The Billion Dollar Club

Ex Players for 26/11/2007 <p><p>CIEN<br>Drtn:&nbsp;Long<br>Entry:&nbsp;45.33<br>Date:&nbsp;13/11/2007<br>Disaster Stop:&nbsp;42.54<br>Qty:&nbsp;440<br>Cost:&nbsp;$19,945.20<br>Exit:&nbsp;42.54<br>Date:&nbsp;19/11/2007<br>Return (pts):&nbsp;-2.79<br>Return (%):&nbsp;-6.15%<br>Return ($):&nbsp;-$1,227.60<p>AIZ<br>Drtn:&nbsp;Long<br>Entry:&nbsp;64.75<br>Date:&nbsp;12/11/2007<br>Disaster Stop:&nbsp;60.99<br>Qty:&nbsp;300<br>Cost:&nbsp;$19,425.00<br>Exit:&nbsp;64.22<br>Date:&nbsp;14/11/2007<br>Return (pts):&nbsp;-0.53<br>Return (%):&nbsp;-0.82%<br>Return ($):&nbsp;-$159.00<p>MLNM<br>Drtn:&nbsp;Long<br>Entry:&nbsp;13.90<br>Date:&nbsp;13/11/2007<br>Disaster Stop:&nbsp;12.67<br>Qty:&nbsp;1400<br>Cost:&nbsp;$19,460.00<br>Exit:&nbsp;14.02<br>Date:&nbsp;14/11/2007<br>Return (pts):&nbsp;0.12<br>Return (%):&nbsp;0.86%<br>Return ($):&nbsp;$168.00<p>JEF<br>Drtn:&nbsp;Short<br>Entry:&nbsp;23.67<br>Date:&nbsp;13/11/2007<br>Disaster Stop:&nbsp;25.39<br>Qty:&nbsp;210<br>Cost:&nbsp;$4,970.70<br>Exit:&nbsp;25.39<br>Date:&nbsp;14/11/2007<br>Return (pts):&nbsp;-1.72<br>Return (%):&nbsp;-7.27%<br>Return ($):&nbsp;-$361.20<p>TKC<br>Drtn:&nbsp;Long<br>Entry:&nbsp;23.93<br>Date:&nbsp;08/11/2007<br>Disaster Stop:&nbsp;22.73<br>Qty:&nbsp;830<br>Cost:&nbsp;$19,861.90<br>Exit:&nbsp;25.46<br>Date:&nbsp;13/11/2007<br>Return (pts):&nbsp;1.53<br>Return (%):&nbsp;6.39%<br>Return ($):&nbsp;$1,269.90<p>CIEN<br>Drtn:&nbsp;Long<br>Entry:&nbsp;47.07<br>Date:&nbsp;05/11/2007<br>Disaster Stop:&nbsp;44.24<br>Qty:&nbsp;350<br>Cost:&nbsp;$16,474.50<br>Exit:&nbsp;44.24<br>Date:&nbsp;09/11/2007<br>Return (pts):&nbsp;-2.83<br>Return (%):&nbsp;-6.01%<br>Return ($):&nbsp;-$990.50<p>MON<br>Drtn:&nbsp;Long<br>Entry:&nbsp;94.38<br>Date:&nbsp;06/11/2007<br>Disaster Stop:&nbsp;89.66<br>Qty:&nbsp;210<br>Cost:&nbsp;$19,820.46<br>Exit:&nbsp;96.73<br>Date:&nbsp;09/11/2007<br>Return (pts):&nbsp;2.35<br>Return (%):&nbsp;2.49%<br>Return ($):&nbsp;$492.84<p>MTG<br>Drtn:&nbsp;Short<br>Entry:&nbsp;19.21<br>Date:&nbsp;08/11/2007<br>Disaster Stop:&nbsp;20.17<br>Qty:&nbsp;550<br>Cost:&nbsp;$10,565.50<br>Exit:&nbsp;20.17<br>Date:&nbsp;09/11/2007<br>Return (pts):&nbsp;-0.96<br>Return (%):&nbsp;-5.00%<br>Return ($):&nbsp;-$528.00<p>MOS<br>Drtn:&nbsp;Long<br>Entry:&nbsp;69.03<br>Date:&nbsp;06/11/2007<br>Disaster Stop:&nbsp;65.58<br>Qty:&nbsp;280<br>Cost:&nbsp;$19,329.46<br>Exit:&nbsp;71.09<br>Date:&nbsp;08/11/2007<br>Return (pts):&nbsp;2.06<br>Return (%):&nbsp;2.98%<br>Return ($):&nbsp;$575.74<p>IBKR<br>Drtn:&nbsp;Long<br>Entry:&nbsp;29.15<br>Date:&nbsp;05/11/2007<br>Disaster Stop:&nbsp;26.23<br>Qty:&nbsp;340<br>Cost:&nbsp;$9,911.00<br>Exit:&nbsp;28.99<br>Date:&nbsp;06/11/2007<br>Return (pts):&nbsp;-0.16<br>Return (%):&nbsp;-0.55%<br>Return ($):&nbsp;-$54.40<p>AG<br>Drtn:&nbsp;Long<br>Entry:&nbsp;59.36<br>Date:&nbsp;14/11/2007<br>Disaster Stop:&nbsp;55.20<br>Qty:&nbsp;330<br>Cost:&nbsp;$19,588.80<br>Exit:&nbsp;60.38<br>Date:&nbsp;23/11/2007<br>Return (pts):&nbsp;1.02<br>Return (%):&nbsp;1.72%<br>Return ($):&nbsp;$336.60<p>

 

Current Bench for 26/11/2007 <p><p>BMC<br>Drtn:&nbsp;Long<br>Entry:&nbsp;33.33<br>Date:&nbsp;13/11/2007<br>Disaster Stop:&nbsp;31.46<p>SOHU<br>Drtn:&nbsp;Long<br>Entry:&nbsp;52.12<br>Date:&nbsp;13/11/2007<br>Disaster Stop:&nbsp;46.88<p>AG<br>Drtn:&nbsp;Long<br>Entry:&nbsp;58.59<br>Date:&nbsp;20/11/2007<br>Disaster Stop:&nbsp;55.19<p>NOK<br>Drtn:&nbsp;Long<br>Entry:&nbsp;38.52<br>Date:&nbsp;23/11/2007<br>Disaster Stop:&nbsp;36.52<p>SYNA<br>Drtn:&nbsp;Long<br>Entry:&nbsp;53.98<br>Date:&nbsp;23/11/2007<br>Disaster Stop:&nbsp;50.12<p>

 

Ex Benchers for 26/11/2007 <p><p>KLBAY<br>Drtn:&nbsp;Long<br>Entry:&nbsp;41.10<br>Date:&nbsp;06/11/2007<br>Disaster Stop:&nbsp;39.04<br>Exit:&nbsp;41.00<br>Date:&nbsp;07/11/2007<br>Return (pts):&nbsp;-0.10<br>Return (%):&nbsp;-0.24%<p>TX<br>Drtn:&nbsp;Long<br>Entry:&nbsp;36.22<br>Date:&nbsp;06/11/2007<br>Disaster Stop:&nbsp;34.40<br>Exit:&nbsp;38.00<br>Date:&nbsp;09/11/2007<br>Return (pts):&nbsp;1.78<br>Return (%):&nbsp;4.91%<p>NTRI<br>Drtn:&nbsp;Short<br>Entry:&nbsp;24.30<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;26.74<br>Exit:&nbsp;23.33<br>Date:&nbsp;16/11/2007<br>Return (pts):&nbsp;0.97<br>Return (%):&nbsp;3.99%<p>OI<br>Drtn:&nbsp;Long<br>Entry:&nbsp;45.24<br>Date:&nbsp;16/11/2007<br>Disaster Stop:&nbsp;42.88<br>Exit:&nbsp;42.88<br>Date:&nbsp;16/11/2007<br>Return (pts):&nbsp;-2.36<br>Return (%):&nbsp;-5.22%<p>ACF<br>Drtn:&nbsp;Short<br>Entry:&nbsp;11.89<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;13.09<br>Exit:&nbsp;10.41<br>Date:&nbsp;19/11/2007<br>Return (pts):&nbsp;1.48<br>Return (%):&nbsp;12.45%<p>LEN<br>Drtn:&nbsp;Short<br>Entry:&nbsp;20.61<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;22.68<br>Exit:&nbsp;17.60<br>Date:&nbsp;19/11/2007<br>Return (pts):&nbsp;3.01<br>Return (%):&nbsp;14.60%<p>RAD<br>Drtn:&nbsp;Short<br>Entry:&nbsp;3.70<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;3.97<br>Exit:&nbsp;3.53<br>Date:&nbsp;19/11/2007<br>Return (pts):&nbsp;0.17<br>Return (%):&nbsp;4.59%<p>CKFR<br>Drtn:&nbsp;Long<br>Entry:&nbsp;47.53<br>Date:&nbsp;13/11/2007<br>Disaster Stop:&nbsp;45.10<br>Exit:&nbsp;47.49<br>Date:&nbsp;20/11/2007<br>Return (pts):&nbsp;-0.04<br>Return (%):&nbsp;-0.08%<p>FWLT<br>Drtn:&nbsp;Long<br>Entry:&nbsp;144.45<br>Date:&nbsp;14/11/2007<br>Disaster Stop:&nbsp;129.98<br>Exit:&nbsp;129.98<br>Date:&nbsp;20/11/2007<br>Return (pts):&nbsp;-14.47<br>Return (%):&nbsp;-10.02%<p>CY<br>Drtn:&nbsp;Long<br>Entry:&nbsp;34.00<br>Date:&nbsp;14/11/2007<br>Disaster Stop:&nbsp;30.59<br>Exit:&nbsp;30.59<br>Date:&nbsp;20/11/2007<br>Return (pts):&nbsp;-3.41<br>Return (%):&nbsp;-10.03%<p>CCRT<br>Drtn:&nbsp;Short<br>Entry:&nbsp;13.29<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;14.63<br>Exit:&nbsp;12.42<br>Date:&nbsp;20/11/2007<br>Return (pts):&nbsp;0.87<br>Return (%):&nbsp;6.55%<p>MS<br>Drtn:&nbsp;Short<br>Entry:&nbsp;54.72<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;59.23<br>Exit:&nbsp;50.36<br>Date:&nbsp;20/11/2007<br>Return (pts):&nbsp;4.36<br>Return (%):&nbsp;7.97%<p>ABK<br>Drtn:&nbsp;Short<br>Entry:&nbsp;29.69<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;32.67<br>Exit:&nbsp;24.90<br>Date:&nbsp;20/11/2007<br>Return (pts):&nbsp;4.79<br>Return (%):&nbsp;16.13%<p>BGC<br>Drtn:&nbsp;Long<br>Entry:&nbsp;72.12<br>Date:&nbsp;14/11/2007<br>Disaster Stop:&nbsp;66.99<br>Exit:&nbsp;66.99<br>Date:&nbsp;21/11/2007<br>Return (pts):&nbsp;-5.13<br>Return (%):&nbsp;-7.11%<p>ZRAN<br>Drtn:&nbsp;Long<br>Entry:&nbsp;23.38<br>Date:&nbsp;14/11/2007<br>Disaster Stop:&nbsp;21.99<br>Exit:&nbsp;21.99<br>Date:&nbsp;21/11/2007<br>Return (pts):&nbsp;-1.39<br>Return (%):&nbsp;-5.95%<p>ODP<br>Drtn:&nbsp;Short<br>Entry:&nbsp;19.27<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;20.51<br>Exit:&nbsp;16.72<br>Date:&nbsp;21/11/2007<br>Return (pts):&nbsp;2.55<br>Return (%):&nbsp;13.23%<p>TGIC<br>Drtn:&nbsp;Short<br>Entry:&nbsp;9.32<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;10.27<br>Exit:&nbsp;9.84<br>Date:&nbsp;23/11/2007<br>Return (pts):&nbsp;-0.52<br>Return (%):&nbsp;-5.58%<p>

 

Current Bench for 26/11/2007 <p><p>
Sorry guys & gals... I forgot to move AG from bench to ex benchers based on today's closing prices.
<br>
BMC<br>Drtn:&nbsp;Long<br>Entry:&nbsp;33.33<br>Date:&nbsp;13/11/2007<br>Disaster Stop:&nbsp;31.46<p>SOHU<br>Drtn:&nbsp;Long<br>Entry:&nbsp;52.12<br>Date:&nbsp;13/11/2007<br>Disaster Stop:&nbsp;46.88<p>NOK<br>Drtn:&nbsp;Long<br>Entry:&nbsp;38.52<br>Date:&nbsp;23/11/2007<br>Disaster Stop:&nbsp;36.52<p>SYNA<br>Drtn:&nbsp;Long<br>Entry:&nbsp;53.98<br>Date:&nbsp;23/11/2007<br>Disaster Stop:&nbsp;50.12<p>

 

Ex Benchers for 26/11/2007 <p><p>KLBAY<br>Drtn:&nbsp;Long<br>Entry:&nbsp;41.10<br>Date:&nbsp;06/11/2007<br>Disaster Stop:&nbsp;39.04<br>Exit:&nbsp;41.00<br>Date:&nbsp;07/11/2007<br>Return (pts):&nbsp;-0.10<br>Return (%):&nbsp;-0.24%<p>TX<br>Drtn:&nbsp;Long<br>Entry:&nbsp;36.22<br>Date:&nbsp;06/11/2007<br>Disaster Stop:&nbsp;34.40<br>Exit:&nbsp;38.00<br>Date:&nbsp;09/11/2007<br>Return (pts):&nbsp;1.78<br>Return (%):&nbsp;4.91%<p>NTRI<br>Drtn:&nbsp;Short<br>Entry:&nbsp;24.30<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;26.74<br>Exit:&nbsp;23.33<br>Date:&nbsp;16/11/2007<br>Return (pts):&nbsp;0.97<br>Return (%):&nbsp;3.99%<p>OI<br>Drtn:&nbsp;Long<br>Entry:&nbsp;45.24<br>Date:&nbsp;16/11/2007<br>Disaster Stop:&nbsp;42.88<br>Exit:&nbsp;42.88<br>Date:&nbsp;16/11/2007<br>Return (pts):&nbsp;-2.36<br>Return (%):&nbsp;-5.22%<p>ACF<br>Drtn:&nbsp;Short<br>Entry:&nbsp;11.89<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;13.09<br>Exit:&nbsp;10.41<br>Date:&nbsp;19/11/2007<br>Return (pts):&nbsp;1.48<br>Return (%):&nbsp;12.45%<p>LEN<br>Drtn:&nbsp;Short<br>Entry:&nbsp;20.61<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;22.68<br>Exit:&nbsp;17.60<br>Date:&nbsp;19/11/2007<br>Return (pts):&nbsp;3.01<br>Return (%):&nbsp;14.60%<p>RAD<br>Drtn:&nbsp;Short<br>Entry:&nbsp;3.70<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;3.97<br>Exit:&nbsp;3.53<br>Date:&nbsp;19/11/2007<br>Return (pts):&nbsp;0.17<br>Return (%):&nbsp;4.59%<p>CKFR<br>Drtn:&nbsp;Long<br>Entry:&nbsp;47.53<br>Date:&nbsp;13/11/2007<br>Disaster Stop:&nbsp;45.10<br>Exit:&nbsp;47.49<br>Date:&nbsp;20/11/2007<br>Return (pts):&nbsp;-0.04<br>Return (%):&nbsp;-0.08%<p>FWLT<br>Drtn:&nbsp;Long<br>Entry:&nbsp;144.45<br>Date:&nbsp;14/11/2007<br>Disaster Stop:&nbsp;129.98<br>Exit:&nbsp;129.98<br>Date:&nbsp;20/11/2007<br>Return (pts):&nbsp;-14.47<br>Return (%):&nbsp;-10.02%<p>CY<br>Drtn:&nbsp;Long<br>Entry:&nbsp;34.00<br>Date:&nbsp;14/11/2007<br>Disaster Stop:&nbsp;30.59<br>Exit:&nbsp;30.59<br>Date:&nbsp;20/11/2007<br>Return (pts):&nbsp;-3.41<br>Return (%):&nbsp;-10.03%<p>CCRT<br>Drtn:&nbsp;Short<br>Entry:&nbsp;13.29<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;14.63<br>Exit:&nbsp;12.42<br>Date:&nbsp;20/11/2007<br>Return (pts):&nbsp;0.87<br>Return (%):&nbsp;6.55%<p>MS<br>Drtn:&nbsp;Short<br>Entry:&nbsp;54.72<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;59.23<br>Exit:&nbsp;50.36<br>Date:&nbsp;20/11/2007<br>Return (pts):&nbsp;4.36<br>Return (%):&nbsp;7.97%<p>ABK<br>Drtn:&nbsp;Short<br>Entry:&nbsp;29.69<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;32.67<br>Exit:&nbsp;24.90<br>Date:&nbsp;20/11/2007<br>Return (pts):&nbsp;4.79<br>Return (%):&nbsp;16.13%<p>BGC<br>Drtn:&nbsp;Long<br>Entry:&nbsp;72.12<br>Date:&nbsp;14/11/2007<br>Disaster Stop:&nbsp;66.99<br>Exit:&nbsp;66.99<br>Date:&nbsp;21/11/2007<br>Return (pts):&nbsp;-5.13<br>Return (%):&nbsp;-7.11%<p>ZRAN<br>Drtn:&nbsp;Long<br>Entry:&nbsp;23.38<br>Date:&nbsp;14/11/2007<br>Disaster Stop:&nbsp;21.99<br>Exit:&nbsp;21.99<br>Date:&nbsp;21/11/2007<br>Return (pts):&nbsp;-1.39<br>Return (%):&nbsp;-5.95%<p>ODP<br>Drtn:&nbsp;Short<br>Entry:&nbsp;19.27<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;20.51<br>Exit:&nbsp;16.72<br>Date:&nbsp;21/11/2007<br>Return (pts):&nbsp;2.55<br>Return (%):&nbsp;13.23%<p>TGIC<br>Drtn:&nbsp;Short<br>Entry:&nbsp;9.32<br>Date:&nbsp;15/11/2007<br>Disaster Stop:&nbsp;10.27<br>Exit:&nbsp;9.84<br>Date:&nbsp;23/11/2007<br>Return (pts):&nbsp;-0.52<br>Return (%):&nbsp;-5.58%<p>AG<br>Drtn:&nbsp;Long<br>Entry:&nbsp;58.59<br>Date:&nbsp;20/11/2007<br>Disaster Stop:&nbsp;55.19<br>Exit:&nbsp;60.38<br>Date:&nbsp;23/11/2007<br>Return (pts):&nbsp;1.79<br>Return (%):&nbsp;3.06%<p>

 

I stated at the beginning of the journal that I will be posting simulated (NOT actual) trades. Entry & exit prices I post are therefore theoretical since it is impossible for me to post actual fills.

I am aware that theoretical prices are not the real thing since they do not take slippage into account, and have taken a number of measures to address this:

1. I have limited my players to reasonably liquid stocks, as you recently observed yourself.

2. I post entry prices before market open, so they are NEVER after the fact.

3. For long trades, my entry prices are always above (NOT below) the market, so if the market trades through my entry, I assume a fill. I believe this is more realistic than if I used limit orders below the market. The reverse applies for short trades.

4. I use a price bracket for entry (i.e a trigger and a limit). For longs the trigger will be lower than the limit. I ALWAYS use the higher limit price for my entry. In reality, I'm sure I would get some fills below the limit, and I would also use a higher limit so I could also get some fills above the limit (that I am using).

I have posted the before and after for the two entries on Friday below:

<br>

You will notice that for NOK I used an Entry Stop-Limit pair of 38.50-38.52, but I reported an Entry of 38.52. For SYNA I used an Entry Stop-Limit pair of 53.94-53.98, but I reported an Entry of 53.98.

5. If the market gaps above my entry limit and doesn't close the gap (trade at the entry limit) I 'pass' on the trade.

I am aware that this still doesn't make up for the prices not being actual fills, especially since no 'measures' have been taken for my exits. However, I have tried to be as transparent as possible, and everything is done in good faith .

Finally, I will impose a penalty of 1% every quarter. So if my theoretical return for a quarter is 8%, then I will reduce it to 7%. Please, do let me know if there is anything else I can do to make my results more realistic.

Another point is that these are swing trades, and even if they were real I wouldn't be able to report fills as and when they happen, since I am not a full-time trader. Most days, I try hard not to watch the markets, and only look at prices after the market has closed.

 

Use real money.

Paper trading in any form doesn't reflect the psychological stresses that real money imposes on portfolio management. Your efforts will not be recognized by anyone.

 

Thanks Cdntrader. I certainly understand where you are coming from.

Whilst I don't want to underplay the psychological stresses involved in managing a real portfolio, the key thing to bear in mind is that the aim of this journal is not to trumpet my abilities as a trader, but rather to demonstrate the statistical edge my model provides. Having said that, I would argue that the benefit of possessing a proven statistical edge cannot be overestimated. Personally, I would only commit serious funds to the market IF I knew the odds were stacked in my favour. Doing otherwise, would be gambling in my honest opinion.

If somebody were to offer me a gig based on my modeling (NOT trading) skills, I wouldn't say No . Somebody else, with a proven track record at trading, can do that side of things if necessary.

 

Results Summary for Ex Players (Closed Trades)


Ini Capital:&nbsp&nbsp; $100,000.00
Curr Eqty:&nbsp&nbsp; $99,522.38
Acct PnL:&nbsp&nbsp; -$477.62

ROI:&nbsp&nbsp; -0.48%
Leverage:&nbsp&nbsp; 1:1
Max Risk:&nbsp&nbsp; 2%

no wins:&nbsp&nbsp; 5
no losses:&nbsp&nbsp; 6
% wins:&nbsp&nbsp; 45%

%avg win:&nbsp&nbsp; 2.89%
%avg loss:&nbsp&nbsp; -4.30%
%W/L ratio:&nbsp&nbsp; 0.67

avg win:&nbsp&nbsp; $568.62
avg loss:&nbsp&nbsp; -$553.45
W/L ratio:&nbsp&nbsp; 1.03

max DD:&nbsp&nbsp; 1.58%
expectancy:&nbsp&nbsp; -0.53
profit factor:&nbsp&nbsp; 0.47
avg duration:&nbsp&nbsp; 3.64 days

 

Results Summary for Ex Benchers (Closed Trades)

no wins:&nbsp&nbsp; 10
no losses:&nbsp&nbsp; 8
% wins:&nbsp&nbsp; 56%

%avg win:&nbsp&nbsp; 8.75%
%avg win:&nbsp&nbsp; -5.53%
%W/L ratio:&nbsp&nbsp; 1.58

expectancy:&nbsp&nbsp; 0.43
profit factor:&nbsp&nbsp; 1.98
avg duration:&nbsp&nbsp; 4.11 days