Risk Analysis - Critique

I do not expect you to respond to # 2 and #3 in public but it would help to know:

1. Is this real trading?
2. Monthly cash P/L as a percent of your account size?
3. What is the size of the account?
4. Do you use excess leverage or stick to SPAN?
5. What percentage of SPAN do you use as a max?
6. Day trading or overnight position trading?

Bob

 

sharpe ratio does not work correctly for intraday trading. From what I understand he makes also intraday trades, so throw away that sharpe ratio.

 

The IB report you show is only using two weeks of data. Even though you say that you are trading for almost a year. The calculated values are not very reliable for such a short (2 weeks) time period.

 

Not sure where you are getting 14 days from, this data is derived from June 1 2017 to June 1 2018, so I guess 12 months not 11.

The Peak to Valley metric, I don't know what is, and I think that is where you are concluding 14 days. This is a 12 month report.

I'm trying to figure out what that is. Perhaps that is my largest Peak to Valley, and I was able to recover and get back to the Peak from the absolute point of the Valley within 3 days. Handle is my conclusion correct?





I highlight in this image below, this chart is from the same report as the Risk Analysis, definitely 6/1/17 to 6/1/18, P and V are Peak and Valley, I think that is what the Risk Analysis is referring too, then I had a 3 day jump where I made a new equity high as I do most months make new equity highs.:



Blue is the account, Green is the S and P.

Another thing I wanted to point out. I traded 1/2 size between 6/17 and 12/17. This was the "learning to execute stage" where I was making my mistakes and learning the mechanics of the rule based system. I think the 12/17 to Now period, is the likely performance over the next 6 months. This was the point where I increased size and started to make less mistakes executing the rule based system.


Morse,
For your questions:

For every 100,000 USD in the account, I trade the following amount of contracts (please note I don't want to post how much money, but this gives you an idea on leverage, which I think is kind of conservative where I risk 1.8% per trade and my stops are fairly wide):
8 ZN
4 ES
8 6a
8 6b
4 6J
4 6e
2 GC
2 CL
2 NG
4 PL
2 XBTC - Just started trading Bitcoin, I don't like the liquidity of it but trade it fairly small (it trades very technically and I find it easy to trade, could not help myself)

I rarely have more than 3 positions on at a time. Most of the time it is 0 to 2 positions. I do on average 30 Round Trips per month average hold probably about 5 hours. I hold overnight, not over the weekend. I execute entrances/exits 24 hours per day from Sunday Night through Friday Morning where I typically don't enter knew positions past 6am on Fridays.

YES, this is real trading. I would not waist peoples time on a paper trading account hahaha I pay commissions

I greatly appreciate the constructive feedback from everyone, this is awesome, thank you

 

Keep doing what you're doing. Too short a record for now.
If you can keep the same numbers for a couple of business cycles
it would be market wizard caliber.

 

Yes, my mistake "peak to valley" is from highest point in equity curve to valley being lowest point?

I would never go with max of risk based on risk of each lot to beyond 1% as far as how many contracts to take, you could go with standard 2%. And I keep it as a way to not get ruined, say exchanges closed again for a week and you long Indexes and short metals and financials, in rabbit hole $3000 each on open, so I made this an indicator of ruin. And as far as amount to risk(margin) on total account 40% in futures and 80% in stocks. Perhaps am more conservative, but blew out two accounts by being too aggressive.

Good luck.

 

Thanks for the compliment, I appreciate it. One day at a time.

Handle I'm confused, are you saying I am potentially too aggressive? I risk 1.8% per trade. I'm probably only using 25% of provided margin, and that is when I have 3 positions on at once which is rare.

In my example with 100k account size, I have (2) ES on, what is 10k in Margin? I thought I was being a bit under leveraged. The 1.8% is used based on the fact I like wide stops.

Curious if you could elaborate a little more when you have a moment.

 

Say you have 100k, 2% is $2,000. You mentioned you had wide stops, so whatever the amount of the stops divided into the $2,000 is number of contracts. Margin is different as you tally overnight margins not to exceed $40k altogether in futures, stocks 80% and if you hedge, you have the extra 20% for that. We all different on the percentages, if you starting out you can push the averages a bit but careful too much as one major hiccup can wipe you out with limit moves.

Hope the 11 months will continue for you.

 

Your drawdown is quite low which I think is good

 

Risk Management is critical, I focus on that first.