Rol's Trading Journal
- Thread starter Rol
- Start date
Yes In2Deep, volume/liquidity is one component. I have to be sure the symbol is tradable to avoid excessive slippage since I sell at market. In addition, I need to narrow down the list that the scan produces each day and volume is one way I do this. Price also is another factor. I do not want 100 shares of a $5 stock for example, because the profits will have a harder time outweighing the commissions.
I keep an exclude list that TS looks at each time it performs a scan. In this list are any stocks with margin restrictions that would reduce my BP. You can get this list from their website. Recently, I have included any Chinese companies since they have burned me.
My thinking is that most stock price movement is the same regardless of the symbol traded because the players are the same. I did not come up with my strategy this way, but here is an approach that could work: Come up with a strategy that works on an ETF like SPY, but then apply it to individual stocks to get more trading signals.
I once tried only tracking stocks that my strategy had done very well on in the past, but in practice, it did not seem to give me an edge. Just because a stock did great in the past, it does not mean the time you buy it is a guaranteed winner. I saw stocks that did poorly in the past do great when I bought them, and vice versa. I have concluded that this is just a numbers game in the markets and the stocks are simply the game pieces. Sort of like checkers.
I wanted the stock selection process to become ultimately like pulling a name out of a hat to randomize the entries and remove any human tendency to pick losers. I found that when I track too many symbols, I sometimes become over weighted in a sector.
The system buys a stock when my entry criteria are met, so I do not know in advance which stock it will buy. You can come up with a custom list you are comfortable with that includes your favorite stock if you want. As far as the exact entry/exit criteria, wellâ¦
Interesting reply. Thanks.
Curious - Why not limit your trading to the S&P 500? The work of diversifying across sectors, and removing bad apples is already done for you by the S&P analysts. I'm assuming you don't do this because it would result in less entry signals? Or, since one of your system's core strengths is diversifying across many stocks, is 500 stocks is not enough diversity?
Curious - Why not limit your trading to the S&P 500? The work of diversifying across sectors, and removing bad apples is already done for you by the S&P analysts. I'm assuming you don't do this because it would result in less entry signals? Or, since one of your system's core strengths is diversifying across many stocks, is 500 stocks is not enough diversity?
In back testing, I have tried it on the SP500 stocks and it does pretty well. Over time, it just did much better to track more like 1500 stocks to get more hits. One could buy more shares to compensate, but then over concentration in one symbol becomes an issue.
My form of stop loss is taking smaller positions rather than using a hard stop. I think in rtm trading hard stops do not make sense, because when your stops would be hit is also when your entry signals would most likely be given.
It may have just been bad timing but I once subscribed to Zacks to get their #1 picks and shortly thereafter, proceeded to have one of my biggest drawdowns ever, so now I question the "experts."
What my strategy attempts to do is nail the bottom of "mini black swans" in individual stocks. If one has the fortitude to sit completely out of the markets and wait for a market based black swan event, they would probably do pretty well. I need a bit more action. If I ever happen to obtain boat loads of cash, I may open a futures account to wait for these black swans.
I enjoy reading this journal the most, possibly because Rol and I seem to have very similar views and have/are?/will? travel the same roads.
I would still caution you about the problem discussed earlier, at present you would need to deduct 0.3-0.4 points from your current backtested profit factor and multiply the all time maximum drawdown by 2 to achieve realistic results at your exposure levels.
I would still caution you about the problem discussed earlier, at present you would need to deduct 0.3-0.4 points from your current backtested profit factor and multiply the all time maximum drawdown by 2 to achieve realistic results at your exposure levels.
Thanks d08, I am sure many of us are walking the same path. I want to give others hope and convince myself that there is a "conservative" and workable way to consistently trade the markets over the long term. In addition, the journal reminds me to be disciplined and treat this as a business. You would not take wild risks with your business capital and expect to thrive.
You mentioned the DD and it is funny because last night after reading Neke's journal, I started displaying on my monitor in real-time what a 30% DD of my equity looks like in big red numbers. This is to remind me constantly what can and probably will happen at some point. Therefore, when it happens, I cannot say I was surprised or it was not expected. I should determine ahead of time if I can live with the DD. What I plan to do is "Make hay while the sun is still shining." In addition, I am counting on the resilience power of my strategy to make it back in due time.
With all respect the the thread, i think it is too early to say this automated strategy is safe and profitable.
I consider myself newbie but this is my opinion and i might be wrong..
However, Good Job and i am still following your interesting thread and learned a lot from it.
All best,
McGene
I consider myself newbie but this is my opinion and i might be wrong..
However, Good Job and i am still following your interesting thread and learned a lot from it.
All best,
McGene
