Epic

Made a bad trade today that cost me. Was +3% yesterday after some wonderful movement at the gap open. Wasn't paying attention end of day today and missed a couple key points. Mental breakdown I suppose. Part of it might have been a bit of mental confusion as I had multiple trades on at the time and two of the trades got crossed.

We'll see how the week pans out. Like I said, I don't revenge trade, so there is no attempt at getting what was given back today. Part of the theory I operate under is that supposed astronomical gains aren't generated by abnormal daily returns. For example, ES moves about 0.75% each day. If a trader was to accurately predict direction each day, then even without any leverage he would achieve 550% gains each year.

Obviously the above is for illustrative purposes only as the hypothetical is impossible. But the argument remains. It is the process of not taking the drawdowns that results in consistently large gains. Thus, my strategy doesn't change based on level of confidence. I don't increase the size of a position just because I'm more confident in a profitable outcome. If there is a positive edge then I take the trade, and if there isn't I don't. Each trade gets the same weighting. Hand in hand with that is that I don't increase a profit target with increased confidence.
 
Interesting week all together. Disappointing that I don't get to trade tomorrow. Not a very common occurrence, but I actually finished the week flat after a very promising start. I'm not willing to post trade sheets here, but in a nutshell I had several key positions happen to go against me really hard. The large gap higher was unexpected and I was actually completely on the wrong side of it. I don't trade overnight, and was somewhat surprised at the magnitude of the gap, figuring that it would be closer to about 10 points and not 18.

When IB updates their records, I'll go ahead and post a snapshot, but there isn't really going to be much change. Given that I was actually on the wrong side of the market most of this week, I'm not at all disappointed in the results. Like I said before, a major component of the strategy is simply not to have losing weeks, no matter how many bad trades are made.

About 75% of losses from the peak on Monday are unrealized; positions are still open (but accounted for in the NAV). Although there were some gaps, the intraday ranges were very tight allowing for few opportunities to exit. Expect some drop on Monday, quiet Tues and strong positive move Wednesday. We'll see how it all pans out then.
 
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Well, looks like I underestimated my trading a bit this week. I really thought I made less, until I went and did the calculations and ran the report. Still not a stellar week though. That second day was a huge disappointment; uncharacteristically bad trading. Should pay a bit more attention.

YTD Return = 72.71%
 
Could you post a cumulative return graph over the entire life span of the account, you probably won’t be able to put it all on one graph as ib restricts that analysis to 3 months, but the first 3 months will be fine too I was just curious to see how volatile the past has been.
 
I have a question. I am member of IB. I have found when I add funds to IB account, it gets counted as a %-return. Ofcourse this makes reporting easy to fake. Is this for you also the case? For example a deposit of $50k, then 5$k gives 10% return for the year.
 
Quote from failed_trad3r:

I have a question. I am member of IB. I have found when I add funds to IB account, it gets counted as a %-return. Ofcourse this makes reporting easy to fake. Is this for you also the case? For example a deposit of $50k, then 5$k gives 10% return for the year.
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Not if you use time weighted return. If you run the IRR method then yes. TWR method accounts for account activity to give a more accurate representation when deposits are made, and doesn't count them as returns.
 
Quote from DDmaster:

Could you post a cumulative return graph over the entire life span of the account, you probably won’t be able to put it all on one graph as ib restricts that analysis to 3 months, but the first 3 months will be fine too I was just curious to see how volatile the past has been.
More...

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Assuming this is what you're asking for. Daily cumulative return graph for first three months. Or if it is more helpful to you.

Sharpe Ratio for period = 3.02
 
Oops, sorry hit a wrong button on my Sharpe calculation. The Sharpe is actually 7.30 for that period. But it is easier if I just include the following snapshot of the risk measures straight from IB. Feel free to pick them apart and offer advice.

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Mighty impressive trading when compared to mine, I thought you were going to have higher DD than you do, in fact your DD is slightly less than the one I experienced over the same period but I only made +9.65% .
It seems to linear and unsustainable growth at the current rate of increase about 20% per month you would hit 830,000$ in one year and 7.4 million the next and about 66 million the year after ,in about 6 years you surpass warren buffets fortune, I hate to be a nay sayer but it seems slightly unrealistic, either you found the road to nirvana or something potentially catastrophic is about to happen.

I assume you don’t want to divulge exactly how you did these returns, so how would you best describe your trading technique?
 
Quote from DDmaster:

Mighty impressive trading when compared to mine, I thought you were going to have higher DD than you do, in fact your DD is slightly less than the one I experienced over the same period but I only made +9.65% .
It seems to linear and unsustainable growth at the current rate of increase about 20% per month you would hit 830,000$ in one year and 7.4 million the next and about 66 million the year after ,in about 6 years you surpass warren buffets fortune, I hate to be a nay sayer but it seems slightly unrealistic, either you found the road to nirvana or something potentially catastrophic is about to happen.

I assume you don’t want to divulge exactly how you did these returns, so how would you best describe your trading technique?
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No problem, you can be as skeptical as you'd like. But remember that I'm not claiming those hypothetical results. I only said that I have a target of 1% each day. Obviously, I don't necessarily hit that target every day. It is simply a target used for risk management purposes. I don't pretend to be certain about the future.

It is possible that I will see a larger drawdown than 5.5% in the future. I hope that it isn't the catastrophe that you suggest. When I experience drawdowns, I just keep plugging away. Usually doesn't take more than about a week to recover from any large drop. :)

My main strategy is to make money every day. Hehe.... :D

Really, It took quite some time, but eventually wrote a supplemental application to do the heavy lifting for me. I'm not willing to share many specific details, but I will share a few general points.

I use various instruments and the relationships between them to identify incorrectly priced contracts. I realize that most would argue that there is no such thing as incorrect pricing for futures like ES. Whatever the current price is, that is the correct price. For the most part I would agree.

When I see an incorrect pricing, I trade the contracts, either long or short, and hold for a particular target. Once a position is open, further analysis is rare. The target is set where I've determined the pricing to be correct again. I don't use stops. I don't martingale. Some trades are open for 5 seconds, while others take a few days to close.

About 90% of the trades are exited at the profit target, while about 10% are closed for a loss because the supposed incorrect pricing is gone.
 
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