5min/1h TrendFollowing on ESTX50, SMI, & GBL

Quote from me1969:

One ESTX50 long over the weekend?
So bullish in this market?
More...

My stop in 30mins hasn't been hit.... I won't argue
with it.
 
Trades closed on Fri 3/Nov/06:
---------------------------------
ESTX50: -17 pts, 5 RTs.
DAX: no trades.
SMI: +116 pts, 4 RTs.
GBL: no trades.
---------------------------------

Sleeping overnight:
-------------------
1x ESTX50 long from 3996 (-5)

[
USD.CHF out 40k @ 1.2474, +20 pips, +80 CHF
Here is the rest I am currently holding:
1000xCTCC @ 0.085 (-0.055)
400x EZEN @ 1.85 (-0.15)
350x FORD @ 5.43 (-0.41)
400x KHD @ 5.35 (+0.15)
300x MSLV @ 3.09 (+0.97)
200x PLAY @ 11.03 (+2.33)
500x SAMC @ 1.00 (-0.12)
400x SFE @ 2.34 (+0.11)
100x SGMO @ 5.61 (-0.12)
200x SNUS @ 5.06 (+0.52) + 200 @ 5.61 (-0.03)
100x WNR @ 23.53 (+0.86)
USD.CAD long 50k @ 1.1254 (+43 pips)
USD.CAD long 50k @ 1.1296 (+1 pip)
AUD.USD short 40k @ 0.7743 (+41 pips)
AUD.USD short 35k @ 0.7732 (+30 pips)
]

*** new equity high @ $24,328 (+87.14%)

(I believe something is wrong with my IB
account, since my previous statements and
trades don't add up. Specifically, I am missing
364CHF. I opened a trouble ticket and waiting...)
 
Weekly summary, week ending on Fri 27/Oct/06:
---------------------------------
ESTX50: +40 pts, 29 RTs.
DAX: 0 pts, 1 RT.
SMI: +121 pts, 16 RTs.
GBL: -70 pts, 1 RT.
---------------------------------
Account balance (22:19 CET): $24,328

Weekly return: +$1,468 +6.42%
Total return: +$11,328 +87.14%
 
Quote from KS96:

Weekly summary, week ending on Fri 27/Oct/06:
More...

That should be 3/Nov/06... sorry.

I did some rough calculations. It's around 10 weeks that this journal is going on, and I returned +87%, that's a +6.5% per week on average compounded. In comparison, Larry Williams was compounding with around +9.5% per week on average when he turned 10k to 1.1m in 52 weeks back in 1987.

Now, with my rate of coumpounding, I need 69 weeks to turn 13k to 1 million, that is 59 weeks to go ;-) Dream on...
 
Also, since my return comes from trading a wide range of products (Eurex Futures, Forex, and Stocks), in different timeframes, and with several techniques, I don't think that I just got lucky. I took my lots of losses, small and big ones, as well. I see no reason why my rate of compounding will go down. It most probably will go up, because there must be some learning curve that I am riding, or not?

Here is the breakdown of the returns per week:

1/9 +6.1% (1 week + 3 days, started on 23/8)
8/9 +2.2%
15/9 +11.1%
22/9 +3.3%
29/9 +8.6%
6/10 +19.1%
13/10 +14.9%
20/10 -5.5% (vacation week, remote trading)
27/10 +0.5% (slow come back after vacation)
3/11 +6.4%

I would appreciate any thoughts on this matter.
 
Just a thought: did you calculate the maximum leverage you ever used?

With a 3x leverage the challenge is the eventual big drawdowns:


chart20.gif



NB. To avoid the psychological damage of big drawdowns, Schindler Trading cut its leverage by half in April 2005.
 
I never went on margin for stocks so far.
The most capital I've used is 62% of my cash.

As for futures & forex combined, I try to keep
my initial margin requirements at a max of 50% of
my net liquidation, although intraday I have
stretched this up to 80%. Initial margin, not
maintenance.

My last drawdown (during the last 2-3 weeks)
hit an intraday low of less than 10%, and only
6% on a close basis.

I don't think I am taking excessive risks, what do
you think?
 
Quote from KS96:

I don't think I am taking excessive risks, what do you think?
More...
I would calculate the leverage as the ratio of the economic value of the positions to the available capital. Say 3 long ESTX50:

3 * 3991 * 10 = 119,730 euros

On a 20k euros account this is a 6:1 leverage (assuming no offsetting position).
On a directional trade, it is not considered conservative trading...

Now, as Soros said, leverage is a two edged sword. It works both on the risk side and the return side.

If, on the risk side, you have a money management plan to handle a loosing streak you'll be fine++
 
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