Rol's Trading Journal

Discussion in 'Journals' started by Rol, Feb 2, 2011.

  1. Rol

    Rol

    I am not sure what makes you think I am sending large numbers of orders that do not fill. I do not send orders until entry conditions are close to triggering. They are not just sent at the open on all stocks I am scanning for that day. I typically execute on more than 1 in 10 orders sent, if that is IB policy. Although occasionally on large gap down days, it could potentially be less than 10%, I suppose. Using portfolio BP, narrowing down the watch list premarket, or adjusting strategy inputs, I could maintain compliance if necessary. Thanks for the heads up. My goal is still to hit 100K by end of year, supplemented with contributions. Then the migration to IB will begin.
     
    #391     Oct 22, 2011
  2. Rol

    Rol

    Code:
    [color=green][b]
    Initial Capital (10/1/2011)	$71,377 
    Total Net Profit	$8,519.40 
    (Per Share)	$0.15 
    Gross Profit	$17,036.49 
    Gross Loss	($8,517.09)
    Profit Factor	2
    Total Number of Trades	565
    Percent Profitable	62.65%
    Winning Trades	354
    Losing Trades	210
    Avg. Trade Net Profit	$15.08 
    Avg. Winning Trade	$48.13 
    Avg. Losing Trade	($40.56)
    Ratio Avg. Win:Avg. Loss	1.19
    Expectancy	0.37
    Largest Winning Trade	$1,095.58 
    Largest Losing Trade	($348.07)
    Max. Consecutive Winning Trades	23
    Max. Consecutive Losing Trades	27
    Total Shares/Contracts Held	57575
    Total Commission	$1,165.50 
    Return on Initial Capital	11.94%
    Annual Rate of Return	147.09%
    Buy & Hold Return	0.09%
    Trading Period	28 Dys
    Max. Equity Run-up(Daily)	$14,898.96 
    Date of Max. Equity Run-up	10/26/2011 15:00
    Max. Drawdown(Daily)	
    Value	($5,111.86)
    Date	10/3/2011 15:00
    as % of Initial Capital	7.16%
    Max. Trade Drawdown	($5,473.00)
    	
    Net Worth	$82,779
    Wkly Performance	0.87%
    S&P Wkly Performance	3.73%
    YTD Performance	37.78%
    S&P YTD Performance	2.27%
    YTD Correlation to S&P	0.62
    [/b][/color]
    [​IMG]

    I lost 1K yesterday trying to short the run up. I had a bearish stance after the morning gap up, which made me trade against the strong upward bias that continued throughout the day. I am using the E-mini now to shut down my system if it crosses below its 200DMA. I won't try shorting again with any considerable size until this occurs.
     
    #392     Oct 28, 2011
  3. Roi, You mentioned you have 65% of the 8k stks on profit on your testing. Do you have min price and min volume filter rules on your testing or merely entries rules? How do you select your stock to be on live trading from the testing 8k stks? Using percent profit and profit factor to be above some value or manually decide is the equity curve smooth enough for live trading?
     
    #393     Oct 31, 2011
  4. Rol

    Rol

    Hi clarodina,

    FYI my username is Rol, not Roi. Some reasons for filtering out low priced stocks: Commission would be higher at $1 per 100 shares. They tend to be too volatile for my comfort. Sometime low priced stocks are genuinely poor quality stocks to be hoping for any rebound in price, otherwise they would not be low priced. I need a way to reduce the number of symbols returned from nightly scans. Some reasons for filtering out low volume stocks: I need a way to reduce the number of symbols returned from nightly scans. Slippage can be significant with market exits, even around the close. I don’t feel comfortable owning a stock with low liquidity.

    It is always nice to see a stock return a high PF in backtesting, but I don’t limit stocks to only those with a high PF. That would be too easy to exploit (I have tried it). Past equity curves of a stock do not predict future success. Unforeseen events could always strike a company. The edge, I believe, comes from overlaying all of the individual equity curves to produce a “net equity curve,” and trying to determine if that curve is realistic and acceptable.

    I know my strategy works fairly well most of the time, with periods of significant DD. When stocks become highly correlated it can suffer serious DD, but also can bounce back. On the other hand, a trend following strategy may be stopped out a majority of the time for small losses, while catching occasional large profitable moves. I suppose one has to pick their poison.

    There is nothing magical about the stocks I pick. I would estimate that for every 5K account size, you should limit your symbol universe to 100 symbols, up to 2000 symbols.
     
    #394     Oct 31, 2011
  5. gmst

    gmst

    #395     Oct 31, 2011
  6. Rol

    Rol

    Code:
    [color=green][b]
    Initial Capital (1-1-2011)	$47,853 
    Total Net Profit	$17,875.69 
    (Per Share)	$0.06 
    Gross Profit	$97,376.55 
    Gross Loss	($79,500.86)
    Profit Factor	1.22
    Total Number of Trades	2458
    Percent Profitable	61.64%
    Winning Trades	1515
    Losing Trades	940
    Avg. Trade Net Profit	$7.27 
    Avg. Winning Trade	$64.27 
    Avg. Losing Trade	($84.58)
    Ratio Avg. Win:Avg. Loss	0.76
    Expectancy	0.08
    Largest Winning Trade	$1,936.09 
    Largest Losing Trade	($1,446.00)
    Max. Consecutive Winning Trades	29
    Max. Consecutive Losing Trades	38
    Total Shares/Contracts Held	284957
    Total Commission	$5,874.41 
    Return on Initial Capital	37.36%
    Annual Rate of Return	37.89%
    Buy & Hold Return	-2.54%
    Return Retracement Ratio	1.53
    Trading Period	10 Mths, 23 Hrs, 59 Mins
    Max. Equity Run-up(Daily)	$30,922.59 
    Date of Max. Equity Run-up	10/26/2011 15:00
    Max. Drawdown(Daily)	
    Value	($34,775.71)
    Date	8/8/2011 15:00
    as % of Initial Capital	72.67%
    Max. Trade Drawdown	($2,342.00)
    	
    Net Worth	$82,333
    YTD Performance	36.85%
    S&P YTD Performance	-0.20%
    YTD Correlation to S&P	0.62
    [/b][/color]
    [​IMG]

    Excluding the horrendous DD in August, the numbers YTD are not too bad. $.06 per share net is probably not too bad from a high volume trader's perspective.
     
    #396     Nov 1, 2011
  7. benwm

    benwm

    That's a pretty good comeback Rol. Well done.
    I'm sure you've learnt a lot during the process to improve your system.
     
    #397     Nov 1, 2011
  8. Not talking about having min price and vol filter on your live filtering but rather on your testing rules on historical data. Some stks have OHLC having good equity curve on testing but they are not realistic on live trading due to liquidity problem and low price but they have good curve. Do you have min vol rule on your testing?

    You don't choose stks with high pf or equity curve? What do you use? You would choose a stk with side way equity on your testing for live trading?
    Isn't layering the sideway curve reduce the good curve of net equity curve?
     
    #398     Nov 1, 2011
  9. Rol

    Rol

    I use the same price and volume filters on portfolio backtesting as well as live trading. Unrealistic fills is another reason I exclude low price, low volume stocks. It is hard to explain without looking at many individual equity curves. Over many years, some curves are in smooth uptrends, some are in sideways trends, but may then "breakout" to the upside, and some are in downtrends. You see every shaped curve imaginable. In the end, however, there are more winners than losers. I could remove the net losers, but as trades occur the equity curves are changing, and stocks may move from the net winner column to net loser column, and vice versa. I don't know how a stock will perform when I buy it. This unknowingness of which stocks will perform and which ones will not can be an asset, I believe, and allow me to work "under the radar." Many are looking for a sure thing. I am only looking for ballpark results and for what is good enough for me. You could try removing the worst performers if you think it helps.
     
    #399     Nov 1, 2011
  10. Rol, have you consider the smooth curves are due to random factors on testing individual stk? you mention about as trades occur the equity curves are changing, and stocks may move from the net winner column to net loser column. Isn't this suggesting that the rules do not have an edge. If the rules have an edge on the particular individual stk, smooth curve should continue at least not much less compare to sideway curve from another indivudual stk. And layering of many different smooth curve should be better than layering of many smooth curve and not so smooth curve on live trading. This bring to the issue of should the sideway or downtrend curves be eliminated.
     
    #400     Nov 2, 2011