Not doing much tonight so I have time to post another chart. I like to look at these monthly profit bar charts because it gives me an idea of what I might be able to pull from the markets on average each month. The market selloff that occurred between 2/22 - 3/16 did not result in a negative month. My goal is to not have any losing months. As my equity grows, I expect growth in the monthly net profits to follow.
Here are the stocks I will be watching Monday. Being 100% in cash, I have set my strategy to take potentially 100 share positions in all of them. For this exercise, I will post the opening trades that occurred as well as the exits when they occur for all of the stocks in this watch list. I have noticed in the past that when country ETF's appear in my watch list, since they rarely do, high expectancy turnarounds are imminent.
then it would be a martingale "like" strategy which Rol pointed out his is NOT. Not sure which point you find confusing but for me it seemed clear that his exit rules are anything but waiting for losing positions to get back into neutral/positive territory or adjusting size as a function of a position's unrealized pnl. I agree mark to market is always the best representation and he could improve on this re his reporting but I think you are a little off with your points made so far.
Code: [color=green][size=2][b] Total Net Profit $4,229.55 (Per Share) $0.59 Gross Profit $5,219.73 Gross Loss ($990.19) Profit Factor 5.27 Total Number of Trades 48 Percent Profitable 45.83% Winning Trades 22 Losing Trades 26 Avg. Trade Net Profit $88.12 Avg. Winning Trade $237.26 Avg. Losing Trade ($38.08) Ratio Avg. Win:Avg. Loss 6.23 Expectancy 2.31 Largest Winning Trade $1,936.09 Largest Losing Trade ($169.85) Max. Consecutive Winning Trades 7 Max. Consecutive Losing Trades 9 Total Shares/Contracts Held 7200 Total Commission $132.80 Return on Initial Capital 7.84% Annual Rate of Return 245.98% Buy & Hold Return 1.35% Return Retracement Ratio 7.99 Trading Period 11 Dys, 5 Hrs, 1 Min Max. Equity Run-up(Daily) $4,229.55 Date of Max. Equity Run-up 5/6/2011 15:00 Max. Drawdown(Daily) Value ($948.54) Date 5/3/2011 15:00 as % of Initial Capital 1.76% Max. Trade Drawdown ($427.71) [/color][/size][/b] Starting next Friday, I will present results in a weekly format like this rather than YTD. I will still post YTD charts at the end of each month. I think the information will be more relevant as I can easily reflect back on the week. I will base the returns on the initial capital from the close of the previous week. Given the shorter period, I do not expect the chart for the week to be a steady climb. In addition, I am making them MTM to reflect any open trades as closed for a truer reflection of performance. I also think it will prevent me from discretionary trading because it will be readily apparent in the weekly chart of any discretionary activities (i.e. "Backing up the truck"). It may also give me more to talk about after analyzing the chart for the week.
hey Rol. nice thread; i have read only cursorily but its good to read somewhat real looking stuff on ET. A few questions (not sure if you have already answered;pointer would be fine); as i just want to do compare against a few strategies i trade just for fun. btw i use AB too; havent automated yet. Ive looked into it a time or two but its a bit too daunting; the automation part. questions for you - 1. Can you post your complete basket? 2. Rules as per how much do you risk per trade; is it fixed percent or fixed dollar amount. if so how much? thanks! -gariki
looks your system is similar to this auto system: http://www.smd-trading.de/smd_pivot_breakout_trader_performance_details.html
I struggled with AB code too. I had to look at a lot of example code I could find and cobble together something that resembled what I was trying to achieve. I have read that it is somewhat crude for sending live orders, especially on the scale that I do. I use Tradestation for data and sending live orders from my strategy. I like the "all in one" approach to avoid issues between data feed, api, and broker execution, plus near zero fees. I used to do a fixed dollar amount, but switched to trading up to 300 shares per position to try to reduce commission. With such low per position exposure, it really becomes necessary to automate to keep up with the number of trades. I have my automation set with confirmation off, and most of the time do not monitor it closely. In fact, I am at work when many trades exit at the market close. It took me a long time to get to this level of trust with my system. Many bad things have happened along the way (make sure your orders don't execute on every tick ). I would not call myself an expert programmer, as that is not my educational background. I have just learned what I need to get by. Here is a basket that I am currently following, but it changes daily. There is nothing special about it other than having some price and volume filters, as well as no margin restrictions with TS. I just looked, and it is a little over 1000 symbols.
300 shares on a 30k account sounds too aggressive; even with a 2x leverage say you have 60k buying power to carry overnight, with say roughly 30$ stock price you will need about 4500$ per stock; which means on average you will not be able to carry about more than 13-16instruments at any given time. Have you checked what your worst case max open positions is? I am guessing with any kind of mean reversion strategy in big dips you will be getting more and more signals to enter the market and if you will have to be limited to just 13-15 signals out of potentially say 300-600, it will be very hard to realize your backtest results going forward. Not condemning; but just trying to understand your parameters; doesnt sound good to me. Ofcourse as you can see above ; lot of rough calculations but i bet if you compute real numbers you wont land too far off. Good luck anyways! -gariki
You got the numbers good regarding average stock price and max number of positions; however, 30k was my starting balance 8 months ago. It is currently 60k after paying Uncle Sam. All your points have been discussed previously in this journal so you will just have to read from start to finish if you want a full explanation.