4 entries triggered on the opening drop today from my scan performed the night before that had resulted in about 130 names on the watch list. 2 exited at the close and Iâm still holding the other 2. I was tempted to move my stops up, but refrained because they had already moved well in my favor. Anyway, most of the time when I move my stops up, they are filled around midday and then the stock proceeds higher into the close. This happens almost as clockwork where the stock advances early, consolidates around midday, and then after a small dip, advances further to end the day. Not only is it easier for me to deal with losers without getting stopped out when using a manageable position size, but it is also easier to let my profits run without wanting to take profits. I am often tempted to take a larger position size to increase profits, but I am not comfortable with the individual stock drawdown that would entail. I could handle a 20% system DD better than a 20% DD in a large individual position. I feel this is an area automation excels in regarding position management. Actually, I am becoming more comfortable being in cash. As the saying goes, being in cash is still a position. In the past, when I had a large cash balance, I would want to put it to work as soon as possible. This would often result in me getting into trades too early, when a setup had not occurred. The important thing about dip buying is to wait for the trade to come to you, rather than going to it, which is an additional item automation handles efficiently. Here are the two trades that turned out to be day trades today. What I wish to show is the volatility one should wait for before an entry, and not take profits too early in the day even if a nice unrealized profit exists. The same dip occurred in the Spoozs today when it nearly hit 1300. It may have caught some shorts on the wrong side, trying to predict the day's outcome. Real-time Account Net Worth $60,771.55 Beginning Day Account Net Worth $60,453.07 Real-time Overnight Buying Power $110,632.10 Real-time Account Balance $49,965.55 Real-time Cost of Positions $10,714.00 Real-time Unrealized P/L $92.00 Real-time Realized P/L (Today) $231.48
With the limited market exposure the past few days, the few trades the system made are still mostly profitable. The Hitachi trade worked out well. It just goes to show that you donât have to predict the news that will move a stock. The reason does not really matter. You can fill in the news: â_____ moved stock X today.â I am tempted to put on a monster short position the next couple of days, perhaps in a company with disappointing earnings. I will continue to hide out in the woods, waiting to ambush the market as it marches by. Real-time Account Net Worth $61,137.10 Beginning Day Account Net Worth $60,765.46 Real-time Overnight Buying Power $115,884.20 Real-time Cost of Positions $6,420.00 Real-time Unrealized P/L ($30.00) Real-time Realized P/L (Today) $487.64
Total Net Profit $8,814.10 (Per Share) $0.12 Gross Profit $23,500.77 Gross Loss ($14,686.67) Profit Factor 1.6 Total Number of Trades 687 Percent Profitable 64.19% Winning Trades 441 Losing Trades 246 Avg. Trade Net Profit $12.83 Avg. Winning Trade $53.29 Avg. Losing Trade ($59.70) Ratio Avg. Win:Avg. Loss 0.89 Expectancy 0.21 Largest Winning Trade $429.64 Largest Losing Trade ($478.54) Max. Consecutive Winning Trades 29 Max. Consecutive Losing Trades 25 Total Shares/Contracts Held 74089 Total Commission $1,696.27 Return on Initial Capital 18.42% Annual Rate of Return 67.68% Buy & Hold Return -1.42% Return Retracement Ratio 3.93 Trading Period 2 Mths, 30 Dys, 5 Hrs, 50 Mins Percent of Time in the Market 65.77% Max. Equity Run-up(Daily) $9,750.74 Date of Max. Equity Run-up 3/31/2011 15:00 Max. Drawdown(Daily) Value ($5,177.94) Date 2/23/2011 15:00 as % of Initial Capital 10.82% Max. Trade Drawdown ($1,448.32) Since it is the end of the first quarter, I decided to post ytd results a day early. The strat did not really do much for the first 2 months, and then decided to kick but, in March. I know this is a feature of my strategy. Over time, it tends to outperform the market when the market is rising, and perform less poorly than the market when the market is falling. It is a kind of one two punch. The thing is, I don't know when it will start doing well or stop doing well, so I am reluctant to second guess it. The percent profitable is creeping back to 66%. I would also like to see the Avg. Winning Trade > Avg. Losing Trade. I have started to include an Expectancy calculation in my numbers, based on the following formula: [(WIN: LOSS ratio + 1) x Percent Profitable] - 1 Anything over zero and you are making money. The Maximum Consecutive Losing Trades of 25 was from a bad discretionary series of trades the end of January that ultimately persuaded me to start this journal. I know a lot of this automated trading is probably meaningless to a pure discretionary trader, or a solely breakout trader. I would not recommend RTM trading on a discretionary basis. I feel to avoid a massive drawdown, you must diversify, and let that 66% profitable edge work for you. I am realizing that there are fewer auto traders than I thought. Or else they are on sailboats heading for the Caribbean, while their auto strategy is working at home.
Here is a comparison with the SP500. The next couple of days I will post a daily realized P/L chart for the quarter from my tax accounting software.
This is how portfolio paper trading looks ytd. It is surprising similar to how I actually did. Adding a penny slippage both ways, and $2 round trip commissions really made it more realistic. The 6% maximum drawdown is on a closing bar basis, but I recall being down 10% at one time intraday in February. It is showing a negative return for February; however, my tax accounting software is showing a positive return. I am not sure why that is. It may have taken some bad trades that I managed to miss, since there were many more signals in February than I was able to take positions.
I have not posted an equity curve area yet since going live with my auto strategy system. This is about six months worth. I started with $30,000, but contributed along the way. This has juiced the results a bit, but I will take any advantage I can get . I think removing profits from the system is a mistake; just like early withdrawals from your retirement is not advisable. I view the power of compounding as an edge.
Hey thanks jlancaster, and welcome to ET! I am ambitious. I think visualizing your performance through stats and charts is important. The feedback is helpful and it programs your sub conscious for success.
Daily realized profit/loss for the quarter. There were 12 down days out of approx. 60 trading days or 20% down days. This is in line with historical performance.