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Total Net Profit $11,106.67 (Per Share) $0.15 Gross Profit $25,294.54 Gross Loss ($14,187.86) Profit Factor 1.78 Total Number of Trades 683 Percent Profitable 66.33% Winning Trades 453 Losing Trades 230 Avg. Trade Net Profit $16.26 Avg. Winning Trade $55.84 Avg. Losing Trade...

d08, You are right about the time priority during the day. I often notice I get maxed out on positions during a market drop near the open. If the back tester takes a random sampling based on EOD data, then it would take some positions near the close on a down trending day that I would be...

The data is from daily bars, O/H/L/C. In back testing, exits occur at the close of the day if the exit criteria are met. The entries occur if the entry price is between the H and L for the day. Liquidity filters are in place to attempt to eliminate spurious entry signals, but of course it is...

I got burned today by CYH, Community Health Systems. I saw it heading rapidly lower from my entry but I saw no news out on it yet. Well, eventually the news came out that they were being sued by Tenet Healthcare over Medicare billing fraud, but by then it was down big. I am currently down 1K...

For the final year, 2010, the long only strategy performed as expected. In the market downturn from May thru June, it trended sideways. The short strategy did well during this time and poorly the rest of the year. Until I come up with a better short strategy, I think I will remain using my...

The long strategy had a sizable 23% DD into the March 2009 market lows. It then rallied off that and finished the year strong. The short strategy started out strong for the year, but then displayed little edge in a rising market.

In 2008, the long strategy had a 30% DD in mid-October, during the strong market decline. I would consider this a "tail" for my strategy. It showed high volatily from September thru November, but managed to make back losses, and then finish the year strong. Even though the trend was down for...

For 2007, the long strategy continued its steady climb. The short strategy non-performed, except in mid July and October, when the market sold off. The long strategy had a 10% DD but was able to recover within a couple months. This is what I have noticed with it. Whenever it suffers a...

Here is a look at 2006. All three strategies had a maximum drawdown of about 12%. However, the short only strategy DD was more concentrated towards the beginning and the end of the year. It performed well between May to September, when the market turned down and went below its 200 dma. The...

I am going to be posting comparisons of my long, short, and long/short rtm strategies by year starting in 2005. I will also include the SP500 during each year. For the most part, the long strategy is what I am currently using for this journal. The short strategy is simply reversing the...

Here is my favorite trade for the day:

Total Net Profit $10,745.26 (Per Share) $0.15 Gross Profit $23,582.04 Gross Loss ($12,836.78) Profit Factor 1.84 Total Number of Trades 648 Percent Profitable 66.36% Winning Trades 430 Losing Trades 218 Avg. Trade Net Profit $16.58 Avg. Winning Trade $54.84 Avg. Losing Trade...

Man or man! I think you just marked to market the man's market maker's market.

I think the ability to enter the market gradually over a period of days while it is correcting was really the missing link in my strategy. Monitoring of position information is critical to the portfolio’s performance. It really is a “market timer” if one could ever exist. I understand...

Great GekkoToBe, a fellow autotrader! Does Amibroker execute your trades? I have heard that it is unstable for real life order execution through IB. I only use it for portfolio backtesting. Once Tradestation releases their Portfolio Maestro backtester, I will probably switch to that fully...

Hi In2Deep and thanks for checking in and enjoy your new house! I’ve been reading your journal, as well as ElecEquity’s, PropTrader’s, and archived one’s. I think we all can learn my catching themes of what to do and not do from people with skin in the game. When diversifying across...

I saw a little buying action around the open, with EW and RBN turning out to be nice day trades. I am appreciating how crucial it is to be well capitalized. Being under funded forces you to take on size and leverage right from the start, so you better hope you are right about direction...

Thanks for subscribing! That means a lot. I think having a “day job” helps to avoid stress from having to generate income from trading. One reason I got into auto trading is to lighten the effort needed for trading. Now I am more of a “coach” watching my strat execute my game plan...

Hi Kohanz and thanks for the continued interest in this journal! I have not been getting a whole lot of questions so I was wondering if it was interesting. I am big on data and charts because I can see better what is going on with the strat, like how you noticed the fewer but larger down days...

Daily realized profit/loss for the quarter. There were 12 down days out of approx. 60 trading days or 20% down days. This is in line with historical performance.