That is not a backtested TradeStation equity curve, that is an actual realworld equity curve from trades in my brokerage account. This is why you don't see an instrument (i.e. Eminis) at the top. It is not an add-on feature of TradeStation, it is included as part of the TradeManager Analysis feature for actual trades.
Rol's Trading Journal
- Thread starter Rol
- Start date
That is not a backtested TradeStation equity curve, that is an actual realworld equity curve from trades in my brokerage account. This is why you don't see an instrument (i.e. Eminis) at the top. It is not an add-on feature of TradeStation, it is included as part of the TradeManager Analysis feature for actual trades.
First part of the week the strat experienced a sizable drawdown due to a couple of stocks, but made up for the losses and then some by friday. I know my strat will not work on every stock. In fact, I attempted to quantify the performance by performing a "pseudo back test" within TS. What I did was run a back test on stocks one by one, and then copied the results into Excel. What I found to occur repeatedly when looking at random samples of around 1000 symbols was a consistent PF averaging around 1.8 and that about 17% of the stocks had actually lost money over a 10 year period.:eek: Some came close to break even, but others actually lost a considerable amount.
One recent discovery happened while reviewing my performance over the past 4 months from within my tax accounting software. What I noticed was that on average, I experienced 3 down days (realized loss) a month; and if you divide 3 by 20 trading days a month, you get a 15% net $ loss. I'm not sure if it can be directly correlated, but makes sense if around 17% of the stocks you own are going to turn out to be net $ losers. This is a slightly different stat than looking at percent profitable because one is dollar based, and the other percent based. Maybe someone more knowledgeable with stats can comment.
Seeing all of this only serves to reinforce the notion that loading up on one stock is a bad idea. You never know where you might be hopping on a particular stocks equity curve. Individual equity curves are generally quite jagged looking, while a portfolio equity curve is much smoother, as has been noted by others in this thread.
The stats I intend to post each week will be cumulative since starting to collect stats on 1/31/11. Here they are so far 2 weeks running:
Total Net Profit $2,050.17
(Per Share) $0.22
Gross Profit $3,589.82
Gross Loss ($1,539.65)
Profit Factor 2.33
Total Number of Trades 92
Percent Profitable 73.91%
Winning Trades 68
Losing Trades 24
Avg. Trade Net Profit $22.28
Avg. Winning Trade $52.79
Avg. Losing Trade ($64.15)
Largest Winning Trade $169.54
Largest Losing Trade ($369.89)
Max. Consecutive Winning Trades 15
Max. Consecutive Losing Trades 4
Total Shares/Contracts Held 9409
Total Commission $224.77
Return on Initial Capital 4.10%
Annual Rate of Return 130.23%
Buy & Hold Return 0.16%
Trading Period 11 Dys, 6 Hrs, 28 Mins
Percent of Time in the Market 78.60%
One recent discovery happened while reviewing my performance over the past 4 months from within my tax accounting software. What I noticed was that on average, I experienced 3 down days (realized loss) a month; and if you divide 3 by 20 trading days a month, you get a 15% net $ loss. I'm not sure if it can be directly correlated, but makes sense if around 17% of the stocks you own are going to turn out to be net $ losers. This is a slightly different stat than looking at percent profitable because one is dollar based, and the other percent based. Maybe someone more knowledgeable with stats can comment.
Seeing all of this only serves to reinforce the notion that loading up on one stock is a bad idea. You never know where you might be hopping on a particular stocks equity curve. Individual equity curves are generally quite jagged looking, while a portfolio equity curve is much smoother, as has been noted by others in this thread.
The stats I intend to post each week will be cumulative since starting to collect stats on 1/31/11. Here they are so far 2 weeks running:
Total Net Profit $2,050.17
(Per Share) $0.22
Gross Profit $3,589.82
Gross Loss ($1,539.65)
Profit Factor 2.33
Total Number of Trades 92
Percent Profitable 73.91%
Winning Trades 68
Losing Trades 24
Avg. Trade Net Profit $22.28
Avg. Winning Trade $52.79
Avg. Losing Trade ($64.15)
Largest Winning Trade $169.54
Largest Losing Trade ($369.89)
Max. Consecutive Winning Trades 15
Max. Consecutive Losing Trades 4
Total Shares/Contracts Held 9409
Total Commission $224.77
Return on Initial Capital 4.10%
Annual Rate of Return 130.23%
Buy & Hold Return 0.16%
Trading Period 11 Dys, 6 Hrs, 28 Mins
Percent of Time in the Market 78.60%
It is sort of ironic, but to make your trading system more "hands off", you have to buy more stocks. Because if you have a large position size relative to net worth, you are always fearful of a massive drawdown, and will feel the need to monitor it closely and meddle with it. The drawdowns will eventually happen. It is like getting hit by an earthquake, tornado, or volcanic eruption. You know they will happen, but when and where is unpredictable. All you can do is to have a contingency plan in place.
Rol thanks for sharing, you have posted your 4 months quity curve but how about some stats regarding those 4 months other than equity, Perhaps you could post a recap like above, but started from 4 months ago.
I would say that in another few month you should probably take your equity to a prop firm to leverage it up so that you can maximize your trades. If I understand correctly, you have rules in place to adjust position size because of limited buying power?
Do you ever skip signals because of a buying power limitation? Since I started trading grey box equity strategies, I always traded the maximum signals the system could generate, with out worrying about margin calls.
I trade around 150 names a day and all with the same 100 share lot, sometimes a 200 share lot when the signal is strong. I would rather have 100 positions worth 1k each than 1, 100k position.
What is even more ironic is, the more positions I have on, the safer I feel. There are plenty of times I have one horrible position, but my net portfolio is all working like its supposed to and is enough for me to completely negate that poor performer. I love those days, it shows my system is working.
Here are some stats starting 9/16/10 to 2/11/11. I had posted them in the beginning as an Excel attachment, but I had them taken down after seeing how some forum members are leary of opening .xls files. Plus they are not pure strat, with some discretionary trading at times (about 90% strat), but they are still probably fairly close to strat performance given the time frame:
Total Net Profit $15,199.34
Gross Profit $28,592.58
Gross Loss ($13,393.25)
Profit Factor 2.13
Total Number of Trades 934
Percent Profitable 65.20%
Winning Trades 609
Losing Trades 325
Avg. Trade Net Profit $16.27
Avg. Winning Trade $46.95
Avg. Losing Trade ($41.21)
Largest Winning Trade $412.37
Largest Losing Trade ($369.89)
Max. Consecutive Winning Trades 22
Max. Consecutive Losing Trades 25
Total Shares/Contracts Held 99752
Total Commission $2,276.77
Return on Initial Capital 50.66%
Annual Rate of Return 100.97%
Buy & Hold Return 1.08%
Return Retracement Ratio 3.8
Trading Period 4 Mths, 26 Dys, 6 Hrs, 28 Mins
Percent of Time in the Market 60.57%
Time in the Market 2 Mths, 28 Dys, 19 Hrs, 15 Mins
Max. Equity Run-up(Daily) $15,199.34
Date of Max. Equity Run-up 2/11/2011 15:00
Max. Drawdown(Trade Close)
Value ($1,951.24)
Date 1/31/2011 12:05
as % of Initial Capital 6.50%
Max. Trade Drawdown ($1,448.32)
I have thought of the prop firm route, but I would want to work from home and use the TS platform as opposed to being at a prop firm and having to use their platform. I would rather work under the radar, but if anyone knows how to work remotely on the platform of their choosing and still use prop firm funds I would be interested.
The rules I have in place limit positions I can take based on an input of the desired position size. I can make the position size whatever I want and the strat will recalculate the max number of position allowed in realtime.
I don't want to ever exceed overnight buying power, so yes I have to skip many signals.
Many thanks for saying that. Now I know I am not delusional for thinking of trading this way
What one must take into account is the cost of a round trip relative to position size. A $15-$20 round trip with a retail brokerage boutique isn't going to cut it. TS round trips are $2 on 100 shares, which has been manageable thus far.
Quote from Rol:
Many thanks for saying that. Now I know I am not delusional for thinking of trading this way
What one must take into account is the cost of a round trip relative to position size. A $15-$20 round trip with a retail brokerage boutique isn't going to cut it. TS round trips are $2 on 100 shares, which has been manageable thus far.
I am going to guess that you did about 300k shares round trip for all your systems live trading. Youre not complaining now, but I bet you will soon, as your volume picks up. I would say at even the worst prop rates, you would be paying half, atleast. But I agree with you, if I were you currently, I would just keep everything the same especially if TS is what your most comfortable with.
Looking forward to your updates.
I spent the weekend at the Interactive Brokers site and reading their pdf on using an Excel DDE to link with Trader Workstation (TWS). I plan to begin a new project of coding up my rules in Excel VB and using the IB's api to connect to the markets. I have dabbled in VB and macros off and on, but never tried learning it in an organized fashion. This will take a long time, but should go faster after having already learned to code using TS easylanguage. Also, IB offers portfolio margin, which TS does not, and the commissions should be better once equity is built up and things start ramping up.
Tradestation is ok, but the platform has gotten so big and does way more than I need. In the past, it always seemed to lock up at the worst possible times, like when market volatility and volume spiked. I really just use it for RadarScreen and Scanner. If I can get Excel to manage about 1400 symbols, I wonât even need to perform scans anymore. My strat will just monitor all the stocks in real-time. I also like the idea of a more general app like Excel as opposed to the proprietary one that TS offers. I suspect more and more brokerages will be including apiâs to link to their accounts in the future.
Pretty average day trading today.
Real-time Realized P/L (2/14/11) $321.38
Entries: 7
Exits: 8
Tradestation is ok, but the platform has gotten so big and does way more than I need. In the past, it always seemed to lock up at the worst possible times, like when market volatility and volume spiked. I really just use it for RadarScreen and Scanner. If I can get Excel to manage about 1400 symbols, I wonât even need to perform scans anymore. My strat will just monitor all the stocks in real-time. I also like the idea of a more general app like Excel as opposed to the proprietary one that TS offers. I suspect more and more brokerages will be including apiâs to link to their accounts in the future.
Pretty average day trading today.
Real-time Realized P/L (2/14/11) $321.38
Entries: 7
Exits: 8