magic journal of doom

M

magicz

Well hopefully it won't be doom. I have been lurking around for a long time but never bother to register or post but it seems like it is the right time to do a journal to see if I can change my trading style to a new system that I've been working on for a few months.

The system itself isn't new but it is new to me. Basically, it will be a trend following system with my own special sauce so to speak. The purpose of this journal is to see if I can adhere to the system rules that I have developed or would I stray from its paths at entry points, exit points, and stop-loss points. The system is market neutral-bullish.

My backtests and paper trades so far have produce positive result in respect to the mechanical rules of the system. I would expect positive result if I follow the rules. My time line for this experiment is 1 year, starting around mid-November.

I will generalize the stock picking and system rules so that you have an idea what I am doing below.

Stock screen:
1. Stock with certain growth percentage.
2. Stock with certain price % from 52high.
3. Stock with certain market cap.
4. Stock with certain price range.
5. Stock with certain volume limit.
6. Stock Trend

System rules:
1. Entry points: SMA + ADX
2. Exit points: SMA + ADX
3. Stop-loss: % Drawdown + SMA+ADX(this will take a lot of discipline: it is prone to my personal opinion which is counter productive to my system).
 
I will fund my IB margin account with 20K. I will post all my position at end of day. I will do a weekly progress report. According to IB my fund will be available in 5 days.
 
Since I haven't receive my ETF in my account yet. There isn't much to do but watch the market go by.

Anyways I had a list of 134 stock that fit my stock selection criteria at the begining but I have selectively eliminated them down to about 30. Which is a more manageable size to keep track of on a daily basis. I have been looking at their fundamentals and technicals for over 3 months now and have a pretty good ideal of how each stock perform in the short term. As for the long term my backtest also show similar correlation in price movements to certain events.

My overall strategy is still to follow my system entry and exit points without forecasting at fundamentals. The truest test is if I can follow my own system without deviating. My hypothesis is if I follow my system, I will be profitable. If I don't follow it, I will see a negative impact. This experiment will begin 11/15/05 and end 11/15/06.
I welcome any comments of criticism or praise or off base too.... :D
 
while I was waiting it occured to me that with the position and trading style that I will be implementing, I will get too close to the max margin, If I suffer an initial drawdown(within my stop-loss limits). With this in mind instead of 20K, I revised my initial fund to 21K.

This could be just pure psychological factor but some how I feel safer with a cushion instead of getting liquidated out of my position automatically per IB policy.
 

Attachments

Instead of increasing your money at risk, why not reduce the amount of margin you will use. If your positions could lock you at $20,000 and force liquidation, then wouldn't it be better to reduce the amount of leverage you are gonna use so that you have more capital in reserve for trading?
 
OC,

I understand what you are saying completely but I am willing to take that risk while leveraging up to the max value. If I follow my system completely, theoretically I will never reach my max leverage. There will always be a cushions for % drawdown on all position I take.

That's why I alluded to the extra 1k on my previous post as a pure psychological move.
 
Just to let you know I was not being critical, just curious.

Good luck and remember to not let it get personal lol

Phil


Quote from magicz:

OC,

I understand what you are saying completely but I am willing to take that risk while leveraging up to the max value. If I follow my system completely, theoretically I will never reach my max leverage. There will always be a cushions for % drawdown on all position I take.

That's why I alluded to the extra 1k on my previous post as a pure psychological move.
More...
 
Another morning of waiting....for the money to clear....

so far the stocks I have my eyes on have been mostly climbing.
15.15%
4.95%
7.85%
13.73%
-2.89%
-1.35%
and 6.42% in the past 2 weeks.......
 
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