Rol's Trading Journal

[endsongs]

How did this long-only system do the last three days? Asking cause I'd like to compare it to my long and short system, which I've been running live almost 6 months now.

 

[Rol]

I managed to end the day with a realized profit of $428.23, while also reducing my open number of positions to a more comfortable level. February will be a shortened trading month, having fewer days and a couple trading holidays, but I am still shooting to complete the month with a net gain. My strat appears to do better when the market actually has a net gain/loss of 0. I think this is what is referred to as churning. This is why I like it for the long term, because I don’t have to try and predict longer term trends. I should probably come up with a strat that performs well in trending markets as an uncorrelated strat. I have noticed that with my current strat that when it has performed poorly, it is usually preceded and followed by periods where it was doing well, and I expect that to continue.

 

[Rol]

Quote from endsongs:

How did this long-only system do the last three days? Asking cause I'd like to compare it to my long and short system, which I've been running live almost 6 months now.

To be honest, it is doing poorly. If you were to mark-to-market the losses the strat experiences occasionally, one would probably not want to trade this system. But I believe that is where the “secret” lies to its success. The equity curve only reveals realized profit/losses. This goes along with the idea of not giving up, if you are confident in your edge. Days like the last three are the exception and not the rule to general overall market behavior. I accept this risk as a part of the overall strategy. As poorly as the strat may perform at times, I can be confident that I would be doing worse if I were trading discretionary, or a long-term buy and holder.

 

[benwm]

Quote from Rol:

I should probably come up with a strat that performs well in trending markets as an uncorrelated strat

That makes a lot of sense to me. The time when markets get really volatile is when you can actually make even more money, but of course you need to catch trends.

If you can combine a good trend following system with your current system you should be able to get great returns and more consistency, which is of course the real holy grail.

 

[heech]

Quote from Rol:

The equity curve only reveals realized profit/losses.

Woah, *really*? That's a very significant disclosure. You should make that clear any time you post your equity curve.

For what its worth, I disagree on this point, and would never use it for my own purposes. Your positions are worth what the market says they're worth, period.

 

[endsongs]

Quote from Rol:

To be honest, it is doing poorly. If you were to mark-to-market the losses the strat experiences occasionally, one would probably not want to trade this system. But I believe that is where the “secret” lies to its success. The equity curve only reveals realized profit/losses. This goes along with the idea of not giving up, if you are confident in your edge. Days like the last three are the exception and not the rule to general overall market behavior. I accept this risk as a part of the overall strategy. As poorly as the strat may perform at times, I can be confident that I would be doing worse if I were trading discretionary, or a long-term buy and holder.

Ok. Your system holds over night while mine only holds intraday for an average trade time of less than 35 minutes. Although it's not an apples to apples comparison, it's interesting to see how different systems do under non-optimum circumstances.

 

[Rol]

Quote from heech:

Woah, *really*? That's a very significant disclosure. You should make that clear any time you post your equity curve.

For what its worth, I disagree on this point, and would never use it for my own purposes. Your positions are worth what the market says they're worth, period.

Thanks, but I don't even consider what the market says they're worth. They are all worthless to me. I only trade because I know I will be able, on average, able sell to somebody at a higher price than I paid.

 

[heech]

I'm not exactly sure as to the purpose behind the thread, so I'm not one to make demands. But if your goal is to inform and elicit discussion, in the spirit of transparency, can you repost your hypothetical equity curve on a "marked to market" basis?

 

[Rol]

Quote from heech:

I'm not exactly sure as to the purpose behind the thread, so I'm not one to make demands. But if your goal is to inform and elicit discussion, in the spirit of transparency, can you repost your hypothetical equity curve on a "marked to market" basis?

If you have read this journal, you would know that my "purpose" is to try to match the back testing results in real world trading. If you want to nit pick over individual trades then perhaps you are missing the purpose. I am as incredulous as anyone that the system can achieve the back testing results, which is why I chose to document this experiment. I have not yet been able to prove that it does not make money. Take it anyway you want.

 

[Rol]

Here is a decent trade for the day (marked-to-market).