I am capacity constrained which is why $P/L matters more than percent return. In terms of position sizing, I try to keep a minimal amount in the account to max out my margin at the point where the capacity constraint starts kicking in. I prefer trading this way because every time drawdowns occur I need to go through the physical step of sweeping more funds back in which forces me to re-evaluate my strategies and see if any of my theorized possibilities for strategy decay or regime shift have started to pop up. I also have a psychological weakness that was exposed in 2008 of getting shell-shocked and refusing to make decisions when vol really picks up. This is especially dangerous with systematic trades because the default is continuing to trade as-is. Having to go through the step of sweeping cash back in serves as a check on this negative spiral, because the default decision is not re-evaluating and not sweeping in, in which case the worst that could happen is I take a large drawdown on the existing account equity which is not a huge deal. I really make it painful to sweep in as well. I keep my primary bank account separate from an account specifically set up to interface with my trading account, so every time I have to sweep in I have to go through 2 transfer steps.
b/c I botched this up pretty good. I'm not going to complain, just left a lot in the market. $33,507.00 I'll be posting year end with top 5 winning/losing days to even it up. I'm off next week, but will give the last day of the year a whirl. And as for this ridic back and forth with Macintash...How much does a Big Mac cost at your local McDonald's? It cost about $3.95 here in Miami(from what I understand). So, unless your Sharpe ratios, DD and other metrics can get you a free sandwich...post your number. Ratios and metrics don't pay bills.
Nice work, rallymode! You are impressive, indeed. Will we be getting year end and top 5 up/down days? I'd be interested to see from you and sellingvol (more my speed).
Yea i will post the annual performance when the statement is available. I have already posted most of the bigger winners and losers.
all good points...again..my only thing is ..its fine to derail the thread a bit...all good discussion...i just don't want this place to go off the tracks..that's all. i mostly post here because most of et wore me out with bs..so i'd hate to see same here. friday pl +$27,926 thursday was in 5k range but had zero time to post.. oh and rally, nice work.
Interesting structure and makes sense. So in reality it's not exactly 850% and 60% DD, since the cash account is actually part of the equity but you decided to keep it separate. Am I correct?