Double or Triple in a Year?

D

Dynamic Greeks

I’m posting here a small trading account (I traded it for someone else lately), in which the portfolio is positioned strictly according to the predefined parameters of quantitative strategy model. I’ll briefly describe the model in next post. Because the account is so small, so it can’t be optimized. Sometime it might be even inefficient. I’ll have a journal for a bit of big account later on once this account doubled. Also, because of the options play (relatively wider bid/ask spreads), thus expect initial loss when a new position is opened. Once the account reaches the cruise parameters, a stead profit will roll in. And because of the higher return, one could expect some big drawdown as well if the parameters are relaxed once a while with some small directional bet position. However, the drawdown can still be controlled at defined range. Generally, if I have big profit, I’ll loose bit of the risk parameter.

Presented here are the account value and cash info of the account statement. Because there is (will be) no withdraw and deposit before the account double, thus, the value at any given time will reflect the true return at that point.

Journal:

There is little activity from Jan 1, 2012 till end of the Aug. Please note that there is a small monthly maintenance fee of $10 for this account. The balance at the beginning of the year is: $10,018. And it is $9,973 at the end of the August.
journaltillaug31.jpg


There is a small loss in Sept due to the reason I’ve mentioned above (bid/ask spread when open position). The balance at the end of September is $9,624.
journaltillsep30.jpg


There has been a good return since end of Sep. The balance is $10,616 on Oct. 19.
journaltilloct19.jpg


I’ll use Mid-Sep as the reference day as the beginning of this journal and the value at the beginning is $9,799, the average of $9,973 and $9,264. I will update this journal periodically. Expect the account to double within a year or even triple if I loose risk parameter bit after 6 months or double. We shall see...
 
Basically, the model is a Greeks play with quantitative approach and dynamic adjust. With this model, one can fully stress/margin the account to last dollar of the account no matter how big (up to $100millions? Because of the liquidity, volume, etc.?), or how small it is since the account is more or less delta neutral. The portfolio of the account is primary consisting the index futures and options on futures, thus the bond performance (margin) of this account is SPAN margin and hence is highly leveraged. Furthermore, because of the positions are almost hedged one way or another, the return is further enhanced through compound return by margin on the return immediately.

To my understanding, through my almost 20 years of trading experience, to be a successful trader, one has to make consistent, stable, “predictable” profit. Manual day trading or scalping probably will not take one far enough in one’s trading career. These trading styles have the limit once one’s account reaches certain threshold. Or with one’s aging, one can’t compete with young traders any more. Keep “to develop a profitable trading system” in mind while one is still in one’s early learning stage/curve. The purpose of this journal here is to inspire those young people who wish to consider trading as their career.
 
Here is the update of this journal for the 4th week of the Oct.

journal4thweekoct.jpg




Please note:

The “Expect account to double” is based on current simple average daily return. It will change with the performance of the account. But it will converge in the end.

In the equity curve diagram, for easy to view, the initial value is set to zero and initial date is set to Sep 15. Thus, gain or loss can be clearly seen if the curve is above or below the zero line (horizontal-axis).

The initial margin requirement is at $10,054, which is higher than the beginning account value. It means that the account is margined on the return. Thus, expect compound return as I’ve mentioned in my previous post.

Due to the sensitivity and confidential reasons, I’ll not post the parameters here. Kindly understand.



Performance:

Account Value at the beginning of this journal:
$9,799

Account Value as of Friday, Oct 26, 2012:
$11,300

Return since the beginning of this journal:
15.31%

Return in the month: will update by month end
NA

Return in the week:
6.44%

Simple average daily return:
0.3829%

Expect account to double on:
Jun 4, 2013

Equity curve: see attached chart

chart4thweekoct.jpg




Parameters Compliance Since the beginning of this journal:

Risk experienced:
low

Max drawdown experienced (based on daily close):
7.39%

Initial Margin at most recent close:
$10,054

VAR at most recent close (99.5% confidence):
$2,570

Greeks: were all within predefined range.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;


PS:

In order to have a clearer screen for readers to go through the whole journal when it reaches lengthy in pages, kindly please do not reply to this thread. Anyone has question or likes to discuss the topic, PM me and let’s move over to other thread.

TIA.
 
Here is the update of this journal for Oct.

journaloct.jpg




Performance:

Account Value at the beginning of this journal:
$9,799

Account Value as of Wednesday, Oct 31, 2012:
$11,539

Return since the beginning of this journal:
17.76%

Return in the month:
17.76%

Return in the week:
NA

Simple average daily return:
0.3947%

Expect account to double on:
May 27, 2013


Equity curve:
Only one trading day since last update, not much difference. Will update by Friday close.



Parameters compliance since the beginning of this journal:

Risk experienced:
Low

Max drawdown experienced (based on daily close):
7.39%

Initial Margin at most recent close:
$10,120

VAR at most recent close (99.5% confidence):
$3,018

Greeks: were all within predefined range.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
 
Here is the update of this journal for 1st week of Nov.

journal1stweeknov.jpg




Performance:

Account Value at the beginning (Sep. 17, 2012) of this journal:
$9,799

Account Value as of Friday, Nov. 2, 2012:
$11,978

Return since the beginning of this journal:
22.24%

Return in the month:
NA

Return in the week:
6.00%

Simple average daily return:
0.4731%

Expect account to double on:
April 15, 2013


Equity curve (initial value set at zero):
See attached chart
chart1stweeknov.jpg





Parameters compliance since the beginning of this journal:


Risk experienced:
Low

Max drawdown experienced (based on daily close):
7.39%

Initial Margin at most recent close:
$11,331

VAR at most recent close (99.5% confidence):
$3,183

Greeks: were all within predefined range.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
 
Here is the update of this journal for the 2nd week of Nov.

journal2ndweeknov.jpg




Performance:

Account Value at the beginning (Sep. 16, 2012) of this journal:
$9,799

Account Value as of Friday, Nov. 9, 2012:
$12,592

Return since the beginning of this journal:
28.51%

Return in the month:
NA

Return in the week:
5.13%

Simple average daily return:
0.5279%

Expect account to double on:
March 24, 2013

Equity curve (initial value set at zero):
See attached chart
chart2ndweeknov.jpg




Parameters compliance since the beginning of this journal:


Risk experienced:
Low

Max drawdown experienced (based on daily close):
7.39%

Initial Margin at most recent close:
$14,624

VAR at most recent close (99.5% confidence):
$5,076

Greeks: were all within predefined range.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;

PS:
In order to save the valuable space here, I’ll not post the cash info here in weekly journal. I’ll update this info in the monthly journal.
 
Here is the update of this journal for the 3rd week of Nov.

journal3rdweeknov.jpg




Performance:

Account Value at the beginning (Sep. 16, 2012) of this journal:
$9,799

Account Value as of Friday, Nov. 16, 2012:
$14,019

Return since the beginning of this journal:
43.07%

Return in the month:
NA

Return in the week:
11.33%

Simple average daily return:
0.7061%

Expect account to double on:
Feb 5, 2013

Equity curve (initial value set at zero):
See attached chart
chart3rdweeknov.jpg




Parameters compliance since the beginning of this journal:


Risk experienced:
Low

Max drawdown experienced (based on daily close):
7.39%

Initial Margin at most recent close:
$14,750

VAR at most recent close (99.5% confidence):
$4,976

Greeks: were all within predefined range except Delta.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;

Delta exceeded predefined positive range on Thursday, Nov 15. Thus, the immediate action (dynamic adjust) was taken to bring it back in compliance with predefined parameters.

PS:
I value all readers’ opinion very much. However, in order to keep this journal as short as possible yet as clear as possible, kindly do not reply to this thread. Once this account doubled, I’ll have a bit bigger account in another thread and everyone will be welcomed to comment, reply.
 
Here is the update of this journal for the 4th week of Nov.

journal4thweeknov.jpg




Performance:

Account Value at the beginning (Sep. 16, 2012) of this journal:
$9,799

Account Value as of Friday, Nov. 23, 2012:
$13,997

Return since the beginning of this journal:
42.84%

Return in the month:
NA

Return in the week:
-0.16%

Simple average daily return:
0.6301%

Expect account to double on:
Feb 22, 2013


Equity curve (initial value set at zero):
See attached chart
chart4thweeknov.jpg



Parameters compliance since the beginning of this journal:


Risk experienced:
Low

Max drawdown experienced (based on daily close):
7.39%

Initial Margin at most recent close:
$13,915

VAR at most recent close (99.5% confidence):
$800

Greeks: were all within predefined range.
Delta, ****; Gamma, ****; Vega, ****; Theta, ****;
 
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