Half way through life and not close to being consistent

Mo06 said:
So you regard a 2% loss as a 'terrible week' ............?

Sounds pretty tame to me.

I suggest you trade one tenth of your normal size until you return to consistent profitability.
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Good idea, I'll do that for new trades. The problem is I have pretty large positions on already on the existing ones which mess up my P&L.
 
You can trade longer time frames for example weekly or monthly but your bias needs to have some basis in reality. For example, you need to have some type of edge that determines your bias.

The following can apply:

1) You are a math genius quant who developed a system that you back and forward tested and these losses fall within the margin of error based on current volatility.

2) You used TA on larger time frames and the market due to some factor not based in the charts for example a fed report caused price to not follow your plan. Also, your stop had some basis in reality.

3) You used some other system that you don't want to mention to determine your bias.

Bias always needs to be based on science and statistics. If not, its worthless and you are gambling.

For example, in a trading book I read a long time ago, there is a higher % chance that the markets will go up following the Christmas holiday. This was back tested over many years.




gamblingman said:
I agree with your first statement, the second one depends on how you're using futures.
I don't day trade them, I use them as a directional replacement. I rarely initiate a trade with futures, but I replace a bunch of directional risk in options with futures if it reduces my margin. Here's an example of a single trade gone bad where I ended up with short futures.
Last year we had huge stock gains, so in early February the market pulled back a little (bout 5%). On 2/7 we had three "up" days in a row and hit the 20 sma as well as a previous support level. I was already very bearish but I thought this would be a good time to initiate another bearish trade. I also wanted to make sure I leave a little room for error, so I sold a bunch of March SPY 182 calls (2 lots with 15 contracts). The next 6 days we closed higher and I had to hedge my position by selling out of the money puts. Since I was still very bearish those puts were far away and offered little help. On some I was more aggressive and locked in a loss. By the time March Expiration came around (3/21) I was assigned 20 of these options and was short 2000 SPY shares. 2000 SPY is the same as 4 E minis, so rather than carrying the 2000 SPY shares I closed them out and went short 4 E Minis, I didn't really change my position just replaced the short options/stock with futures. Then I left those 4 E minis alone and sold put options against it since my short bias has not changed. Those 4 E minis were June contracts, by the time June rolled around E minis were trading about 100 points higher. Since my short bias has not changed, I rolled my June E minis to Sept.
Hope that explains my use of futures.
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Mo06 said:
Why not go 100% automated then ?

Do more of what works & less of what does not.
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Cause the second you ramp up the automated trades they disappoint.
I increased my size on the automated trades which had decent performance so far this year and right then the performance dropped from up over 20% to up 14% which means that most of the new trades suck right now.
It's never as easy as it seems ;).
I'm feeling shitty (not cause of my P&L), in bed the third day now, may have caught a really bad cold on the trip back.
 
Even when you think it can't get any worse, it sure can. Today 80% of my swing trades went against me. That's hard to do considering there's about 320 automated trades and on a bad day only 60 or 65% usually go south, but not 80. There wasn't any huge outlier, it was evenly spread across all trades. - fun times.
To get more out of the journal I'll start breaking up my daily P&L by strategy:
Auto Trades: -3284 (320 equities or 160 pairs trades) - average hold time 8 weeks
Short Market: -2321 (short SPY, short ES, long VX, short NQ, short QQQ, short SPX) -
Investments: -967 (those are a handful of long term holdings) -
Other Option Positions: -1373 (-592 came from bid up volatility in WAG, -460 came from a calendar in INTC and -252 from a short put in ANF) - average hold time 4-6 weeks
 
better day for automated trades, most losses today came from short S&P and investments

Auto Trades: 3168
Short Market: -3440
Investments: -1362
Other Option Positions: -254 (biggest loss -482 came from long call spread in UIS which had bad earnings)
 
Finally a green day. Barely sick any more either, just a persistent cough. Tried to work out but sucked big time. Couldn't even run for 40 minutes, had to walk several times in between.

Auto Trades: 1082
Short Market: -243
Investments: -30
Daytrade: 1475 (very rare occasion/setup but today it hit)
Other Option Positions: 1612 (biggest win in ISRG 256$)
 
Two green days in a row. However still dowk 4k1 for the week so nothing to get excited about. The daily losses pretty much all originated from some really bad pairs trade performance (3k5 from that and from long term holdings, mostly coal stocks).

Here's today's performance
Auto Trades: -84
Short Market: 3146
Investments: -150
Other Option Positions:762 (biggest losers long SWKS and short Z, biggest winner long CMG).
 
Days like today are the perfect days for my way of trading. Nothing moves and all positions are coming in. Tomorrow is going to suck, I'm long HLF and they are down big after hrs and I'm also long ACI which is a wild card for tomorrow's earnings.
Here are today's results:
Auto Trades: 1088
Short Market: 486 (mostly cause all options came in after the weekend)
Investments: -158
Other Option Positions: 1378 (biggest win in CMG, SWKS and Z [which I closed], biggest loss in WAG)
 
Finally the market is moving in my direction. Had a good trading day, except some short puts went bad. I've a couple of short buyins I've to take care of tomorrow, guess IB couldn't get the stock to borrow.

Here are today's results:
Auto Trades: 2823
Short Market: 3866
Investments: 1152 (ACI had earnings which was the bulk of that)
Other Option Positions: -1671 biggest losers short put in WAG and HLF earnings play as mentioned in yesterday's post.
 
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