Snuskpelle's (kind of) Intraday Adventures 2019

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

  1. Snuskpelle

    Snuskpelle

    Uh yeah stop nudged now, -106. Gonna leave it at that as exiting at market close w/ increased vol seems kind of dumb.

    Down 1500 since peak today in total from algos. Obviously going to watch start of next week closely. As long as I'm betting tax free gains from this year it's fine when I'm sticking to strategy, I'm acutely aware we're approaching a regime shift though and I'm never going to jump down under water due to it. On these overnight fairly dumb algos I'm basically trying to do what worked great 2015-2018 sooo...

    Side note, up the equivalent of $400 today from USD strengthening over local currency. -.-
     
    Last edited: Jul 19, 2019
    #621     Jul 19, 2019
  2. Snuskpelle

    Snuskpelle

    Some more analysis of my process Friday:
    - I was expecting a retracement of up to 900 USD from peak. I was expecting a not too bad day given positive mood from MSFT report.
    - I was monitoring account NAV throughout day. Looked fine and as expected until market open.
    - Checking back maybe one hour after open, I was already 500 down from peak IIRC.
    - Checking at before 6pm local time, I was down 900 from peak. This is where I would have added if I didn't prioritize my GFs stuff...
    - Price from there went up to 700 from peak (which on the position was 300 unrealized). Because I am in the blind while doing this, this calmed me down.
    - Checking back one hour before close it had started to look quite bad at 1200 from peak. Made a counter trend bet, which I think was fine on its own.
    - As it turned out, market continued dropping in afterhours trading. So now down 2000 due to this algo from peak.

    The reason I am shell shocked is not because of algo peforming worse than expected (it isn't, aside from warm up issue). Rather, it's from doubling account and then using up 3/7 of the YTD realized profit in a day. Again, with the kind of leverage I'm doing, 2.5x on NQ, I need to tolerate this. It can get way worse in a day than this, obviously. The principle of being able to sleep at night is a good one (I feel good now, but I definitely wasn't happy earlier).

    Currently, shutting down algo requires logging into an external site and I can't do it from phone. This is a risk I am aware of. The trouble is, shutting down algo blind is basically pointless since I don't have any context. And why be so dependent on discretionary actions anyway... that means I have no edge.

    The bigger picture:
    - With this kind of leverage, timing is crucial. I am late into the race and betting offensively. I'm doing something comparable on a Swedish margin acc where I am buying equities after wide market dips and then gradually selling them off (because I don't have time to immediately buy more as I spend most attention on other accs), but thus are avoiding these huge drawdowns.
    - My main motivation for (until end of July) increasing prices is institutions releveraging into US indices in a feedback loop. Higher volatility throws a spanner in the wheel here and risks causing a feedback loop in other direction until Fed intervenes.

    Actionables:
    - Monday strategy will be to set an upper limit on how bad this is allowed to get. It's the classic circumstance where it's much easier to stomach in backtest than in real life. 10% drawdown is reasonable for what I'm doing in normal cases and 20% in bad cases; this means I should shut up until being -$4500 (coincidentally where I'm starting to go red for year, do recall completely change of strategy in June and subsequent deposits in July, so this is less of a deal than it sounds, but as noted earlier it feels terrible psychologically).
    - Hurry up fixing the warmup issue previously described in thread as currently it's clear that even if there was high volatility in more than a few days before starting algo, it's not in warmup window. That's why I am at max leverage now in fact (also because I'm greedy and letting this happen, and the algo logic which is supposed to keep my greed in check isn't helping when not warmed up).
    - RESEARCH: Changing the leverage to lock in profits might is something I should look into. The trouble is I have experimented with this before and it sounds like an easier thing to do than it is. I don't think it will work, but at least check.
    - RESARCH: It would be interesting to investigate market wide outperformance/underperformance based on high profile large cap companies post earnings report afterhours trading after a function of time. Is it ever reasonable to expect positive MSFT report to give any edge that much later? I bet someone already did this though, so best to dig for papers on e.g. Quantocracy.
     
    Last edited: Jul 19, 2019
    #622     Jul 19, 2019
  3. Snuskpelle

    Snuskpelle

    Algo was nice enough to reduce leverage by 43% on midnight open now, I bet NQ will bounce back in short order. Illustrates importance of properly warming up algorithms as this kind of volatility was already present past few weeks and algo would have taken smaller pos if been kept running. Anyway, will work on plugging the hole this week. $650 realized loss for now with another $850-900 pending, the fact it's adapted to vol now though means it's less urgent to manually intervene. I want to see how Monday-Tuesday develop.
     
    Last edited: Jul 21, 2019
    #623     Jul 21, 2019
  4. Snuskpelle

    Snuskpelle

    w/e it decided to re-lever almost entirely an hour after, effectively losing $100 in progress vs doing nothing. On the other hand, it has been a good deal thus far.
     
    #624     Jul 22, 2019
  5. Snuskpelle

    Snuskpelle

    Good news, NQ almost back to original algo start entry. "Bad news" (given outcome), algo decided to leverage down again during day and miss half of race. About $1100-1200 under peak still. Will turn it off latest before FOMC decision next week as I want to run my intraday algo instead.

    Edit: Obviously I've calmed down vs weekend. That doesn't mean I shouldn't address my list of actionables. However, I should definitely have considered manually placing a trade with very tight SL Monday night (there was really nothing stopping me aside from lack of process - the thought didn't cross my mind).
     
    Last edited: Jul 22, 2019
    #625     Jul 22, 2019
  6. Snuskpelle

    Snuskpelle

    Found a way to generate combined PL curve YTD of closed trades from one of CFD provider apps.

    Notice the fast peak and decline in early May that prompted me to push into finalizing algos...

    Also note that this kind of profit corresponds to about 25% YTD on original amount, I've now basically doubled that though recent weeks through deposits as mentioned. Not very impressive risk adjusted return. And if I could edit opening post to hide the aim I would. :D
     
    Last edited: Jul 22, 2019
    #626     Jul 22, 2019
  7. Snuskpelle

    Snuskpelle

    Shut down algos a few minutes ago. Not too happy about general market performance since entry last week and I am growing cautious. Probably a buy signal, lol. However, at this point I will prefer to manually start intraday trend algo instead with the ultimate trading opportunity being FOMC next week.
     
    #627     Jul 24, 2019
  8. Snuskpelle

    Snuskpelle

    Added crude and gold to intraday list as these have been comparatively eventful lately and I might as well try them with the intraday algo.
     
    #628     Jul 24, 2019
  9. Snuskpelle

    Snuskpelle

    Long BCOUSD, let's see how algo does. Edit: Nah manual close -100, should scale down size since I'm a beginner here. Edit 2: Back in with 1/3 position of previous.

    Edit 3: Not going anywhere. Leaving it on until US session end though. -70 taking a shower. Algo placed stop at -120. Aaaand closed -80, algo received data point from provider earlier than previous datapoint point, causing an exception... wtf. Case handled now.
     
    Last edited: Jul 24, 2019
    #629     Jul 24, 2019
  10. Snuskpelle

    Snuskpelle

    End of intraday trading today, actually -167 due to me rounding above. Going to do better next time of course. ;) Fixed a bug so I am happy. Although the quality of realtime data stream is disconcerting.

    Strategy to next week: going to try to jump on any trains first three hours of US session or first hour HK to warm up prior to FOMC w/ algo. If they don't materialize, then keep losses small. In particular I'm curious of what NQ does from here as it's been bouncing a lot off ceiling, which is why I don't feel like being long beta anymore. HOWEVER I am probably over-adjusting based on recent events as is my discretionary tendency, but can compensate for that if I manually get in once it gets above this.
     
    Last edited: Jul 24, 2019
    #630     Jul 24, 2019