Trading like a chameleon

Discussion in 'Journals' started by chameleontrader, Jan 5, 2006.

  1. In this thread I want to keep a journal and present my developing approach to the markets.

    My current depot is:


    More to come.
  2. 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.

  3. 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.
  4. 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.
  5. I got either insanely lucky or I'm really good or both.

    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%


    Do you hold other shares I have in my depot, and what are your thoughts?
  6. 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,
  7. 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%
  8. 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?

  9. 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
  10. A depot is the place where your goods are kept. It is a portfolio of tradeables.
    #10     Jan 6, 2006