I like this idea and it's something I've been integrating into my own system lately. I see it as another form of diversification. Not only are you diversifying across stocks/sectors by having a lot of small positions buy you're diversifying across time to minimize exposure to any single market event.
Rol's Trading Journal
- Thread starter Rol
- Start date
I like this idea and it's something I've been integrating into my own system lately. I see it as another form of diversification. Not only are you diversifying across stocks/sectors by having a lot of small positions buy you're diversifying across time to minimize exposure to any single market event.
Here are all the system buys for the day. However, I decided to override the system and exit all positions at the close today and am now flat. The big winner today was RNOW with about a 13% gain. I donât know if I want to enter any more positions this month. I may wait to see if the âSell in May and go awayâ self fulfilling prophecy plays out.
PZE Sell 04/28/11 02:59:22 PM
BTM Sell 04/28/11 02:59:19 PM
HSII Sell 04/28/11 02:59:15 PM
MNRO Sell 04/28/11 02:59:14 PM
ABFS Sell 04/28/11 02:59:06 PM
TNE Sell 04/28/11 02:59:06 PM
INSU Sell 04/28/11 02:59:06 PM
LII Sell 04/28/11 02:59:05 PM
X Sell 04/28/11 02:59:05 PM
CVI Sell 04/28/11 02:59:05 PM
DBD Sell 04/28/11 02:59:05 PM
SFSF Sell 04/28/11 02:59:04 PM
PBR Sell 04/28/11 02:59:03 PM
BRCM Sell 04/28/11 02:59:03 PM
STX Sell 04/28/11 02:59:03 PM
SNE Sell 04/28/11 02:59:03 PM
BRCM Buy 04/28/11 12:53:19 PM
RNOW Sell 04/28/11 12:51:54 PM
X Buy 04/28/11 12:30:36 PM
STX Buy 04/28/11 11:01:52 AM
FTO Sell 04/28/11 10:46:56 AM
SFSF Buy 04/28/11 10:32:29 AM
HSII Buy 04/28/11 10:13:41 AM
PBR Buy 04/28/11 09:34:17 AM
DBD Buy 04/28/11 09:11:52 AM
RNOW Buy 04/28/11 08:38:45 AM
BTM Buy 04/28/11 08:31:02 AM
SNE Buy 04/28/11 08:31:02 AM
I now am just buying 100 share lots and no longer am âsetting asideâ an additional 200 share lot to add to a position. If an addition buy signal is given on a currently owned stock, the buy signal will have to compete for a 100 share entry slot just like any other buy signal would. This is more like how paper trading is done in Amibroker. Given my net equity, I feel that 300 shares is too much exposure in one stock. The additional available BP will allow me to take more positions and thus spread the risk around.
I also made the max number of daily positions that can be bought auto adjust based on current open positions and net equity. This will prevent the system from entering too many positions at once on a steep market decline or gap down.
Real-time Cost of Positions $0.00
Real-time Unrealized P/L $0.00
Real-time Realized P/L (Today) $950.62
PZE Sell 04/28/11 02:59:22 PM
BTM Sell 04/28/11 02:59:19 PM
HSII Sell 04/28/11 02:59:15 PM
MNRO Sell 04/28/11 02:59:14 PM
ABFS Sell 04/28/11 02:59:06 PM
TNE Sell 04/28/11 02:59:06 PM
INSU Sell 04/28/11 02:59:06 PM
LII Sell 04/28/11 02:59:05 PM
X Sell 04/28/11 02:59:05 PM
CVI Sell 04/28/11 02:59:05 PM
DBD Sell 04/28/11 02:59:05 PM
SFSF Sell 04/28/11 02:59:04 PM
PBR Sell 04/28/11 02:59:03 PM
BRCM Sell 04/28/11 02:59:03 PM
STX Sell 04/28/11 02:59:03 PM
SNE Sell 04/28/11 02:59:03 PM
BRCM Buy 04/28/11 12:53:19 PM
RNOW Sell 04/28/11 12:51:54 PM
X Buy 04/28/11 12:30:36 PM
STX Buy 04/28/11 11:01:52 AM
FTO Sell 04/28/11 10:46:56 AM
SFSF Buy 04/28/11 10:32:29 AM
HSII Buy 04/28/11 10:13:41 AM
PBR Buy 04/28/11 09:34:17 AM
DBD Buy 04/28/11 09:11:52 AM
RNOW Buy 04/28/11 08:38:45 AM
BTM Buy 04/28/11 08:31:02 AM
SNE Buy 04/28/11 08:31:02 AM
I now am just buying 100 share lots and no longer am âsetting asideâ an additional 200 share lot to add to a position. If an addition buy signal is given on a currently owned stock, the buy signal will have to compete for a 100 share entry slot just like any other buy signal would. This is more like how paper trading is done in Amibroker. Given my net equity, I feel that 300 shares is too much exposure in one stock. The additional available BP will allow me to take more positions and thus spread the risk around.
I also made the max number of daily positions that can be bought auto adjust based on current open positions and net equity. This will prevent the system from entering too many positions at once on a steep market decline or gap down.
Real-time Cost of Positions $0.00
Real-time Unrealized P/L $0.00
Real-time Realized P/L (Today) $950.62
Total Net Profit $13,807.20
(Per Share) $0.15
Gross Profit $30,262.18
Gross Loss ($16,454.97)
Profit Factor 1.84
Total Number of Trades 796
Percent Profitable 66.21%
Winning Trades 527
Losing Trades 269
Avg. Trade Net Profit $17.35
Avg. Winning Trade $57.42
Avg. Losing Trade ($61.17)
Ratio Avg. Win:Avg. Loss 0.94
Expectancy 0.28
Largest Winning Trade $429.64
Largest Losing Trade ($796.50)
Max. Consecutive Winning Trades 29
Max. Consecutive Losing Trades 9
Total Shares/Contracts Held 89225
Total Commission $2,005.87
Return on Initial Capital 28.85%
Annual Rate of Return 77.00%
Buy & Hold Return -1.14%
Return Retracement Ratio 3.56
Trading Period 3 Mths, 28 Dys, 5 Hrs, 50 Mins
Max. Equity Run-up(Daily) $14,994.68
Date of Max. Equity Run-up 4/28/2011 15:00
Max. Drawdown(Daily)
Value ($3,831.77)
Date 2/23/2011 15:00
as % of Initial Capital 8.01%
Max. Trade Drawdown ($1,511.50)
Well I should have taken the day off as I said I would because I spent the afternoon fooling around discretionary trading BC (Brunswick Corp). I was initially long, and then reversed my position short just at a bottom. I covered for a $300 loss at a short-term top and then it proceeded lower without me. Trading out of boredom always seems to kill me. However, the month ended well for the auto strategy.
I rolled the discretionary trades back into the equity curve to make it more realistic as few are able to completely auto trade. In addition, it will discourage me from discretionary trading in the future, knowing it will distort the equity curve.
I got Tradelink to work in sending my orders to IB's demo version. If you happen to be running Vista 64bit version, be sure to put Tradelink's Tradelibfast.dll in your SysWOW64 windows folder and not system32 to make Tradelink work. I eventually plan to migrate over to IB to use their portfolio margin. I would probably maintain a "token account" at Tradestation that trades 5000 shares/month to avoid the platform fees.
Real-time Unrealized P/L ($62.39)
(Per Share) $0.15
Gross Profit $30,262.18
Gross Loss ($16,454.97)
Profit Factor 1.84
Total Number of Trades 796
Percent Profitable 66.21%
Winning Trades 527
Losing Trades 269
Avg. Trade Net Profit $17.35
Avg. Winning Trade $57.42
Avg. Losing Trade ($61.17)
Ratio Avg. Win:Avg. Loss 0.94
Expectancy 0.28
Largest Winning Trade $429.64
Largest Losing Trade ($796.50)
Max. Consecutive Winning Trades 29
Max. Consecutive Losing Trades 9
Total Shares/Contracts Held 89225
Total Commission $2,005.87
Return on Initial Capital 28.85%
Annual Rate of Return 77.00%
Buy & Hold Return -1.14%
Return Retracement Ratio 3.56
Trading Period 3 Mths, 28 Dys, 5 Hrs, 50 Mins
Max. Equity Run-up(Daily) $14,994.68
Date of Max. Equity Run-up 4/28/2011 15:00
Max. Drawdown(Daily)
Value ($3,831.77)
Date 2/23/2011 15:00
as % of Initial Capital 8.01%
Max. Trade Drawdown ($1,511.50)
Well I should have taken the day off as I said I would because I spent the afternoon fooling around discretionary trading BC (Brunswick Corp). I was initially long, and then reversed my position short just at a bottom. I covered for a $300 loss at a short-term top and then it proceeded lower without me. Trading out of boredom always seems to kill me. However, the month ended well for the auto strategy.
I rolled the discretionary trades back into the equity curve to make it more realistic as few are able to completely auto trade. In addition, it will discourage me from discretionary trading in the future, knowing it will distort the equity curve.
I got Tradelink to work in sending my orders to IB's demo version. If you happen to be running Vista 64bit version, be sure to put Tradelink's Tradelibfast.dll in your SysWOW64 windows folder and not system32 to make Tradelink work. I eventually plan to migrate over to IB to use their portfolio margin. I would probably maintain a "token account" at Tradestation that trades 5000 shares/month to avoid the platform fees.
Real-time Unrealized P/L ($62.39)
The strategy is entering positions in a controlled manner. Most entries today occurred in the first hour as usual. 3 day trades stopped out and 1 day trade lasted until the close. I started keeping track of my daily exposure and will eventually post chart updates compared to the SP500. I want to see how the market exposure varies on a daily basis.
Current exposure is 124%. It would be closer to 100%, but I took 3 100 share discretionary trades 2 days ago that are currently underwater. 200% exposure would represent using maximum overnight margin.
In spite of a considerable unrealized P/L from currently held stocks, the strategy realizes profits elsewhere. It helps with morale to be able to realize some profits daily in the face of unfavorable market conditions.
I wonder if it is still considered adding to losers if one keeps taking new positions in previously unowned stocks as the market trends against you. If you were buying an index or futures contract, it would be. However, what about individual stocks? I know many say don't fight the trend, because my strategy does not try to follow the trend. For that matter, by looking at any period such as intraday, daily, weekly, monthly, one could make the trend appear to be going in whatever direction they wanted.
My performance seems to respond to the Russell 2000 more than the SP500, probably because I hold more smaller cap stocks. The Russell 2000 is back where it was on March 30 over one month ago.
Real-time Unrealized P/L ($1,290.77)
Real-time Realized P/L (May 3) $277.03
Current exposure is 124%. It would be closer to 100%, but I took 3 100 share discretionary trades 2 days ago that are currently underwater. 200% exposure would represent using maximum overnight margin.
In spite of a considerable unrealized P/L from currently held stocks, the strategy realizes profits elsewhere. It helps with morale to be able to realize some profits daily in the face of unfavorable market conditions.
I wonder if it is still considered adding to losers if one keeps taking new positions in previously unowned stocks as the market trends against you. If you were buying an index or futures contract, it would be. However, what about individual stocks? I know many say don't fight the trend, because my strategy does not try to follow the trend. For that matter, by looking at any period such as intraday, daily, weekly, monthly, one could make the trend appear to be going in whatever direction they wanted.
My performance seems to respond to the Russell 2000 more than the SP500, probably because I hold more smaller cap stocks. The Russell 2000 is back where it was on March 30 over one month ago.
Real-time Unrealized P/L ($1,290.77)
Real-time Realized P/L (May 3) $277.03
Chip equipment maker Applied Materials Inc is snapping up rival Varian Semiconductor Equipment Associates Inc for $63 per share in cash to acquire new technology to meet increased demand for smartphones and solar equipment. Varian shares surged 51.6 percent to $61.48 in premarket tradeâ¦
Been reading your journal, sounds like we both have a similar trading strategy. I'm RTM equities trader.
I had a question, since your system is in EL I was wondering why you don't switch to Multicharts for the platform connected to IB? Probably save on commission w/ a platform that is improving constantly.
I had a question, since your system is in EL I was wondering why you don't switch to Multicharts for the platform connected to IB? Probably save on commission w/ a platform that is improving constantly.
Hi CA04,
This is a question I have been asked by other readers. I do plan to switch to IB eventually and currently have it working through Tradelink and IBâs demo. Multicharts charges a subscription and you still would need to pay for a separate data feed. Tradestation is free if you trade over 5000 shares per month. Since I only trade 100sh lots, I wonât be able to save on commissions as IB charges a minimum of $1, just like TS. What I like about IB is their portfolio margin, and margin IRA accounts.
Also, I need real-time position status monitoring and trade execution on up to 1000 symbols, which Iâm not sure Multicharts or others could handle. What I have now is working great. I may even go with an additional TS platform logon on another computer and auto trade the same account from two separate locations for redundancy. Then I could trade up to 2000 symbols. I think all brokers are trying to constantly improve their platforms to be competitive. I wish TS offered portfolio margin as this would solve most of my problems.
Today was a lucky day for me with the VSEA buyout.
Real-time Unrealized P/L ($1,550.08)
Real-time Realized P/L (5/4/11) $3,683.70
Total Net Profit $16,661.65
(Per Share) $0.17
Gross Profit $37,058.05
Gross Loss ($20,396.40)
Profit Factor 1.82
Total Number of Trades 892
Percent Profitable 64.80%
Winning Trades 578
Losing Trades 314
Avg. Trade Net Profit $18.68
Avg. Winning Trade $64.11
Avg. Losing Trade ($64.96)
Ratio Avg. Win:Avg. Loss 0.99
Expectancy 0.29
Largest Winning Trade $1,936.09
Largest Losing Trade ($796.50)
Max. Consecutive Winning Trades 29
Max. Consecutive Losing Trades 9
Total Shares/Contracts Held 99478
Total Commission $2,207.92
Return on Initial Capital 34.82%
Annual Rate of Return 85.76%
Buy & Hold Return -1.19%
Return Retracement Ratio 3.12
Trading Period 4 Mths, 5 Dys, 5 Hrs, 50 Mins
Max. Equity Run-up(Daily) $17,542.29
Date of Max. Equity Run-up 5/6/2011 15:00
Max. Drawdown(Daily)
Value ($3,831.77)
Date 2/23/2011 15:00
as % of Initial Capital 8.01%
Max. Trade Drawdown ($1,511.50)
I had my largest winning trade of the year this week, but had it not been for that, I felt I underperformed. Partly because changing to not entering a position in predefined pieces did not work out well. I am rolling back my strategy to enter in 1/3, and then 2/3 for a full position. In the recent downturn beginning in May, I was being stopped out at 10% DD on a few stocks only to see the position head north without me. Then I would enter a new position, only to see it head south. Often in a broad market downturn, stocks will begin their decent at different times. Therefore, I believe it is better just to stick with the stocks you currently own and manage them, rather than trying to catch additional falling knives. In addition, I did not like the large number of positions I held, and would prefer just concentrating on fewer positions to avoid overtrading and commissions. Limiting my entries per day worked out well though, as it allowed me to scale into the market slowly. I am aiming for maximum exposure that would take about 4 days to achieve. This is typically how long I have observed broad market downturns last before any short-term reversal occurs. Today's morning reversal was short lived and so I found myself stopped out on several positions that gave up decent gains. I spent too much effort discretionary trading and over concentrating in a couple of positions, so some bad habits crept back in. I closed all my positions today, and will start fresh next week with a clean slate.
(Per Share) $0.17
Gross Profit $37,058.05
Gross Loss ($20,396.40)
Profit Factor 1.82
Total Number of Trades 892
Percent Profitable 64.80%
Winning Trades 578
Losing Trades 314
Avg. Trade Net Profit $18.68
Avg. Winning Trade $64.11
Avg. Losing Trade ($64.96)
Ratio Avg. Win:Avg. Loss 0.99
Expectancy 0.29
Largest Winning Trade $1,936.09
Largest Losing Trade ($796.50)
Max. Consecutive Winning Trades 29
Max. Consecutive Losing Trades 9
Total Shares/Contracts Held 99478
Total Commission $2,207.92
Return on Initial Capital 34.82%
Annual Rate of Return 85.76%
Buy & Hold Return -1.19%
Return Retracement Ratio 3.12
Trading Period 4 Mths, 5 Dys, 5 Hrs, 50 Mins
Max. Equity Run-up(Daily) $17,542.29
Date of Max. Equity Run-up 5/6/2011 15:00
Max. Drawdown(Daily)
Value ($3,831.77)
Date 2/23/2011 15:00
as % of Initial Capital 8.01%
Max. Trade Drawdown ($1,511.50)
I had my largest winning trade of the year this week, but had it not been for that, I felt I underperformed. Partly because changing to not entering a position in predefined pieces did not work out well. I am rolling back my strategy to enter in 1/3, and then 2/3 for a full position. In the recent downturn beginning in May, I was being stopped out at 10% DD on a few stocks only to see the position head north without me. Then I would enter a new position, only to see it head south. Often in a broad market downturn, stocks will begin their decent at different times. Therefore, I believe it is better just to stick with the stocks you currently own and manage them, rather than trying to catch additional falling knives. In addition, I did not like the large number of positions I held, and would prefer just concentrating on fewer positions to avoid overtrading and commissions. Limiting my entries per day worked out well though, as it allowed me to scale into the market slowly. I am aiming for maximum exposure that would take about 4 days to achieve. This is typically how long I have observed broad market downturns last before any short-term reversal occurs. Today's morning reversal was short lived and so I found myself stopped out on several positions that gave up decent gains. I spent too much effort discretionary trading and over concentrating in a couple of positions, so some bad habits crept back in. I closed all my positions today, and will start fresh next week with a clean slate.
I am posting a chart I created of my profit distribution for trades since going live with my auto strategy nearly 8 months ago. I also included a zip file for download to those interested. All you need to do is enter your percentage profit for trades made in column A of the Excel spreadsheet and it updates the chart.
My profit distribution compares well to paper trading with over twice the trades in the 0 to 5% range as opposed to the 0 to minus 5%. There are also more trades in the 5 to 10% compared with -5% to -10%. However, I can see a few more negative outliers that are not balanced with positive outliers (I did not design the chart to include trades beyond -20% to 20% to keep it concise).
When I first started RTM trading before automation, I used to "swing for the fences" and eventually got into positions that became "buy and hope." Seeing the negative outliers reminds me that I cannot concentrate my equity in one position. I think the chart can be a great way to monitor performance.
My profit distribution compares well to paper trading with over twice the trades in the 0 to 5% range as opposed to the 0 to minus 5%. There are also more trades in the 5 to 10% compared with -5% to -10%. However, I can see a few more negative outliers that are not balanced with positive outliers (I did not design the chart to include trades beyond -20% to 20% to keep it concise).
When I first started RTM trading before automation, I used to "swing for the fences" and eventually got into positions that became "buy and hope." Seeing the negative outliers reminds me that I cannot concentrate my equity in one position. I think the chart can be a great way to monitor performance.