BWolinsky Trading

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If anyone's wondering, this is where I'm at with Cash Cow. The system has been down since Mid July for reasons out of my control.

All Trades
Starting Capital $10,000.00
Ending Capital $107,024.67
Net Profit $97,024.67
Net Profit % 970.25%
Annualized Gain % 541.07%
Exposure 23.53%
Total Commission ($768.00)
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00

Number of Trades 48
Average Profit $2,021.35
Average Profit % 2.73%
Average Bars Held 17.25

Winning Trades 39
Win Rate 81.25%
Gross Profit $117,770.11
Average Profit $3,019.75
Average Profit % 3.93%
Average Bars Held 17.28
Max Consecutive Winners 15

Losing Trades 9
Loss Rate 18.75%
Gross Loss ($20,745.44)
Average Loss ($2,305.05)
Average Loss % -2.45%
Average Bars Held 17.11
Max Consecutive Losses 1

Maximum Drawdown ($10,834.52)
Maximum Drawdown Date 5/7/2009
Maximum Drawdown % -33.31%
Maximum Drawdown % Date 11/21/2008

Wealth-Lab Score 1,533.17
Sharpe Ratio 2.26
Profit Factor 5.68
Recovery Factor 8.96
Payoff Ratio 1.6


With this as the tradeslist
Position Symbol Quantity Entry Date Entry Price Exit Date Exit Price Profit % Profit $
Long SDS 313 9/2/2008 10:30 63.56 9/2/2008 12:15 64.22 0.96 $190.58
Long SSO 381 9/16/2008 15:00 53.16 9/17/2008 13:15 51.19 -3.78 ($766.57)
Long SSO 360 9/17/2008 15:00 52 9/19/2008 10:15 57.38 10.26 $1,920.80
Long SSO 478 10/2/2008 10:15 47.13 10/2/2008 15:00 45.34 -3.87 ($872.58)
Long SDS 220 10/9/2008 10:15 94.6 10/9/2008 11:15 98.48 4.03 $838.30
Long SSO 826 10/10/2008 12:45 27.22 10/13/2008 13:45 33.13 21.63 $4,864.01
Long SSO 1,221 10/27/2008 10:30 26.37 10/27/2008 14:00 27.65 4.8 $1,546.88
Long SSO 1,165 10/29/2008 14:45 30.28 10/31/2008 14:00 32.71 7.98 $2,814.95
Long SSO 1,646 11/13/2008 14:30 24.81 11/13/2008 15:00 26.04 4.92 $2,008.58
Long SDS 421 11/18/2008 15:30 106.48 11/20/2008 10:45 118.87 11.6 $5,200.19
Long SSO 2,506 11/20/2008 12:45 22.04 11/25/2008 11:45 24.06 9.14 $5,046.12
Long SSO 2,512 12/16/2008 15:00 25.96 12/17/2008 9:45 26.58 2.35 $1,534.91
Long SSO 2,782 1/28/2009 14:45 24.54 1/29/2009 12:00 23.61 -3.81 ($2,603.26)
Long SSO 2,894 2/5/2009 10:45 21.8 2/5/2009 14:15 22.83 4.7 $2,964.82
Long SSO 3,646 2/20/2009 14:45 18.93 2/24/2009 11:15 18.25 -3.62 ($2,495.64)
Long SDS 669 2/27/2009 14:30 95.58 3/2/2009 12:30 106.16 11.04 $7,062.02
Long SDS 732 3/4/2009 10:15 106.73 3/5/2009 10:45 108.63 1.76 $1,371.87
Long SSO 4,552 3/13/2009 11:30 17.76 3/16/2009 12:15 18.68 5.17 $4,177.30
Long SDS 1,021 3/16/2009 15:00 87.29 3/17/2009 10:15 90.75 3.95 $3,516.66
Long SDS 1,168 3/19/2009 11:30 82.29 3/19/2009 13:30 82.89 0.71 $684.80
Long SDS 1,319 3/25/2009 11:00 73.89 3/25/2009 15:15 79.88 8.1 $7,890.09
Long SSO 5,692 4/1/2009 10:45 19.89 4/1/2009 14:45 20.48 2.95 $3,342.28
Long SSO 5,937 4/1/2009 15:30 20.19 4/2/2009 10:30 21.66 7.27 $8,717.33
Long SSO 6,142 4/13/2009 10:15 22.33 4/13/2009 16:00 23.28 4.24 $5,820.13
Long SSO 6,613 4/14/2009 10:30 22.49 4/14/2009 10:45 22.68 0.83 $1,233.86
Long SDS 2,229 4/14/2009 11:30 67.84 4/14/2009 13:30 69.41 2.3 $3,479.29
Long SDS 2,402 4/22/2009 15:30 65.82 4/23/2009 9:45 68.21 3.62 $5,724.78
Long SSO 7,404 4/24/2009 14:30 22.91 4/27/2009 12:00 23.31 1.74 $2,946.34
Long SSO 7,697 4/28/2009 10:30 22.79 4/29/2009 11:15 23.66 3.81 $6,681.16
Long SDS 2,952 5/1/2009 10:15 63.92 5/1/2009 10:45 64.59 1.04 $1,961.84
Long SDS 3,294 5/6/2009 10:30 58.47 5/7/2009 9:45 56.07 -4.11 ($7,921.27)
Long SDS 3,055 5/7/2009 10:45 57.88 5/7/2009 14:15 58.74 1.48 $2,610.99
Long SDS 3,229 5/8/2009 15:30 56.36 5/11/2009 14:15 57.45 1.92 $3,500.70
Long SSO 7,628 5/13/2009 10:15 24.77 5/13/2009 11:00 24.75 -0.09 ($168.56)
Long SSO 7,695 5/14/2009 10:30 24.53 5/14/2009 11:45 24.68 0.6 $1,139.02
Long SDS 3,480 6/30/2009 10:30 54.85 6/30/2009 12:30 55.74 1.61 $3,081.20
Long SDS 3,390 7/7/2009 10:15 58.15 7/7/2009 12:30 59.06 1.56 $3,068.90
Long SDS 3,350 7/8/2009 15:30 60.65 7/10/2009 12:00 61 0.57 $1,156.50
Long SDS 3,859 7/15/2009 15:30 53.25 7/16/2009 12:15 53.29 0.07 $137.20
Long SSO 7,407 7/21/2009 10:30 27.79 7/21/2009 13:15 27.53 -0.94 ($1,941.82)
Long SDS 4,186 7/27/2009 10:15 48.21 7/27/2009 11:15 48.59 0.78 $1,574.68
Long SDS 4,449 8/3/2009 11:00 46.08 8/3/2009 14:30 45.8 -0.62 ($1,261.72)
Long SDS 4,413 8/4/2009 10:30 45.89 8/4/2009 11:00 45.96 0.14 $292.91
Long SSO 6,631 8/5/2009 10:30 30.62 8/5/2009 15:15 31.07 1.46 $2,967.95
Long SDS 4,551 8/6/2009 10:15 45.93 8/6/2009 14:15 46.3 0.8 $1,667.87
Long SSO 6,808 8/7/2009 10:45 31.19 8/7/2009 11:45 31.63 1.4 $2,979.52
Long SSO 6,918 8/7/2009 15:30 31.55 8/10/2009 9:45 31.16 -1.24 ($2,714.02)
Long SSO 6,809 8/10/2009 10:15 31.26 8/10/2009 11:45 31.27 0.02 $52.77
 

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How long do you think that a constant volume threshold of 20,000 will work going forward? Stock market volume has not been constant in the past so why assume it will be in the future? Why not something more adaptable?
Quote from bwolinsky:

I don't really think stationarity or non-stionationarity in particular is a problem for systems based on quantiative or technical analysis because they do not attempt to minimize variances to make predictions about future events. Linear regression depends on it, but these systems are not linear regressions, so stationarity by itself is not relevant. And, yes, I've studied it. It was all of quant at Level II with time series, and I realized it only makes a difference if you're working with regression in predicting your output, in this case a trade.

I'm not saying that markets are stationary, but that just having hard and fast rules don't apply to a trading system because it's a different kind of dataset that you are trying to do something completely different than minimizing variances for best fit. If you were to place two time series consecutively, match them, and test to see if they were covariance stationary they probably wouldn't be, but that only applies to regression, especially time series regression. There are no rules in particular that apply and especially the rule governing the pre-conditions for when to use linear regression don't apply in this trading system. It's only applicable if you are actual doing linear regression as your only predictor of values.
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Quote from Trader666:

How long do you think that a constant volume threshold of 20,000 will work going forward? Stock market volume has not been constant in the past so why assume it will be in the future? Why not something more adaptable?
More...

As far as I know, Jack has had 20000 contracts as his value for over 10 years now, so I don't believe it's out of the question to last awhile. Especially when you look at the chart and very rarely observe contracts above 20000 in a 15 minute period.
 
Finally, volatility has normalized. What this means is that it's ok to take oversold trades and overbought trades again provided that the fair value is predicted to be higher.

QLD Projection: 49.9844687325614 QLD Close: 45.560001373291
QLD Projection: 45.03189052235 QLD Close: 45.560001373291
QLD Projection: 45.474933660598 QLD Close: 45.560001373291

Is what I'm looking at. It would appear that QLD would need to drop about 2% or have the market give back about 1 percent to be going long in QLD.

Cash cow had a pretty nice trade from 30.57 to 31.26 from yesterday at 11 am to today at 11:15 am. It's pretty unfortunate that the SPX datafeed is down.
 
Anyone want to guess what PTQQS is doing on Monday? Some of the predicted values weren't that much higher than where we traded at around the post-market close at 8 pm today. I'm finding I do a bit better with QLD.

What's odd is Fidelity issued a warning before I could enter the trades saying something like QLD and QID and leveraged ETF's are for competent professionals, which is true.

I might as well comment on the stupidity I see, especially from Jim Cramer. Leveraged ETF's are for professionals. They affect how quickly market moves occurr. I would say resoundingly only experienced traders use these instruments, but that doesn't make them any easier to trade. ETF's provide an enormous amount of liquidity to the market in the form of leverage. It is moronic to go on a tirade against perfectly priced instruments. I think what bothers Jim the most is that double leveraged ETF's pegged to twice the daily return intrinsically go to zero. If you are looking to invest in double leveraged ETF's, your time and money might be better spent on long term leaps on indexes. You essentially have unlimited margin ability through options, and you will be able to replicate the returns of the underlying through leverage without being pegged to the double leveraged daily returns of the index.

Theoretically, QLD should be worth zero by now. The NAZ100 lost over 50% of it's value declining from 122 to about 19 and change. FAS and FAZ are both in the single dollars from mid two digits about. As volatility increases in these instruments, much of the allure of participating in twice the daily movement is removed if your timing is off. The illustration they give you in the prospectus is deceptively simple. If you make 1% today, and lose 1% tomorrow on the underlying, you've actually lost 1.01^2*0.99^2-1=a 2 basis point loss. You can shrug that off, I'm sure, but as the volatility has increased since these instruments inception, the disparity between index return and double leveraged returns greatly increases. Hence the warning probably put out by the SEC to warn potential long term investors.

If you are looking for leveraged returns, then, you are left with buying the 1:1 ETF on margin. Trading as I do at nearly 4:1 is only acceptable for extremely short periods of time, as time decay and random volatility will send both of these securities to zero. Not yet for some, but too late for others, especially in the panic selling of the financial sector.

I'm looking forward to the next several months.

Period Starting $ Return % Return % Max DD Exposure Entries Exits
7/13/2006 33,107.97 33.11 -1.45 16.58 9 9
1/3/2007 76,262.66 57.29 -4.07 20.08 23 23
1/2/2008 144,915.81 69.21 -14.33 16.47 26 26
1/2/2009 -11,399.50 -3.22 -10.91 11.23 11 11


I'm currently off 3.22% this year, and if you've read the thread I haven't changed my method since August of 2007, when the curve went from 104 to 202 about. Incidentally, these results are for 96% of equity, and may differ from what you see in other places. For the most part, I've had nearly identical fills with the system as well as positive slippage on a net basis.

I see Neke's off about 0.8% so far this year, but has endured quite a bit more drawdown in his trading for the year, mostly on the back of discretionary trades, but hindsight is always 20/20.

I'm thinking this year will turn around. I'm hoping I can at least double the market return, probably about 40%. Might be wishful thinking, but I was up 39% in one month before, so I certainly think that it is possible. On an unleveraged basis that'd be about 20%.

Have not traded in about a month. I've been waiting for volatility to normalize, as the trades in the last four months since April were slightly out of synch due to the market trending rather than oscillating.
 
Quote from bwolinsky:


Have not traded in about a month.

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No wonder I saw u at JCPenney a week ago at 10am on a Tuesday.

I was wondering why you were not trading during the market hours. Now you answered my question.
 
Quote from BPtrader:

No wonder I saw u at JCPenney a week ago at 10am on a Tuesday.

I was wondering why you were not trading during the market hours. Now you answered my question.
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I would have, but Fidelity's dragging ass with the SPX datafeed, and I don't shop at JC Penney.
 
You know what might be a unique pt, take a look at a comparison chart of AMAT (Applied Materials) and SSG (Ultra short semi conductors). A couple months ago after going through every single stock in the DJ US Semiconductors Index, I noticed that AMAT was almost an exact opposite of SSG, outside of the % of the moves, but the lines were close to identical. Just found it to be interesting as the actual index is up almost an equal percent as SSG is down, but AMAT is more realistic to the 2:1 ratio. Does this make sense?

Anyway, as far as the qqs, for Monday, I myself would need another draw from Monday to get an idea of direction. But to go out on a limb, I'm kinda thinking that the weakness August 11 and 12 in the Nasdaq may result in a modest pullback down to around 1950ish.
 
Quote from Topper:

You know what might be a unique pt, take a look at a comparison chart of AMAT (Applied Materials) and SSG (Ultra short semi conductors). A couple months ago after going through every single stock in the DJ US Semiconductors Index, I noticed that AMAT was almost an exact opposite of SSG, outside of the % of the moves, but the lines were close to identical. Just found it to be interesting as the actual index is up almost an equal percent as SSG is down, but AMAT is more realistic to the 2:1 ratio. Does this make sense?

Anyway, as far as the qqs, for Monday, I myself would need another draw from Monday to get an idea of direction. But to go out on a limb, I'm kinda thinking that the weakness August 11 and 12 in the Nasdaq may result in a modest pullback down to around 1950ish.
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You must be referring to the Nasdaq composite, I'm talking about the NAZ100 or .NDX symbol is what I focus on.

AMAT is a rather large company, and I imagine next to Intel has a lot of influence over that security. I think what you're getting at is why not use the pairs system and pick securities out of it. I've thought about taking positions in RIMM, AAPL, and GOOG to take advantage of the under or overvaluations, but, in the end it's still a leveraged ETF trader.
 
1580ish- same weakness as composite.

BUT, I really do need the draw on Monday as Monday could quite possibly move to the upside in a possible exhaustion move which inturn will adjust the 1580 number slightly higher to average in the day. If we do get the pullback, each day taken prior to that action will result in the 1580 number to move slightly higher to compensate the averages.

1580ish as a starting point.
 
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