Hammering away, slow and methodical

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Initial Capital (2/10/2012)	$30,000 
Total Net Profit	$1,553.58 
(Per Share)	$0.27 
Gross Profit	$2,379.19 
Gross Loss	($825.62)
Profit Factor	2.88
Total Number of Trades	193
Percent Profitable	74.09%
Winning Trades	143
Losing Trades	50
Avg. Trade Net Profit	$8.05 
Avg. Winning Trade	$16.64 
Avg. Losing Trade	($16.51)
Ratio Avg. Win:Avg. Loss	1.01
Expectancy	0.49
Largest Winning Trade	$131.85 
Largest Losing Trade	($124.30)
Max. Consecutive Winning Trades	17
Max. Consecutive Losing Trades	6
Total Shares/Contracts Held	5798
Total Commission	$310.18 
Return on Initial Capital	5.18%
Annual Rate of Return	51.23%
Buy & Hold Return	0.30%
Trading Period	1 Mth, 5 Dys
Max. Equity Run-up(Daily)	$1,814.71 
Date of Max. Equity Run-up	3/13/2012 15:00
Max. Drawdown(Daily)	
Value	($715.97)
Date	3/6/2012 15:00
as % of Initial Capital	2.39%
Max. Trade Drawdown	($133.20)
	
Net Worth	$34,985
Wkly Performance	1.57%
Dollar Gain/Loss	$424
S&P Wkly Performance	1.98%
Cum. Performance	5.69%
S&P Cum. Performance	4.42%
Correlation to S&P	0.67
Current Exposure	79%
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I turned in a decent weekly performance, but the S&P did a bit better. My exposure never exceeded 100% this week, but got up to 96% intraday today with a close at 79% exposure. I am still holding JCP with a 7.96% DD. I have increase my stop loss to 15%, as 10% seemed a little to tight on hindsight. It tried to rally yesterday, but gave back most today. There does seem to be support at 36, as that is where I see buyers coming in and 36 was resistance beginning the year. My rules won't allow me to add to it, as I am maxed out at $3600. There is weakness in electric utilities, so I may play my XLU position next week with some size.
 

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Code: 
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description 
 JCP ($250.70) -7.00% 39.37 91 $3,583 Penney (J.C.)
 AMGN ($50.78) -1.39% 67.57 54 $3,649 Amgen Inc
 XLE ($48.40) -1.02% 72.13 66 $4,761 S&P Sel Energy Spdr Fund
 CAM ($43.24) -1.83% 51.29 46 $2,359 Cameron International Corp
 EWZ ($25.71) -0.20% 65.55 200 $13,110 iShares MSCI Brazil Index Fd
 AFL ($16.90) -1.41% 46.25 26 $1,203 AFLAC Inc
 XLU ($15.51) -0.11% 34.63 400 $13,852 S&P Sel Utilities Spdr Fund
 EWH ($12.65) -0.36% 17.63 201 $3,544 iShares MSCI Hong Kong Idx Fd
 VTR ($11.55) -0.97% 56.54 21 $1,187 Ventas Inc
 ETR ($11.34) -0.47% 67.05 36 $2,414 Entergy Corp
 EPP ($9.37) -0.39% 42.97 56 $2,406 iShares MSCI Pac Index Fd
 LLL ($6.12) -0.51% 69.96 17 $1,189 L-3 Communications Hldgs
 NU $5.61 0.23% 36.30 66 $2,395 Northeast Utilities
 ESRX $6.47 0.53% 52.83 23 $1,215 Express Scripts
 PKI $6.32 0.26% 26.98 89 $2,401 Perkinelmer Inc
 MSI $8.88 0.25% 50.20 72 $3,614 Motorola, Inc.
 GILD $19.03 1.59% 45.90 26 $1,193 Gilead Sciences
 
EWZ Buy 03/22/12 01:39:44 PM
 XLE Buy 03/22/12 12:39:51 PM
 EWZ Buy 03/22/12 12:37:51 PM
 ETR Buy 03/22/12 09:50:36 AM
 CAM Buy 03/22/12 09:32:33 AM
 EWH Buy 03/22/12 09:17:09 AM
 PKI Buy 03/22/12 09:16:04 AM
 MSI Buy 03/22/12 08:43:03 AM
 EWZ Buy 03/22/12 08:30:40 AM
 AFL Buy 03/22/12 08:30:17 AM
 VTR Buy 03/22/12 08:30:16 AM
 EPP Buy 03/22/12 08:30:15 AM
 GILD Buy 03/22/12 08:30:08 AM
 XLE Buy 03/22/12 08:30:05 AM
  
Real-time Account Net Worth $35,058.03
Real-time Unrealized P/L ($455.95)

Exposure is at 183% due to discretionary entries on several ETFs. In the future, I will need to refrain from sizing up so much in a single ETF like my XLU and EWZ. It encourages bad habits. I will only allow myself my max $3600 in the future. I need a rally tomorrow, or I could be in some pain going into the weekend. Psychological support at DOW 13000 may help in the near term.
 
Code: 
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Initial Capital (2/10/2012)	$30,000 
Total Net Profit	$1,852.01 
(Per Share)	$0.25 
Gross Profit	$2,856.61 
Gross Loss	($1,004.60)
Profit Factor	2.84
Total Number of Trades	234
Percent Profitable	73.08%
Winning Trades	171
Losing Trades	63
Avg. Trade Net Profit	$7.91 
Avg. Winning Trade	$16.71 
Avg. Losing Trade	($15.95)
Ratio Avg. Win:Avg. Loss	1.05
Expectancy	0.50
Largest Winning Trade	$131.85 
Largest Losing Trade	($130.00)
Max. Consecutive Winning Trades	17
Max. Consecutive Losing Trades	6
Total Shares/Contracts Held	7423
Total Commission	$370.19 
Return on Initial Capital	6.17%
Annual Rate of Return	50.88%
Buy & Hold Return	0.34%
Trading Period	1 Mth, 12 Dys
Max. Equity Run-up(Daily)	$2,093.58 
Date of Max. Equity Run-up	3/23/2012 15:00
Max. Drawdown(Daily)	
Value	($715.97)
Date	3/6/2012 15:00
as % of Initial Capital	2.39%
Max. Trade Drawdown	($140.70)
	
Net Worth	$35,335
Wkly Performance	1.01%
Dollar Gain/Loss	$279
S&P Wkly Performance	-0.47%
Cum. Performance	7.03%
S&P Cum. Performance	3.97%
Correlation to S&P	0.62
Current Exposure	164%
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I outperformed the S&P this week, which is a cool feeling. Exposure is still high due to XLU and EWZ. I am up $58 on EWZ and down $12 on XLU. I don't think I will make any more live calls, it is too much of a distraction and introduces unneeded emotion, and causes me to not stick to my plan. I will on occasion post open positions and trades for the day after the close to "keep it real." JCP continues to drag on the bottom line (down $303), but it stills appears to exhibit support around $36.

I wonder how long I can keep the percent profitable over 70% and APR over 50%. It would be great to maintain it over the long term. My strategy has so many variables now with following 550 names, I don't think it could be precisely backtested on a portfolio. The best I think I can do is look at individual equity curves and extrapolate the data.

I am reading Curtis Faith's, Way of the Turtle. There is some good info on risk of ruin and interpreting performance data. If I can come up with a trend following short strategy, it would be a nice complement to my current strategy. In fact I think RTM and TF strategies do complement each other. RTM has a higher % profitable and winners are about the same amount as losers, while TF has a lower % profitable, but winners far outweigh the losers. They also work well at different times.
 

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Here is a quick chart of my profit distribution of trades from strategy implementation on 2/10/2012. I am a bit concerned about the few negative outliers (from JCP) not matched with positive outliers, but I like the overall skew of the chart. I will keep updating this as time progresses.

I made some modifications to my entries because I felt I was getting too many signals for my current BP. I also added exit criteria that would have resulted in an exit on JCP with a $200 loss. If an exit signal triggered on the prior daily bar close, which was passed up, and the next bar close is lower, then go ahead an exit. IOW, take the loss. I consider these changes as "fine tuning" my strategy.

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Code: 
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description 
 JCP ($308.69) -8.61% 39.37 91 $3,583 Penney (J.C.)
 DELL ($4.97) -0.42% 16.77 71 $1,191 Dell Inc
 AMGN ($3.26) -0.09% 67.57 54 $3,649 Amgen Inc
 LXK $18.48 1.53% 33.64 36 $1,211 Lexmark Intl'A'
 XLE $47.30 0.99% 72.13 66 $4,761 S&P Sel Energy Spdr Fund
 CAM $72.22 3.06% 51.29 46 $2,359 Cameron International Corp
 XLU $116.49 0.84% 34.63 400 $13,852 S&P Sel Utilities Spdr Fund
 EWZ $290.29 2.21% 65.55 200 $13,110 iShares MSCI Brazil Index Fd

 Symbol Type Filled/Canceled 
 EWH Sell 03/26/12 02:59:05 PM
 ETR Sell 03/26/12 02:59:03 PM
 AFL Sell 03/26/12 02:59:03 PM
 VTR Sell 03/26/12 02:59:03 PM
 ESRX Sell 03/26/12 02:59:02 PM
 EPP Sell 03/26/12 02:59:02 PM
 LLL Sell 03/26/12 02:59:02 PM
 LXK Buy 03/26/12 08:32:58 AM
  
Real-time Account Net Worth $36,057.36
Real-time Unrealized P/L $228.86
Real-time Realized P/L (Today) $191.27
Exposure 121%

I am still hanging on to XLU and EWZ. I decided I would be a pig with them and will not sell until they have a down close. JCP illustrates why adding to crappy down trending stocks is bad. It could not even rally on a big up day today in the markets. I will wait until the lasts sellers give up on it, and then maybe it can rise a bit from its current zone of support. Realized gains today don’t seem too impressive, but Net Worth went up about $700 today from Friday’s close.
 
I think the old strategy was better.. beating SPY is very hard in my opinion. All the best anyway. Edit: I justed noticed you went back to stocks?
 
Quote from macrotrader:
I think the old strategy was better.. beating SPY is very hard in my opinion. All the best anyway. Edit: I just noticed you went back to stocks?
More...
Hi macrotrader, as always, I appreciate the input from you and others who take the time to provide wise counsel. It makes this journal worthwhile. Enough people have mentioned the efficiency of major indices to convince me that stocks are the way to go. I am sticking with the SP500 right now though, and some ETFs. Stocks to me are volatile like 2X and 3X ETFs, without the decay and margin restrictions on occasion. Also, I don’t need to put so much capital at risk as I would with the SPY to witness tradable price changes.

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I should have gone flat XLU and EWZ at the close today. I will have to look at my code when I get home tonight. I may need to exit them manually tomorrow to preserve profit and reduce exposure to this toppy market. I have 1440-1450 on the S&P as an area I would like to short the middle to end of April. I plan to close all my longs by the end of April and see if the markets change starting in May (Sell in May and go away). JCP managed a small bounce in this down market today. I am going to maintain a stop just below 36 and only move it up.

Real-time Account Net Worth $35,921.10
Real-time Unrealized P/L $41.14
Real-time Realized P/L (Today) $51.78
Exposure 108%
 
Code: 
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description 
 VZ ($33.48) -1.39% 38.76 62 $2,403 Verizon Communications
 XLE ($29.50) -0.16% 71.26 266 $18,955 S&P Sel Energy Spdr Fund
 DELL ($17.04) -1.43% 16.77 71 $1,191 Dell Inc
 LXK ($14.21) -0.60% 33.63 71 $2,388 Lexmark Intl'A'
 SWY ($11.10) -0.97% 20.36 56 $1,140 Safeway Inc
 SUN ($8.21) -0.71% 38.71 30 $1,161 Sunoco Inc
 ICE ($4.23) -0.34% 136.59 9 $1,229 IntercontinentalExchange Inc
 AMLP ($3.99) -0.33% 16.66 72 $1,199 Alerian MLP ETF
 EOG ($3.74) -0.31% 109.96 11 $1,210 EOG Resources
 R ($0.12) -0.01% 52.74 23 $1,213 Ryder System
 APC $1.95 0.17% 77.25 15 $1,159 Anadarko Petroleum
 MRO $2.88 0.25% 31.59 36 $1,137 Marathon Oil Corp
 DNR $4.58 0.39% 18.06 65 $1,174 Denbury Resources 
 
 JCP Sell 03/28/12 01:19:52 PM
 XLE Buy 03/28/12 12:41:30 PM
 XLE Buy 03/28/12 09:37:06 AM
 SUN Buy 03/28/12 09:24:42 AM
 DNR Buy 03/28/12 09:24:07 AM
 EOG Buy 03/28/12 09:22:38 AM
 MRO Buy 03/28/12 09:20:56 AM
 XLU Sell 03/28/12 09:20:21 AM
 APC Buy 03/28/12 09:19:52 AM
 EWZ Sell 03/28/12 09:17:07 AM
 AMLP Buy 03/28/12 09:15:34 AM
 SWY Buy 03/28/12 09:14:52 AM
 ICE Buy 03/28/12 08:43:58 AM
 LXK Buy 03/28/12 08:43:57 AM
 R Buy 03/28/12 08:43:53 AM
 VZ Buy 03/28/12 08:31:43 AM
  
Real-time Account Net Worth $35,500.30
Real-time Unrealized P/L ($117.27)
Real-time Realized P/L (Today) ($262.27)
Exposure	100%

Stopped out of JCP for $300 loss. Stopped out of XLU and EWZ for a net ~$60 gain. Over weighted in energy through XLE and various stocks. I would estimate that the market hangs around the 1400 level on the S&P for the near term.
 
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