BWolinsky Trading
- Thread starter bwolinsky
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I discussed an investment advisory partnership tonight, and I believe it will triple my assets under management. That's why I wasn't posting for a good 4 hours. Looking forward to it.
Still trending upward. Market seemed a little weak in the middle of the day. No conviction, though, and finished up.
Still trending upward. Market seemed a little weak in the middle of the day. No conviction, though, and finished up.
knock yourself out with that one lot trade.
as soon as you receive the funds from your nephew and grandpa, you'll be able to double up which deserves a whole new journal and a small party with your friends here at ET.
keep on with the good job blowinsky
QLD Projection: 43.8108568380167 QLD Close: 54.0999984741211
QLD Projection: 54.5003623962402 QLD Close: 54.0999984741211
QLD Projection: 51.8325706118629 QLD Close: 54.0999984741211
What this shows is even if we finished at the highs of the day, QLD is now pointing higher. Note the middle value predicts 54.5 for QLD, so it may be some time before we have a trade. I'm betting tomorrow will point even higher even if QLD doesn't actually go higher. It is shifting around a u shape of closing prices and starting a little behind halfway, which marks the up trend.
We wouldn't fight that. Market has had a good run so far this year, and I'm expecting it to continue well into next year. As an investment advisor rep, I always have to be long since I can't short anything, so what happened was my clients invested near all time highs, about 20% off, drewdown to being -20% after being up 10% about, and now they are back to those levels, and pretty happy considering we are 20% below their S&P inception levels.
Don't have much else. Volatility is narrowing a bit, which serves to narrow the fair value ranges.--
Sincerely,
Beau Wolinsky
This was an excerpt for subscribers but applies here as well.
QLD Projection: 54.5003623962402 QLD Close: 54.0999984741211
QLD Projection: 51.8325706118629 QLD Close: 54.0999984741211
What this shows is even if we finished at the highs of the day, QLD is now pointing higher. Note the middle value predicts 54.5 for QLD, so it may be some time before we have a trade. I'm betting tomorrow will point even higher even if QLD doesn't actually go higher. It is shifting around a u shape of closing prices and starting a little behind halfway, which marks the up trend.
We wouldn't fight that. Market has had a good run so far this year, and I'm expecting it to continue well into next year. As an investment advisor rep, I always have to be long since I can't short anything, so what happened was my clients invested near all time highs, about 20% off, drewdown to being -20% after being up 10% about, and now they are back to those levels, and pretty happy considering we are 20% below their S&P inception levels.
Don't have much else. Volatility is narrowing a bit, which serves to narrow the fair value ranges.--
Sincerely,
Beau Wolinsky
This was an excerpt for subscribers but applies here as well.
Are the 3 projections basically linear regressions of 3 different lengths? A quick drawing of LR lines seems to indicate that they're long-, intermediate- and short-term LR lines.
All Trades
Starting Capital $1,000,000.00
Ending Capital $4,572,622.60
Net Profit $3,572,622.60
Net Profit % 357.26%
Annualized Gain % 251.18%
Exposure 20.92%
Total Commission ($880.00)
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00
Number of Trades 55
Average Profit $64,956.77
Average Profit % 1.62%
Average Bars Held 17.73
Winning Trades 36
Win Rate 65.45%
Gross Profit $5,700,081.43
Average Profit $158,335.60
Average Profit % 3.41%
Average Bars Held 18.5
Max Consecutive Winners 8
Losing Trades 19
Loss Rate 34.55%
Gross Loss ($2,127,458.83)
Average Loss ($111,971.52)
Average Loss % -1.76%
Average Bars Held 16.26
Max Consecutive Losses 6
Maximum Drawdown ($805,330.87)
Maximum Drawdown Date 11/21/2008
Maximum Drawdown % -34.41%
Maximum Drawdown % Date 11/21/2008
Wealth-Lab Score 787.49
Sharpe Ratio 1.87
Profit Factor 2.68
Recovery Factor 4.44
Payoff Ratio 1.94
So I think it's time to do a post-mortem on Cash Cow. Above is the backtest, but masks the recent underperformance starting on June 29th, 2009 approximately when I started.
All Trades
Starting Capital $1,000,000.00
Ending Capital $949,527.12
Net Profit ($50,472.88)
Net Profit % -5.05%
Annualized Gain % -12.90%
Exposure 21.33%
Total Commission ($320.00)
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00
Number of Trades 20
Average Profit ($2,523.64)
Average Profit % -0.12%
Average Bars Held 15.35
Winning Trades 9
Win Rate 45.00%
Gross Profit $145,319.79
Average Profit $16,146.64
Average Profit % 0.87%
Average Bars Held 17.11
Max Consecutive Winners 3
Losing Trades 11
Loss Rate 55.00%
Gross Loss ($195,792.68)
Average Loss ($17,799.33)
Average Loss % -0.93%
Average Bars Held 13.91
Max Consecutive Losses 6
Maximum Drawdown ($131,824.46)
Maximum Drawdown Date 10/28/2009
Maximum Drawdown % -12.77%
Maximum Drawdown % Date 10/28/2009
Wealth-Lab Score -68.19
Sharpe Ratio -0.81
Profit Factor 0.74
Recovery Factor 0
Payoff Ratio 0.93
Some technical problems during the period, but not too far from where the end result is. Have about another 1.5 months to go.
Starting Capital $1,000,000.00
Ending Capital $4,572,622.60
Net Profit $3,572,622.60
Net Profit % 357.26%
Annualized Gain % 251.18%
Exposure 20.92%
Total Commission ($880.00)
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00
Number of Trades 55
Average Profit $64,956.77
Average Profit % 1.62%
Average Bars Held 17.73
Winning Trades 36
Win Rate 65.45%
Gross Profit $5,700,081.43
Average Profit $158,335.60
Average Profit % 3.41%
Average Bars Held 18.5
Max Consecutive Winners 8
Losing Trades 19
Loss Rate 34.55%
Gross Loss ($2,127,458.83)
Average Loss ($111,971.52)
Average Loss % -1.76%
Average Bars Held 16.26
Max Consecutive Losses 6
Maximum Drawdown ($805,330.87)
Maximum Drawdown Date 11/21/2008
Maximum Drawdown % -34.41%
Maximum Drawdown % Date 11/21/2008
Wealth-Lab Score 787.49
Sharpe Ratio 1.87
Profit Factor 2.68
Recovery Factor 4.44
Payoff Ratio 1.94
So I think it's time to do a post-mortem on Cash Cow. Above is the backtest, but masks the recent underperformance starting on June 29th, 2009 approximately when I started.
All Trades
Starting Capital $1,000,000.00
Ending Capital $949,527.12
Net Profit ($50,472.88)
Net Profit % -5.05%
Annualized Gain % -12.90%
Exposure 21.33%
Total Commission ($320.00)
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00
Number of Trades 20
Average Profit ($2,523.64)
Average Profit % -0.12%
Average Bars Held 15.35
Winning Trades 9
Win Rate 45.00%
Gross Profit $145,319.79
Average Profit $16,146.64
Average Profit % 0.87%
Average Bars Held 17.11
Max Consecutive Winners 3
Losing Trades 11
Loss Rate 55.00%
Gross Loss ($195,792.68)
Average Loss ($17,799.33)
Average Loss % -0.93%
Average Bars Held 13.91
Max Consecutive Losses 6
Maximum Drawdown ($131,824.46)
Maximum Drawdown Date 10/28/2009
Maximum Drawdown % -12.77%
Maximum Drawdown % Date 10/28/2009
Wealth-Lab Score -68.19
Sharpe Ratio -0.81
Profit Factor 0.74
Recovery Factor 0
Payoff Ratio 0.93
Some technical problems during the period, but not too far from where the end result is. Have about another 1.5 months to go.
For Pairs Trading QID QLD 2.0:
QLD Projection: 45.2352522881476 QLD Close: 55.0099983215332
QLD Projection: 55.3341800342907 QLD Close: 55.0099983215332
QLD Projection: 53.0016179765974 QLD Close: 55.0099983215332
It would appear we're looking at setting some new 52 week highs, or very close. The strong uptrend and U-shape of the last 20 trading days closing prices accentuates the shift from the start of the U out through the end of U, which is the approximate path the QLD projected price has taken and kind of lags the market, but when you're about half way down, you have a flat projected price that starts going up as you get to the end. Appears nearly parabolic where we're at today to point at new highs.
Some more info on the day:
QID Needs to drop -3.14869447117409%
Up Threshold is $ 20.1741268677628 on QID
RSQR = 0.11991261690855 and the Price for QID is projected to be $21.6759251646943 with a close of $20.8299999237061
QLD Projection: 45.2352522881476 QLD Close: 55.0099983215332
QLD Projection: 55.3341800342907 QLD Close: 55.0099983215332
QLD Projection: 53.0016179765974 QLD Close: 55.0099983215332
It would appear we're looking at setting some new 52 week highs, or very close. The strong uptrend and U-shape of the last 20 trading days closing prices accentuates the shift from the start of the U out through the end of U, which is the approximate path the QLD projected price has taken and kind of lags the market, but when you're about half way down, you have a flat projected price that starts going up as you get to the end. Appears nearly parabolic where we're at today to point at new highs.
Some more info on the day:
QID Needs to drop -3.14869447117409%
Up Threshold is $ 20.1741268677628 on QID
RSQR = 0.11991261690855 and the Price for QID is projected to be $21.6759251646943 with a close of $20.8299999237061
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