In this thread I want to keep a journal and present my developing approach to the markets. My current depot is: DE0007164600 GB0007188757 DE0007238909 DE0006048911 NO0010096985 AU000000WPL2 FI0009003305 More to come.
My current depot is similar to yours. Perhaps we can have a conjunction of depots? By the way, I have been very successful with NO0010096985 Perhaps you will take a moment to describe your home planet. Wish you well in the New Year. Steve
Thx, same to you. I'm from Frankfurt, Germany and am currently considering whether to apply as a trader or keep going on trading for myself. After finishing university I worked as an IT consultant for a year. My strategy is a propiertary one, but I want to expand using mechanical approaches aswell using my IT skills.
I have spent a lot of time in Bonn (lived in the old town near the University). One of the best places in Germany I think.
I got either insanely lucky or I'm really good or both. 2005: month ROI may 10.06% june 9.49% july 3.21% august 3.99% september 11.38% october -6.77% november 8.14% december 6.64% day start 5/1/2005 day today 12/31/2005 days 244 ROI ann 90.67% ROI 54.87% average ROI 6.86% trades 15 number of winners 11 hitrate 73.33% payoff ratio 6.1 profit factor 16.7 What I'm working on at the moment is position size. I'm reading Vinces Book "Mathematics of Moneymanagement", but it doesn't really help. If I would use the Kelly Kriterion my position size should be 68%. I further don't know how to integrate Risk & potential Reward into one model. My price objectives are: FI0009003305 50.00% NO0010096985 75.00% NO0010096985 75.00% AU000000WPL2 100.00% DE0006048911 186.00% DE0007238909 124.00% GB0007188757 100.00% DE0007164600 75.00% My position sizes are: FI0009003305 10.29% NO0010096985 20.58% AU000000WPL2 12.09% DE0006048911 17.36% DE0007238909 11.16% GB0007188757 14.88% DE0007164600 13.64% Risk per position: FI0009003305 8.07% NO0010096985 9.05% AU000000WPL2 17.53% DE0006048911 17.19% DE0007238909 12.00% GB0007188757 6.03% DE0007164600 4.43% Overall risk: 10.64% @Steve: Do you hold other shares I have in my depot, and what are your thoughts?
Actually I use Kelly criterion to size my own positions. Rather than go into a long disertation I will simply say that to use it effectively you have to be able to characterize the trade in one of two ways; 1. Percentage of risk that you are willing to accept in the form of drawdown 2. The nature of your edge expressed as a percentage or "confidence" factor. i.e. you evaluate the odds of success at 80%. In theory if you had a 100% confidence in your success, you would put on a trade using 100% of your account value. In practice, most traders using a fractional method and call themselves 50% Kelly Traders, or 75% Kelly Traders.... Do you see what I am saying? If you would like more information, and a specific contact you may PM me. Good luck, Steve
New optimised position sizes: ISIN position size ISIN position size new FI0009003305 0.00% NO0010096985 15.10% AU000000WPL2 8.86% DE0006048911 27.00% DE0007238909 23.00% GB0007188757 11.00% DE0007164600 10.00% Cash 5.00% Sum 99.96% New performance aim: 136% New overall risk: 9.76% Max risk per Position: 3.3%
I used to hold many more. I was managing a small fund. But I am retired as of a couple months ago. My own portfolio is small as I am mostly in commodities and cash. Frankly I dont understand your optimization process. If you could outline it I might have further comment. Are you using a variation of "efficient frontier" or something else? Steve
Sorry I donot understand this thread at all. What is you all talking about. What is depot and what are all these numbers-what do they represent. Please kindly explain to me in simple English. Thanks