Systematic FX Trading Journal

Discussion in 'Journals' started by mahras2, Aug 17, 2005.

  1. mahras2

    mahras2

    Just calculated the daily sharpe ratio after starting the system:

    Standard Deviation: 5.44
    Mean Return: 1.2
    Risk Free Rate: 0.4447 (3 month Tbill yields: 3.53 so daily is 1/63)

    Daily Sharpe: 0.14
    Annualized Sharpe: 2.21

    Pretty decent numbers. However, tomorrow this may decrease (drawdown still continuing)
     
    #81     Oct 13, 2005
  2. mahras2

    mahras2

    Total P/L FX: +$5096.69
    Total Return FX: +92.67%


    This week was pretty intense. My first test in dealing with the drawdown with this new method so naturally I had a setback that put me back to earth and stop expecting gravity defying results. Pretty happy with my psychological response. Interestingly if I had not added the last two pairs my return would be 230 dollars or so higher than it is now. Still I expect them to begin making money soon enough. Profit for the week was +$287.29. Pretty bad but still positive after some very sharp drawdowns.

    So as of now daily sharpe: 0.24 and annualized sharpe: 3.86. Lets see if we can keep this up. From now my goal is to achieve a sharpe of 1.5 at least.

    Total P/L Equities: +$1326.87

    MUSAW making a nice move this week. We should be closing this trade soon enough.

    Good luck next week fellas.
     
    #82     Oct 14, 2005
  3. mahras2

    mahras2

    Some performance data for the model:

    Average Winner: 26 pips
    Average Loser: 15 pips
    Win Ratio: 43.2%
    Expected trade: 2.712

    $25.04 profit per 100000 currency units traded

    These numbers were severely hurt by this weeks results. Typically the average loser and winner is around 20-30 pips while the win rate is at 60%-65%. Interestingly, the model coped with the drawdown period by cutting down its losing trades very very quickly while keeping its winner at the typical level. This is something I really had not expected would happen.

    It will be interesting to see how the statistics tally up as the trading operations go on.
     
    #83     Oct 14, 2005
  4. mahras2

    mahras2

    Total P/L: +$5646.50
    Total Return FX: +102.66%

    Well nice way to start the weekend. However, I am a little angry at myself. I closed two trades manually short usdchf and long usdjpy before the systems closed them. Currently these two trades would be up some 400 dollars more. I certainly learnt my lesson about not second guessing the system. One of the primary things I was concerned about was to retain this significant return level. But it really angers me that I succumed to my psychological whims. Definitely going to work so it never happens again.
     
    #84     Oct 16, 2005
  5. mahras2

    mahras2

    Total P/L FX: +$6102.21
    Total Return FX: +110.95%


    Standard Dev. (Daily Return): 4.9
    Mean Return (Daily): 1.95
    Risk Free Rate (Daily): 0.4447

    Daily Sharpe: 0.31
    Annualized Sharpe: 4.87

    Overall the systems have performed very well this week. There was a large drawdown after reaching the two bagger mark however in the past two days back to back 7% return days put the account safely at new highs. What I am actually impressed of is that the system is providing great returns and yet maintaining its annualized sharpe ratio above the 3.0 mark.

    Will post a screenshot of the account screen later tonight.
     
    #85     Oct 19, 2005
  6. mahras2

    mahras2

    Last post for me on Elitetrader. It seems that some people can't fathom the idea that someone as young as I am can make cash while they are losers (as with the rest of the majority). This seems to strike a nerve with them.

    So good luck to the few. Good riddance to the rest.
     
    #86     Oct 20, 2005