Rol's Trading Journal

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

  1. heech

    heech

    You have to understand if the equity curve is purely showing "realized results", I'm not at all incredulous as to its shape.

    There's another very hot thread on this site right now, the martingale discussion. If you were to look at the equity curve (both hypothetical and real) for a martingale on a "realized" basis, it would be far more impressive than what you've generated. This is precisely why marked to market numbers are very important.

    In any case... its your show, and as I said, I'm not making any demands. I subscribed to this thread because I thought the results were exciting. But they simply aren't exciting if they're not marked to market.

    EDIT: Thread to Martingale discussion:

    http://www.elitetrader.com/vb/showthread.php?threadid=215965
     
    #61     Feb 25, 2011
  2. DGunz

    DGunz

    Heech,

    You bring out a good point, for the sake of having accurate stats and charts to evaluate a model, 3 days average hold time for not recording unrealized loss/profit wont materially change all stats that he has recorded of the past year.

    I agree that m2m on the stats would be a better gauge, the longer the hold time for unrealized losses the more unrepresentative the equity curve. However if the average loss hold days was 1 day flat.... then I would say that the curve is still highly representive because the losses are shortly recorded.

    Rol, if either presentation doesnt matter to you, then why not try and put out m2m results. It wont change your stats you recorded on a closed basis anyway and it may help you see something you didnt see before.
     
    #62     Feb 25, 2011
  3. Rol

    Rol

    I didn't think mark-to-market was that big of a deal. My strategy is not martingale style. I dont average down to zero, by doubling my bet after getting into a loser. In fact my strat makes no distinction regarding position size whether it is currently a winner or loser. I am diversified across many stocks. The entire market would have to go to zero and stay there forever for my system to crash. If the market does that, then maybe money won't matter anyway. At any rate, from now on I will post marked-to-market equity curves instead of only realized profit loss for those who care. Here is a marked-to-market curve since going live with my system starting 9-15-10.

    TradeStation TradeManager Analysis Settings

    Start Date 9/15/2010
    End Date 2/25/2011

    Portfolio Template Mark to Market

    Initial Capital $30,000.00

    [​IMG]
     
    #63     Feb 25, 2011
  4. heech

    heech

    I'd definitely agree that marked to end of day prices, or even end of week prices would be representative/meaningful, if done over a long enough timeframe. The important thing is that these samples are consistent across the entire portfolio.

    But if these prices are cherry-picked... winning stocks are priced at market prices when they're profitable, losing stocks aren't priced unless they're profitable... then what conclusions could we possibly draw from the fictional graph that results?
     
    #64     Feb 25, 2011
  5. a daily chart would make more sense to look at. for example, when did ~#800 trade drawdown occur? i have no idea, it does not relate to me in any way. if i knew that it happened in december, it would make more interesting for me to think about the market at that time, etc.
     
    #65     Feb 25, 2011
  6. DGunz

    DGunz

    Rol,

    Whats your average hold for a unrealized loss? As long as the amount of days isnt something like 4 months, it is probably likely that the shape of the curve is basically intact.

    Is it easy for you to show m2m, if it is, perhaps you could just leave it that way. Personally I am partial to knowing the m2m rather than closed, but its your journal. :)
     
    #66     Feb 25, 2011
  7. DGunz

    DGunz

    I give him props for NOT cherry picking because he is recording closed trades, it is consistant in that he sticks to that metric. I dont think hes recording only the winners at market and not the lossers. I think the losers are usually the ones that end up being held longer for unrealized losses, theres always a slight unrealized loss somewhere.
     
    #67     Feb 25, 2011
  8. Rol

    Rol

    Total Net Profit $1,695.17
    (Per Share) $0.06
    Gross Profit $7,720.92
    Gross Loss ($6,025.75)
    Profit Factor 1.28
    Total Number of Trades 219
    Percent Profitable 64.38%
    Winning Trades 141
    Losing Trades 78
    Avg. Trade Net Profit $7.74
    Avg. Winning Trade $54.76
    Avg. Losing Trade ($77.25)
    Largest Winning Trade $232.51
    Largest Losing Trade ($369.89)
    Max. Consecutive Winning Trades 26
    Max. Consecutive Losing Trades 15
    Total Shares/Contracts Held 28502
    Total Commission $533.40
    Return on Initial Capital 3.26%
    Annual Rate of Return 41.85%
    Buy & Hold Return -0.61%
    Trading Period 28 Dys
    Percent of Time in the Market 60.66%


    Well it was not an easy week, mostly spent just trying to get back to b/e. I view this as a consolidation period for my equity curve. Profits should take off again eventually. When I look at the curve, I can almost see areas of support and resistance, as if it were a stock trading. Naturally, the 10% intraday DD was pushing my comfort zone, so I have scaled back on the max number of open positions to keep it closer to my goal of 8% max DD. While even 8% may sound like a lot, I might never trade at all if I constantly worry about a black swan event. I just need to be able to hunker down in my foxhole, waiting for the dust to settle, and come out fighting another day. It would not be an account blow up, but rather just pulling back to a previous "support level" on my equity curve. Even so, it is better than buy and hold, IMHO.

    The PF is less than my goal of 2 since starting 1-31-10, but I expect it to average back up longer term. PP is still close to my goal of 66%. Buy and Hold return for the period is negative, so even mark-to-market, my strat is beating buy and hold. I also think I will still meet my goal of not having a negative month.

    [​IMG]
     
    #68     Feb 25, 2011
  9. Rol

    Rol

    DGunz, I already beat you to the idea of displaying mtm before I read your reply:p . It will show better the "sweat" one has to endure, but I think I have already been discussing that from the beginning. Now even more with this journal, you will see the good, the bad, and the ugly. Disclaimer - Read at your own risk :eek:
     
    #69     Feb 25, 2011
  10. Rol

    Rol

    DGunz, as you can see in the MTM chart below average hold time for winners is 1 day, 19 hours, and 15 minutes. For losers it is 4 days, 2 hours, and 12 minutes. As I said on my very first post, my average hold time is 2 days. I admit my style is foreign to most people, and I am hoping I can use that to my advantage.

    [​IMG]
     
    #70     Feb 25, 2011