SpreadProfessor Newbie Track Record Metrics

Discussion in 'Educational Resources' started by bone, Jan 21, 2011.

  1. bone

    bone ET Sponsor

    Fresh Client Win to Loss Ratio Metrics on a 1:1 basis; average winner: $233, average loser: $172, including retail futures commissions of $4.50 per round turn.

    MJ: January 18, 19, and 20: 11 Winners, 2 Losers
    background: an experienced options trader

    CA: January 18, 19, and 20: 4 Winners, 2 Losers
    background: scalped ES for about a year

    MH: January 3 - January 19: 37 Winners, 27 Losers
    background: trades physical electricity on the daily Inc/Dec markets (PJM)

    AF: November 11 - January 20: 65 Winners, 39 Losers
    background: scalped ETFs and stocks with a retail account on and off for three years

    **Note: these are futures positions with a SPAN intra or intercommodity spread margin credit. For example, an outright futures position in the Nymex CL crude oil contract requires an initial performance bond margin of $5,063. A Nymex CL crude oil calendar spread for consecutive months 1-2, however, requires an initial performance margin of $675 for spec retail accounts and $500 for member accounts. An example would be short 1 March CL future and long 1 April CL future.

    All of the positions we trade as spreads are assigned an inter or intra-commodity SPAN performance margin by the clearing exchange that is typically only about 15% to 35% of the margin required by an outright flat price futures position. Point being: you can trade futures spread positions very cheaply from a capital allocation standpoint.

    In terms of capital allocation efficiency and consistent net returns, it is an exceptional strategy.
     
  2. bone

    bone ET Sponsor

    Note:

    All newbies paper trade against me with trades reported and tracked on an intraday basis. When a client can consistently show a 55-68% Win to Loss ratio on a 1:1 basis, then I clear them to trade in the live market.

    These are SIM/paper-trading metrics as reported to me and tracked by me, and are the first trades being taken by my clients after a series of personal training consultations on a one-on-one basis. For more volatile spreads like currency pairs, metal pairs, and crack spreads, the lifespan of the trade is typically measured in a few hours. Most of the positions, however, have a lifespan typical of a swing trade: a few to several days. An example of a swing spread trade might be a Eurodollar Dec 11- Dec 12, or a Corn July 11- November 11 spread.

    As clients show more experience with system, their metrics generally improve.
     
  3. Instead of trying to report paper trades of so-called clients, why not start your own journal with live calls ?:eek:
     
  4. Or just trade yourself and others monies and be quiet, post when you have somthing to add other than advertisment


    :eek: :eek: :eek:
     
  5. Lucias

    Lucias

    Spread Professor: What type of sharpe ratios do your strategies have over the most recent 3 years? What about CALMAR, most recent 3 years? Minimum capital required to make 50k living? How many years going back do they work?

    These would be very relevant facts.
     
  6. Spreading is for pussies. :]
     
  7. rosy2

    rosy2

    is this intraday spreading and can it be automated.
     
  8. bone

    bone ET Sponsor

    Some feedback from one of my clients' first live trading days, a serious prospect could contact him independently as part of the due diligence process. Complete email text, and I quote:

    "
    Anyway, I finally traded today for the first time. Had a great day. 6 trades, 5 winners. +$3,575 for the day. 5 trades in the gasoil crack spread, and one in gold/silver.

    By the way, I think we were questioning either the minimum trade increment or the tic size or the on the gasoil crack (exchange supported) before? Turns out it is 4 lot minimum with $30 per lot or $120 minimum tic size.

    I will send the broker contact info to you tomorrow (it is on my work computer).

    Feeling like I have something to work with here - much thanks to you!!
    Mike "

    end quote, complete email text
     
  9. bone

    bone ET Sponsor

    Email received today from a client who recently went live, and I quote:

    "Nice to see and appreciate you sending along. I didn’t send but I had 3 trades last week that netted 1,600. I only traded one day though. My absolute monster to work through is time – getting to a consistent routine, reviewing markets to identify entries and then being able to handle entry intraday. It’s that crazy simple though just a bear to work through. I’m really thinking about ditching the job ~August and trading fulltime to alleviate this issue. "

    Closed quote.
     
  10. bone

    bone ET Sponsor

    More client feedback from the live markets:

    "By the way - I'm hanging in there - had a great day on monday - +$1800 (I forget how many trades I had). Today and yesterday were slow. Had a couple of losers (small) and just couldn't get a feel for things, so I hung back. ($500) between the two days. "
     
    #10     Mar 9, 2011