Get Rich Or Die Tryin'!

SabreMan · May 18, 2018

I only ever trade with the momentum/trend, I never try and pick tops or bottoms.
I try to ensure my winning trades are bigger than my losing trades (on average at least), this is done by cutting losers and letting winner run.

I trade volatile markets that move eg Stock Indexes Futures, FX and Crude Oil Futures.
I only ever day trade, never hold overnight.

I risk big and sometimes make big profits and sometimes take big losses.
A string of big losses in a row is always bad news.

I risk up to 12% of my account on a single trade, although my average loser is 5%, I know I know, no need to tell me: That is an insane level of risk, but it is a level risk I am prepared to take in order to make huge rewards! I could make up to 100% on a single trade if the market runs and runs.

Risk of Ruin trading with this level of is high, so please don't try this at home unless you understand your own risk of ruin.

With my system, I get about 60 signals a year in total, i have to be very patient for my signals as sometimes they come together but sometimes i have to wait a couple of weeks.
The win rate (both in testing and live trading) for each signal is about 43% (average loser -5%, average winner +12%)

So far in 2018 I have had about 22 signals.
This year my win rate is running at 41%, with 9 winners out of 22.

My starting capital was 57,000 GBP, about (75,000 USD).

My year to date performance looks like as follows:

Code:

# Capital(£) PnL(£)  PnL(%)     YTD%   Drawdown%
     57000
1    68311   11311   19.84      20%       0%
2    89548   21238   31.09      57%       0%
3    91552    2003    2.24      61%       0%
4   106397   14845   16.21      87%       0%
5   103560   -2837   -2.67      82%       3%
7    99072   -4488   -4.33      74%       7%
8    92467   -6605   -6.67      62%      13%
9    85070   -7397    -8.0      49%      20%
10   81045   -4025   -4.73      42%      24%
11   85342    4297     5.3      50%      20%
12   92673    7332    8.59      63%      13%
13   97004    4331    4.67      70%       9%
14  109817   12812   13.21      93%       0%
15  105122   -4695   -4.27      84%       4%
16  101249   -3873   -3.68      78%       8%
17  100846    -403    -0.4      77%       8%
18   97313   -3533    -3.5      71%      11%
19  100459    3146    3.23      76%       9%
20   99516    -943   -0.94      75%       9%
21   97385   -2131   -2.14      71%      11%
22   90192   -7193   -7.39      58%      18%
23   83641   -6551   -7.26      47%      24%

As you can see i am in the middle of a losing streak, hence the need for this Journal.

My account was at a peak £109817, up 93% YTD, a couple of months ago, but after a period of losing it is currently up 'only' 47% for the year. Which really isn't much reward for the high risks i am taking, so the YTD profits could evaporate quite quickly if the drawdown continues.

The current drawdown from the last peak(109K down to 83K) is 24%.
The biggest drawdown in testing was 50%. The largest drawdown i have taken from this system in live trading is 40%. I have been live trading for about a year but with relatively poor discipline in 2017. This year i have been much better and have not missed a single trade.

I will try and update this journal at the end of month, although i may do sooner if i am having a bad time emotionally handling any more losses.

Handle123 · May 19, 2018

SabreMan said:
I only ever trade with the momentum/trend, I never try and pick tops or bottoms.
I try to ensure my winning trades are bigger than my losing trades (on average at least), this is done by cutting losers and letting winner run.

I trade volatile markets that move eg Stock Indexes Futures, FX and Crude Oil Futures.
I only ever day trade, never hold overnight.

I risk big and sometimes make big profits and sometimes take big losses.
A string of big losses in a row is always bad news.

I risk up to 12% of my account on a single trade, although my average loser is 5%, I know I know, no need to tell me: That is an insane level of risk, but it is a level risk I am prepared to take in order to make huge rewards! I could make up to 100% on a single trade if the market runs and runs.

Risk of Ruin trading with this level of is high, so please don't try this at home unless you understand your own risk of ruin.

With my system, I get about 60 signals a year in total, i have to be very patient for my signals as sometimes they come together but sometimes i have to wait a couple of weeks.
The win rate (both in testing and live trading) for each signal is about 43% (average loser -5%, average winner +12%)

So far in 2018 I have had about 22 signals.
This year my win rate is running at 41%, with 9 winners out of 22.

My starting capital was 57,000 GBP, about (75,000 USD).

My year to date performance looks like as follows:

Code:

# Capital(£) PnL(£) PnL(%) YTD% Drawdown% 57000 1 68311 11311 19.84 20% 0% 2 89548 21238 31.09 57% 0% 3 91552 2003 2.24 61% 0% 4 106397 14845 16.21 87% 0% 5 103560 -2837 -2.67 82% 3% 7 99072 -4488 -4.33 74% 7% 8 92467 -6605 -6.67 62% 13% 9 85070 -7397 -8.0 49% 20% 10 81045 -4025 -4.73 42% 24% 11 85342 4297 5.3 50% 20% 12 92673 7332 8.59 63% 13% 13 97004 4331 4.67 70% 9% 14 109817 12812 13.21 93% 0% 15 105122 -4695 -4.27 84% 4% 16 101249 -3873 -3.68 78% 8% 17 100846 -403 -0.4 77% 8% 18 97313 -3533 -3.5 71% 11% 19 100459 3146 3.23 76% 9% 20 99516 -943 -0.94 75% 9% 21 97385 -2131 -2.14 71% 11% 22 90192 -7193 -7.39 58% 18% 23 83641 -6551 -7.26 47% 24%

As you can see i am in the middle of a losing streak, hence the need for this Journal.

My account was at a peak £109817, up 93% YTD, a couple of months ago, but after a period of losing it is currently up 'only' 47% for the year. Which really isn't much reward for the high risks i am taking, so the YTD profits could evaporate quite quickly if the drawdown continues.

The current drawdown from the last peak(109K down to 83K) is 24%.
The biggest drawdown in testing was 50%. The largest drawdown i have taken from this system in live trading is 40%. I have been live trading for about a year but with relatively poor discipline in 2017. This year i have been much better and have not missed a single trade.

I will try and update this journal at the end of month, although i may do sooner if i am having a bad time emotionally handling any more losses.

Yowie, this brings back memories from the early 1990s for me, huge winners and even larger huge losses, but figured out ways to reduce the drawdowns and out of losing streaks, comes the improvements. I use to build systems that give me largest profits but that messed bad like what you are experiencing now regarding emotions. So eight years ago, I pretty much throw away most of the systems that I had traded for 19 years and started by scratch. But totally redid day trading on how for the most part concentrate on low losing percentages, think in those terms, if you seldom lose you can do much more size and average down. I also keep track of both winning and losing streaks, when the string is too long on the win side, I start cutting down volume.

You have some staggering losing streak as well.

Have you broken down the losses and compared them to profitable trades?

themickey · May 19, 2018

13 losing periods, 10 profitable periods, therefore a win rate less than 50%.
Each period being a week assuming.
You mention you could make 100% on a single trade, this is highly unlikely, most often for day trading you will be stopped out prior. Do you have an example where you would make 100% on a single trade?
With your above results I do see though you made 31.09% on the 2nd week which is not too shabby.

SabreMan · May 19, 2018

Handle123 said:
Have you broken down the losses and compared them to profitable trades?

Average losing trade is -5%, average winner is +12%.
The win rate is only 43% so there are long losing streaks.

themickey said:
Do you have an example where you would make 100% on a single trade?
With your above results I do see though you made 31.09% on the 2nd week which is not too shabby.

No each period is a number.
To make a 100% risking 12% (1R=12%) on each trade requires a 8R winning trade.
That would be very rare for the system, about once every 10 years.
However winning trades in the 25% to 50% range happen more often and the system manages to catch those kinds of profits about 3 times a year on average.

Evermore2017 · May 19, 2018

SabreMan said:
My account was at a peak £109817, up 93% YTD, a couple of months ago, but after a period of losing it is currently up 'only' 47% for the year. Which really isn't much reward for the high risks i am taking, so the YTD profits could evaporate quite quickly if the drawdown continues.

In momentum trading, things happen fast and sometimes unexpected disasters happen, only a conservative position size will avoid ruin.

With 41% winning rate and 40% drawdown taking higher risks will not be equivalent to higher YTD profits . You must work in yours signals

SabreMan · May 19, 2018

Evermore2017 said:
taking higher risks will not be equivalent to higher YTD profits .

If i had taken half the risk on each trade in 2018 (compared to what i actually took) i would currently be at 70,000 GBP instead of 83,000 GBP.

Evermore2017 · May 19, 2018

SabreMan said:
If i had taken half the risk on each trade in 2018 (compared to what i actually took) i would currently be at 70,000 GBP instead of 83,000 GBP.

Yes for now, you have few samples and heavy drawdowns happen in momentum trading.
Those 13,000 justify a high risk of ruin?

Evermore2017 · May 19, 2018

On the other hand, if those 83000 GBP (trading capital) represent only a small part of your total capital, your position size may not be wrong

SabreMan · May 19, 2018

Evermore2017 said:
Yes for now, you have few samples and heavy drawdowns happen in momentum trading.
Those 13,000 justify a high risk of ruin?

Win rate 43%, average loss -5%, average profit +12%. Number of trades per year 62.

If you do the sums for average expectancy after a year of trading the sum is:

(+12%*0.43-5%*0.57)*62=143% per year expected profit (this figure excludes compounding effects which in reality i should benefit from).

Of course it could be less or more than 143% in any given year due to statistical dispersion and trading conditions.

I am happy to take a 50 or even 60% drawdown in order to make 143%.

schweiz · May 19, 2018

Your net profit is +47%.
If you deduct the best and the worst trade (luck and bad luck) your profits drop to 22%.
If you miss the 2 best trades your return is negative -17%.
If you miss the 2 worst trades your return is positive +72%.

The impact of the best and the worst trade on the return are too big.
The drawdown from trade 15 till 23 is too big. Only 1win (12.5%) and 8 losses (87.5%) in that drawdown is for me a sign to ask yourself questions about the system.
The average loss (-3665) in the drawdown is bigger than the average profit (3146) in the drawdown. And you had 8 times more losing trades then winning trades.
So 8 times losing more money then you can make.