2014: The Battle for Survival

Alpha Trader said:
@d08 managing risk is a paramount feature that pertains to all time frames.
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Don't want to hijack the thread so this will be my last reply.

What you're saying is incredibly general and meaningless. You don't know how he manages risk. Any kind of timing of exits is managing risk, therefore by default he is managing risk.

I'll just add "the key to making money is being smart". Did this help anyone?
 
d08 said:
Don't want to hijack the thread so this will be my last reply.

What you're saying is incredibly general and meaningless. You don't know how he manages risk. Any kind of timing of exits is managing risk, therefore by default he is managing risk.

I'll just add "the key to making money is being smart". Did this help anyone?
More...

It's all quite very simple to see that risk was not managed optimally by the bolded area below from Neke's post.

"Awful month, down 172K (36%). Hard to explain what happened. I guess live by the sword, die by the same."


The first wave of losses was 10/11th of Sep for a total loss of 111K as I grew overconfident following last month's result, and veered into forbidden areas and strategies with leverage. Just when I thought I got that behind me, came this Monday (28th) whose 94K is already posted - recklessly overexposed on an ugly market day. The final wave is today (lost 56K) as I grew desperate to rescue something from the month - ended up with bigger losses."

@d08 if this does not clarify that discipline was lacking and therefore management was not optimal, I don't know how to make it any clearer and we best let it rest out of respect for retaining the integrity of @neke s thread.

Pls note, my earlier post was not to put Neke down. I have great respect for him as I personally don't have the balls to put risk down like he does and kudos to him for that. However, the facts have to be pointed out where necessary, if for nothing, than at least to give Neke an outside voice. Sometimes we all know it too well, but need that outside voice to bring in the actual realization.
 
Neke,

your position sizing method seems to be way too aggresive. I understand the temptation there, we want to make big money so we risk big. The problem is that its mathematically proven that its a flawed way to trade/bet

kellychart.jpg


If you look at this chart you will notice that betting 1.5 times the recommended Kelly size for a single bet/trade actually DECREASES returns and increases volatility (which makes life mentally difficult). At 2.0 times the kelly the returns goes NEGATIVE (and vol goes to the moon). This happens even though you might be trading a system with a signficant edge, position sizing trumps it all. You could be counting cards perfectly in a sucker casino and yet, you will lose almost all of your capital if you overbet.

In trading this issue becomes even bigger because we can't know our exact Kelly size, so we have to stay in the safe side (and use a fraction of Kelly). Most of the time less is more
 
Daal said:
Neke,

your position sizing method seems to be way too aggresive. I understand the temptation there, we want to make big money so we risk big. The problem is that its mathematically proven that its a flawed way to trade/bet

View attachment 158583

If you look at this chart you will notice that betting 1.5 times the recommended Kelly size for a single bet/trade actually DECREASES returns and increases volatility (which makes life mentally difficult). At 2.0 times the kelly the returns goes NEGATIVE (and vol goes to the moon). This happens even though you might be trading a system with a signficant edge, position sizing trumps it all. You could be counting cards perfectly in a sucker casino and yet, you will lose almost all of your capital if you overbet.

In trading this issue becomes even bigger because we can't know our exact Kelly size, so we have to stay in the safe side (and use a fraction of Kelly). Most of the time less is more
More...
Thanks for the chart. It certainly depicts what I already know. Fortunately (or unfortunately depending how its perceived) my over-sizing has come not from initial bet size, but through revenge doubling down. I am in the process of depicting how much it has cost me so far.
 
neke said:
Thanks for the chart. It certainly depicts what I already know. Fortunately (or unfortunately depending how its perceived) my over-sizing has come not from initial bet size, but through revenge doubling down. I am in the process of depicting how much it has cost me so far.
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Never, never ever do the doubling down bit. It is a sure way to disaster. I thought even newbies knew that ?

duh
 
neke said:
...... but through revenge doubling down.
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neke, been watching you since you have started posting your journals here.

This seems to be a recurring theme over the years, usually followed by a pledge to do something different or modify systems or something of the sort.

I am curious as to weather you believe that you have actually made meaningful and lasting changes that you say you want to make?

Not a criticism or judgement as I myself continue at times with the insanity thing - doing the same thing expecting different results. Success and specially big success has a tendency to allow me to think I have turned the corner and made a desired change, only to find myself at times doing that which I no longer wish to do.
 
Period Update for october (10/2/2015 - 10/31/2015) (4 weeks)

Some recovery from last month, up 82K (32%).

The earnings season brought some opportunities. Probably overtraded, but delighted for the gains.

Still working on rule changes to my trading, especially in the area of position sizing and averaging down. This will be based on hard-data analysis of past trades and my observation on 'what-if' scenarious for those intended rules - you may say I want to derive hard-and-fast rules on sizing and management that should have optimised my historical performance with acceptable draw-down.

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


Opening Balance:                	302,507
Net loss for period 		         81,620
Cash Withdrawal				 (7,000)
------------------------------------------------
Net Balance:                   		377,127


For the Thread YTD  2015 (1/3/2015 - 10/31/2015)

Opening Balance:                       256,099
Net gain   	    	               173,028 (Up 68%)
Cash Withdrawal			       (52,000)
------------------------------------------------
Net Balance			       377,127
----------------------

TRADES

TYPE	Exit Date/Time		P/L

OPTION	2015-10-05-14-17-18	-5051
OPTION	2015-10-06-11-53-11	8014.5
STOCK	2015-10-07-09-33-02	1104.5
STOCK	2015-10-07-15-45-24	-6137.1
STOCK	2015-10-07-15-49-33	2264.4
OPTION	2015-10-07-12-08-05	10164.8
STOCK	2015-10-08-10-09-36	-8131.6
STOCK	2015-10-08-15-49-13	-3116.4
OPTION	2015-10-08-15-37-02	-1200.9
STOCK	2015-10-08-15-51-28	4281.3
STOCK	2015-10-09-10-42-30	-6232.9
STOCK	2015-10-09-15-36-02	-1166.2
OPTION	2015-10-09-15-53-42	11796.2
OPTION	2015-10-09-10-03-45	10951.8
STOCK	2015-10-12-11-37-50	-12059.3
OPTION	2015-10-12-14-22-36	-10960.4
OPTION	2015-10-12-15-58-14	-9235.5
STOCK	2015-10-13-12-44-52	-10719.6
STOCK	2015-10-13-15-55-20	-101.3
STOCK	2015-10-13-10-20-15	847.2
STOCK	2015-10-14-10-38-35	5629.9
STOCK	2015-10-14-09-32-10	7009.2
STOCK	2015-10-14-13-10-58	-1416.9
OPTION	2015-10-14-11-57-12	3788.5
STOCK	2015-10-14-15-51-19	-680.5
STOCK	2015-10-16-10-13-06	-15555.3
OPTION	2015-10-16-14-11-41	14341.7
OPTION	2015-10-16-14-23-59	49456.6
STOCK	2015-10-19-10-15-23	5918.7
OPTION	2015-10-19-12-03-09	19793
STOCK	2015-10-19-15-44-10	-354.9
STOCK	2015-10-19-15-51-31	789.2
STOCK	2015-10-20-10-49-57	8954.6
OPTION	2015-10-20-15-27-30	-8765.1
STOCK	2015-10-20-15-09-33	3478.1
OPTION	2015-10-20-15-32-07	-3158
STOCK	2015-10-20-13-57-24	7076.3
STOCK	2015-10-21-10-13-04	-750.7
STOCK	2015-10-21-10-27-54	349.8
OPTION	2015-10-21-10-28-36	13467.9
OPTION	2015-10-21-10-01-07	-6916.1
STOCK	2015-10-21-15-50-09	-1092.7
STOCK	2015-10-21-15-51-01	2348.1
OPTION	2015-10-21-15-07-20	13085.1
OPTION	2015-10-22-10-22-29	-17640.1
STOCK	2015-10-22-15-57-35	16441.3
STOCK	2015-10-22-15-01-02	-20105.1
STOCK	2015-10-22-14-57-22	6498.2
OPTION	2015-10-22-15-35-48	15359.9
STOCK	2015-10-23-11-45-18	13443.5
STOCK	2015-10-23-09-07-21	503.1
OPTION	2015-10-23-15-34-46	14356.3
STOCK	2015-10-23-11-41-15	5021
STOCK	2015-10-26-11-15-00	-18774.6
STOCK	2015-10-26-11-51-09	3747.9
OPTION	2015-10-26-11-14-22	8439.5
STOCK	2015-10-27-09-50-59	-2424.7
STOCK	2015-10-27-15-53-05	-9147
OPTION	2015-10-27-11-29-21	8691
STOCK	2015-10-27-15-33-46	-7583.1
STOCK	2015-10-27-15-47-08	1577.2
STOCK	2015-10-28-09-36-05	-6846.6
STOCK	2015-10-28-10-31-37	3741.1
OPTION	2015-10-28-12-57-54	-15129.1
OPTION	2015-10-28-15-31-01	40195.4
OPTION	2015-10-28-15-57-04	7481.8
OPTION	2015-10-28-15-55-51	-3750.8
OPTION	2015-10-28-15-45-12	276.5
STOCK	2015-10-29-10-09-45	179.2
OPTION	2015-10-29-09-40-40	-10150.9
STOCK	2015-10-29-09-42-10	-13036.9
OPTION	2015-10-29-10-42-55	-50438.3
OPTION	2015-10-29-14-10-11	1849.1
STOCK	2015-10-30-09-38-33	-3939.3
OPTION	2015-10-30-10-53-22	20675
 
SuperVolatility said:
Neke
How do you manage over trading and impulse trades?
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By 'trying'. There is no doubt it is a major concern. My target number of option trades at the start of the year is 80 for the entire year. Now it is already 345. That has major negative impact on my performance after factoring in the costs. The sure way to avoid over-trading would be laying down hard-and-fast objective rules on what trades to take and sticking with it - Unfortunately I have not found such - restrictive enough to eliminate all the impulse trades while allowing all my well-planned trades.
 
Congrats Neke!

if you don't mind to tell me the steps of how you set up the Thinkorswim platform to automatically execute your trading scripts. it seems one could configure the platform in a way that his buy and sell orders could be automatically executed by the platform when certain conditions are met during a day. Thank you much.
 
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