Hammering away, slow and methodical

Quote from d08:

Good luck Rol, you probably don't need it though.
Your journal definitely wins the award for the best title.
More...

Thanks d08, it appears you and me both have staying power. I often consider “luck” as conditioning yourself to do enough of the “right” things while systematically eliminating “wrong” behavior. This puts one in the position to benefit from favorable market moves when they occur. Of course, right and wrong is obvious in retrospect. I wish the title was original, but I caught the phrase somewhere on ET and it stuck. You have said my style is similar to yours. I suspect you are more daytrading than overnight holding based on your gains and losses, and putting on more size per position. I may get there someday.

On a side note. Overnight futures are pointing higher. The punishment phase for longs may be over tomorrow. Long exposure is 48%. DD 0.56%. 25 open positions. I want to see my account balance blast through 100K tomorrow. Midcap futures actually dipped below the 200 DMA today.
 
Code: 
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Total Net Profit	$316.12 
(Per Share)	$0.13 
Gross Profit	$797.24 
Gross Loss	($481.13)
Profit Factor	1.66
Total Number of Trades	60
Percent Profitable	61.67%
Winning Trades	37
Losing Trades	23
Avg. Trade Net Profit	$5.27 
Avg. Winning Trade	$21.55 
Avg. Losing Trade	($20.92)
Ratio Avg. Win:Avg. Loss	1.03
Expectancy	0.25
Largest Winning Trade	$65.55 
Largest Losing Trade	($74.47)
Max. Consecutive Winning Trades	11
Max. Consecutive Losing Trades	4
Total Shares/Contracts Held	2519
Total Commission	$80.59 
Return on Initial Capital	0.32%
Annual Rate of Return	10.25%
Buy & Hold Return	0.56%
Trading Period	11 Dys, 6 Hrs
Max. Equity Run-up(Daily)	$711.02 
Date of Max. Equity Run-up	7/13/2012 15:00
Max. Drawdown(Daily)	
Value	($408.85)
Date	7/12/2012 15:00
as % of Initial Capital	0.41%
Max. Trade Drawdown	($125.61)
	
Net Worth	$100,238
Wkly Performance	0.41%
Dollar Gain/Loss	$413
S&P Wkly Performance	0.05%
Cum. Perform. (7/1/12)	0.24%
S&P Cum. Performance	-0.26%
Correlation to S&P	1.00
Net Long Exposure	39%
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I kept exposure under 50% this week. If I always tell myself this is the start of the mother of all selloffs, it prevents me from taking more risk than I should. Then when the turnaround occurs like today, I am pleasantly "surprised."
 

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Going on record with my market exposure in case I am able to turn some of my positions into gains the next couple of days. I have struggled so far this month to break out for sizable gains. I regressed and took a 6500 share position in Dean Foods a few days ago, which went down 2.3K and back up for about a $200 loss. I was becoming impatient with waiting for trading gains, and tried to hit a home run. On the bright side, I had turned off my system while I focused on DF, and may have missed some of the downtrend of the broader market by not opening new longs during that time. Other than that, things have remained flat line as I hover above 100K, in spite of the S&P being negative for the month.

Real-time Account Net Worth $100,265.06
Real-time Unrealized P/L ($332.29)
Real-time Realized P/L (Today) $111.65
Net Long Exp, 58%
Drawdown, 0.00%
Number of Positions 33
 
Intraday exposure rose to 69%, and then closed at 45% long exposure. I was becoming concerned today as the DOW was up 200 points midday, but my NW was barely budging as several stocks were tanking, probably due to earnings related misses. But into the close, many of my positions rallied, likely due to short covering.

Account Net Worth $101,005.51
Unrealized P/L ($31.06)
Realized P/L (Today) $440.87
 
Code: 
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Total Net Profit	$2,019.54 
(Per Share)	$0.14 
Gross Profit	$4,274.18 
Gross Loss	($2,254.64)
Profit Factor	1.9
Total Number of Trades	215
Percent Profitable	64.65%
Winning Trades	139
Losing Trades	76
Avg. Trade Net Profit	$9.39 
Avg. Winning Trade	$30.75 
Avg. Losing Trade	($29.67)
Ratio Avg. Win:Avg. Loss	1.04
Expectancy	0.32
Largest Winning Trade	$293.65 
Largest Losing Trade	($164.84)
Max. Consecutive Winning Trades	24
Max. Consecutive Losing Trades	31
Total Shares/Contracts Held	14433
Total Commission	$391.81 
Return on Initial Capital	2.02%
Annual Rate of Return	28.92%
Buy & Hold Return	1.45%
Trading Period	25 Dys, 6 Hrs
Max. Equity Run-up(Daily)	$3,819.78 
Date of Max. Equity Run-up	7/27/2012 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	$101,914
Wkly Performance	3.90%
Dollar Gain/Loss	$3,825
S&P Wkly Performance	1.62%
Cum. Perform. (7/1/12)	1.91%
S&P Cum. Performance	1.90%
Correlation to S&P	0.68
Net Long Exposure	19%
Real-time Realized P/L (Today)	$1,011.55
Real-time Unrealized P/L	($115.75)
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I haven't really outperformed the S&P this month, but my long exposure averaged around 50%. My equity curve reminds me of the need for patience as I wait for my strategy exits. Commissions are about $100 more because of the 6500 share DF trade.
 

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Code: 
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Total Net Profit	$1,337.18 
(Per Share)	$0.08 
Gross Profit	$4,973.48 
Gross Loss	($3,636.30)
Profit Factor	1.37
Total Number of Trades	294
Percent Profitable	58.50%
Winning Trades	172
Losing Trades	122
Avg. Trade Net Profit	$4.55 
Avg. Winning Trade	$28.92 
Avg. Losing Trade	($29.81)
Ratio Avg. Win:Avg. Loss	0.97
Expectancy	0.15
Largest Winning Trade	$293.65 
Largest Losing Trade	($164.84)
Max. Consecutive Winning Trades	24
Max. Consecutive Losing Trades	31
Total Shares/Contracts Held	17062
Total Commission	$503.96 
Return on Initial Capital	1.34%
Annual Rate of Return	12.36%
Buy & Hold Return	0.85%
Trading Period	1 Mth, 8 Dys, 6 Hrs
Max. Equity Run-up(Daily)	$3,819.78 
Date of Max. Equity Run-up	7/27/2012 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	$99,212
Wkly Performance	-0.61%
Dollar Gain/Loss	-$621
S&P Wkly Performance	1.07%
Cum. Perform. (7/1/12)	1.21%
S&P Cum. Performance	3.48%
Correlation to S&P	0.55
Net Long Exposure	55%
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I have been stuck in a rut recently, unable to make much headway. I withdrew 2K. I went back to my original strategy today where I scan the entire universe of stocks (excluding ones with margin restrictions), but with several refinements in place. Entry price will include the futures ROC in its calculations, using Tradestation's globalvariable.dll. This will help account for overall market volatility when placing trades. Before, I would use a somewhat static entry, with a manual input override option. I also short now and currently have a 400 share SH position. I felt I have been placing too many trades with little return, since the large caps tend to be less volatile, so commission are adding up. I also liked my first strategy, as it was more interesting to watch some of the more volatile issues. I have more BP now but am taking less risk than last fall, so this should help reduce DD somewhat. YTD I am up 12K, so my efforts have not been a total waste so far this year.
 

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Flattish day in the markets, though I managed some equity gains, chiefly thru a turnaround in MNST. I bailed on NCR after it recovered a bit from a precipitous drop on the open, because of a downgrade as well as allegations it sold software to Syria. I unwound several positions that have grown stale the past few days, mostly in the real estate sector, where I had been uncomfortably overweight in. I feel much better about my market exposure now as I prepare for a breakout in either direction. Holding 700 SH shares.

Code: 
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description 
 FE ($78.69) -2.64% 47.37 63 $2,984 FirstEnergy Corp
 AIV ($69.66) -1.79% 26.50 147 $3,896 Apartment Investment & Mgmt'A'
 CNL ($56.35) -1.35% 42.58 98 $4,172 Cleco Corp
 PCH ($52.49) -1.47% 34.40 104 $3,578 Potlatch Corp
 EQR ($51.52) -1.94% 60.50 44 $2,662 Equity Residential
 SH ($32.00) -0.13% 35.19 700 $24,630 ProShares Trust Short S&P 500
 VTR ($31.97) -2.14% 65.08 23 $1,497 Ventas Inc
 CHD ($13.12) -0.23% 52.36 108 $5,655 Church & Dwight
 ABC ($9.18) -0.61% 38.58 39 $1,505 AmeriSourceBergen Corp
 LPSN ($5.08) -0.34% 15.62 96 $1,500 Liveperson Inc
 EXPE ($1.54) -0.10% 52.48 28 $1,469 Expedia Inc
 KMB ($0.45) -0.02% 82.95 33 $2,737 Kimberly-Clark
 NWE ($0.06) -0.00% 35.89 42 $1,507 NorthWestern Corporation
NOTE: The list is automatically sorted every minute. Last sort on 8/14/2012 at 3:04:44 PM
    
 Symbol Type Filled/Canceled 
 CPT Sell 08/14/12 02:59:02 PM
 HME Sell 08/14/12 02:59:01 PM
 CPA Sell 08/14/12 02:59:00 PM
 AJG Sell 08/14/12 02:59:00 PM
 MNST Sell 08/14/12 02:58:59 PM
 LPSN Buy 08/14/12 02:16:54 PM
 PSA Sell 08/14/12 12:45:11 PM
 EXPE Buy 08/14/12 09:36:56 AM
 VNO Sell 08/14/12 09:36:13 AM
 ACC Sell 08/14/12 09:23:29 AM
 JCOM Sell 08/14/12 09:17:36 AM
 FLO Sell 08/14/12 09:06:46 AM
 IOC Sell 08/14/12 08:59:17 AM
 NCR Buy to Cover 08/14/12 08:56:49 AM
 NCR Sell Short 08/14/12 08:50:50 AM
 NCR Sell 08/14/12 08:47:34 AM
 FLO Buy 08/14/12 08:37:31 AM
 NCR Buy 08/14/12 08:32:35 AM
 IOC Buy 08/14/12 08:31:04 AM
 SH Buy 08/14/12 08:31:03 AM
  
Real-time Account Net Worth $99,612.46
Real-time Unrealized P/L ($402.10)
Real-time Realized P/L (Today) $172.56
Uncleared Deposits $0.00
 
Net Long Exp, 	33%
Drawdown	 -0.38%
Number of Positions 13
 
I continued lightening up on positions today as the market can’t decide which way to break from the S&P 1400 magnet. The only red light/green light signal I got was for another trade in IOC that I managed to book a quick profit on yesterday. If I happen to come out of my draw down, my short position will close, but I will look to reenter pending a change in the macro picture.

Code: 
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description 
 AIV ($88.77) -2.28% 26.50 147 $3,896 Apartment Investment & Mgmt'A'
 FE ($79.95) -2.68% 47.37 63 $2,984 FirstEnergy Corp
 SH ($67.00) -0.27% 35.19 700 $24,630 ProShares Trust Short S&P 500
 EQR ($41.40) -1.56% 60.50 44 $2,662 Equity Residential
 VTR ($25.76) -1.72% 65.08 23 $1,497 Ventas Inc
 ABC ($22.03) -1.46% 38.58 39 $1,505 AmeriSourceBergen Corp
 CNL ($17.15) -0.41% 42.58 98 $4,172 Cleco Corp
 LPSN ($4.80) -0.32% 15.62 96 $1,500 Liveperson Inc
 NWE ($1.74) -0.12% 35.89 42 $1,507 NorthWestern Corporation
 IOC $47.80 3.23% 77.99 19 $1,482 InterOil Corporation
NOTE: The list is automatically sorted every minute. Last sort on 8/15/2012 at 3:04:09 PM
    
 Symbol Type Filled/Canceled 
 PCH Sell 08/15/12 02:59:02 PM
 KMB Sell 08/15/12 02:59:01 PM
 EXPE Sell 08/15/12 02:59:00 PM
 CHD Sell 08/15/12 02:59:00 PM
 IOC Buy 08/15/12 09:07:20 AM
  
Real-time Account Net Worth $99,768.92
Real-time Cost of Positions $45,835.21
Real-time Unrealized P/L ($300.80)
Real-time Realized P/L (Today) $56.00 
Net Long Exp	 21%
Drawdown 	-0.24%
Number of Positions 10
 
Code: 
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Total Net Profit	$2,242.93 
(Per Share)	$0.11 
Gross Profit	$6,239.21 
Gross Loss	($3,996.29)
Profit Factor	1.56
Total Number of Trades	354
Percent Profitable	59.04%
Winning Trades	209
Losing Trades	145
Avg. Trade Net Profit	$6.34 
Avg. Winning Trade	$29.85 
Avg. Losing Trade	($27.56)
Ratio Avg. Win:Avg. Loss	1.08
Expectancy	0.23
Largest Winning Trade	$293.65 
Largest Losing Trade	($164.84)
Max. Consecutive Winning Trades	24
Max. Consecutive Losing Trades	31
Total Shares/Contracts Held	20998
Total Commission	$637.01 
Return on Initial Capital	2.24%
Annual Rate of Return	15.21%
Buy & Hold Return	0.82%
Trading Period	1 Mth, 22 Dys, 6 Hrs
Max. Equity Run-up(Daily)	$4,043.17 
Date of Max. Equity Run-up	8/24/2012 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	$100,152
Wkly Performance	0.53%
Dollar Gain/Loss	$535
S&P Wkly Performance	-0.44%
Cum. Perform. (7/1/12)	2.28%
S&P Cum. Performance	4.01%
Correlation to S&P	0.42
Net Long Exposure	10%
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I just want to give an update so you don't think I fell off the fiscal cliff. I hit a new HWM for the 2nd half. I haven't had much exposure, but I don't want much at these nose bleed levels anyway. I will just take all the signals the system provides, and be content with that.
 

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I tacked on a few cents to my NW in a flat market today, chiefly through a turnaround in SSYS. Still not getting many signals in this low volume/volatility market, but that should change eventually. There is a time to be in the market, and not to be in the market.

Code: 
Symbol Open P/L Open P/L % Average Price Quantity Total Cost Description 
 WWWW ($41.40) -2.77% 16.24 92 $1,494 Web.com Group Inc
 ZUMZ ($40.94) -2.73% 32.56 46 $1,498 Zumiez Inc
 TGI ($23.08) -1.53% 60.33 25 $1,508 Triumph Group
 HIBB ($19.89) -1.33% 57.64 26 $1,499 Hibbett Sporting Goods
 DG ($0.59) -0.04% 48.86 31 $1,515 Dollar General Corporation
 VPRT $2.40 0.16% 37.07 40 $1,483 VistaPrint NV (Netherlands)
NOTE: The list is automatically sorted every minute. Last sort on 8/28/2012 at 3:04:25 PM
    
 Symbol Type Filled/Canceled 
 OPEN(F) Sell 08/28/12 02:59:03 PM
 LFC Sell 08/28/12 02:59:02 PM
 SSYS Sell 08/28/12 02:59:02 PM
  
Real-time Account Net Worth $100,400.53
Real-time Cost of Positions $8,996.06
Real-time Unrealized P/L ($123.50)
Real-time Realized P/L (Today) $163.28
 
Net Long Exp	9% 
Number of Positions	 6
 
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