Rol's Trading Journal

I have thought of and tried before what you suggest of removing stocks that are losers, but in live trading it did not appear to help any. I am not able to take every trade anyway a stock triggers, due to BP limitations. I would have to take every trade to be able to benefit from any smooth uptrend. My strategy is portfolio based so some of the logic does not apply as if you were using a strategy applied to a futures contract. I don’t really ask why my strategy works at a particular time on a particular stock, and not another stock and another time. It just appears to me in live trading that given enough BP this is a strategy that works for me. I would say only about 10% of the equity curves could be called smooth. Most are not. I mentioned earlier in my journal that individual curves are often jagged. When would you determine that a curve is smooth enough to accept while going through a few thousands symbols? It is only the portfolio equity curve that becomes smooth over a long enough time period, and even it has occasional large DD. Newer stocks may not have much backtesting data to generate a meaningful curve. Would I eliminate those too? Sure I could optimize for an individual stock to produce a nice smooth equity curve, but it would be subject to curve fitting. I have tried to optimize for all stocks with a “best fit”. Given enough time, maybe decades, I think all stocks would become net profitable with my strategy. I just don’t have the luxury of waiting that long. The trick to interpreting backtesting data comes when applying it to the real world. Why don’t you post 6 random stocks you would like to see equity curves on, and later I will show them with my current settings? Maybe it will give you an idea of how difficult it might be to do what you suggest.

 

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Rol, some pics for you. One of them is sideway. The other is uptrend and one with period of no trades due to min vol or min price not satisfy. There are other pics with downtrend. Do you have pic of the first one the one with period of no trades? You mentioned you have min vol and min price on your rules for historical testing. You include those sideway curve on layering? You try filtering the sideway curve and the result of live trading didn't out do without filtering? Would you provide some stat?

 

Tradestation does not provide portfolio testing right now, so I don't have stats. Amibroker backtesting is not entirely realistic because it does not use intraday data. I just don't evaluate the individual stock equity curves the way you do. I follow over 1500 symbols, so to micromanage each stock equity curve does not make sense to me. Each separate stock generally does not include enough data points for me to evaluate anyway (usually < 100). I find that only 10% of the equity curves look "ideal". Should I exlude the other 90% and then swing for the fences when one of my favorite picks generates a rare signal? I once tried only including stocks with % profitable > 70%, and profit factor > 2.5. I lost money. The market was not favorable for my strategy at the time. My strategy is simply based upon a concept of buying weakness and selling strength over the short term. I think you are making it more difficult than it is. A sideway curve may not always remain a sideway curve. A downward curve may not always remain a downward curve. An upward curve may not always remain an upward curve. Everything is dynamic and changing.

 

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Initial Capital (11/1/2011)	$81,531 
Total Net Profit	$714.89 
(Per Share)	$0.03 
Gross Profit	$3,818.05 
Gross Loss	($3,103.16)
Profit Factor	1.23
Total Number of Trades	139
Percent Profitable	39.57%
Winning Trades	55
Losing Trades	84
Avg. Trade Net Profit	$5.14 
Avg. Winning Trade	$69.42 
Avg. Losing Trade	($36.94)
Ratio Avg. Win:Avg. Loss	1.88
Expectancy	0.14
Largest Winning Trade	$1,311.66 
Largest Losing Trade	($386.32)
Max. Consecutive Winning Trades	10
Max. Consecutive Losing Trades	34
Total Shares/Contracts Held	21286
Total Commission	$359.66 
Return on Initial Capital	0.88%
Annual Rate of Return	79.72%
Buy & Hold Return	-0.12%
Trading Period	4 Dys
Max. Equity Run-up(Daily)	$1,859.69 
Date of Max. Equity Run-up	11/3/2011 15:00
Max. Drawdown(Daily)	
Value	($669.01)
Date	11/2/2011 15:00
as % of Initial Capital	0.82%
Max. Trade Drawdown	($654.00)
	
Net Worth	$83,017
Wkly Performance	0.29%
Dollar Gain/Loss	$192
S&P Wkly Performance	-2.32%
YTD Performance	38.28%
S&P YTD Performance	-0.10%
YTD Correlation to S&P	0.62

Real-time Unrealized P/L	($780.96)
Real-time Realized P/L (Today)	$22.58
Current exposure 61%
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I interfered with my system this week in sporadic moments, which shows in the non-uniform curve. I would allow established positions to develop well and good, but then on a few I saw breaking out, I added a few hundred shares, only to see them reverse and stop me out, erasing what gains I had. A couple others I saw breaking down, so I reversed my position and added short, then being whipsawed, and stopped out. I lost $600 on Wednesday trying to short RIMM at the lows of the day, of all stocks! Luckily, a 700 share position in SPY that I held overnight Wednesday netted me $1500 on Thursday.

I think what occurs is when I have some discretionary victories, I then begin getting in a bad habit of losing discipline with my trading, and start overtrading. Knowing this weakness is why I have not been too willing to hedge my longs with discretionary short plays. I start getting reckless with my trading. It is as if I need to either fully automate or not trade at all. Something I have done before is to keep a running tally of how many days I can go without any discretionary trading. If enough trading days pass without interfering, say 10 or so, I begin to lose the urge to meddle. I think I need to come up with an automated hedging solution. Maybe a rule that says that if my DD exceeds 8% and exposure exceeds a certain percentage, then begin buying a short ETF.

 

Rol, trying to search your post on min volume and price filter you use for the filtering out the stks. Whats your min volume and min and lax price do you use for live trading? Typically you have how many stks for live trading satisfying the min vol and price filter? And you mention you have a equal dollar for each stk. You have code autoing the calculation of the size number for order on ts code or the macro for auto placing order? Did not use ts

 

I am down 2.7K on Diamond Foods, DMND. There are several class action lawsuits regarding financial reporting. I was down 1.5K by the time the lawsuits made the news. I forgot my rule of just exiting when there are new class action lawsuits on a company. I can't generate an equity curve right now because TS hangs because I added 100sh afterhours yesterday. I still have $400 in net profits for the month, and am at new equity highs due to contributions. There are going to be a few bombs like this a year, so it reminds me to keep my position sizes small. I noticed several stocks gapping down double digits recently, so I guess I was bound to hit a landmine. My current plan is to keep DMND for the time being, but not try to add until the stock gets to 30. Right now, it is at 35.74. The CEO was on Cramer in September when the stock was in the 90s, saying how great things were and that the acquisition of Pringles would happen in December.

Real-time Account Net Worth $84,115.98
Real-time Unrealized P/L ($3,303.23)

 

Thread dead? Too bad, it was an interesting read.