Fully Automated Trading Journal - $50k per month goal

[fan27]

The OTM hedge are generally bought 90 days out. At any given time, I like to have 3 to 5x the number of put contracts for each 100 shares. For example, lets say in my account I have 1000 shares of SPY and I am short 4 puts. That means I need protection for 1400 shares. So I will own around 40 to 70 far OTM puts. This allows me to sleep very well at night knowing if I woke up to a black swan - my account value generally increases very nicely irrespective of what all my strategies are currently holding.

I end up paying about 10% of my account value each year to maintain this hedge. I am not counting this hedge against this strategy - other strategies pay for the hedge over the course of the year (outside the scope of this strategy). That is just how this overall account is protected - and a by product means this strategy is also protected.

Thanks for sharing that! I am going to research implementing something similar. I am trading a collection of mean reversion ES strategies which could benefit from this and I could easily spare 10% of account value each year and come out ahead.

 

[frostengine]

Good first day. I need to spend the new few hours evaluating the executions, but from a causal glance throughout the day - appears to have done what it was supposed to.

I was pleased with the automated Twitter postings. Was able to get away from the office during lunch for a work out and always felt "connect" by simply checking my twitter feed to know current PL and open positions. That was a nice change. In the past when I would launch a new system, I felt like I couldn't even go grab a glass of water. Had to watch it non stop.

For the day:

Strategy 1:
Open PL: +1,333
Closed PL: -1,005
Net: +$328

Strategy 2:
Open PL: -$168
Closed PL: 0
Net: -$168

Total System Net today: +$160

For now I will keep reporting both open and closed PL as it gives a good view how the system is performing in the early days, however generally the only number I care about is closed PL. Everything else is just noise until the position closes. So from that perspective, a -$1,005 day.

 

[sef88]

Good first day. I need to spend the new few hours evaluating the executions, but from a causal glance throughout the day - appears to have done what it was supposed to.

I was pleased with the automated Twitter postings. Was able to get away from the office during lunch for a work out and always felt "connect" by simply checking my twitter feed to know current PL and open positions. That was a nice change. In the past when I would launch a new system, I felt like I couldn't even go grab a glass of water. Had to watch it non stop.

For the day:

Strategy 1:
Open PL: +1,333
Closed PL: -1,005
Net: +$328

Strategy 2:
Open PL: -$168
Closed PL: 0
Net: -$168

Total System Net today: +$160

For now I will keep reporting both open and closed PL as it gives a good view how the system is performing in the early days, however generally the only number I care about is closed PL. Everything else is just noise until the position closes. So from that perspective, a -$1,005 day.

For leveraged account or anything that matters, marked to market accounting matters more. So yes, you shouldn't distinguish between open or close pnl when evaluating your trading performance. What matters is the equity curve of your net liquidation value.

 

[DiceAreCast]

So how do you run performance attribution? If I understand you correctly you do not attribute the cost of the hedge to the strategy portfolio but attribute the benefits to it, skewing the performance profile of the portfolio as a result. Or am I missing something?

The OTM hedge are generally bought 90 days out. At any given time, I like to have 3 to 5x the number of put contracts for each 100 shares. For example, lets say in my account I have 1000 shares of SPY and I am short 4 puts. That means I need protection for 1400 shares. So I will own around 40 to 70 far OTM puts. This allows me to sleep very well at night knowing if I woke up to a black swan - my account value generally increases very nicely irrespective of what all my strategies are currently holding.

I end up paying about 10% of my account value each year to maintain this hedge. I am not counting this hedge against this strategy - other strategies pay for the hedge over the course of the year (outside the scope of this strategy). That is just how this overall account is protected - and a by product means this strategy is also protected.

 

[DiceAreCast]

I recommend you look into the app "Pushover". Its a messaging app with a ridiculously easy API and may make messaging and alerting a lot easier and straight forward. Slack also works very well for that and is free for a tier that should be sufficient for your purposes. Just sharing what I am using.

Good first day. I need to spend the new few hours evaluating the executions, but from a causal glance throughout the day - appears to have done what it was supposed to.

I was pleased with the automated Twitter postings. Was able to get away from the office during lunch for a work out and always felt "connect" by simply checking my twitter feed to know current PL and open positions. That was a nice change. In the past when I would launch a new system, I felt like I couldn't even go grab a glass of water. Had to watch it non stop.

For the day:

Strategy 1:
Open PL: +1,333
Closed PL: -1,005
Net: +$328

Strategy 2:
Open PL: -$168
Closed PL: 0
Net: -$168

Total System Net today: +$160

For now I will keep reporting both open and closed PL as it gives a good view how the system is performing in the early days, however generally the only number I care about is closed PL. Everything else is just noise until the position closes. So from that perspective, a -$1,005 day.

 

[ValeryN]

I recommend you look into the app "Pushover". Its a messaging app with a ridiculously easy API and may make messaging and alerting a lot easier and straight forward. Slack also works very well for that and is free for a tier that should be sufficient for your purposes. Just sharing what I am using.

Another "Slack"er here. One of the best ROI decisions I've made. Reporting and also writing a slack bot for remote control /troubleshooting. Enough functions to go on vacation without computer having automated trading running.

Val

 

[sef88]

I recommend you look into the app "Pushover". Its a messaging app with a ridiculously easy API and may make messaging and alerting a lot easier and straight forward. Slack also works very well for that and is free for a tier that should be sufficient for your purposes. Just sharing what I am using.

Developed feature in my system to hook up to Pushover and Slack. But eventually turned it off and hook it to gmail instead

 

[frostengine]

I recommend you look into the app "Pushover". Its a messaging app with a ridiculously easy API and may make messaging and alerting a lot easier and straight forward. Slack also works very well for that and is free for a tier that should be sufficient for your purposes. Just sharing what I am using.

Great suggestion. I like that with Slack I can provide some level of control - such as to turn the system off remotely if I realize something is going wrong etc.

 

[globalarbtrader]

Good first day. I need to spend the new few hours evaluating the executions, but from a causal glance throughout the day - appears to have done what it was supposed to.

I was pleased with the automated Twitter postings. Was able to get away from the office during lunch for a work out and always felt "connect" by simply checking my twitter feed to know current PL and open positions. That was a nice change. In the past when I would launch a new system, I felt like I couldn't even go grab a glass of water. Had to watch it non stop.

For the day:

Strategy 1:
Open PL: +1,333
Closed PL: -1,005
Net: +$328

Strategy 2:
Open PL: -$168
Closed PL: 0
Net: -$168

Total System Net today: +$160

For now I will keep reporting both open and closed PL as it gives a good view how the system is performing in the early days, however generally the only number I care about is closed PL. Everything else is just noise until the position closes. So from that perspective, a -$1,005 day.

I've also thought in the past about doing the twitter thing, but instead I have a simpler solution whereby I get emails sent to me daily with various reports about what is happening. I've also just set up a second machine (third if you include my backup) that provides a web page (albeit only over my local network). At the moment that is just a simple status of each process that is running but it would be trivial to add new content to give complete visibility.

GAT

 

[frostengine]

Great day today. No major technology hiccups. I did find a bug in my twitter postings for strategy #1 - I am not properly distinguishing calls/puts in the summary update posts. So, need to fix that.

Past two days has seen a bit of volatility return to the market - which is fantastic. If we could stay this volatile, I am currently on pace for the $50k month... My main concern going into tomorrow is the "event" risk out of Georgia tonight. Both strategies are net bullish, and a negative surprise out of the event could set me back.

Strategy 1:
Open PL: +$5,109
Closed PL: +$1,125
Net: +$6,234

Strategy 2:
Open PL: +$51
Closed PL: +$216
Net: +$267

Today Total Net: +$6,501
PL Since Inception (MTM): +5,496