Rol's Trading Journal

I will respond to DGunz and benw in a single post if I may. I was still down $1200 on the 14th, so I did not quite make it all back. A good chunk of the reversal came from JCP, which I was down $1000, but closed it out for a $700 gain. I had also bought several positions on the 12th and 13th on margin which closed green on the 14th. Many other positions just got back to break even on exit, so there has also been considerable churning of positions.

I was stopped out on a few positions today that should have exited yesterday, but this is a discretionary feature I built into the system awhile back. I must say, I was also surprised to see the system rebound on the 14th, but then again the market is also full of surprises. I ended the day today with the same market exposure as I started the day, albeit with a change of positions. I am looking forward to a further sell off to accumulate more shares, possibly for another bounce on Friday.

My strategy basically views all up days in the market as a dead cat bounce, which should be exited at the close. I think by taking this view, one will not be left holding the bag by being over weighted in stocks overnight, should the markets turn lower the following day, such as occurred today. The discipline required for this would be difficult on a discretionary basis; however, it is not a problem for automation.
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Real-time Account Net Worth $64,253.24
Beginning Day Account Net Worth $64,625.73
Real-time Unrealized P/L ($468.54)
Real-time Realized P/L (Today) ($956.95)
Current Market Exposure	49%
 
I find it strange that you at at the same exposure that you started the day with. Are you manually keeping your self from taking the signals that your system is generating? It just seems curious that you showed so much restraint in holding back from buying during todays dump...surely the system with out manual intervention is long alot more names than you currently have? In anycase, even if you are manually stoping the entries, I would say you did really well in doing that, it is keeping you in the black while the market is going red.
 
Quote from DGunz:

I find it strange that you are at the same exposure that you started the day with. Are you manually keeping yourself from taking the signals that your system is generating? It just seems curious that you showed so much restraint in holding back from buying during today’s dump...surely the system without manual intervention is long a lot more names than you currently have? In any case, even if you are manually stopping the entries, I would say you did really well in doing that, it is keeping you in the black while the market is going red.
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To tell the truth, I was not at my computer too much today, and when I checked on it around noon, I was shocked to find the Dow down nearly 200, and especially after hearing the talking heads yesterday saying the bounce would be short lived. I guess they get it right every now and then.

My nightly scan had only generated around 25 potential setups for today, so I didn’t get too many signals today anyway. Besides, the strategy has a maximum daily limit on the number of positions it can take, which readjusts nightly. This is to prevent going all in on a big one day drop. My strategy is quite reluctant to enter the market, but when stocks are just laying there in the corner of the room, I just go in and pick them up.
 
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Total Net Profit	($2,118.22)
(Per Share)	($0.13)
Gross Profit	$5,409.80 
Gross Loss	($7,528.01)
Profit Factor	0.72
Total Number of Trades	133
Percent Profitable	51.13%
Winning Trades	68
Losing Trades	65
Avg. Trade Net Profit	($15.93)
Avg. Winning Trade	$79.56 
Avg. Losing Trade	($115.82)
Ratio Avg. Win:Avg. Loss	0.69
Expectancy	-0.14
Largest Winning Trade	$566.00 
Largest Losing Trade	($576.25)
Max. Consecutive Winning Trades	15
Max. Consecutive Losing Trades	7
Total Shares/Contracts Held	16300
Total Commission	$294.00 
Return on Initial Capital	-3.26%
Annual Rate of Return	-68.86%
Buy & Hold Return	-0.52%
Trading Period	17 Dys
Max. Equity Run-up(Daily)	$3,588.16 
Date of Max. Equity Run-up	6/14/2011 15:00
Max. Drawdown(Daily)	
Value	($5,188.59)
Date	6/8/2011 15:00
as % of Initial Capital	7.98%
Max. Trade Drawdown	($662.00)
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For the month, the strategy appears to be trying to claw its way back above the waterline. Percentage profitable is 51%, but the damage from the losing trades overshadows the winners, with a negative net profit outcome.

It has been tough taking the big losses. I am to some extent grateful that the market has not taken my money and then trended back up without me. The strategy has a way of "recalibrating" to the current market, as it has no long-term memory. My current exposure of 85% has me positioned to benefit from both any weakness and strength in stocks.

I am certain that had I been without an automated strategy during the market downturn of the past several weeks, I would likely be losing substantial cash. I would be at sea without a compass. I am up 31% for the year, while the SP500 is up 1%. Overall, the equity curve is heading in the right direction. I am optimistic that I can pull out a 72% or better return for the year.

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Real-time Account Net Worth	$63,797.52
Beginning Day Account Net Worth	$63,451.27
Real-time Realized P/L (Today)	$278.34
Current Draw Down	-1.90%
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what do you mean by DD? is it calculated relative to the account size at the beginning of the month? peak-to-through DD ~3.7K or 6% (from trade ~ #32 peak)
 
Quote from shortie:

what do you mean by DD? is it calculated relative to the account size at the beginning of the month? Peak-to-trough DD ~3.7K or 6% (from trade ~ #32 peak)
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The calculation I am using for current draw down is unrealized loss divided by current net equity. I will likely stop reporting it as I can now see the confusion it will cause. I use it as a reference as to how far I am from current net gains. I prefer to think in the now and forget about realized losses. I can see why this would be seen as skewing the numbers. Probably only something a fund could think up.

A quick visual of the chart shows that for the month ~ $2250/$65035 = 3.46% DD.

The TS generated max DD of 7.98%, based on the June 1 initial capital of $65,035, is more accurate. At the end of the month, I will include YTD stats using the initial capital at the start of the year.

While I am at it, here is the biggest $ gain for the month so far. Losers average losers?

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I am relieved to be breathing again for the month. I gotta say, the strategy really pulled a rabbit out of its arse to come back from an 8%,~$5000 DD. I am seriously considering taking the rest of the month off, as I bailed on all of my positions today. I made a $5,000 contribution, which is likely the last I will make this year, (I have to catch up my 403B).

Code: 
Real-time Account Net Worth $71,240.06
Beginning Day Account Net Worth $69,190.48
Real-time Cost of Positions $0.00
Real-time Unrealized P/L $0.00
Real-time Realized P/L (Today) $963.22
 
The strategy exited my FXI trade at the close. I intended to make it a longer term position play, but it reverted nicely today. The nice feature of the strategy is that regardless of any manual entries I may make, it will still exit the position when exit conditions are met. Kind of “set it and forget it”. Several other auto trades remain open.

I felt very comfortable with the FXI entry, as I sensed the high probability signals it gave off (Daily and intraday charts, trading matrix action). If I can restrict manual trading to high probability ETF trades and not stocks, I believe it may be beneficial. I must, however, consider fundamentals and perhaps use hard stops to save me from myself when exploring these types of trades.

A few days ago I thought about sitting the rest of the month out, but that would not be being true to the strategy. Anyway, historically, it tends to outperform the days and often weeks following market selloffs. I still see the S&P bouncing around between 1250 and 1300 for some time, an environment that should suit my strategy just fine.

Code: 
Real-time Account Net Worth $72,022.83
Beginning Day Account Net Worth $71,217.62
Real-time Unrealized P/L $245.16
Real-time Realized P/L (6/23/11) $528.05
 
Cannot say it is the smoothest monthly equity curve experienced, but it does appear to have formed a classic Cup with Handle. So far the handle has not broken. In this market, I will take any positive return I can get. The S&P is up about 1% for the year. It is funny to me that the annual rate of return is >20%, which would still be a respectable return. I hope that 8% is my largest DD for some time going forward.


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Total Net Profit	$939.17 
(Per Share)	$0.04 
Gross Profit	$8,281.75 
Gross Loss	($7,342.58)
Profit Factor	1.13
Total Number of Trades	177
Percent Profitable	59.32%
Winning Trades	105
Losing Trades	72
Avg. Trade Net Profit	$5.31 
Avg. Winning Trade	$78.87 
Avg. Losing Trade	($101.98)
Ratio Avg. Win:Avg. Loss	0.77
Expectancy	0.05
Largest Winning Trade	$566.00 
Largest Losing Trade	($576.25)
Max. Consecutive Winning Trades	16
Max. Consecutive Losing Trades	7
Total Shares/Contracts Held	21500
Total Commission	$396.20 
Return on Initial Capital	1.44%
Annual Rate of Return	21.82%
Buy & Hold Return	-0.23%
Trading Period	24 Dys
Max. Equity Run-up(Daily)	$5,982.86 
Date of Max. Equity Run-up	6/23/2011 15:00
Max. Drawdown(Daily)	
Value	($5,188.59)
Date	6/8/2011 15:00
as % of Initial Capital	7.98%
Max. Trade Drawdown	($662.00)
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Today was strange for the symbols I had up on my RadarScreen. While the markets were down about 1% most of the day, I actually had to go out of my way a bit to take entry signals, as individual stock volatility was not that great. I think the selling in the markets was broad based. There just were not large moves in the names I followed. I purposefully removed the "Hot Lists" from my screen a long time ago. This is to prevent me from being caught up in the account devastating emotional trading that can result from trading plan violation.

I did take a 700 share discretionary trade in EWI iShares MSCI Italy Index Fd near the close today. I am prepared to add to it if I see any share puking going on next week. The current position value is not too outrageous at this point.

I was just thinking today and laughing that when my account is in the hundreds of thousands, I'll still be trading in 100 share lots! Actually, as account size grows, performance should increase, as I will have more reserves to take a wide variety of trades after big market sell offs.


Real-time Account Net Worth $71,907.41
 

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