Hammering away, slow and methodical

I stopped out on XLE for a 1K gain. If I want a home run on a large position, I will need to learn more patience. At any rate, I don’t like the resistance here at 1400 S&P and the fact that May is approaching. Exposure is much more comfortable here. I opened a 100 share SDS position at the close, since my unrealized gains are back negative.

Code: 
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description 
 CME ($17.16) -0.52% 275.93 12 $3,311 CME Group Inc
 NTAP ($33.60) -2.76% 40.52 30 $1,216 NetApp Inc
 LM ($40.04) -1.71% 26.56 88 $2,337 Legg Mason Inc
 TSO ($392.03) -10.91% 26.42 136 $3,593 Tesoro Corporation
 CELG ($44.25) -4.11% 76.95 14 $1,077 Celgene Corp
 SDS ($5.00) -0.33% 15.16 100 $1,516 UltraShort S&P 500 ProShares
 MMI ($9.38) -0.28% 38.54 88 $3,391 Motorola Mobility Holdings Inc
 SWY $12.54 1.06% 20.71 57 $1,180 Safeway Inc
 PGR $17.16 1.56% 21.09 52 $1,097 Progressive Corporation (The)
 CSCO $17.63 0.80% 19.42 113 $2,195 Cisco Systems
 WMT $27.55 2.52% 57.52 19 $1,093 Wal-Mart Stores
 MDT $6.22 0.27% 36.98 62 $2,293 Medtronic, Inc
 DGX $9.12 0.84% 57.42 19 $1,091 Quest Diagnostics

Real-time Account Net Worth $73,078.54
Real-time Unrealized P/L ($451.23)
Real-time Realized P/L (Today) $1,135.92 
Net Long Exposure 33%
 
Code: 
[color=green][b]
Initial Capital (2/10/2012)	$30,000 
Total Net Profit	$5,271.76 
(Per Share)	$0.36 
Gross Profit	$7,333.88 
Gross Loss	($2,062.12)
Profit Factor	3.56
Total Number of Trades	406
Percent Profitable	77.83%
Winning Trades	316
Losing Trades	90
Avg. Trade Net Profit	$12.98 
Avg. Winning Trade	$23.21 
Avg. Losing Trade	($22.91)
Ratio Avg. Win:Avg. Loss	1.01
Expectancy	0.56
Largest Winning Trade	$412.91 
Largest Losing Trade	($163.90)
Max. Consecutive Winning Trades	20
Max. Consecutive Losing Trades	6
Total Shares/Contracts Held	14598
Total Commission	$670.90 
Return on Initial Capital	20.27%
Annual Rate of Return	86.43%
Buy & Hold Return	0.47%
Trading Period	2 Mths, 17 Dys
Max. Equity Run-up(Daily)	$5,533.90 
Date of Max. Equity Run-up	4/26/2012 15:00
Max. Drawdown(Daily)	
Value	($2,251.72)
Date	4/10/2012 15:00
as % of Initial Capital	8.66%
Max. Trade Drawdown	($281.81)
	
Net Worth	$73,034
Wkly Performance	7.85%
Dollar Gain/Loss	$2,273
S&P Wkly Performance	1.73%
Cum. Perform. (2/10/12)	20.10%
S&P Cum. Performance	4.44%
Correlation to S&P	0.53
Net Long Exposure	11%
[/b][/color]

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There was a higher period of volatility this month, but I came out the other size in one piece. The stats are looking good. Just need to be vigilant for a broad market sell off next month, when program trading may induce a computer "panic."
 

Attachments

Code: 
[color=green][b]
Initial Capital (2/10/2012)	$30,000 
Total Net Profit	$4,202.13 
(Per Share)	$0.26 
Gross Profit	$7,555.02 
Gross Loss	($3,352.89)
Profit Factor	2.25
Total Number of Trades	455
Percent Profitable	70.77%
Winning Trades	322
Losing Trades	133
Avg. Trade Net Profit	$9.24 
Avg. Winning Trade	$23.46 
Avg. Losing Trade	($25.21)
Ratio Avg. Win:Avg. Loss	0.93
Expectancy	0.37
Largest Winning Trade	$412.91 
Largest Losing Trade	($163.90)
Max. Consecutive Winning Trades	20
Max. Consecutive Losing Trades	35
Total Shares/Contracts Held	16143
Total Commission	$729.90 
Return on Initial Capital	16.16%
Annual Rate of Return	64.36%
Buy & Hold Return	0.18%
Trading Period	2 Mths, 24 Dys
Max. Equity Run-up(Daily)	$5,533.90 
Date of Max. Equity Run-up	4/26/2012 15:00
Max. Drawdown(Daily)	
Value	($2,251.72)
Date	4/10/2012 15:00
as % of Initial Capital	8.66%
Max. Trade Drawdown	($281.81)
	
Net Worth	$71,946
Wkly Performance	-3.65%
Dollar Gain/Loss	-$1,142
S&P Wkly Performance	-2.25%
Cum. Perform. (2/10/12)	15.92%
S&P Cum. Performance	1.96%
Correlation to S&P	0.67
Net Long Exposure	73%
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Wall Street ended its worst week of the year, and I think I did too. I still have some firepower left for next week though. While XLE continued higher a couple days after my exit last week, it is now well below my exit point. While some stocks do continue higher after my strategy exits, about the same number head lower by roughly the same magnitude. I believe this is reflected in the buy and hold performance always hovering around zero. It is as if I am riding a train in one direction, and then jumping onto another train in the opposite direction. Over time, I may not change my location (market is at the same level), but I have covered a lot of ground (net realized profits). There are windows of opportunity that open and close on every stock several times a year. One reason I don't like to hold a stock for more than a few days, is that not only does the edge diminish after entry over time (window closes), but also the longer I continue to hold a loser, there is the potential for increasing damage to be done. There is no room for emotional attachment. I must remove the dead weight in order to stay afloat.
 

Attachments

I am leveraging up my positions in anticipation of the market rallying around the Facebook IPO tour in the near future. In addition, while the Eurozone crisis has weighed on the markets, the market seems to be rallying back from any selloffs. This to me is bullish where the market buys after bad news. Besides, I can’t help but believe Europe has already been priced into the market to some degree.

I bought back into XLE today, in anticipation of another energy bear bounce. I think in a roundabout way, I am trying to recoup unrealized losses on National Oilwell by buying an ETF in the same sector. Probably a little risky, but if it makes money, I won’t complain. I couldn’t resist buying up a few more index and country ETFs today, so exposure is more than what is should be right now.

Code: 
Current Holdings:

Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description 
 NOV ($287.84) -7.97% 75.24 48 $3,611 National Oilwell Varco Inc
 SWY ($261.55) -5.48% 20.40 234 $4,773 Safeway Inc
 MCO ($136.67) -3.81% 40.29 89 $3,585 Moody's Corp
 CELG ($133.35) -3.86% 73.58 47 $3,458 Celgene Corp
 DOW ($98.37) -2.73% 33.01 109 $3,598 Dow Chemical
 CAT ($71.94) -2.03% 98.55 36 $3,548 Caterpillar Inc
 LMT ($63.44) -1.79% 88.72 40 $3,549 Lockheed Martin
 COST ($61.80) -1.75% 84.11 42 $3,533 Costco Wholesale
 GILD ($61.19) -1.72% 50.21 71 $3,565 Gilead Sciences
 ETN ($59.87) -2.51% 46.68 51 $2,381 Eaton Corp
 JEC ($53.65) -4.51% 40.99 29 $1,189 Jacobs Engr Group
 TROW ($49.42) -1.38% 60.84 59 $3,589 T.Rowe Price Group
 EWG ($38.98) -1.08% 21.53 167 $3,596 iShares MSCI Germany Index Fd
 EWL ($36.40) -1.01% 24.22 149 $3,609 iShares MSCI Switzerland Index
 ACWX ($27.12) -1.14% 39.08 61 $2,384 iShrs MSCI ACWI ex US Idx Fd
 EFA ($26.80) -1.11% 52.35 46 $2,408 iShares MSCI EAFE Index Tr
 VEU ($21.00) -1.76% 42.60 28 $1,193 Vanguard Intl FTSE World ex US
 CI ($12.48) -1.04% 46.22 26 $1,202 Cigna Corp
 DOV ($10.40) -0.44% 58.98 40 $2,359 Dover Corp
 HD ($9.66) -0.82% 51.03 23 $1,174 Home Depot Inc
 ECON ($7.50) -0.63% 23.95 50 $1,198 EGShares Emrgng Mrkts Consumer
 FMC ($7.26) -0.21% 105.87 33 $3,494 FMC Corp
 WAG ($7.00) -0.58% 34.29 35 $1,200 Walgreen Co
 LNC ($5.61) -0.47% 23.47 51 $1,197 Lincoln Natl Corp
 FIS ($3.33) -0.28% 32.33 37 $1,196 Fidelity National Information
 CSCO ($3.20) -0.27% 18.81 64 $1,204 Cisco Systems
 EWH ($0.46) -0.04% 17.26 69 $1,191 iShares MSCI Hong Kong Idx Fd
 EPP $0.64 0.05% 42.32 28 $1,185 iShares MSCI Pac Index Fd
 GS $0.77 0.03% 109.56 22 $2,410 Goldman Sachs Group
 AAXJ $0.93 0.08% 54.79 22 $1,205 iShrs MSCI Asia ex Japan Idx
 SDS $3.00 0.19% 15.90 100 $1,590 UltraShort S&P 500 ProShares
 IWF $3.04 0.25% 63.97 19 $1,215 iShares Russell 1000 Gwth Inde
 IVV $3.36 0.27% 136.62 9 $1,230 iShares S&P 500 Index Trust
 IVW $3.55 0.30% 73.42 16 $1,175 iShares S&P 500/Barra Gwth Ind
 FAST $3.68 0.15% 43.78 55 $2,408 Fastenal Co
 VIG $3.99 0.33% 57.08 21 $1,199 Vanguard Div Appreciat ETF
 AAPL $5.10 0.15% 567.03 6 $3,402 Apple Inc
 HRS $5.51 0.15% 41.56 86 $3,574 Harris Corp
 VTI $6.03 0.51% 69.71 17 $1,185 Vanguard Total Stock Mrkt ETF
 SRCL $7.28 0.62% 84.22 14 $1,179 Stericycle Inc
 LOW $7.41 0.62% 30.47 39 $1,188 Lowe's Cos
 IWR $7.59 0.65% 106.81 11 $1,175 iShares Russell Midcap Index
 QQQ $7.63 0.63% 64.14 19 $1,219 PowerShares QQQ Trust Series 1
 IWP $8.80 0.73% 60.47 20 $1,209 iShares Russell Midcap Growth
 DNR $17.04 1.41% 16.98 71 $1,206 Denbury Resources
 KLAC $18.48 0.52% 49.64 72 $3,574 KLA-Tencor Corp
 AET $21.28 0.89% 42.67 56 $2,390 Aetna Inc
 PAYX $24.04 0.67% 29.89 120 $3,587 Paychex Inc
 XLE $417.12 1.56% 66.78 400 $26,711 S&P Sel Energy Spdr Fund

Real-time Account Net Worth $92,316.55
Real-time Unrealized P/L ($980.99)
Real-time Realized P/L (Today) $97.24 
Net Long Exposure 144%
 
Quote from Rol:

I am leveraging up my positions in anticipation of the market rallying around the Facebook IPO tour in the near future. In addition, while the Eurozone crisis has weighed on the markets, the market seems to be rallying back from any selloffs. This to me is bullish where the market buys after bad news. Besides, I can’t help but believe Europe has already been priced into the market to some degree.

I bought back into XLE today, in anticipation of another energy bear bounce. I think in a roundabout way, I am trying to recoup unrealized losses on National Oilwell by buying an ETF in the same sector. Probably a little risky, but if it makes money, I won’t complain. I couldn’t resist buying up a few more index and country ETFs today, so exposure is more than what is should be right now.


Real-time Account Net Worth $92,316.55
Real-time Unrealized P/L ($980.99)
Real-time Realized P/L (Today) $97.24
Net Long Exposure 144%
More...

Hi Rol,

How did this month treat you? I'm hoping you cut some exposure last week or hedged at some point. This portfolio looks like its in about -13% drawdown at this point, is this within reason for this strategy?

Mike
 
Quote from Mike805:

Hi Rol,

How did this month treat you? I'm hoping you cut some exposure last week or hedged at some point. This portfolio looks like its in about -13% drawdown at this point, is this within reason for this strategy?

Mike
More...

Hi Mike and everyone else curious of my performance. From the equity high of $92,316, I am down 7.3% at $85,600. Yes, the strategy jettisoned most all of my positions last week and earlier this week for substantial losses. Current unrealized losses are $586. I took an 800 share discretionary position in SPY late this afternoon for an average cost of 128.33, so long exposure is 115%. I must improve my skills at identifying broad market topping conditions and taking action. Trader Vic has some actionable material on that in his book "Methods of a Wall Street Master". I have been busy doing some home remodeling, so haven't followed intraday action too closely. I'll try and post an equity curve with stats sometime this weekend.
 
Quote from Rol:

Hi Mike and everyone else curious of my performance. From the equity high of $92,316, I am down 7.3% at $85,600. Yes, the strategy jettisoned most all of my positions last week and earlier this week for substantial losses. Current unrealized losses are $586. I took an 800 share discretionary position in SPY late this afternoon for an average cost of 128.33, so long exposure is 115%. I must improve my skills at identifying broad market topping conditions and taking action. Trader Vic has some actionable material on that in his book "Methods of a Wall Street Master". I have been busy doing some home remodeling, so haven't followed intraday action too closely. I'll try and post an equity curve with stats sometime this weekend.
More...

Hey - Good job on cutting the exposure. 7.3% isn't very bad at all, seriously. We all have tough months.

Maybe rather than focusing on timing the tops, focus on assuming that you're going to get caught at the top a lot and having a preventative risk management process in place beforehand. Like never having a correlated exposure > x% no matter the broad market condition. Or maybe never going more than 70% long of net capital.

My point is, don't focus on reactionary procedures that take action when you're already exposed, assume the situation will happen and design your allocation such that you're never too exposed in the first place.
 
Nice turnaround today, but still about 2K from my high water mark. I am hanging on to 950 shares SPY, but closed out most of my longs at the close. It seems whenever the FED hints at or takes new action, the market makes big moves like today on hints of QE3. I need to be less aggressive on positions allowed by automation. The markets have not been too friendly to my strategy for about the last year. I am giving back to much of my gains. The market, when it hits longer term S/R and fails to break through seems to be doing an about face and trending quickly in the opposite direction, taking my gains with it. This was not the case with backtesting from 1993 to mid 2011. Frankly, I am surprised I have been net profitable since starting my strategy automation in fall 2010. I am sure a lot has to do with all the uncertainty with debt ridden countries affecting the markets. This is why I want to be more on the lookout for topping and bottoming action off longer term S/R.

Last Friday I was 14% long going into the 260 point DOW sell off. My strategy shut down to opening new longs, though because Thursday night the Russell 2000 broke below its 200 DMA, so I was grateful for that added feature. It took me awhile to figure out why it failed to open any new trades that day.

Real-time Account Net Worth $90,229.43
Real-time Unrealized P/L $3,622.61
Real-time Realized P/L (Today) $377.61

Net Long Exposure 140%
 
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