Fully Automated Stocks Trading

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HobbyTrading said:
The black and green strategies hardly open any position. Still it is beneficial to keep them running?
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Black color is the way I track discretionary overrides and bugs. So the picture shows that this doesn't happen often which is exactly the way it should be :)

The green one is like that by design. High expectancy with low number of trades and low use of capital. Attached stats for last 10 years. Emotionally it is not easy to trade it because it requirers quite a few years to believe in. Partially I trade it because this way I'm gathering very useful data for the type of companies it trades. It uses very different universe selection method from MR strategies.

Besides, it did make ~3% this year which is exactly about half of its' typical estimated annual performance.

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ValeryN said:
Black color is the way I track discretionary overrides and bugs. So the picture shows that this doesn't happen often which is exactly the way it should be
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Exactly.
ValeryN said:
Emotionally it is not easy to trade it because it requirers quite a few years to believe in.
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I know what you mean. It takes longer to build trust and confidence in strategies that trade sparsely, compared to faster trading strategies.
 
About Statements and Proof.

As @HobbyTrading pointed out - I do make mistakes sometimes posting here. Partially because this is just a forum and there is only so much time I am willing to dedicate proofreading my posts / same for grammar.

I'd rather look silly on ET as a result of spending less time posting than make less money in my live account as a result of spending more time posting and looking real smart here :)

When I started this journal I did think a bit about including any statements to proof performance but was hesitant since
  1. Pretty much any proof can be faked. Though I'd hate trying to match fonts on broker statements :)
  2. "Short term" results I'm talking about don't mean anything really
  3. I personally never saw any statements from the trader who I consider the closest to my mentor or any other trades who inspired what I do today
  4. I don't feel like creating an impression that I'll keep doing that
But if I personally got over the need to see statements doesn't mean everyone else feels this way. So I'll attach one of my monthlies from IB. I'm including monthly since that's literally the only thing I download from IB every month and I don't feel like going there and generating any special report.

Take it with a grain of salt as those things can be faked.
By no means this post means I'm now committed to keep providing or faking them regularly
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If you choose to believe it is real here is a sad screenshot that gives you a glimpse into what it takes. It popped up on my Mac end of March (same month as the IB report). When I hovered my mouse over it hid part of the message with "Manage Screen Time" button. The saddest part was - the right side was saying something like "down by 5% from the last week"...
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Val
 
traider said:
each strategy generates its own p&l time series, so you could get their correlations


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I think single number like that can be very deceiving so I haven't done this so far. I do look at correlations but it is very visual analysis which I can try explain if that is of interest.

With stocks there will be periods (typically high market volatility) when most longs will be highly correlated with the market. Those periods can be relatively short but very painful. Same goes for shorts when market is in a bubble. On 5-10 years interval (like the one you posted) a strategy can have low correlation with SPY but then approach 1 on any given month like March of this year. That's what I mean.
 
@ValeryN Although I didn't ask for an IB statement as "proof" I can't help but notice that you paid 158 USD in debit interest. I guess this is the result from the margin you use. I hope for you that the profit you make with the investments on margin are a multitude of that paid interest. Otherwise your trading will not be for your benefit, but for IB's benefit.
 
HobbyTrading said:
@ValeryN Although I didn't ask for an IB statement as "proof" I can't help but notice that you paid 158 USD in debit interest. I guess this is the result from the margin you use. I hope for you that the profit you make with the investments on margin are a multitude of that paid interest. Otherwise your trading will not be for your benefit, but for IB's benefit.
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No worries. I thought it is a right time and wanted to express my opinion about this.

This is mostly short borrowing costs as I hold most shorts overnight.

It is really just a cost of doing business. All the PL I post is is after commissions and interest so it is well worth it. I also factor those in when I backtest so I wouldn't be trading a system where costs would kill it. My model has been fairly accurate so far.

Fun fact - this year my costs with IB will be ~7-8k USD. And I never had any problems with their support ;)

If someone reading this and thinking "no way I'd pay that much" - remember, this is just a few % of my account size. And it won't be 8k/y if you're trading 25k account. For exactly the same reason don't be easily impressed if someone posts of a forum that they just make 5k in a day. The risk they've taken on a trade and their account size matters more to evaluate if that is impressive or not. Daily fluctuations of my account are often +-5k, which is basically noise for my size.

Val
 
ValeryN said:
This is mostly short borrowing costs as I hold most shorts overnight.

It is really just a cost of doing business. All the PL I post is is after commissions and interest so it is well worth it. I also factor those in when I backtest so I wouldn't be trading a system where costs would kill it. My model has been fairly accurate so far.
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Thank you for confirming what I suspected. I agree with you: debit interest is a "cost of doing business". As long as it is factored in properly is it not a problem.
 
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