it kept me out of some bad trades due to there risk being outside my parameters, hence a slightly better W/L ratio. Although it lowered my profit and loss per day considerably over no money management, my monthly total profit and loss only suffered ~$-600.00 and the draw downs were far less severe. Whats next: I would like to see a lower variance between my trade profit and trade loss, so i am going to try and work on a plan to adjust it. With the current ratio at about 1:2 ($win:$loss) i would like to see it down to at least 1:1.5 or ideally >1:1 while still keeping my trade w/l ratio in check. see you next month, ~g
Great analysis of your trading. Really impressive and detailed. Can I ask you how many shares you are trading to get that $6K number? Thanks.
I'm having an interesting experience with these opening orders, forgot to post I took a small loss with T the other day because it moved .03 against me lol, then shot up about .20. So far I like GE. Two things I am seeing, one is that I am trying to be very patient with this tactic, and I want to see how it "works" under different market conditions. The other is that it proves you can lead a horse to water but not make them drink, considering this thread has been here for years. I wouldn't have even tried this tactic but just the fact that I was filled at 28.52 which is a price I can't even see in my qoutes is very interesting and I do think a real edge. One final question, thanks for the help, can anyone suggest some other behemoths to do the opening with similar to GE?
Did not post wrap up last month cuz I only traded 7-8 days. Finished flat. Month of july wrap up: 28 longs, 23 shorts 5300 shares traded, yes only that :eek: 0.07$ per share on average, min -0.12, max 0.31. Played 18 days in the month Only 5 days down. Average fill rate: 18% Average fills per day; 2.83, min 0, max 13 Still on small size.
It varies per stock based off of my plan, but total round trip shares for the month was about 300,000 i.e. [150k BOT] + [150k SOLD] = 300k . Thanks for the question, ~g
Great start to the month! Best opening in a while for this strategy... 11 fills, all short, all winners Average 16.7 cents per fill, +1288
Still could not make my spreadsheet to work properly this morning. Testing my nerves. 1 manual fill at last minute, short winner +0.24
Agree, best day for a while...seemed like expiration with a lot of fills & all winners 4 fills short all winners GE being the best, also got PFE T & TWX average +8 cent
I got nice trades in PFE and T, but I didn't adjust GE for the premarket range (on purpose just to be a stickler). So I was filled long at 28.60 and got hammered for what should've been a nice short trade for +.20. But, why I am just testing this with small size. Slow and steady. PFE and T were nice tho.