Neke, following your journal it seems the answer is almost obvious. If you look at your biggest losing weeks and classify them as "outliers" they all have a very common theme. You load up the truck, keep loading it up more when the position goes against you and you barf it out when the pain is too big. Sometimes (many times actually) at the worst possible time. I'm not sure I can tell you how you can maximize your profits, you do that very well already, but following your journal (which I love by the way) playing defense (not averaging down and overtrading) would probably have saved you a lot of money, especially this year. Now here's a disclaimer: Don't take trading advise from me. You more than quadrupled your account the last several years and are a hell of a trader. I'm glad when I accomplish a 20-30% yearly return. I just don't have the balls to handle the swings that you have.
Finally had time to get last weeks results written up. Terrible trading week, down 3k9 as mentioned before. I'm not going into much detail other than I'M GLAD THE WEEK IS OVER. I'm on the road in texas this week, so my systems will trade on their own. Had a great weekend with lots of outdoor activities and fun with my family. I'm trying to forget last week and I'm ready to move on. Somehow some of the numbers don't add up, I did some additional discretionary trading which is lost in the results. Here are the results in detail: S1: 1035 S2: 0 S10: -5138 S12: -611 Weekly Performance: -3947 S&P 500 Weekly Performance: -7213 Overall Performance since launch: -3149 S&P 500 Performance since launch: -9180 Risk Free Checking Account Performance since launch: 122
Fixed my calculation error, here the the current results (based on last Friday's close) S1: 1035 S2: 0 S10: -4180 S12: -611 Weekly Performance: -3947 S&P 500 Weekly Performance: -7213 Overall Performance since launch: -3149 S&P 500 Performance since launch: -9180 Risk Free Checking Account Performance since launch: 122
Hard trading week. Up 1k but I watched all positions go into my direction after being stopped out on many of them last Friday. Ouch But then again I could enjoy the long independance day weekend without having to worry about the 10 points /ES future drop on Monday. I went to Texas this week, I'm glad to be back though. Lots of work and after hour activities. Next week I'll in the Bay Area, looking forward to that trip. I'm hoping to catch up with some old friends. As far as my trading goes, I'm very confident that next week my algo will increase positions and size. It's finally back to earnings season and that should help them locate new trades. I also hope that the markets will play along I guess you'll see by next Friday. Right now my algos have three very small positions open, nothing to get excited about. Here are the results in detail. S1: 1035 S2: 0 S10: -3180 S12: -181 Weekly Performance: 1245 S&P 500 Weekly Performance: 7459 Overall Performance since launch: -1905 S&P 500 Performance since launch: -1850 Risk Free Checking Account Performance since launch: 138
Just got to my hotel in San Jose. I've had a great time the last three hours. After I landed I went to the bay101 and played some poker. I rarely play poker these days, even though that's what got my algo trading started in the first place. I sat behind a poker "prop" player. Not knowing what that is I wasn't sure if the guy was playing his or the casino's money, it was somewhat strange. I didn't fully trust the guy but he eventually left the table. Here's more info on that http://www.poker-babes.com/poker/prop-player/ Anyway, long story short, I played 20-40 limit holdem. I got a seat right away and did ok playing. I had a calling station behind me and got him to call twice to the river, so I ended up with 400 bucks in my pocket. When I checked in I paid part of my hotel room in cash, so I don't have to carry all that cash with me. Anyway, just thought I'd post this cause to me (and many others) poker and trading have many things in common. Now I just need to withstand the urge to go back there after work every day
Breakeven trading week (up 53 bucks). Very busy work week with long days and little chance to check my systems. They seemed to have done OK but there's almost no trading activity. Earnings season started and I just have one small long SBUX trade as well as my S10 trade running. Good news is that the jump in BP allowed my S12 strategy to close it before expiration, so that took the 500$ loss down to -300. S10 suffered big time on Friday but it could have been much worse, I'm just glad the VIX didn't explode. I'm looking forward to next week, I hope to finally find some S2 candidates and new trades. I'll be going to the East Coast next week, after the trip to the bay area that'll be three time zones difference. For all the ones following this journal, have a good relaxing weekend and catch some summer sun&fun, for me that's more rewarding than my trading these days. Here are the results in detail S1: 1085 S2: 0 S10: -3150 S12: -3 Weekly Performance: 53 S&P 500 Weekly Performance: -1683 Overall Performance since launch: -1851 S&P 500 Performance since launch: -3534 Risk Free Checking Account Performance since launch: 166
My systems had two good trading days, so at least for today I'm ahead of the S&P and the checking account performance!!!! It's good when you get back from a long day at work and see the results of a decent trading day. This week will be my last travel week for work this month (@ East Coast). I'll leave for Europe/vacation on Sunday. My systems will continue from Europe since my server is based in the states, so the only thing that may change next week is the weekly recap post. Overall Performance since launch: 753 S&P 500 Performance since launch: -1332 Risk Free Checking Account Performance since launch: 184
Hi Engine, I have a few suggestions that you might want to consider. I'm guessing that in evaluating how well you are doing, and evaluating your backtests, your main indicator (if not sole indicator) is P/L. (Excuse me if I've got this wrong, but all I have to go on is what you've written.) Consider instead evaluating the effectiveness of your entries and exits separately. I'm sure you can come up with appropriate metrics. The important concept is to measure entry effectiveness against random entries. Ditto for the exits. When your P/L is off it could be for a number of reasons, and this method of analysis helps you get to the root cause. Examples are: bad luck (you're still inside your metric distributions), bad backtests (you're outside of your metric distributions, and you've never gotten inside with a live trade), and market changes (your metric distributions have suddenly fallen outside). You will also want to read and implement Sherry's methods of market characterization. This can tell you about market changes before you find out the hard way. You can use these ideas for both computer and discretionary rules-based trading. Pete
Pete, thanks for the post. I appreciate the suggestion and will read up on this. P&L plays a role as you've pointed out. So does sharpe and max ddown. Some systems are sensitive to the S&P in correlation to it's 200 SMA as well. I appreciate any input I can get, so thanks a lot again !!
Decent trading week (up 2600 bucks). Crazy week at work though, working my butt off on the East Coast. There are some new exciting developments in my trading. First of all this week pushed me back to green, so I'm up 800 bucks since I started this journey which is good for my confidence. Nobody wants to be a losing trader. The second exciting piece is I'm beta testing a new strategy that I finished this week (S70). I finally finished my backtesting on that strategy and it seems to have some potential. Third good news is that S2 finally found some trades during this earnings season, unfortunately the only trade it got filled on (AAPL) didn't deliver any results yet. Here's more color on the new S70 strategy. Based on backtesting results it's like a 56% coin flip. It produces daily candidates (right now about 10 per day) and can be easily automated as well. Right now the beta trades are entered manually until I get a better feel on the overall validity of the results. Unfortunately it has some serious draw downs, so I'll need to work on a good pyramiding mechanism to recognize these times early and minimize the damage. It does not seem to be overly correlated to the S&P 500 performance (neither are the others but my overall performance definitely is). As far as my other strategies go, S12 is down to two small positions (NVLS and SBUX) and unfortunately SBUX didn't have a good quarter so that hurt S12 a little. S10 recovered due to the drop in volatility and the move in the S&P 500, so that strategy is working the last two days. Overall a good trading week, the only bad news is that the S&P 500 almost doubled my weekly performance and kicked my ass big time. I'm having better results than the risk free checking account but I'm trailing the S&P 500 after this week. I'll be out of the country the next couple of weeks, going to Europe on vacation. This really shouldn't impact my trading much since there's Internet in Europe too ;-) and I can launch my systems from there. For all the guys following this journal, have a good weekend and let's hope for some uneventful market action the next two weeks Here are the results in detail: S1: 1085 S2: -300 S10: -280 S12: -144 S70: -69.5 Weekly Performance: 2663 S&P 500 Weekly Performance: 4856 Overall Performance since launch: 812 S&P 500 Performance since launch: 1321 Risk Free Checking Account Performance since launch: 201