Hammering away, slow and methodical

Markets down about 1% today, but I managed to claw a bit higher. It still feels like I am trading embarrassingly small, but I must keep my powder dry. I had to pass on a few new entries due to daily limits. I decided to include symbols with margin restrictions in my daily scans to get a few more signals. I don’t think the stocks are overly risky as long as they have liquidity.

Real-time Account Net Worth $100,525.85
Real-time Cost of Positions $21,462.35
Real-time Unrealized P/L ($12.18)
Real-time Realized P/L (Today) $48.15
Net Long Exp, 21%
Number of Positions 12
 
Code: 
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Total Net Profit	$2,726.21 
(Per Share)	$0.12 
Gross Profit	$6,723.43 
Gross Loss	($3,997.22)
Profit Factor	1.68
Total Number of Trades	373
Percent Profitable	60.59%
Winning Trades	226
Losing Trades	147
Avg. Trade Net Profit	$7.31 
Avg. Winning Trade	$29.75 
Avg. Losing Trade	($27.19)
Ratio Avg. Win:Avg. Loss	1.09
Expectancy	0.27
Largest Winning Trade	$293.65 
Largest Losing Trade	($164.84)
Max. Consecutive Winning Trades	24
Max. Consecutive Losing Trades	31
Total Shares/Contracts Held	21976
Total Commission	$674.80 
Return on Initial Capital	2.73%
Annual Rate of Return	16.31%
Buy & Hold Return	0.87%
Trading Period	1 Mth, 29 Dys, 6 Hrs
Max. Equity Run-up(Daily)	$4,526.45 
Date of Max. Equity Run-up	8/31/2012 15:00
Max. Drawdown(Daily)	
Value	($2,116.35)
Date	7/20/2012 15:00
as % of Initial Capital	2.12%
Max. Trade Drawdown	($230.00)
	
Net Worth	$100,690
Wkly Performance	0.53%
Dollar Gain/Loss	$538
S&P Wkly Performance	-0.30%
Cum. Perform. (7/1/12)	2.82%
S&P Cum. Performance	3.70%
Correlation to S&P	0.37
Net Long Exposure	12%
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I got my win percentage over 60 this week, but I would like it to be better. Winning trades are doing better than losing trades, so that is helping.
 

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I decided to start scanning about 300 ETFs in addition to stocks using additional entry rules. I can enter them on the current bar when a signal generates instead of waiting until the next bar. It is more aggressive, but ETFs tend to be less volatile than stocks, and I may size up like today buying 600 shares of VPL. I will monitor it closely, in light of all the economic news coming up the next several days. Longer term support at 49 held today. I withdrew $700.
Code: 
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description 
 THRX ($55.46) -3.73% 25.17 59 $1,485 Theravance Inc
 GXC $0.50 0.03% 60.42 25 $1,511 SPDR S&P China
 EWU $0.71 0.06% 16.86 71 $1,197 iShares MSCI U.K. Index Fd
 NX $0.88 0.06% 17.01 88 $1,497 Quanex Corp
 ITRI $9.10 0.62% 42.15 35 $1,475 Itron Inc
 KOL $10.35 0.69% 21.60 69 $1,490 Market Vectors - Coal ETF
 FXI $23.23 0.29% 32.08 247 $7,923 iShares FTSE China 25
 VPL $34.47 0.12% 49.12 600 $29,474 Vanguard MSCI Pacific ETF


Real-time Account Net Worth $100,277.06
Real-time Unrealized P/L $23.78
Real-time Realized P/L (Today) $216.57 
Net Long Exp,	46%
 
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description
VIXY ($196.25) -2.46% 21.70 367 $7,966 ProShares VIX Short-Term Fut
THRX ($57.82) -3.89% 25.17 59 $1,485 Theravance Inc
TWM ($13.70) -0.33% 27.19 155 $4,214 ProShares Ultra Short Russel2k
SRTY $55.86 0.34% 37.56 439 $16,490 ProShs UltraPro Sh Russell2000
NOTE: The list is automatically sorted every minute. Last sort on 9/6/2012 at 3:04:47 PM

Real-time Account Net Worth $99,879.51
Real-time Cost of Positions $30,154.92
Real-time Unrealized P/L ($211.91)
Real-time Realized P/L (Today) $638.72

I withdrew another $800 today. Closed out most of my longs a couple hours after the open, and proceeded to start shorting, when the DOW was up over 200. Probably should sit tight and not try shorting more until some of the market giddiness wears off over the ECB move to buy bonds. VIXY was a bit more volatile than I anticipated today, and I haven’t traded it before, so I better be more careful.

I was lucky this morning because many short ETFs failed to execute at the open due to a software glitch. If anyone uses TS order entry macros and wonders why they won’t trigger, try saving the code to notepad, and then delete and recreate the indicator file. Sometimes, I think the file gets corrupted even if all of your code seems to be in order. This weekend I am going to narrow down the short ETFs, because they haven’t back tested well anyway, and I mostly view them as a hedge.
 
Code: 
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Total Net Profit	$2,467.16 
(Per Share)	$0.09 
Gross Profit	$7,724.14 
Gross Loss	($5,256.98)
Profit Factor	1.47
Total Number of Trades	435
Percent Profitable	58.39%
Winning Trades	254
Losing Trades	181
Avg. Trade Net Profit	$5.67 
Avg. Winning Trade	$30.41 
Avg. Losing Trade	($29.04)
Ratio Avg. Win:Avg. Loss	1.05
Expectancy	0.20
Largest Winning Trade	$293.65 
Largest Losing Trade	($209.00)
Max. Consecutive Winning Trades	24
Max. Consecutive Losing Trades	31
Total Shares/Contracts Held	26104
Total Commission	$772.43 
Return on Initial Capital	2.47%
Annual Rate of Return	13.16%
Buy & Hold Return	0.72%
Trading Period	2 Mths, 6 Dys, 14 Hrs, 59 Mins
Max. Equity Run-up(Daily)	$5,251.59 
Date of Max. Equity Run-up	9/6/2012 15:00
Max. Drawdown(Daily)	
Value	($2,116.35)
Date	7/20/2012 15:00
as % of Initial Capital	2.12%
Max. Trade Drawdown	($230.00)
	
Net Worth	$99,032
Wkly Performance	-0.15%
Dollar Gain/Loss	-$158
S&P Wkly Performance	2.27%
Cum. Perform. (7/1/12)	2.66%
S&P Cum. Performance	6.05%
Correlation to S&P	0.21


								
	Symbol	Open P/L	Open P/L %	Average Price	Quantity	Total Cost	Description	
	VIXY	($626.64)	-3.92%	20.82	767	$15,967	ProShares VIX Short-Term Fut
	SRTY	($249.22)	-1.04%	37.36	639	$23,873	ProShs UltraPro Sh Russell2000
	TWM	($82.70)	-0.86%	26.93	355	$9,561	ProShares Ultra Short Russel2k
	THRX	($74.34)	-5.01%	25.17	59	$1,485	Theravance Inc
	STX	($16.32)	-1.10%	30.91	48	$1,484	Seagate Technology
	EUO	($10.15)	-0.67%	20.32	74	$1,503	ProShares UltraShort Euro
	SMN	($5.10)	-0.34%	14.73	102	$1,502	UltraShort Bas Mat ProShares
	EPV	($1.11)	-0.07%	31.19	48	$1,497	Proshares Ultrashort MSCI Euro
	SKF	$0.00	0.00%	37.73	40	$1,509	UltraShort Financials ProShare
	MZZ	$7.84	0.52%	26.84	56	$1,503	UltraShort MidCap400 ProShrs
	DUST	$14.79	0.99%	29.41	51	$1,500	Direxion Dly Gold Miners 3X BR
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I gave back all my gains this week with open losses on several shorts. I'll see if I can turn them into gains next week.



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Code: 
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description 
 THRX ($74.34) -5.01% 25.17 59 $1,485 Theravance Inc
 STX ($49.44) -3.33% 30.91 48 $1,484 Seagate Technology
 SRTY ($31.96) -0.13% 37.36 639 $23,873 ProShs UltraPro Sh Russell2000
 DDD ($21.66) -1.44% 39.57 38 $1,504 3D Systems Corp
 TWM ($4.60) -0.05% 26.93 355 $9,561 ProShares Ultra Short Russel2k
 SMN $5.22 0.17% 14.63 205 $3,000 UltraShort Bas Mat ProShares
    
 Symbol Type Filled/Canceled 
 DUST Sell 09/10/12 02:59:13 PM
 EPV Sell 09/10/12 02:59:06 PM
 EUO Sell 09/10/12 02:59:06 PM
 MZZ Sell 09/10/12 02:59:05 PM
 VIXY Sell 09/10/12 02:59:04 PM
 SKF Sell 09/10/12 02:59:03 PM
 SMN Buy 09/10/12 08:46:00 AM
 DDD Buy 09/10/12 08:45:28 AM
  
Real-time Account Net Worth $100,320.32
Real-time Cost of Positions $40,906.70
Real-time Unrealized P/L ($154.06)
Real-time Realized P/L (Today) $402.46
The market didn’t drop until near the end of day, so it again reminds me to not give up on my positions and wait for the reversal. However, must keep exposure reigned in. Still holding shorts on the Russell 2k, as it didn’t show as much weakness as the tech sector. NW dropped below 99K today, but closed 1.4K higher. I hear that you shouldn’t focus on NW, but I look at it constantly to see if what I am currently doing is working, and to help gauge overall volatility and exposure. I try not to base my trading decisions on it though emotionally.
 
Code: 
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Total Net Profit	$3,912.14 
(Per Share)	$0.12 
Gross Profit	$10,345.65 
Gross Loss	($6,433.51)
Profit Factor	1.61
Total Number of Trades	522
Percent Profitable	59.00%
Winning Trades	308
Losing Trades	214
Avg. Trade Net Profit	$7.49 
Avg. Winning Trade	$33.59 
Avg. Losing Trade	($30.06)
Ratio Avg. Win:Avg. Loss	1.12
Expectancy	0.25
Largest Winning Trade	$454.12 
Largest Losing Trade	($164.84)
Max. Consecutive Winning Trades	24
Max. Consecutive Losing Trades	31
Total Shares/Contracts Held	32845
Total Commission	$955.35 
Return on Initial Capital	3.91%
Annual Rate of Return	17.25%
Buy & Hold Return	0.35%
Trading Period	2 Mths, 20 Dys, 6 Hrs
Max. Equity Run-up(Daily)	$5,888.27 
Date of Max. Equity Run-up	9/20/2012 15:00
Max. Drawdown(Daily)	
Value	($2,116.35)
Date	7/20/2012 15:00
as % of Initial Capital	2.12%
Max. Trade Drawdown	($652.00)
	
Net Worth	$100,436
Wkly Performance	1.39%
Dollar Gain/Loss	$1,427
S&P Wkly Performance	-0.89%
Cum. Perform. (7/1/12)	4.06%
S&P Cum. Performance	7.22%
Correlation to S&P	0.03
Net Long Exposure	84%
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I had a good week from closing out the remainder of my shorts during yesterday's temporary drop at the open. Although it doesn't feel good because I have $900 in unrealized losses on my longs right now. Exposure is high because of a 500 share discretionary trade in IYT, iShares DJ Transp Avg Ind Fd, average price 87.85. I am still lagging the S&P, but its bull run will not be sustainable. 1460 ES is looking like strong resistance right now.

I suspect the market corrects with escalating fear over the fiscal cliff sometime this fall. My prediction is that we tag 1500 on the ES first, and then tank from their. I just hope I can pull the trigger on a sizeable short position then.
 

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Up .78%, $343 on IYT thanks to an up day in transports. This also includes some of my railroad stock holdings. I’m taking a hit though on some semis, including PANL. Exposure is about 94%, but half of that is from the IYT holding which the downside volatility has paused on, for now anyway.

Net Worth $100,660.54
Unrealized Loss 671.11
Realized Gain Today $16.10
 
Total cost of long positions is $92,347 and my short position $23,940. So about 69% net long right now. Net worth is currently $99025, so about $1500 off of HWM. Opened a 500 share SH position yesterday when the market seemed to be rolling over in the afternoon, and I added 200 today when the market showed a little bounce. It is easier for me to short when the market is looking weak, and knowing it is just a hedge that I’m not trying to score big on.
 
I closed my short premarket as overnight futures were showing strength reportedly from news of China government intervention of some sort. I prefer not to fight it when central banks and governments intervene. Had 37 positions going shortly after the open, but after the close it dropped to 19.

Net Worth $100,968
Long Exposure 56%
Unrealized Loss -$867
Realized Gain Today $1,144
 
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