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


    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


    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


    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