Snuskpelle's (kind of) Intraday Adventures 2019

Discussion in 'Journals' started by Snuskpelle, Jan 5, 2019.

  1. Snuskpelle

    Snuskpelle

    Buy India 50 x 4 @ 12143 stop 11955
    Buy India 50 x 8 @ 12145 stop 12068

    Some dip buying.
     
    #1051     Dec 26, 2019
  2. Snuskpelle

    Snuskpelle

    Close India 50 +289. It's quite clear I bet on the wrong horse for today, and I don't intend to hold over weekend. Will start the algo dumb beta harvesting after the New year anyway.
     
    #1052     Dec 26, 2019
  3. Snuskpelle

    Snuskpelle

    I fixed a bug in profit calculation (trades over multiple accounts got interleaved sequentially rather than chronologically) resulting in much more spikes than in reality, and financing charges weren't included resulting in about 10% more profit than in reality. Also I implemented normalized return and draw down metrics taking into account money deposited/withdrawn during the year.

    So here are some initial 2019 final stats not including the currently open trades:
    Normalized return (in USD): 37.8%
    Normalized max DD (in USD): -15.0%
    Real return in SEK before tax: 106kkr


    Normalized return was higher than I expected, but I've just been estimating casually prior. Attached the normalized return chart.

    A key chart I've not yet implemented is an adjustment of return to value of SEK, but I should be finishing that some time coming week(s). USDSEK has dropped more than 6% from peak and this matters a lot in reality. Also want to add Sharpe and beta as previously mentioned but those will take more work.
     
    #1053     Dec 28, 2019