Have you tested that against a black swan crash, say sp500 drops 25 per cent in as week?
Fully Automated Trading Journal - $50k per month goal
- Thread starter frostengine
- Start date
Have you tested that against a black swan crash, say sp500 drops 25 per cent in as week?
Yes, my overall account hedges that I use to backstop all of the strategies in this account will make me a lot of money (beyond just protecting downside). I would love to see a black swan. This particular strategy itself may or may not take a hit depending on the ratio of bullish to bearish positions at the time- but I view everything in the context of my overall account which is well hedged for that type of event.
Sounds good. I am guessing this a rolling hedge of some sorts? Buying puts on indices perhaps?
If so, how much is that hedge costing you relative to your performance?
I believe Tonyf, it is quite possible to make that much money every day if you are really good at day trading.
No trades were closed yesterday
Todays Results:
Strategy 1:
Open PL: -$728
Closed PL: -$1,608
Net: -$2,336
Strategy 2:
Open PL: $0
Closed PL: +$666
Net: +$666
Closed PL Since Inception: +$6,674
MTM PL Since Inception: +$5,946
I am noticing very little trading activity in strategy 1 so far this week. Most of the trades/results were trades that were opened at end of last week. Strategy 2 is doing well, scored on a couple of bearish plays. My algo seems to have a high degree of uncertainty at the moment and is mostly sitting idle waiting for things to clear up.
Todays Results:
Strategy 1:
Open PL: -$728
Closed PL: -$1,608
Net: -$2,336
Strategy 2:
Open PL: $0
Closed PL: +$666
Net: +$666
Closed PL Since Inception: +$6,674
MTM PL Since Inception: +$5,946
I am noticing very little trading activity in strategy 1 so far this week. Most of the trades/results were trades that were opened at end of last week. Strategy 2 is doing well, scored on a couple of bearish plays. My algo seems to have a high degree of uncertainty at the moment and is mostly sitting idle waiting for things to clear up.
I believe it is possible to run a marathon in under 2 hours 5 minutes if you are really good at running.
GAT
Since you are asking nicely, here is my 7-day return:
apologies for the OP if this chart is diverting the attention from his post - just clarifying matters to nay-sayers.
I believe it is possible to run a marathon in under 2 hours 5 minutes if you can run 100 metres in under 18 seconds i.e. 7 days of returns proves nothing. But in respect to the OP I will shut up as well.
GAT
Thank you but I don't daytrade really. Minimum holding period is 6-weeks.
I only open positions daily (when opportunity permits), but do not exit if that makes sense.