Hammering away, slow and methodical

I closed out my SPY trade yesterday around the open. I moved my stop up because the market appeared to have trouble moving higher. I thought of reversing my position, but thought that would be reckless emotional trading. I am flat going into the weekend. Account balance is 96K after a 5K contribution. When I get to 100K, I will stop contributions and begin a new equity curve. YTD profits are 6.8K, but are largely due to my discretionary gold trade to start the year, and this SPY trade, which is troubling to me for automation. I plan to scale back automation, and maybe even override it after I have a nice run of a few months and be on the lookout for topping action.

I have doubled my hedge size, when in DD. Also, this last time around, I took profits on my hedge when the market dropped more, and this hurt overall performance of the hedge. I have to avoid this temptation and let the hedge work as designed.

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Well, that was a real head fake with futures opening up over 1% last night, but closing down over 1% today. Now glad I went flat Friday. I am down $300 on HAL, but still feel good on my overall entry. I added stocks in the S&P midcap index, so now I track about 900 stocks and ETFs.

Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description
HAL ($298.00) -1.33% 27.92 800 $22,338 Halliburton Co
SLE ($31.20) -2.60% 19.99 60 $1,199 Sara Lee Corp
VRTX $3.52 0.29% 55.34 22 $1,217 Vertex Pharmaceuticals

Real-time Account Net Worth $95,752.95
Real-time Unrealized P/L ($325.68)
Net Long Exposure 26%
 
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Total Net Profit	$7,776.12 
(Per Share)	$0.23 
Gross Profit	$19,553.17 
Gross Loss	($11,777.06)
Profit Factor	1.66
Total Number of Trades	779
Percent Profitable	62.52%
Winning Trades	487
Losing Trades	292
Avg. Trade Net Profit	$9.98 
Avg. Winning Trade	$40.15 
Avg. Losing Trade	($40.33)
Ratio Avg. Win:Avg. Loss	1
Expectancy	0.25
Largest Winning Trade	$1,233.31 
Largest Losing Trade	($196.33)
Max. Consecutive Winning Trades	20
Max. Consecutive Losing Trades	75
Total Shares/Contracts Held	33098
Total Commission	$1,318.97 
Return on Initial Capital	29.90%
Annual Rate of Return	56.88%
Buy & Hold Return	-0.51%
Trading Period	5 Mths, 15 Dys
Max. Equity Run-up(Daily)	$8,842.35 
Date of Max. Equity Run-up	6/15/2012 15:00
Max. Drawdown(Daily)	
Value	($9,676.99)
Date	5/18/2012 15:00
as % of Initial Capital	37.21%
Max. Trade Drawdown	($281.81)
	
Net Worth	$97,053
Wkly Performance	3.36%
Dollar Gain/Loss	$983
S&P Wkly Performance	0.91%
Correlation to S&P	0.75
Net Long Exposure	14%
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Here are numbers for the year. Beginning July 1, I will start collecting new stats based upon a starting equity of 100K. Obviously, I am experiencing sizable drawdowns, so I may need to execute systems overrides on occasion. I certainly don't expected the gains to always be steady, but I am still seeking better answers for bearish conditions, and for when I need to be switching gears. Upping my hedge when drawdowns first begin should help.
 

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Total Net Profit	$8,365.30 
(Per Share)	$0.24 
Gross Profit	$20,223.30 
Gross Loss	($11,858.00)
Profit Factor	1.71
Total Number of Trades	809
Percent Profitable	62.30%
Winning Trades	504
Losing Trades	305
Avg. Trade Net Profit	$10.34 
Avg. Winning Trade	$40.13 
Avg. Losing Trade	($38.88)
Ratio Avg. Win:Avg. Loss	1.03
Expectancy	0.26
Largest Winning Trade	$1,233.31 
Largest Losing Trade	($196.33)
Max. Consecutive Winning Trades	20
Max. Consecutive Losing Trades	75
Total Shares/Contracts Held	35049
Total Commission	$1,376.89 
Return on Initial Capital	32.17%
Annual Rate of Return	58.21%
Buy & Hold Return	-0.41%
Trading Period	5 Mths, 22 Dys
Max. Equity Run-up(Daily)	$9,431.54 
Date of Max. Equity Run-up	6/22/2012 15:00
Max. Drawdown(Daily)	
Value	($9,676.99)
Date	5/18/2012 15:00
as % of Initial Capital	37.21%
Max. Trade Drawdown	($281.81)
	
Net Worth	$97,666
Wkly Performance	2.03%
Dollar Gain/Loss	$613
S&P Wkly Performance	-0.50%
Correlation to S&P	0.73
Net Long Exposure	41%
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It was a respectable week for me considering the major selloff we had. My system gave very few buy signals before the downtrend day Thursday, so I was net short the market using a discretionary SH trade, but not with much size to have a big impact. I took a 200 share discretionary gold trade this morning with UGL. I'll hold it over the weekend, as I see a potential turning point in gold. I don't think being long gold is always long equities, so net long exposure is probably off.
 

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Quote from hoop121:

rol,

what program are you using to run all of your stats like that?
More...

Hi hoop, most comes from Tradestation. I created a macro using Autohotkey to export the performance report to Excel, and delete the rows I don't find useful. Some are calculations created by me within Excel, such as per share profit (idea came from Lescor's journal), expectancy (EricP), correlation (Heech), and the section at the bottom. I got the idea to put it in
Code: 
 format for easier reading from Neke's journal.  I would highly recommend to anyone that does repetitive keystroke and mouse tasks to use the free Autohotkey program.  I added net long exposure recently to help monitor hedging both automated and discretionary.
 
My gold trade turned out to be a nice hedge for today. I will trail a stop. Net losses on my other positions are $166. Biggest unrealized loss is ADM at $140 on 158 shares. I got the urge to place a 1000 share position in SPY this morning, but it didn’t feel right. The usual script is to tank Monday then revert later in the week. It would be better to wait another day or two for the selling to subside.

Real-time Account Net Worth $97,852.68
Real-time Unrealized P/L $256.65
Real-time Realized P/L (Today) ($19.00)
Net Long Exposure 65%
 
I am happy about the minimal DD during the recent market activity. I gave back about half my gains on my gold trade, but am still long. Exposure is good.

Real-time Account Net Worth $97,939.97
Real-time Unrealized P/L $21.83
Real-time Realized P/L (Today) $322.12
Net Long Exposure 57%
 
Not wanting to be too aggressive here. It could turn out to be a buy the rumor, sell the news on the meeting of Euro leaders Thursday. I am down 13%, ($160) on ORLY, after a company earnings warning. These up and down days are the zone I like to work in, as I am getting plenty of signals.

Real-time Account Net Worth $98,057.70
Real-time Unrealized P/L ($153.38)
Real-time Realized P/L (Today) $293.39
Net Long Exposure 51%
 
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