This is my crude attempt to compare the paper trading to real time portfolio results. The peaks and troughs line up roughly, but I seem to have bigger drawdowns. In addition, paper trading made about $1000 more. I know some of this is due to slippage, and not completely following my exits. I still have this sneaking suspicion that Amibroker is cherry picking stocks somehow. The only way to trade the exact same symbols would be to reduce the number of stocks I follow to a number that never exceeded my allowable number of positions. Then, to get enough market exposure, I would have to increase my position size perhaps 5 to 10 fold. I am afraid, however, that this could work really well or really bad. This has been an ongoing dilemma for me for several years when trying to match the back testing results. As I have said, it uses 2X buying power to go all in, which I do not. This just seems too risky to me. I'm not sure if Amibroker is programmed to know if it were to get a margin call⦠I doubt it. I think it is just a fact that for whatever the reasons, paper trading and back testing results always are better than real life trading.
Rol's Trading Journal
- Thread starter Rol
- Start date
I ended the day at new m2m equity highs for the year, although today my net realized P/L was (-$30). I had banked some coin earlier in the week on the gaps down, and today closed out some losers along with several winners to basically b/e. This is often the way it plays out. I will realize gains regularly, all the while hanging on to losers. I will think, if I can just get the losers to b/e, Iâll be doing pretty good. On a day like today, about the only purpose the winners played was to cancel the draw downs of the losers (2 steps forward, 1 step back).
The confidence in my system has gone up seeing how in spite of the downturn in the markets, my strat has continued to perform well. I think this is partly due to the fact that during strat development, I would look at all the time frames when it was most underperforming and then trying to optimize performance over those time frames. I consider focusing on minimizing the damage of the losers to be most important. The winners will take care of themselves.
I have heard that it is difficult to have a strategy for all market conditions, but that is what I have set out to accomplish. It just seems that trying to determine the market environment you are in or will be in tomorrow, and then using selected automated strategies, has a great discretionary element to it.
I was able to remain calm during the big down days recently. I was actually excited, because I saw these as buying opportunities. I am less comfortable trading when the markets are on extended runs of several months, because I know the big profit taking selloff is coming. My strat is able to execute with ice cold emotionless precision, which is something I could never do. There is no, âIf I had done this, then I would have made this much.â Or âNow I know what to do next time this happens.â Next time, things may be different. As far as my strat is concerned, everyday is the first day trading.
The confidence in my system has gone up seeing how in spite of the downturn in the markets, my strat has continued to perform well. I think this is partly due to the fact that during strat development, I would look at all the time frames when it was most underperforming and then trying to optimize performance over those time frames. I consider focusing on minimizing the damage of the losers to be most important. The winners will take care of themselves.
I have heard that it is difficult to have a strategy for all market conditions, but that is what I have set out to accomplish. It just seems that trying to determine the market environment you are in or will be in tomorrow, and then using selected automated strategies, has a great discretionary element to it.
I was able to remain calm during the big down days recently. I was actually excited, because I saw these as buying opportunities. I am less comfortable trading when the markets are on extended runs of several months, because I know the big profit taking selloff is coming. My strat is able to execute with ice cold emotionless precision, which is something I could never do. There is no, âIf I had done this, then I would have made this much.â Or âNow I know what to do next time this happens.â Next time, things may be different. As far as my strat is concerned, everyday is the first day trading.
Total Net Profit $5,136.67
(Per Share) $0.07
Gross Profit $20,040.44
Gross Loss ($14,903.76)
Profit Factor 1.34
Total Number of Trades 671
Percent Profitable 60.66%
Winning Trades 407
Losing Trades 263
Avg. Trade Net Profit $7.66
Avg. Winning Trade $49.24
Avg. Losing Trade ($56.67)
Largest Winning Trade $412.37
Largest Losing Trade ($478.54)
Max. Consecutive Winning Trades 15
Max. Consecutive Losing Trades 25
Total Shares/Contracts Held 72267
Total Commission $1,625.66
Return on Initial Capital 10.73%
Annual Rate of Return 47.60%
Buy & Hold Return -1.59%
Return Retracement Ratio 3.66
Trading Period 2 Mths, 17 Dys, 5 Hrs, 50 Mins
Percent of Time in the Market 61.02%
Max. Equity Run-up(Daily) $5,978.62
Date of Max. Equity Run-up 3/17/2011 15:00
Max. Drawdown(Daily)
Value ($3,831.77)
Date 2/23/2011 15:00
Max. Trade Drawdown ($1,448.32)
Well, I have to say I am pleased with my auto trading system so far. Ytd return is 10.73%. I adjusted the starting balance of 12/30/2010 to $47,853 to reflect my actual brokerage statement. I had been using $50,000 as an estimate. I know the net profit so far of $5,136 is probably peanuts to many readers, but I project that if I had $500,000 of working capital, then the net profit would have been $50,000, and so on.
I am developing the skills now with smaller amounts, so when I begin dealing with larger amounts, I will already have the skill sets in place for managing the money. I am taking a business like attitude with my money. I take several small positions to help avoid a massive system draw down. I view the higher commissions I pay with several small positions as an insurance premium and business expense.
The current annual rate of return is acceptable to me, but I consider the profit factor of 1.34 and percent profitable of 60.66% to be minimum acceptable numbers, given the paper trading numbers.
(Per Share) $0.07
Gross Profit $20,040.44
Gross Loss ($14,903.76)
Profit Factor 1.34
Total Number of Trades 671
Percent Profitable 60.66%
Winning Trades 407
Losing Trades 263
Avg. Trade Net Profit $7.66
Avg. Winning Trade $49.24
Avg. Losing Trade ($56.67)
Largest Winning Trade $412.37
Largest Losing Trade ($478.54)
Max. Consecutive Winning Trades 15
Max. Consecutive Losing Trades 25
Total Shares/Contracts Held 72267
Total Commission $1,625.66
Return on Initial Capital 10.73%
Annual Rate of Return 47.60%
Buy & Hold Return -1.59%
Return Retracement Ratio 3.66
Trading Period 2 Mths, 17 Dys, 5 Hrs, 50 Mins
Percent of Time in the Market 61.02%
Max. Equity Run-up(Daily) $5,978.62
Date of Max. Equity Run-up 3/17/2011 15:00
Max. Drawdown(Daily)
Value ($3,831.77)
Date 2/23/2011 15:00
Max. Trade Drawdown ($1,448.32)
Well, I have to say I am pleased with my auto trading system so far. Ytd return is 10.73%. I adjusted the starting balance of 12/30/2010 to $47,853 to reflect my actual brokerage statement. I had been using $50,000 as an estimate. I know the net profit so far of $5,136 is probably peanuts to many readers, but I project that if I had $500,000 of working capital, then the net profit would have been $50,000, and so on.
I am developing the skills now with smaller amounts, so when I begin dealing with larger amounts, I will already have the skill sets in place for managing the money. I am taking a business like attitude with my money. I take several small positions to help avoid a massive system draw down. I view the higher commissions I pay with several small positions as an insurance premium and business expense.
The current annual rate of return is acceptable to me, but I consider the profit factor of 1.34 and percent profitable of 60.66% to be minimum acceptable numbers, given the paper trading numbers.
Good Job.
You need to switch brokers ASAP. Keep TradeStation as your signal source and route orders to IB.
23% of your profit so far has gone to commissions... TS charges 0.01, right?
So you paid 1600 in commission and you could have saved 800 by trading at IB at 0.005.
Even if you don't know how to program, TradeLink (among other providers) offers a trade re-router from TS to IB. Pay a software guy the 800 to program a re-router for you.
High commissions is a business expense you have total control over. It makes no sense for you to be "paying-up" at this point.
You need to switch brokers ASAP. Keep TradeStation as your signal source and route orders to IB.
23% of your profit so far has gone to commissions... TS charges 0.01, right?
So you paid 1600 in commission and you could have saved 800 by trading at IB at 0.005.
Even if you don't know how to program, TradeLink (among other providers) offers a trade re-router from TS to IB. Pay a software guy the 800 to program a re-router for you.
High commissions is a business expense you have total control over. It makes no sense for you to be "paying-up" at this point.
Thanks Mike805,
You are absolutely right about the commissions, I could be paying less. I have looked into TradeLink before. It appears to use the alert feature in TS to send messages to TradeLink and then IB for example. I am just not sure it works in TS Radarscreen and is robust enough with 1000 symbols. I will have to reexamine this. What I need to achieve is real time position information updates from the end brokerage for the auto strategy to place trades properly. I need to keep reminding myself that I could be paying half what I am now in comm. as my motivation to make it work. I really like the TS platform for data, charting, and strategy testing. IB basically has a 100 symbol data limit, which is inadequate for me.
I crunched some numbers today regarding the commissions I am paying ytd:
$2.25 per 100 shares is more than double what I could be paying of $1 per 100 shares. It appears that I am buying about 100 shares per trade, but the share price distribution varies enough that I am actually buying a significant number below and above 100. I believe what is going on is my position size is dollar based rather than share based, so it is not optimized at 100 shares because of varying share prices. I really like the dollar based position sizing because it makes portfolio testing easier and I think more manageable. I may increase my position size a bit more and also filter out more low and high priced stocks, so that the average price will be closer to $30 per share. Then maybe position size will remain closer to 100 shares. I really donât want to buy 100 shares of a $100 or greater stock, which would eat up my buying power and thus imbalance the portfolio.
Interactive Brokersâ minimum commission is $1, and then .005 per share after that. So it would not be 50 cents for 100 Shares in my case. I wonât be able to take full advantage of .005 per share pricing until I have much more equity.
I examined Tradelink more closely and it looks appealing. I donât know where I got the idea it used email alerts as a bridge to external brokers. It must have been another application I was thinking of. It says it can link TS with several other brokerages and is written in open source code. They also offer a TS professional version which provides position fill info and more. It may be able to do just what I want. This would allow me to do prop trading eventually if I choose.
- SHARES - 72267
- TRADES - 671
- COMM - $1,626
- SH/TR - 108
- COMM/SH - $0.02
- COMM/100sh - $2.25
$2.25 per 100 shares is more than double what I could be paying of $1 per 100 shares. It appears that I am buying about 100 shares per trade, but the share price distribution varies enough that I am actually buying a significant number below and above 100. I believe what is going on is my position size is dollar based rather than share based, so it is not optimized at 100 shares because of varying share prices. I really like the dollar based position sizing because it makes portfolio testing easier and I think more manageable. I may increase my position size a bit more and also filter out more low and high priced stocks, so that the average price will be closer to $30 per share. Then maybe position size will remain closer to 100 shares. I really donât want to buy 100 shares of a $100 or greater stock, which would eat up my buying power and thus imbalance the portfolio.
Interactive Brokersâ minimum commission is $1, and then .005 per share after that. So it would not be 50 cents for 100 Shares in my case. I wonât be able to take full advantage of .005 per share pricing until I have much more equity.
I examined Tradelink more closely and it looks appealing. I donât know where I got the idea it used email alerts as a bridge to external brokers. It must have been another application I was thinking of. It says it can link TS with several other brokerages and is written in open source code. They also offer a TS professional version which provides position fill info and more. It may be able to do just what I want. This would allow me to do prop trading eventually if I choose.
Real-time Account Net Worth $59,657.92
Beginning Day Account Net Worth $57,523.62
Real-time Overnight Buying Power $113,398.02
Real-time Account Balance $53,760.67
Real-time Cost of Positions $5,991.32
Real-time Unrealized P/L ($94.07)
Real-time Realized P/L (Today) $1,963.47
About 2/3 of the profits today came from a discretionary entry at the close last Friday in TTMI with about 2300 sh. Here are a few reasons I liked the entry. I watched the stock rise quickly on high volume late morning Friday and then pull back to support at Thursdayâs highs. I reasoned that if interest had picked up in the stock, then down side risk may be reduced. Fortunately for me the overall market gapped up this morning (Monday), and so did TTMI. I still wish to avoid doing these trades on a regular basis though and continue with running my auto strategy solely. I mostly went flat at the close today.
I will start posting account net worth along with realized and unrealized P/L from the TS platform. Occasionally, I make small contributions to the account, but I keep a running total of contributions and subtract them when calculating ytd returns on the account and charting.
I have had to rethink buying equal dollars amounts in each of my positions. Looking back it appears I average about 100 shares, but I am paying $2 in commissions instead of $1 for 100 shares. I am going to switch to buying 100 share lots, to reduce costs. I recently ran scans on stocks in the $15 to $50 range with decent volume, and I am still able to come up with about 1000 symbols. Averaging these symbols, I get an average stock price of around $30. I will use this number in my calculations when looking at buying power and margin usage. My rationale is that with a full portfolio of randomly bought stocks on trade signals, the average price should come out to around $30. We will see if this thinking holds up.
Beginning Day Account Net Worth $57,523.62
Real-time Overnight Buying Power $113,398.02
Real-time Account Balance $53,760.67
Real-time Cost of Positions $5,991.32
Real-time Unrealized P/L ($94.07)
Real-time Realized P/L (Today) $1,963.47
About 2/3 of the profits today came from a discretionary entry at the close last Friday in TTMI with about 2300 sh. Here are a few reasons I liked the entry. I watched the stock rise quickly on high volume late morning Friday and then pull back to support at Thursdayâs highs. I reasoned that if interest had picked up in the stock, then down side risk may be reduced. Fortunately for me the overall market gapped up this morning (Monday), and so did TTMI. I still wish to avoid doing these trades on a regular basis though and continue with running my auto strategy solely. I mostly went flat at the close today.
I will start posting account net worth along with realized and unrealized P/L from the TS platform. Occasionally, I make small contributions to the account, but I keep a running total of contributions and subtract them when calculating ytd returns on the account and charting.
I have had to rethink buying equal dollars amounts in each of my positions. Looking back it appears I average about 100 shares, but I am paying $2 in commissions instead of $1 for 100 shares. I am going to switch to buying 100 share lots, to reduce costs. I recently ran scans on stocks in the $15 to $50 range with decent volume, and I am still able to come up with about 1000 symbols. Averaging these symbols, I get an average stock price of around $30. I will use this number in my calculations when looking at buying power and margin usage. My rationale is that with a full portfolio of randomly bought stocks on trade signals, the average price should come out to around $30. We will see if this thinking holds up.
Today I reached a milestone by doubling my account size since going live 6 months ago with my auto trading. Granted about 40% of the gains came from contributions, $16,000 in profits is still an achievement for me. As the account net worth increases, contributions will have less and less of an impact.
Real-time Account Net Worth $60,149.88
Beginning Day Account Net Worth $59,280.45
Real-time Overnight Buying Power $111,499.77
Real-time Account Balance $51,410.88
Real-time Cost of Positions $8,671.79
Real-time Unrealized P/L $67.21
Real-time Realized P/L (Today) $336.18
I have returned to scanning for entry signals nightly rather than just monitoring 1000 symbols in TS Radarscreen. In back testing, annual returns dropped off significantly when trading 1000 names as opposed to 1400, which is likely due to the reduced market exposure. A nice thing about buying in 100sh lots is that when you buy lower priced stocks you are also risking less capital.
I made some adjustments to my Amibroker paper trading code. I added .01 to the strategy entry fills, and subtracted .01 from exit fills, to simulate buying at the ask, and selling at the bid. Also, I donât know how I have been overlooking this, but I was not including commissions in the portfolio paper trading. Now I have included $0.01 per share. At the end of the quarter I will post a side by side comparison of live trading verses paper trading with the updated code.
I wanted to thank Mike805 for encouraging me to reanalyze the commissions I have been paying, and DGunz for persuading me to reexamine paper trading to live trading more closely, and to all the others who have provided insight and support to me so far.
Real-time Account Net Worth $60,149.88
Beginning Day Account Net Worth $59,280.45
Real-time Overnight Buying Power $111,499.77
Real-time Account Balance $51,410.88
Real-time Cost of Positions $8,671.79
Real-time Unrealized P/L $67.21
Real-time Realized P/L (Today) $336.18
I have returned to scanning for entry signals nightly rather than just monitoring 1000 symbols in TS Radarscreen. In back testing, annual returns dropped off significantly when trading 1000 names as opposed to 1400, which is likely due to the reduced market exposure. A nice thing about buying in 100sh lots is that when you buy lower priced stocks you are also risking less capital.
I made some adjustments to my Amibroker paper trading code. I added .01 to the strategy entry fills, and subtracted .01 from exit fills, to simulate buying at the ask, and selling at the bid. Also, I donât know how I have been overlooking this, but I was not including commissions in the portfolio paper trading. Now I have included $0.01 per share. At the end of the quarter I will post a side by side comparison of live trading verses paper trading with the updated code.
I wanted to thank Mike805 for encouraging me to reanalyze the commissions I have been paying, and DGunz for persuading me to reexamine paper trading to live trading more closely, and to all the others who have provided insight and support to me so far.
Total Net Profit $8,028.44
(Per Share) $0.11
Gross Profit $22,654.11
Gross Loss ($14,625.67)
Profit Factor 1.55
Total Number of Trades 680
Percent Profitable 63.82%
Winning Trades 434
Losing Trades 246
Avg. Trade Net Profit $11.81
Avg. Winning Trade $52.20
Avg. Losing Trade ($59.45)
Largest Winning Trade $412.37
Largest Losing Trade ($478.54)
Max. Consecutive Winning Trades 29
Max. Consecutive Losing Trades 25
Total Shares/Contracts Held 73267
Total Commission $1,681.27
Return on Initial Capital 16.78%
Annual Rate of Return 66.46%
Buy & Hold Return -1.47%
Return Retracement Ratio 3.92
Trading Period 2 Mths, 24 Dys, 5 Hrs, 50 Mins
Percent of Time in the Market 64.22%
Max. Equity Run-up(Daily) $8,892.08
Date of Max. Equity Run-up 3/25/2011 15:00
Max. Drawdown(Daily)
Value ($3,831.77)
Date 2/23/2011 15:00
Max. Trade Drawdown ($1,448.32)
The drawdowns for my long only system have been minimal the past week, as the overall market has been trending back up. I am currently holding only 2 positions as my system waits for any sell offs in stocks. There is weakness in regional banks, which I may be able to take advantage of next week. I booked some profits in the real estate operations sector today.
I am now tracking 1571 names in an attempt to get more trading signals. I will continue buying in 100sh lots to reduce commission costs, by not buying fewer than 100 shares per entry.
(Per Share) $0.11
Gross Profit $22,654.11
Gross Loss ($14,625.67)
Profit Factor 1.55
Total Number of Trades 680
Percent Profitable 63.82%
Winning Trades 434
Losing Trades 246
Avg. Trade Net Profit $11.81
Avg. Winning Trade $52.20
Avg. Losing Trade ($59.45)
Largest Winning Trade $412.37
Largest Losing Trade ($478.54)
Max. Consecutive Winning Trades 29
Max. Consecutive Losing Trades 25
Total Shares/Contracts Held 73267
Total Commission $1,681.27
Return on Initial Capital 16.78%
Annual Rate of Return 66.46%
Buy & Hold Return -1.47%
Return Retracement Ratio 3.92
Trading Period 2 Mths, 24 Dys, 5 Hrs, 50 Mins
Percent of Time in the Market 64.22%
Max. Equity Run-up(Daily) $8,892.08
Date of Max. Equity Run-up 3/25/2011 15:00
Max. Drawdown(Daily)
Value ($3,831.77)
Date 2/23/2011 15:00
Max. Trade Drawdown ($1,448.32)
The drawdowns for my long only system have been minimal the past week, as the overall market has been trending back up. I am currently holding only 2 positions as my system waits for any sell offs in stocks. There is weakness in regional banks, which I may be able to take advantage of next week. I booked some profits in the real estate operations sector today.
I am now tracking 1571 names in an attempt to get more trading signals. I will continue buying in 100sh lots to reduce commission costs, by not buying fewer than 100 shares per entry.