Do my numbers make sense?
- Thread starter Adim
- Start date
Mr Muppet
1) thank you. makes me feel (for a moment) that maybe i have not gone completely gaga in my old age senility (58). you're the boss! can i send you my gf? she's cute
2) what i am reporting is not a backtest result. it is a trading result from april 2, 2021 through November 12, 2021. trading result (93/7) is better than backtest result (68/32) because it was expected to be so: the backtest looked for the existence of a particular condition indicating the existence of a small forward window; while trading was designed to then exploit price volatility during that window while it lasted (then exit)
3) i am testing this on a small account which is not the most efficient. i calculate $1M-100M is needed to maximize trading profits (such an account could trade every penny instead of trading every 20c as I do now, increasing profitability) AND minimize fees (i am with IB and pay for every 100s and sometimes trade ony 5-10 shares in a day)
1) thank you. makes me feel (for a moment) that maybe i have not gone completely gaga in my old age senility (58). you're the boss! can i send you my gf? she's cute
2) what i am reporting is not a backtest result. it is a trading result from april 2, 2021 through November 12, 2021. trading result (93/7) is better than backtest result (68/32) because it was expected to be so: the backtest looked for the existence of a particular condition indicating the existence of a small forward window; while trading was designed to then exploit price volatility during that window while it lasted (then exit)
3) i am testing this on a small account which is not the most efficient. i calculate $1M-100M is needed to maximize trading profits (such an account could trade every penny instead of trading every 20c as I do now, increasing profitability) AND minimize fees (i am with IB and pay for every 100s and sometimes trade ony 5-10 shares in a day)
Then just go ahead and rake in the doughMr Muppet
1) thank you. makes me feel (for a moment) that maybe i have not gone completely gaga in my old age senility (58). you're the boss! can i send you my gf? she's cute
2) what i am reporting is not a backtest result. it is a trading result from april 2, 2021 through November 12, 2021. trading result (93/7) is better than backtest result (68/32) because it was expected to be so: the backtest looked for the existence of a particular condition indicating the existence of a small forward window; while trading was designed to then exploit price volatility during that window while it lasted (then exit)
3) i am testing this on a small account which is not the most efficient. i calculate $1M-100M is needed to maximize trading profits (such an account could trade every penny instead of trading every 20c as I do now, increasing profitability) AND minimize fees (i am with IB and pay for every 100s and sometimes trade ony 5-10 shares in a day)
> Then just go ahead and rake in the dough
well, I am, for the moment.
i came here to check my bearings because the temptation to go full hog (i.e levergae 5x) is huge (and scary). i want someone to please rain in on my parade-- but please with good criticism, not a remark that my mother wears army boots (which she does) or the observation that my penis is small (it's average, thank you)
well, I am, for the moment.
i came here to check my bearings because the temptation to go full hog (i.e levergae 5x) is huge (and scary). i want someone to please rain in on my parade-- but please with good criticism, not a remark that my mother wears army boots (which she does) or the observation that my penis is small (it's average, thank you)
Risk to reward
Now your numbers don't make sense. With a 93% win rate you should be kicking ass.
Unless your position size is so small that the wins don't amount to much.
How are you sizing your trades?
What are you risking as a percentage of your account? Say you have a 100K account size, if you risk $1000 per trade ( risk is the difference between your entry and your stop times the number of shares) you'd be risking 1%.
deadog
> Now your numbers don't make sense.
this is exactly what i wanted to hear! WHY DO MY NUMBERS NOT MAKE SENSE? PLEASE SAY! I want to know where I am wrong!
> With a 93% win rate you should be kicking ass.
well, I am. but you know what happens when you rock? you start asking yourself, what-de??????
> How are you sizing your trades?
since I expect to carry ~33 positions, my starter is 1.5% of the portfolio. then i let the routine trade (buy and sell) and if it hits 3% it screams and then i think what to do with it.
> What are you risking as a percentage of your account?
i have other accounts (if you are asking about my financial well being, thank you). of this account, like i said, I start with 1.5% and let it rip. when it hits 3%, it screams and then i decide what to do. usually i buy more, or buy calls, until exit. but sometimes I just take a loss.
you see? its not fully automated yet. there is a lot of human input in this, for the moment, which is why it is not a "program", yet, only a method (partly automated). but i think those decisions -- which stock to feed and whether and when to exit -- can be automated. decision tree should be simple, coding it is another story (for me)
I do use leverage. so when market is down and I think it we are just correcting, i might increase the size, or start buying calls. or sell the stock and replace it with calls. lowest i have been is like 0.75x and highest (September 30) was 1.59x.
> Now your numbers don't make sense.
this is exactly what i wanted to hear! WHY DO MY NUMBERS NOT MAKE SENSE? PLEASE SAY! I want to know where I am wrong!
> With a 93% win rate you should be kicking ass.
well, I am. but you know what happens when you rock? you start asking yourself, what-de??????
> How are you sizing your trades?
since I expect to carry ~33 positions, my starter is 1.5% of the portfolio. then i let the routine trade (buy and sell) and if it hits 3% it screams and then i think what to do with it.
> What are you risking as a percentage of your account?
i have other accounts (if you are asking about my financial well being, thank you). of this account, like i said, I start with 1.5% and let it rip. when it hits 3%, it screams and then i decide what to do. usually i buy more, or buy calls, until exit. but sometimes I just take a loss.
you see? its not fully automated yet. there is a lot of human input in this, for the moment, which is why it is not a "program", yet, only a method (partly automated). but i think those decisions -- which stock to feed and whether and when to exit -- can be automated. decision tree should be simple, coding it is another story (for me)
I do use leverage. so when market is down and I think it we are just correcting, i might increase the size, or start buying calls. or sell the stock and replace it with calls. lowest i have been is like 0.75x and highest (September 30) was 1.59x.
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Thing is, most people here have 20-30% returns as target because the big fund managers average about that. As a small fry you have way more edge to exploit so you can asume returns north of 300% which are in turn capped capped at a certain size due to liquidity constraints.
When it comes to going full bonkers, you don't just flip the switch. Whenever I try something new I have 3 stages:
1. small size to test and collect data.
2. meaningfull size so that it hurts your ego a bit when you get rolled but does not kill you. This stage is taking the longest time for me because I don't know what I don't know. I might be playing a weird correlation, regulatory arb liquidity transfer towards an instrument that doesn't really trade much and I WANT to fail here. Because when I get sacked, I learn for how much...and when I do that with mini size, I just don't care.
3. Send it. I take data from stage 1&2 and build a risk management around it plus max. size, greek exposure, etc. And then I just milk it until it doesn't work anymore.
Don't just yank all your money in there because you have a good feeling. Don't just double up from day one to day two. Ease in, learn the boundaries of your strategy and then go full force.
Few people know how it feels to sit on a 5m$ position in an asset that only trades 300k$ per day...that's where the major fuck ups come in and that's why you want to test how far you can go.
Good luck!
Well if you're kicking ass just keep kicking. I said they didn't make sense because with the win rate and a bigger profits than losses you should be doing fine
That's a lot of positions. How many trades per day or week. Are trading costs a factor?
No I'm not concerned about your financial well being, I measure my risk per trade by how much I stand to lose. I like to keep it under 1% of my capital.
I don't play with options or other derivatives. I'm strictly a stock swing trader. Probably won't be much help to you.
I'm not sure why you are asking if your results are too good since your are trading live with real money.
For now, you're doing like 43% better than the S&P, which is very good, but far from too good.
So, the year the S&P will be down by 10%, you'll probably going to be down by 7% or so, if you system does the same in a bear market.
Without any more details, I'm suspecting that your stop loss parameter (if any) is set very loose, meaning that you'll get hit very bad if the market goes against you (goes down).