Rol's Trading Journal

[Rol]

Quote from doublet83:

Seems to me you have a viable strategy here. With a strategy like this you're bound to have a big draw down when the market tanks, while outperforming the market in other periods.

The fact that you are still outperforming the market materially during a year with an impressive correction is a very good sign.

Hi doublet83,
That is sort of how I felt. As long as my ongoing contributions aren’t going into a black hole, then when the massive corrections subside, I should be able to return to profitability. I know I should go easier on the 2X BP, but I am afraid when my system starts performing again, I would miss out on accelerated gains.

I wanted to ask, what is your average position size and how many positions do you typically have on at one time?

It is fairly simple being 2X BP/max position size, which for me now is $6,666 per position, so at my current BP I could have a max of 20 positions. However, my initial entry of $2,222, is just a “feeler position”. In the following days I may *gasp*, triple down, to my allowed $6,666 max position size. Also, current settings only allow for a maximum of 5 new positions to be added per day to current holdings, up to the 20 max positions.

You mentioned in your journal that you use company earnings in one of your strategies. I was curious what service you use for alert? If you would rather not say or PM me, that is cool. I have thought following trends the day of an earnings release, could be a good strategy.

 

[doublet83]

I use briefing.com but I only have about 120 or so companies that I'm close to so I watch those guys closely anyway.

 

[Rol]

Wow! Amazing what a change 2 days in the market can bring. NW went from an intraday low of 60K yesterday, to today’s close of 72K. I gave back about 1K from equity highs today as the markets gave back about half of their gains for the day. I spent most of the late morning lightening up on positions on a discretionary basis, as several of them would have exited yesterday anyway. It was good that I did because the retreat came in the afternoon, so I locked in some gains. Of course I will regret it tomorrow if markets continue higher. However, in this climate, the market has not proven to have much of an appetite for equities. It feels good once again to have a higher cash position.

Real-time Account Net Worth $72,401.90
Real-time Unrealized P/L ($653.41)
Real-time Realized P/L (Today) $2,255.29
Current Exposure:	27%

 

[Rol]

I took a deviation from my strategy with a core position of 1300 shares in IWM, Russell 2000 Index ETF. My average price is $65.83. I will avoid adding to it unless it hits $60, which would be the low going back to August 2010. I am holding small positions in EBAY, PCLN, and a few others. There are not many stocks left above their 200 DMA… LOL. With the overall market in a trading channel the past couple of months, my entry is on the lower end of the channel. I am up about $850 now with IWM.

I was hedging today using TWM, Proshares Ultra short ETF. My short position was about 1/3 my long, but is 2X, while IWM is 1X. I actually closed TWM near the high today for a net $485 profit. I got out because it really felt like the market was experiencing a blow off bottom. I never thought I would be able to exit it for a gain, and was just using it to minimize losses on my longs. Tomorrow, I may keep trading it as downside protection. Trading TWM today really gave me a feeling of what it is like to trade in the direction of least resistance, while my IWM position is more for a longer-term swing.

Tomorrow is the end of the month, which is another reason I attempted an outsized long position today. I think each new month is like a unique round in the market, with its own challenges, and I am in the ring. Maybe institutions will begin accumulating beginning next month, and bid the market back up. It would be nice if I can hold IWM for a longer-term position play. I managed to dodge a few bullets this month, especially by bailing out last Tuesday, and then allowing my stop losses to trigger on Wednesday, so I want to keep striking while the iron is hot.

I feel like I did when I put on a large short position in July http://www.elitetrader.com/vb/showthread.php?s=&postid=3231879#post3231879
, but got shaken out of. Now I am on the opposite end of the spectrum. I hope that this time I can follow through with real money in the game, as I really see the markets higher from here by the end of the year.

Real-time Account Net Worth $74,649.43
Real-time Unrealized P/L $689.75
Real-time Realized P/L (Today) $485.17
Exposure:	130%

 

[Rol]

[color=green][b]
Initial Capital (9/1/2011)	$66,969 
Total Net Profit	$2,668.06 
(Per Share)	$0.11 
Gross Profit	$11,676.47 
Gross Loss	($9,008.40)
Profit Factor	1.3
Total Number of Trades	229
Percent Profitable	64.19%
Winning Trades	147
Losing Trades	82
Avg. Trade Net Profit	$11.65 
Avg. Winning Trade	$79.43 
Avg. Losing Trade	($109.86)
Ratio Avg. Win:Avg. Loss	0.72
Expectancy	0.10
Largest Winning Trade	$719.26 
Largest Losing Trade	($1,181.00)
Max. Consecutive Winning Trades	20
Max. Consecutive Losing Trades	17
Total Shares/Contracts Held	25149
Total Commission	$521.01 
Return on Initial Capital	3.98%
Annual Rate of Return	48.74%
Buy & Hold Return	-1.16%
Trading Period	29 Dys, 6 Hrs, 34 Mins
Max. Equity Run-up(Daily)	$10,141.45 
Date of Max. Equity Run-up	9/30/2011 8:09
Max. Drawdown(Daily)	
Value	($7,822.63)
Date	9/23/2011 15:00
as % of Initial Capital	11.68%
Max. Trade Drawdown	($1,945.42)
	
Net Worth	$71,146
Wkly Performance	13.65%
S&P Wkly Performance	-0.33%
YTD Performance	19.53%
S&P YTD Performance	-10.01%
YTD Correlation to S&P	0.67
[/b][/color]

I turned in a nice weekly performance; however, I have 3K in unrealized losses. I hedged my IWM ETF with TWM again today and closed it out AH with a $500 gain. The month started out smoothly, while volatility returned later on. I could have exited several positions today for profits, but the system had not given sell signals, so I decided to be true to the system. I probably should not have scaled in so fast with IWM, but I have a bad habit of getting in a day or two too early and too big on a discretionary basis. I will post YTD performance later and quarterly performance this weekend.

 

[shortie]

still 130% exposure into Monday?

 

[Rol]

[color=green][b]
Initial Capital (1-1-2011)	$47,853 
Total Net Profit	$9,853.63 
(Per Share)	$0.04 
Gross Profit	$81,477.75 
Gross Loss	($71,624.12)
Profit Factor	1.14
Total Number of Trades	1890
Percent Profitable	61.53%
Winning Trades	1163
Losing Trades	725
Avg. Trade Net Profit	$5.21 
Avg. Winning Trade	$70.06 
Avg. Losing Trade	($98.79)
Ratio Avg. Win:Avg. Loss	0.71
Expectancy	0.05
Largest Winning Trade	$1,936.09 
Largest Losing Trade	($1,446.00)
Max. Consecutive Winning Trades	29
Max. Consecutive Losing Trades	38
Total Shares/Contracts Held	228791
Total Commission	$4,697.16 
Return on Initial Capital	20.59%
Annual Rate of Return	24.96%
Buy & Hold Return	-1.71%
Return Retracement Ratio	1.05
Trading Period	8 Mths, 29 Dys, 23 Hrs, 59 Mins
Max. Equity Run-up(Daily)	$24,160.55 
Date of Max. Equity Run-up	9/30/2011 8:09
Max. Drawdown(Daily)	
Value	($34,775.71)
Date	8/8/2011 15:00
as % of Initial Capital	72.67%
Max. Trade Drawdown	($2,342.00)
	
Net Worth	$71,138
Weekly Performance	13.63%
S&P Wkly Performance	-0.33%
YTD Performance	19.52%
S&P YTD Performance	-10.01%
YTD Correlation to S&P	0.67
[/b][/color]

YTD seems like a lot of work for the given razor thin profits. Commissions are high, and that is usually what will kill a seemingly profitable system. Therefore, the fact that I have still come out ahead is encouraging. If this is the worst my system does over the long term with an ARR of 25%, I suppose I should be happy. As one can see, just buying and holding all the stocks for the given time frame would have resulted in a -1.71% loss, so the strategy timing appears to be having a positive effect.

 

[Rol]

Quote from shortie:

still 130% exposure into Monday?

Overnight risk of a large gap down with continuation is the obvious drawback of my strategy. I probably should have left my short hedge on through the weekend, and not bought so much IWM at one time, but I have cast the die.

 

[Rol]

Here are 3rd quarter daily realized gains/losses. Other than the roughly 12 trading days straight sell off, performance was on par. I need to pay more attention to major news, like new hints of recession with the GDP decrease, and the U.S. debt rating downgrade, to which the markets reacted negatively. Go with the trend.

I will be shorting freely this week with my remaining BP, to hedge my longs. I think when earnings season kicks in starting the 11th next week with Alcoa, the Euro zone and Greece will be forgotten about at least temporarily. Maybe the focus will return to company earnings. With many downward revisions, companies should be able to beat expectations. The usual game I see played by analysts.

 

[Rol]

I pocketed 1.8K through shorting today, but have 10K in unrealized losses on my longs. We are at new lows for the year. I am at 200% exposure, so if markets keep heading lower, I will have to lighten up holdings. My IWM positions is down ($7,052.58) -6.77%. Average price is 65.08 on 1,600 shares. I plan to hold it through the end of the year. I will be turning off strategy automation for new entries.

Real-time Account Net Worth $65,788.93
Real-time Unrealized P/L ($10,317.05)
Real-time Realized P/L (Today) $1,843.66