ahahahahahahahahahahahah
you're an inspiration to GS quant trading group.
2011: Rebuilding My Battered Account
- Thread starter neke
- Start date
- Status
ahahahahahahahahahahahah
you're an inspiration to GS quant trading group.
We've been in a down trend for weeks and thus i short bounces till it doesn't work. When i spot uptrends i buy dips. I'm not a daily day trader like many on here looking for 1-2 pts on the es or $50 cents on the cl. I'm looking for 10-20 pts on the es. Like friday i shorted 60 es's from 1305-1309 and was very patient and exited near the close at 1297
what a genius.
i am now pretty sure jim simons couldn't have done so well in the last 10 years without your precious help.
how many PhD's work in your team to help deriving such complex thought process?
Yes, but 5 weeks ago when you started shorting we were in a well-defined and strong uptrend and hitting new highs, so I assumed if you were a trend follower, you would have bought the dip off that high and not started shorting until the trend broke down. I assumed you were a counter-trend trader, trying to pick a top in the uptrend and was curious how it worked out when the overbought, weak breakout early in December led to a bull run will very little pullback at all.
neke, just curious, don't you use the 2% rule? I realize it's much harder to enforce it when trading options since they could gap down more than 2% held overnight, but the drawdown in percentage terms seems a little too big.
Good luck.
Good luck.
Weekly Update for week 22/50 ended 6/11/2011
Negative week, down 3.7K (1%). Just couldn't retain the positive in my account.
Started this week with different allowable sizes based on the different conviction levels. Will work further for my automation to implement the sizes for the different strategies. Those that I have more confidence in will receive greater size limits. At the topmost of those classifications will be certain option trades (probably average of 2 of such each month) that are classified as high conviction opportunities. Those could carry as much as four times the regular nominal size limit. Had one of such this week, but ended unfortunately with a loss.
Negative week, down 3.7K (1%). Just couldn't retain the positive in my account.
Started this week with different allowable sizes based on the different conviction levels. Will work further for my automation to implement the sizes for the different strategies. Those that I have more confidence in will receive greater size limits. At the topmost of those classifications will be certain option trades (probably average of 2 of such each month) that are classified as high conviction opportunities. Those could carry as much as four times the regular nominal size limit. Had one of such this week, but ended unfortunately with a loss.
Code:
Opening Balance: 305,604
Net loss for the week 3,679
------------------------------------------------
Net Balance: 301,925
Number of Trades 24
Number of Profitable Trades 9
Since Inception of Thread 01/8/2011 - 6/11/2011
Opening Balance: 335,899
Net loss (Less Margin Interest) 33,974 (Down 10%)
------------------------------------------------
Net Balance 301,925
Number of Trades 451
Number of Profitable Trades 236Weekly Update for week 23/50 ended 6/18/2011
Disastrous week, down 29K (9.7%). Now testing the low levels for the year for the third time. Depressing.
The story of the week was FNSR on thursday with options. What should have been at worst a modest loss became a 47K nightmare. I saw that stock open at 14.53, having seen it in after hours @15.10. Was keen to initiate a put when the stock bounced to 14.80. Did not happen within my timeframe, and then decided to chase the stock. Bought 300 contracts (JUN 16 PUT) @ 1.95 (stock then at 14.08) at about 1022am, and added another 300 contracts at 1.85 as the stock moved against me. Seemed my initiation of those trades started off a mighty bounce that took the stock all the way to 15.76, while I watched my premium disappearing. Capitulated and exited at an average price of 1.10, for a loss of nearly 48K, leaving me heartbroken. Took away the gains for the week and more.
What came to light clearly was my use of nominal size to determine limit on option trades is very flawed. Those contracts represented a nominal value of about $840K when initiated which was well within my limit of 5 times account value ( about $1.5mill). The fact it was deep in the money represented additional risk that up till now I have not worked into the rules. If the premium was 2-4% of price, it could be acceptable to use the nominal size, but not when it was so deep in the money. I will have to revise the formula for the size limits while keeping it simple enough I will not need a spreadsheet or calculator when entering a position.
The other area I will spend time on is speeding up the process of disengaging from all purely discretionary trades: At the end of the process I will only have these three categories of trades: automated trades (initiated and monitored by the system), mechanical (suggestions to initiate trades based on mechanical rules which I can take or not), pre-planned day trades(positions whose criteria for entry /exit are defined before the market starts) for which the system ensures any trades initiated is based on those plans - no changes to those plans permitted once market starts, only cancellation.
Disastrous week, down 29K (9.7%). Now testing the low levels for the year for the third time. Depressing.
The story of the week was FNSR on thursday with options. What should have been at worst a modest loss became a 47K nightmare. I saw that stock open at 14.53, having seen it in after hours @15.10. Was keen to initiate a put when the stock bounced to 14.80. Did not happen within my timeframe, and then decided to chase the stock. Bought 300 contracts (JUN 16 PUT) @ 1.95 (stock then at 14.08) at about 1022am, and added another 300 contracts at 1.85 as the stock moved against me. Seemed my initiation of those trades started off a mighty bounce that took the stock all the way to 15.76, while I watched my premium disappearing. Capitulated and exited at an average price of 1.10, for a loss of nearly 48K, leaving me heartbroken. Took away the gains for the week and more.
What came to light clearly was my use of nominal size to determine limit on option trades is very flawed. Those contracts represented a nominal value of about $840K when initiated which was well within my limit of 5 times account value ( about $1.5mill). The fact it was deep in the money represented additional risk that up till now I have not worked into the rules. If the premium was 2-4% of price, it could be acceptable to use the nominal size, but not when it was so deep in the money. I will have to revise the formula for the size limits while keeping it simple enough I will not need a spreadsheet or calculator when entering a position.
The other area I will spend time on is speeding up the process of disengaging from all purely discretionary trades: At the end of the process I will only have these three categories of trades: automated trades (initiated and monitored by the system), mechanical (suggestions to initiate trades based on mechanical rules which I can take or not), pre-planned day trades(positions whose criteria for entry /exit are defined before the market starts) for which the system ensures any trades initiated is based on those plans - no changes to those plans permitted once market starts, only cancellation.
Code:
Opening Balance: 301,925
Net loss for the week 29,396
------------------------------------------------
Net Balance: 272,529
Number of Trades 21
Number of Profitable Trades 12
Since Inception of Thread 01/8/2011 - 6/18/2011
Opening Balance: 335,899
Net loss (Less Margin Interest) 63,370 (Down 19%)
------------------------------------------------
Net Balance 272,529
Number of Trades 472
Number of Profitable Trades 248- Status