Public Posting Of My Paper Trades

Status
Not open for further replies.
It seems that this "public posting" of trades has garnered the most interest today...(btw, thanks for the good words from you all) :-)

Regarding entry points and "bars" and the technicals involved...I hope you are keeping the most important things in mind when posting your entry/exit points. For example: Spoo premium or discount to f.v., relative strength to sector, beta per sector/market, and option volitility (implied VIX, & historical with Std. Deviation less than 2 for trough's, above 2 for breakouts intraday). Now since you are planning on only using this for indexes, your job will be a bit easier, but the same things apply (sector weighting within QQQ's), basket relationships, and all the basic stuff.

I, for one, would like to see someone come up with a winning futures/index strategy (I have seen hundreds over the last couple of years, and unfortunately they have all missed something). So, post em' up...let's have a look! :)
 
RESULTS for 11-9-01

Today's net calculated result was a profit of 0.86% (less brokerage costs)

Since this was the first day of my paper trading, I will explain a little bit about what numbers I am using in my calculations

I went LONG (on an instrument that tracks the NDX index like QQQ) and the timestamp on that LONG message was 9:31 AM. There are no seconds listed on these message timestamps so that is the most accurate time I can give.

Now according to my Realtick data, the NDX opening value for the 9:31 minute was 1508.62, and the closing value for the 9:31 minute was 1507.68. Since I posted my message to go long at some time during the 9:31 minute, I am assuming I would have gotten a "price" corresponding to the NDX value somewhere between the opening and closing value for that minute. So when I average those 2 numbers together it comes out to 1508.15

So that average number is the figure I am going to use for my entry price. Yes, I know it is not a precise number, but it's close enough for my purposes (in my opinion). Things like the QQQ track this index so closely, and liquidity in QQQ is so great, especially early in the morning, that I am reasonably confident this figure is accurate enough.

The EXIT notice was posted at 4:01 PM. Under my general assumptions made in my first posting, no position is held past the market close, so I will use the 4:00 PM figure in this case. The opening value for the 4:00 PM minute was 1514.55 and the closing value for the 4:00 PM minute was 1514.71, so the average of these 2 figures is 1514.63 , and that average represents my exit value.

So now my net result calculation uses those 2 averages. I went long at an average level of 1508.15 and exited this position at an average level of 1514.63, for a "profit" of 0.43%, which doubles to 0.86% return on caital because it is assumed I am always using margin to double my return.

Now of that 0.86% I am aware that you have to account for commissions and slippage. I am not going to try to estimate those costs, but I know they are there. For now, all I want to see is my raw indexed results, without the other costs involved. If a system is profitable enough, those extra costs can be accounted for.

From now on I won't post as many details about how the numbers were calculated, but they are always going to be calculated in the same identical fashion.
 
You went long "an instrument that tracks the ndx like the QQQ"... So you bought a QQQ and sold it at days end...is that what you're working on? OK, let's see how it works out for you.
 
<I>I, for one, would like to see someone come up with a winning futures/index strategy (I have seen hundreds over the last couple of years, and unfortunately they have all missed something). So, post em' up...let's have a look! </I>

There are many many pro traders who trade futures indexes exclusively, but surely you know that. If you're looking for systems with solid track record., look at Futures Truth or similar tracking service.
 
position size of your trade?
It is rather important.


A trader who has experience will not take trades based on a black box. They would have to know the system inside and out before listening to a service.
rtharp
 
Originally posted by bobdek
I went LONG (on an instrument that tracks the NDX index like QQQ) and the timestamp on that LONG message was 9:31 AM. There are no seconds listed on these message timestamps so that is the most accurate time I can give.
More...

hehe.. please tell me thats not an email timestamp from a stock picking service.. =)

Originally posted by bobdek
Now of that 0.86% I am aware that you have to account for commissions and slippage. I am not going to try to estimate those costs, but I know they are there. For now, all I want to see is my raw indexed results, without the other costs involved. If a system is profitable enough, those extra costs can be accounted for.
More...

joking aside.. and im really not trying to be rude so please dont take it that way.. but commissions and slippage are a HUGE part of being a successful trader.. overlay the QQQ and the NDX and you would have wanted to enter the Q at 37.43 and exit at 37.66.. assume you lose just 7 cents both ways which is reasonable at the open/close and you get:

in 37.50 and out 37.59 +.09 cents..

suppose you are trading 500 shares and your broker slaps you with 14.95 each way plus .01 ecn fee (i think you mentioned you have realtick..) and you get $39.90 commissions.. so.. .09 profit X 500 shares is $45.00 minus 39.90 commissions and fees for total profit of $5.10..

500 x 37.50 / 2(assuming 2:1) = $9,375.00 used for trade netting +0.000544% not +.86%

im not a numbers guy so i might not have the math exactly perfect but i think you can get my point.. you have to control your expenses.. think of it this way.. if you went to the bank for a loan to start a lawn mowing service.. the banker asks you how much you will be spending on equipment, gas, vehicles, etc.. you just tell her that you will make enough to pay for whatever comes along.. do you think she will be impressed? no, she will want to see that you have done your homework.. when you go looking for someone to back you as a trader, im sure you will find its the same..

-qwik
 
OK, this thread is already 5 pages long after just 1 day. So how are you gonna show your audit track after ... say.... 1 year ?

"Here is my track record on a discussion board... it is 1000+ pages long... go read"

:eek: :eek: :eek:
 
Wouldn't it be more realistic to take an average price of the high and low of the minute of the trade. An index can trade higher than the open and close at the open price but most of the trading was done at higher prices.

Good trading
Steve
 
Don,

That's a very good point. I think having stops actually hurt more than it could help. But for guys who are just starting out, putting in stops as a protective measure is imperative to them not blowing up!.
 
Status
Not open for further replies.
Back
Top