Taking 320K to 3.5million by Year End 2009

Discussion in 'Journals' started by neke, Jan 11, 2009.

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  1. Actually that buffer you talk about is only not there if you section your performance off on a yearly basis. However, this is arbitrary. I am mentioning this, since this might have a positive effect on your psychology when you leverage in the beginning. The buffer has been there ever since you started your blog 3 years ago. :)
     
    #41     Jan 19, 2009
  2. neke

    neke

    Yes, I rebalance on a yearly basis! So as far as it goes, I am starting on a clean slate.
     
    #42     Jan 19, 2009
  3. Given that you need to compound so frequently, would it not be sensible to 'start on a clean slate' every week?
     
    #43     Jan 19, 2009
  4. neke

    neke

    Nope. One week is too myopic a time-frame to work towards. The fear of losing for the week would cause me not to take any risk, and with that have a flat curve.
     
    #44     Jan 19, 2009
  5. neke

    neke

    Weekly Update for week 2/50 ended 1/24/2009

    Moderately positive week, up 9.6K (3.2%).

    Made it Tues/Wed, lost it Thur, and gained some back on Friday. The market is definitely begging for direction.

    Code:
    
    Opening Balance:               	    	301,530
    Net gain for the week 		          9,626
    ------------------------------------------------
    Net Balance:                   		311,156
    Number of Trades	            	 23
    Number of Profitable Trades    	    	 12
    
    Since Inception of Thread   01/10/2009 - 01/24/2009
    
    Opening Balance:                   	320,064
    Net gain (Less Margin Interest)		 -8,908	(Down 2.8%)
    ------------------------------------------------
    Net Balance				311,156
    
    Number of Trades	           	46
    Number of Profitable Trades        	23
    
    
    Top/Bottom Discretionary Trades for the week
    
    TICKER	ENTRY DATE/TIME		EXIT DATE/TIME		QTY	PURCHASE AMT	SOLD AMT	GAIN/LOSS	TYPE
    
    SPY	2009-01-21-14-32-13	2009-01-21-15-59-20	8000	661960		672000		10016		LONG
    ---------------------------------------------------------------------------
    STT	2009-01-20-11-09-02	2009-01-20-14-37-56	6000	111465		105271		-6208		LONG
    
    								
    


    [​IMG]
     
    #45     Jan 23, 2009
  6. Necessary Weekly Compounding To Reach Goal: 5.17%
     
    #46     Jan 23, 2009
  7. neke

    neke

    Continuing on the development of the sizing formula. The first variable is cratio. The idea is to shrink my position size when there is little or no buffer, and to size up to the optimal as the buffer increases. With that in mind, I have found the formula below good:

    f = (cratio^2)/(1+cratio^2) * g(histf(strategy), recentf(strategy)) --stock
    f = (cratio^2)/(1+cratio^2) * g(histf(strategy), recentf(strategy), daystoexp) --options

    The value of (cratio^2)/(1+cratio^2) is given below for a number of values of cratio:

    Code:
    
    cratio		(cratio^2)/(1+cratio^2)
    0.5		0.20
    1.0		0.50
    2.0		0.80
    10.0		0.99
    
    What this means is that at the beginning, with no buffer (cratio=1), I should take 50% of my optimal size (if all other parameters say so). Should I suffer a drawdown of 50% from the starting balance (for any reason), cratio would become 0.50, and my size will only be 20% of normal optimal size. On the other hand, should the account be up 900% at any point in time (cratio=10), I could practically use up the optimal fraction.

    The above obviously implies that my rate of growth should be smaller at the beginning, but grow more than exponentially as time goes on (provided the edge remains!).
     
    #47     Jan 25, 2009
  8. neke

    neke

    Weekly Update for week 3/50 ended 1/31/2009

    Nice week, up 25K (8%).

    Very good win rate (80%). Lots of trades on SPY as well, with a tendency to exceed my intended size because of averaging up/down: biggest was 8K on Monday, while I lost almost as much on the same SPY earlier. The market see-sawed and ended almost even (open to close). Closed the first position at a loss (8K). Had the good sense to come back immediately in the same direction (LONG) as it appeared I was just shaken out. Glad AMZN came up on Friday, and dished out some gains in stock and options.

    Code:
    
    Opening Balance:               	    	311,156
    Net gain for the week 		         25,279
    ------------------------------------------------
    Net Balance:                   		336,435
    Number of Trades	            	 24
    Number of Profitable Trades    	    	 19
    
    Since Inception of Thread   01/10/2009 - 01/31/2009
    
    Opening Balance:                   	320,064
    Net gain (Less Margin Interest)		 16,371	(Up 5.1%)
    ------------------------------------------------
    Net Balance				336,435
    
    Number of Trades	           	70
    Number of Profitable Trades        	42
    
    
    Top/Bottom Discretionary Trades for the week
    
    TICKER	ENTRY DATE/TIME		EXIT DATE/TIME		QTY	PURCHASE AMT	SOLD AMT	GAIN/LOSS	TYPE
    
    SPY	2009-01-26-14-05-13	2009-01-26-15-33-30	8000	664230		672500		8245		LONG
    ZQNBK	2009-01-30-09-36-00	2009-01-30-09-42-05	10000	49956		56690		6563		AMZN CALL
    ---------------------------------------------
    CAT	2009-01-26-11-54-47	2009-01-26-13-52-15	8000	257800		254495		-3327		LONG
    SPY	2009-01-26-12-25-51	2009-01-26-13-51-46	9000	760689		752943		-7771		LONG
    
    								
    


    [​IMG]
     
    #48     Jan 30, 2009
  9. well done.
     
    #49     Jan 30, 2009
  10. Do you hold any trade overnight or are these all intraday?
     
    #50     Jan 30, 2009
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