Hammering away, slow and methodical

Code: 
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Initial Capital (2/10/2012)	$30,000 
Total Net Profit	$2,157.53 
(Per Share)	$0.21 
Gross Profit	$3,784.60 
Gross Loss	($1,627.06)
Profit Factor	2.33
Total Number of Trades	302
Percent Profitable	72.85%
Winning Trades	220
Losing Trades	82
Avg. Trade Net Profit	$7.14 
Avg. Winning Trade	$17.20 
Avg. Losing Trade	($19.84)
Ratio Avg. Win:Avg. Loss	0.87
Expectancy	0.36
Largest Winning Trade	$131.85 
Largest Losing Trade	($135.11)
Max. Consecutive Winning Trades	17
Max. Consecutive Losing Trades	9
Total Shares/Contracts Held	10454
Total Commission	$477.77 
Return on Initial Capital	7.19%
Annual Rate of Return	45.30%
Buy & Hold Return	0.22%
Trading Period	1 Mth, 25 Dys
Max. Equity Run-up(Daily)	$2,964.89 
Date of Max. Equity Run-up	4/2/2012 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	$36,688
Wkly Performance	-0.42%
Dollar Gain/Loss	-$118
S&P Wkly Performance	-0.68%
Cum. Perform. (2/10/12)	8.39%
S&P Cum. Performance	4.04%
Correlation to S&P	0.71
Current Exposure	147%
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I ended the week on a sour note. Unrealized loss is $509. Exposure jacked up to 149% due to 200-share XLE discretionary trade (up $11, avg. price 70.46). I did this in anticipation of funding the account with 30K next week. I opened a 100-share SDS position to begin hedging, as unrealized loss is 1.6% of NW. Good to see that code worked as designed. I did not do as poorly as the S&P this week, but there are 3 or 4 positions I am down 4% on which is accounting for the brunt of the losses. I will be adding to my short as well as entering new longs next week.
 

Attachments

I realized a nice gain from an AH bounce on an earnings beat from OI. I am underwater by $600 on XLE with 550 shares. Don’t plan to add more unless there is some serious blood letting. After this, I really need to concentrate on eliminating the urge to take large individual positions, even if it is an ETF. It will eventually be my undoing. I need to reserve enough BP to withstand a 15 day relentless selloff. There are at least two or three times a year when market corrections occur and I need to be prepared for the worst at all times. So, rather than getting margin calls, I will calmly be providing liquidity to eager sellers and buying the eventual bottom. I am going to consider putting on a short position equal to my long exposure when I get very few long signals. I only had one signal during this most recent top so it could prove to be a good contrarian signal. Had it not been for the XLE discretionary trade, my exposure would be around 87%. I realized a $130 gain in SDS the past couple of days, and currently hold 200 shares.

Real-time Account Net Worth $69,147.48
Real-time Unrealized P/L ($1,690.03)
Real-time Realized P/L (Today) $203.37
Exposure 143%
 
When I crawled out of bed at 10am, I was pleased to see my NW up $1600 from yesterday’s close. I am going to let my XLE position ride to shoot for bigger gains on the energy sector. I will trail a stop below key support levels. I am still leery of the markets as May approaches. This could be a double top forming. If my signals drop to ~0, I will add to my SDS position.

Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description
TSO ($254.67) -7.09% 26.42 136 $3,593 Tesoro Corporation
SDS ($108.00) -3.37% 16.01 200 $3,202 UltraShort S&P 500 ProShares
KIM ($101.68) -2.82% 18.86 191 $3,603 Kimco Realty
LXK ($47.61) -1.33% 33.43 107 $3,578 Lexmark Intl'A'
LM ($37.40) -1.60% 26.56 88 $2,337 Legg Mason Inc
PCAR ($31.57) -1.31% 43.77 55 $2,408 Paccar Inc
PGN ($14.52) -1.21% 52.10 23 $1,198 Progress Energy
DPS ($1.50) -0.13% 39.17 30 $1,175 Dr Pepper Snapple Grp Inc
CCE $9.24 0.77% 27.34 44 $1,203 Coca-Cola Enterprises Inc
PLD $25.56 2.14% 33.17 36 $1,194 ProLogis Inc
GD $27.54 2.25% 68.13 18 $1,226 General Dynamics Corp
CTXS $29.52 2.53% 72.89 16 $1,166 Citrix Systems
XLE $222.50 0.58% 69.35 550 $38,140 S&P Sel Energy Spdr Fund

Symbol Type Filled/Canceled
EWG Sell 04/12/12 02:59:03 PM
PDCO Sell 04/12/12 02:59:03 PM
XHB Sell 04/12/12 02:59:02 PM
MOLX Sell 04/12/12 02:59:01 PM
HON Sell 04/12/12 02:59:01 PM
AVY Sell 04/12/12 02:59:01 PM
TXN Sell 04/12/12 02:59:01 PM
EWZ Sell 04/12/12 02:59:01 PM
ETN Sell 04/12/12 02:59:01 PM
CMI Sell 04/12/12 02:59:01 PM
SWY Sell 04/12/12 02:59:01 PM
GS Sell 04/12/12 02:59:01 PM
AFL Sell 04/12/12 02:59:01 PM
GCI Sell 04/12/12 02:59:01 PM
DTE Sell 04/12/12 02:59:01 PM
MS Sell 04/12/12 02:59:01 PM
EFA Sell 04/12/12 02:59:01 PM
FFIV Sell 04/12/12 02:43:58 PM
DTE Buy 04/12/12 08:33:35 AM
DPS Buy 04/12/12 08:31:31 AM
PLD Buy 04/12/12 08:31:14 AM
CCE Buy 04/12/12 08:30:44 AM

Real-time Account Net Worth $71,295.84
Real-time Unrealized P/L ($280.58)
Real-time Realized P/L (Today) $739.11
Exposure 90%
 
Code: 
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Initial Capital (2/10/2012)	$30,000 
Total Net Profit	$2,686.95 
(Per Share)	$0.22 
Gross Profit	$5,054.19 
Gross Loss	($2,367.23)
Profit Factor	2.14
Total Number of Trades	351
Percent Profitable	74.64%
Winning Trades	262
Losing Trades	89
Avg. Trade Net Profit	$7.66 
Avg. Winning Trade	$19.29 
Avg. Losing Trade	($26.60)
Ratio Avg. Win:Avg. Loss	0.73
Expectancy	0.29
Largest Winning Trade	$131.85 
Largest Losing Trade	($180.81)
Max. Consecutive Winning Trades	20
Max. Consecutive Losing Trades	13
Total Shares/Contracts Held	12479
Total Commission	$561.00 
Return on Initial Capital	8.96%
Annual Rate of Return	48.95%
Buy & Hold Return	0.40%
Trading Period	2 Mths, 3 Dys
Max. Equity Run-up(Daily)	$3,795.91 
Date of Max. Equity Run-up	4/12/2012 15:00
Max. Drawdown(Daily)	
Value	($2,251.72)
Date	4/10/2012 15:00
as % of Initial Capital	7.51%
Max. Trade Drawdown	($239.81)
	
Net Worth	$70,357
Wkly Performance	1.15%
Dollar Gain/Loss	$325
S&P Wkly Performance	-1.90%
Cum. Perform. (2/10/12)	9.81%
S&P Cum. Performance	2.07%
Correlation to S&P	0.49
Net Long Exposure	90%
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I managed over 1% gain for the week, while the S&P lost nearly 2%. However, I had my worst daily DD. Some of that is due to XLE. My stop just below yesterday's close was not hit, but I am currently down $388 on it. I won't be adding more to it, as I will reserve BP for other positions. I included any SDS hedge in exposure calculations to provide a net long exposure reading. Even though I was down over 1% yesterday, I did not add to my SDS because I had in my code only to add when exposure is over 100%. I had done that because I did not want to go short just because of one position causing the DD. Now that my equity is higher, I think I can remove that restriction.
 

Attachments

I am sitting on a considerable loss on TSO, which is in the oil and gas sector. News of labor strikes are weighing on it no doubt. I will likely exit with a loss on it. I wish to hold XLE until at least the end of the month. The chart looks much like last April, where after a selloff in early April, it moved higher the last two weeks of April. Not sure if this is a cycle effect, but I want to play it for a nice move since I am big in size. I am building a short position, per strategy. I thought since SDS is 2X I could double the net hedging effect on my portfolio, but decided against it because I hold individual stocks, which are more volatile then SPY.

Code: 
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description 
 TSO ($485.87) -13.52% 26.42 136 $3,593 Tesoro Corporation
 SDS ($159.00) -2.51% 15.81 400 $6,323 UltraShort S&P 500 ProShares
 LM ($61.16) -2.62% 26.56 88 $2,337 Legg Mason Inc
 WHR ($39.27) -3.28% 70.32 17 $1,195 Whirlpool Corp
 KIM ($36.74) -1.02% 18.86 191 $3,603 Kimco Realty
 PCAR ($21.12) -0.88% 43.77 55 $2,408 Paccar Inc
 NTAP ($2.10) -0.17% 40.52 30 $1,216 NetApp Inc
 ICE $16.02 1.36% 130.53 9 $1,175 IntercontinentalExchange Inc
 HUM $17.50 1.43% 87.11 14 $1,220 Humana Inc
 FFIV $22.20 1.83% 121.53 10 $1,215 F5 Networks
 XLE $35.50 0.09% 69.35 550 $38,140 S&P Sel Energy Spdr Fund
 AAPL $54.24 1.51% 599.55 6 $3,597 Apple Inc
  
 Symbol Type Filled/Canceled 
 LH Sell 04/17/12 02:59:15 PM
 DPS Sell 04/17/12 02:59:05 PM
 SJM Sell 04/17/12 02:59:03 PM
 GD Sell 04/17/12 02:59:03 PM
 CELG Sell 04/17/12 02:59:03 PM
 DELL Sell 04/17/12 02:59:03 PM
 MRK Sell 04/17/12 02:59:02 PM
 SDS Buy 04/17/12 02:59:02 PM
 WHR Buy 04/17/12 10:38:24 AM
 PGN Sell 04/17/12 09:07:41 AM
 ICE Buy 04/17/12 08:57:03 AM
 HUM Buy 04/17/12 08:56:27 AM
 AAPL Buy 04/17/12 08:30:12 AM
  
Real-time Account Net Worth $71,079.89
Real-time Unrealized P/L ($665.23)
Real-time Realized P/L (Today) $182.18
Net Long Exposure 84%
 
Code: 
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Initial Capital (2/10/2012)	$30,000 
Total Net Profit	$2,968.43 
(Per Share)	$0.23 
Gross Profit	$5,531.21 
Gross Loss	($2,562.78)
Profit Factor	2.16
Total Number of Trades	372
Percent Profitable	74.46%
Winning Trades	277
Losing Trades	95
Avg. Trade Net Profit	$7.98 
Avg. Winning Trade	$19.97 
Avg. Losing Trade	($26.98)
Ratio Avg. Win:Avg. Loss	0.74
Expectancy	0.30
Largest Winning Trade	$140.64 
Largest Losing Trade	($173.35)
Max. Consecutive Winning Trades	20
Max. Consecutive Losing Trades	14
Total Shares/Contracts Held	13081
Total Commission	$599.91 
Return on Initial Capital	11.41%
Annual Rate of Return	55.60%
Buy & Hold Return	0.36%
Trading Period	2 Mths, 10 Dys
Max. Equity Run-up(Daily)	$3,795.91 
Date of Max. Equity Run-up	4/12/2012 15:00
Max. Drawdown(Daily)	
Value	($2,251.72)
Date	4/10/2012 15:00
as % of Initial Capital	8.66%
Max. Trade Drawdown	($254.81)
	
Net Worth	$70,761
Wkly Performance	1.41%
Dollar Gain/Loss	$404
S&P Wkly Performance	0.59%
Cum. Perform. (2/10/12)	11.36%
S&P Cum. Performance	2.67%
Correlation to S&P	0.49
Net Long Exposure	82%
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Majority of the net gains came on Tuesday. I spent the remainder of week just treading water. I had the opportunity to sell XLE for $400 at the open today, and now am back to a $200 loss. I will set a $1000 loss limit, and shoot for a $2000+ gain. After this trade closes, I will not trade so large in one position. However, when conditions arise in the future in ETFs, I will allow the system a bit of freedom in entries adhering to the max position size, and honoring the strategy exits.

Many of the buy low sell high crowd says they will buy the lows, but they often don't. Either they tapped out of equity by going all in much higher, or when the market has finally sold off, they are too afraid to pull the trigger.

I have 500 shares of SDS giving me a net long exposure of 82%. I need to grow more accustomed to being on the sidelines to have the cash reserves ready for deployment. I have found that a good way to avoid overtrading is to spend the time reading good trading books, rather than placing a bunch of trades. I am currently reading Trader Vic-Methods of a Wall Street Master by Victor Sperandeo. He likes calling tops in the market and buying put options.
 

Attachments

I closed out my SDS hedge for a $103 gain. So far recent gains on SDS have totaled $233. It is not providing much hedging due to relatively small size, but it has helped cover commissions! I added 200 shares XLE for a rather large exposure in the energy sector. I was down $800 at the open, but recovered by the close. I will have to monitor this position closely. Market was down today, but I am higher than last week’s close so far. I still feel we are in a bull phase, but I should definitely not size up if broad indices were below their 200 DMA. The market seems to behave differently below the long term average.

Code: 
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description 
 TSO ($455.95) -12.69% 26.42 136 $3,593 Tesoro Corporation
 WHR ($106.24) -2.96% 67.70 53 $3,588 Whirlpool Corp
 LM ($104.28) -4.46% 26.56 88 $2,337 Legg Mason Inc
 XLE ($82.00) -0.16% 68.97 750 $51,727 S&P Sel Energy Spdr Fund
 NTAP ($55.23) -4.54% 40.52 30 $1,216 NetApp Inc
 CME ($44.16) -1.33% 275.93 12 $3,311 CME Group Inc
 ICE ($19.62) -0.56% 128.80 27 $3,478 IntercontinentalExchange Inc
 MMI ($12.57) -0.55% 38.64 59 $2,280 Motorola Mobility Holdings Inc
 GOOG ($8.40) -0.23% 599.00 6 $3,594 Google Inc Cl A
 MYL ($2.04) -0.19% 21.60 51 $1,102 Mylan Inc
 SMH $0.66 0.06% 33.45 33 $1,104 Mkt Vectors Semiconductor ETF
 EWY $2.09 0.19% 57.24 19 $1,088 iShares MSCI South Korea Index
 M $2.52 0.23% 38.67 28 $1,083 Macy's Inc
 XHB $2.70 0.25% 20.20 54 $1,091 SPDR S&P Homebuilders
 AAPL $6.26 0.55% 568.86 2 $1,138 Apple Inc
 JPM $26.00 2.39% 41.84 26 $1,088 JPMorgan Chase & Co
 DNR $34.02 3.10% 17.42 63 $1,097 Denbury Resources

 Symbol Type Filled/Canceled 
 XLE Buy 04/23/12 08:50:18 AM
 SMH Buy 04/23/12 08:50:18 AM
 MMI Buy 04/23/12 08:44:18 AM
 SDS Sell 04/23/12 08:38:04 AM
 XLE Buy 04/23/12 08:37:08 AM
 EWY Buy 04/23/12 08:33:43 AM
 XHB Buy 04/23/12 08:31:11 AM
 ICE Buy 04/23/12 08:30:32 AM
 M Buy 04/23/12 08:30:16 AM
 DNR Buy 04/23/12 08:30:15 AM
 JPM Buy 04/23/12 08:30:12 AM
 MYL Buy 04/23/12 08:30:10 AM
 AAPL Buy 04/23/12 08:30:10 AM
 GOOG Buy 04/23/12 08:30:08 AM
  
Real-time Account Net Worth $71,065.64
Real-time Unrealized P/L ($831.44)
Real-time Realized P/L (Today) $82.69 
Net Long Exposure 118%
 
I just heard that AAPL beat earnings estimates after hours. My 4 shares are up over 7% AH. What clear thinking speculator would be selling into the recent retreat before earnings of AAPL shares? Apple is notorious for beating estimates.

XLE showed some strength today, albeit on lighter volume. Let’s see if a trend can get going into the end of the month.

Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description
TSO ($451.87) -12.57% 26.42 136 $3,593 Tesoro Corporation
LM ($89.32) -3.82% 26.56 88 $2,337 Legg Mason Inc
WHR ($65.15) -1.82% 67.70 53 $3,588 Whirlpool Corp
NTAP ($55.20) -4.54% 40.52 30 $1,216 NetApp Inc
CME ($40.32) -1.22% 275.93 12 $3,311 CME Group Inc
MMI ($34.90) -1.03% 38.54 88 $3,391 Motorola Mobility Holdings Inc
SMH ($11.55) -0.52% 33.35 66 $2,201 Mkt Vectors Semiconductor ETF
CSCO ($5.60) -0.51% 19.54 56 $1,094 Cisco Systems
AAPL ($5.54) -0.25% 562.19 4 $2,249 Apple Inc
SDS ($5.00) -0.32% 15.79 100 $1,579 UltraShort S&P 500 ProShares
SPLS $7.20 0.66% 15.23 72 $1,097 Staples Inc
MDT $3.90 0.35% 36.99 30 $1,110 Medtronic, Inc
M $4.20 0.39% 38.67 28 $1,083 Macy's Inc
EWY $12.16 1.12% 57.24 19 $1,088 iShares MSCI South Korea Index
DGX $12.84 1.18% 57.42 19 $1,091 Quest Diagnostics
MYL $20.91 1.90% 21.60 51 $1,102 Mylan Inc
AMP $14.91 1.37% 51.74 21 $1,087 Ameriprise Financial Inc
XHB $16.74 1.53% 20.20 54 $1,091 SPDR S&P Homebuilders
XLE $323.00 0.62% 68.97 750 $51,727 S&P Sel Energy Spdr Fund

Symbol Type Filled/Canceled
ICE Sell 04/24/12 02:59:02 PM
GOOG Sell 04/24/12 02:59:01 PM
SDS Buy 04/24/12 02:59:01 PM
JPM Sell 04/24/12 02:59:00 PM
AAPL Buy 04/24/12 12:57:25 PM
SMH Buy 04/24/12 11:42:11 AM
MDT Buy 04/24/12 10:00:00 AM
CSCO Buy 04/24/12 08:58:51 AM
MMI Buy 04/24/12 08:48:35 AM
SPLS Buy 04/24/12 08:46:07 AM
DNR Sell 04/24/12 08:39:05 AM
DGX Buy 04/24/12 08:32:44 AM
AMP Buy 04/24/12 08:32:06 AM

Real-time Account Net Worth $71,656.61
Real-time Unrealized P/L ($348.59)
Real-time Realized P/L (Today) $108.34
Net Long Exposure 116%
 
I swung back to net profitability on unrealized gains today. The SDS position I opened at yesterday’s close was exited at today’s open. My rule is that when unrealized gains return to > 0, then any SDS hedge is closed if I haven’t already taken profits, as I figure the market is rebounding and I am coming out of a DD. My XLE is still open and I have an $800 gain. I got down to a $100 gain today, but refused get stopped out as my goal was to hold thru the end of the month. Maybe trend followers will push it higher as it breaks out.

Real-time Account Net Worth $72,752.02
Real-time Unrealized P/L $357.82
Real-time Realized P/L (Today) $389.22
Net Long Exposure 108%
 
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