2014: The Battle for Survival

Congrats for the year! I guess it is time to look back and analyze your performance.

The last 12 weeks' performance is scary to say the least. The first 6 weeks ( Oct- mid-Nov) you made 242K (scary good) and the second 6 weeks you lost 163K (scary bad). So basicly in the same timeframes of 6-6 weeks you lost 2/3rd of the previous gains. That is something to think about...

Also maybe you could give something more positive title to the 2015 journal, like Back in the saddle again, or The road to consistency...

Best wishes for the next year and thanks for the journal!!
 
Pekelo said:
So basicly in the same timeframes of 6-6 weeks you lost 2/3rd of the previous gains. That is something to think about...
More...

I have followed Neke's journal as it is raw and one can really learn a lot.

Losing a good chunck of previous gains : any advice regarding that?
 
neke said:
Now time to review the performance of my strategies over the last year. The earlier chart shows the absolute ($) returns of the strategies. On the basis of that you think option4 was the best strategy, and that option1, stock1,stock2,stock3 were all losing strategies. However, I go back to analyze performance based on "Net Percentage" gains. For example, if a strategy had two trades: one was a gain of $6,000 in January with a balance of $100,000 in the account, while the second trade was a loss of 12,000 in November with an account balance of $400,000. On the whole the strategy would seem to have lost $6,000 for the year, so is a losing strategy. But based on percentages it is actually profitable - the first trade returned +6%, while the second trade was -3%. Total percentage comes to +3% which is positive. Over the last year my equity balance has ranged from about $80K to a high of $400K+ (sometime in November), so I take cognisance of that in computing performance.

I also try to adjust for "compounding effect" of losses, by using reciprocals. If a trade lost 20% of my equity balance, I know I need +25% to return to break-even, so in determining Net Percent contribution, that trade will be treated as negative 25%. I sum all the contributions for all trades in the strategy and below is the summary of the results for the year by strategies.


From the summary, I could really say there is one losing strategy (stock2 - of which minus 28% was from the CRAY trade in February)

Code: 
   2014  P/L    2014 Net Percent

stock4     97609     66.7
option4     120250     52.2
option2     19379     20.7
stock5     20445     12.1
stock3     -25476     11.1
option1     -2815     01.6
stock1     -10804     00.4
stock2     -22023       -11.1
 
   
                      153.8
More...


There is a mix-up in the calculation above. Just re-did it and the net percentages should be as follows

Code: 
stock4   0.667
option4  0.522
option2  0.207
stock5   0.121
option1  0.016
stock2   0.004
stock1  -0.111
stock3  -0.196
 
         1.231
 
For 2015, I have set percentage targets for the strategies as follows. I have also renamed the strategies with better initials for me to correlate. (0.10 means 10%)

Code: 
Strategy  2015 Targ Former Name

STK-FCS      0.30   stock4
OPN-FCR      0.22   option4
OPN-OPM      0.15   option2
STK-ATM      0.10   stock5
OPN-EPL      0.05   option1
STK-PMS      0.05   stock1
STK-PML      0.05   stock2
STK-CNO      0.05   split from stock3
STK-CNT      0.03   split from stock3

TOTAL        1.00
 
Visaria said:
In the Hedge Fund Market Wizards book, Jack Schwager uses a ratio he calls Gain to Pain ratio. It measures return to risk. Can you calculate this ratio for 2014? The formula is very simple..sum up monthly returns and then divide by the absolute sum of the negative monthly returns.
More...
From your definition that would be 1.65 from the monthly figures earlier posted. Not sure whether this is good or bad.
 
Pekelo said:
Congrats for the year! I guess it is time to look back and analyze your performance.

The last 12 weeks' performance is scary to say the least. The first 6 weeks ( Oct- mid-Nov) you made 242K (scary good) and the second 6 weeks you lost 163K (scary bad). So basicly in the same timeframes of 6-6 weeks you lost 2/3rd of the previous gains. That is something to think about...

Also maybe you could give something more positive title to the 2015 journal, like Back in the saddle again, or The road to consistency...

Best wishes for the next year and thanks for the journal!!
More...

Not starting a new journal for 2015, will just keep the monthly updates here. From your analysis (and like I know very well), there is no smooth sailing even here - it is still a battle. I hope obeying restrictions on my trades will make it a smoother ride.
 
According to Schwager, for liquid strategies, a Gain to Pain Ratio of over 1.0 is very good and over 1.5 is excellent.

Did you calculate yours using the percentage per month...i forgot to mention that before, apols.
 
smallStops said:
I have followed Neke's journal as it is raw and one can really learn a lot.

Losing a good chunck of previous gains : any advice regarding that?
More...

In isolation, it's neither good nor bad. Performance is better analyzed in the context of the overall trading strategies.

For example, some highly profitable trading strategies have a high win rate, but the small % of losses are relatively large. So giving back 2/3 of gains at a given point would be "good" (3 steps forward, 2 steps back, net result = consistently profitable trading over time).

If giving back 2/3 of gains was the result of straying from the methods that produced positive expectancy during the testing phase, then it would be "bad" (places the trader at a high risk of ruin).

If giving back 2/3 of gains was the result of circumstances not encountered during the testing phase, then it would be a signal to re-evaluate the strategies affected by those circumstances.
 
Period Update for January 1/3/2015 - 1/31/2015 (4 weeks)

Great start to the new year, up 49.5K (19%).

It was a roller-coaster month, first down near -30K, then got as high as +64K, then this week almost gave back the gains, but then rebounded to close +49K.

I certainly took too many trades. Combination of increased volatility and earning season. Will work on better selectivity next month.

The two best performing strategies for last year accounted for the gains this month. Rough start on STK-CNT and STK-ATM. Lost more than my target gain for the year in the former. Will be implementing some restrictions and size reductions on that strategy.

I am sticking with the Net Percentage target for the year of +100%. However, because of the expected benefit of compounding, I am setting a dollar target of $400K for the year as in the attachment.

Code: 
--------------------------------------------------------------------------------


Opening Balance:     256,099
Net gain for period       49,492
Cash Withdrawal          (3,500)
------------------------------------------------
Net Balance:       302.091


For the Thread YTD  2015 (1/3/2015 - 1/31/2015)

Opening Balance:  256,099
Net gain          49,492 (Up 19%)
Cash Withdrawal        (3,500)
------------------------------------------------
Net Balance        302,091
----------------------

TRADES

TYPE   Exit Date/Time     P/L

OPTION   2015-01-05-14-55-32   -12913.7
STOCK   2015-01-05-15-30-05   1285.3
OPTION   2015-01-05-15-11-21   -11149
STOCK   2015-01-05-15-36-57   -1907.9
STOCK   2015-01-05-12-34-54   -2792.2
STOCK   2015-01-05-14-00-17   -1421.6
STOCK   2015-01-06-15-45-02   4677
STOCK   2015-01-06-15-33-45   167.8
OPTION   2015-01-06-14-44-15   -3270.3
OPTION   2015-01-06-14-44-18   5555.6
OPTION   2015-01-06-15-05-29   2510.7
OPTION   2015-01-06-15-15-35   5004.6
STOCK   2015-01-07-11-58-20   23013.4
STOCK   2015-01-07-15-55-14   1926.6
OPTION   2015-01-08-10-45-07   4378.5
OPTION   2015-01-08-14-45-26   8569.7
OPTION   2015-01-08-10-13-50   -6294.1
STOCK   2015-01-09-12-17-20   116
OPTION   2015-01-09-13-04-34   11414.4
STOCK   2015-01-12-11-46-25   7455.7
STOCK   2015-01-12-10-53-40   5006.3
STOCK   2015-01-12-14-34-00   -486.8
OPTION   2015-01-12-15-35-59   1304.1
OPTION   2015-01-13-15-49-17   -3490.1
OPTION   2015-01-13-15-47-29   -3301.9
OPTION   2015-01-13-15-54-02   -2282.2
OPTION   2015-01-13-15-58-52   1717.7
OPTION   2015-01-14-10-33-32   1337.7
OPTION   2015-01-14-10-15-16   -7581.6
OPTION   2015-01-14-10-05-49   -7268.2
OPTION   2015-01-15-11-05-35   2946.7
STOCK   2015-01-14-15-48-32   2248.3
STOCK   2015-01-14-15-37-34   98
OPTION   2015-01-14-16-08-07   2664.8
OPTION   2015-01-14-15-39-57   -2620.7
OPTION   2015-01-14-15-30-19   5664
STOCK   2015-01-14-15-55-16   1327.4
STOCK   2015-01-15-12-01-09   1416.1
STOCK   2015-01-15-14-59-29   1236
STOCK   2015-01-15-12-05-12   85.9
OPTION   2015-01-15-15-00-17   924.8
OPTION   2015-01-15-15-00-28   -1228.5
STOCK   2015-01-16-15-49-04   3419.9
OPTION   2015-01-16-15-48-45   8577.7
STOCK   2015-01-20-15-44-59   -1678.7
STOCK   2015-01-20-16-15-58   1343.7
OPTION   2015-01-22-10-29-34   205.3
OPTION   2015-01-21-15-50-59   -2767.6
OPTION   2015-01-22-14-26-38   -2729.1
STOCK   2015-01-22-11-17-02   888.9
OPTION   2015-01-23-10-23-19   14779.9
STOCK   2015-01-23-15-55-18   -3027.6
OPTION   2015-01-23-15-33-31   -2239.8
OPTION   2015-01-23-15-49-58   2051.7
OPTION   2015-01-23-15-46-36   9067.4
STOCK   2015-01-26-15-43-23   444.9
OPTION   2015-01-26-15-54-09   -5201.2
OPTION   2015-01-26-15-54-07   -4241.2
STOCK   2015-01-26-14-12-34   445.4
OPTION   2015-01-27-15-49-19   -3535.9
OPTION   2015-01-27-15-58-05   -1449.1
STOCK   2015-01-27-15-56-33   -749.8
OPTION   2015-01-27-15-51-14   -3048.1
OPTION   2015-01-27-15-53-27   -441.3
OPTION   2015-01-29-13-26-42   2523.6
STOCK   2015-01-28-15-23-12   -12124.4
OPTION   2015-01-28-14-01-20   -6283.8
STOCK   2015-01-28-15-51-27   -7679.4
STOCK   2015-01-29-09-39-27   2059.8
STOCK   2015-01-29-12-10-39   3536.9
STOCK   2015-01-29-13-28-08   3783.3
OPTION   2015-01-29-13-42-42   8209.6
STOCK   2015-01-30-11-36-21   -2098.4
OPTION   2015-01-30-12-00-07   9171.8[ATTACH]148858[/ATTACH] [ATTACH]148859[/ATTACH]
OPTION   2015-01-30-15-45-16   11305.1
STOCK   2015-01-30-15-38-18   1794.3
STOCK   2015-01-30-15-37-51   -2676.5
OPTION   2015-01-30-15-46-52   -5246.6
OPTION   2015-01-30-15-39-23   -2943.3
 

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