Rol's Trading Journal

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Initial Capital (9/1/2011)	$66,969 
Total Net Profit	$1,074.49 
(Per Share)	$0.17 
Gross Profit	$1,515.08 
Gross Loss	($440.58)
Profit Factor	3.44
Total Number of Trades	45
Percent Profitable	68.89%
Winning Trades	31
Losing Trades	14
Avg. Trade Net Profit	$23.88 
Avg. Winning Trade	$48.87 
Avg. Losing Trade	($31.47)
Ratio Avg. Win:Avg. Loss	1.55
Expectancy	0.76
Largest Winning Trade	$201.77 
Largest Losing Trade	($60.60)
Max. Consecutive Winning Trades	6
Max. Consecutive Losing Trades	5
Total Shares/Contracts Held	6390
Total Commission	$128.02 
Return on Initial Capital	1.60%
Annual Rate of Return	70.36%
Buy & Hold Return	0.97%
Trading Period	8 Dys, 6 Hrs, 19 Mins
Max. Equity Run-up(Daily)	$1,118.97 
Date of Max. Equity Run-up	9/9/2011 15:00
Max. Drawdown(Daily)	
Value	($139.71)
Date	9/2/2011 15:00
as % of Initial Capital	0.21%
Max. Trade Drawdown	($314.25)
	
Net Worth	$68,046
Wkly Performance	1.83%
S&P Wkly Performance	-1.56%
YTD Performance	16.82%
S&P YTD Performance	-7.82%
YTD Correlation to S&P	0.68
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I realized decent profits this week, with most gains following Labor Day on 9/6 and 9/7, while also limiting market exposure to under 20%. Exposure is 41% currently because I entered IWM 300 sh long this afternoon, average 67.38. I plan only to do something like this when the DOW is down > 300, and we are close to longer-term support levels.

With my system, I had historically been pushing the limits with BP, because I thought it would prevent discretionary trading outside of the system, but it is harmful when markets become highly correlated. I need to remind myself that it is vital to keep reserves in cash, and it is not necessary to deploy cash fully in order to hit singles on a consistent basis.

Current conditions appear to be conducive to RTM trading, both long and short. I made about $100 today hedging my longs with TWM. I really feel like I am getting back in my rhythm, so we shall see how the remainder of the year turns out.
 

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From what I can tell, dip buying is back in favor. I sold my IWM as it topped out this morning, bought it back in the afternoon, and then sold at the close. I want to be more mindful of when an opening range is established like today, and then place buy or sell orders around these extreme support resistance levels. At the same time I should avoid trying to trade the middle of the day when it is choppy.

System trades executed flawlessly. When I first went live with my system, I did not realize that most entries occurred around the open as gap fades, since I only used daily data. For the most part, it just seems to work out that way. As someone who holds a couple days on average, I believe I am classified as an overnight trader, or somewhere between a day trader and swing trader.

I reread the free Turtletrader.pdf recently. I would highly recommend it as there are many nuggets in there. I think the trading rules are more suitable for commodities that can establish long term trends though.

I want to get my NW above 70K by end of the week. I may make a <1K contribution to help it along.

Real-time Account Net Worth $68,749.28
Real-time Cost of Positions $22,452.96
Real-time Unrealized P/L $115.59
Real-time Realized P/L (Today) $621.53
Exposure: 33%
 
I am holding a couple gold stocks and one silver stock entered today, while selling the rest of my holdings either by being stopped for a gain or exited at the close. Which brings up why I am posting. I decided to disable my stop when a trade has turned a decent profit. What happened today was that 3 trades got stopped out early in the day and then reversed higher. I gave up some larger profits as a result. This goes along with the thinking of letting your winners run. Besides, I want to try and match the portfolio paper trading better. It is difficult to see profits slip away, but to let winners run, you have to accept that you will be giving back some to reach bigger gains.

Real-time Account Net Worth $69,171.74
Real-time Cost of Positions $8,978.38
Real-time Unrealized P/L $144.60
Real-time Realized P/L (Today) $397.69
 
Before I get into this month's performance, I wanted to talk about my SLW trade as there were several elements to it, and it happens to be my largest winner so far this month. It would have exited around the open had my now disabled profit stop been enabled. However, seeing how it had opened higher and looked to be pulling back to support, rather than settling for a small gain, I added 200 more shares in what I deemed was still the longer-term trend. My entry yesterday was right at the 200 DMA. In addition, the gold and silver sector had been down as a whole, so I felt recent weakness was not company specific. I peeled off 100 shares near the high, and put a tight stop in place, but by this time, it was near the close and looked as if the stock was battling some upward resistance. I had a mental stop to exit BE if things went sour this AM. It is easier to add when you are already up and feel that the stock may be able to gain momentum. I should only do this in the AM, to give it the day to play out.

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Initial Capital (9/1/2011)	$66,969 
Total Net Profit	$3,344.79 
(Per Share)	$0.35 
Gross Profit	$3,947.09 
Gross Loss	($602.30)
Profit Factor	6.55
Total Number of Trades	75
Percent Profitable	76.00%
Winning Trades	57
Losing Trades	18
Avg. Trade Net Profit	$44.60 
Avg. Winning Trade	$69.25 
Avg. Losing Trade	($33.46)
Ratio Avg. Win:Avg. Loss	2.07
Expectancy	1.33
Largest Winning Trade	$274.75 
Largest Losing Trade	($60.60)
Max. Consecutive Winning Trades	20
Max. Consecutive Losing Trades	5
Total Shares/Contracts Held	9501
Total Commission	$199.45 
Return on Initial Capital	4.99%
Annual Rate of Return	116.63%
Buy & Hold Return	1.21%
Trading Period	15 Dys, 6 Hrs, 19 Mins
Max. Equity Run-up(Daily)	$3,418.92 
Date of Max. Equity Run-up	9/16/2011 15:00
Max. Drawdown(Daily)	
Value	($139.71)
Date	9/2/2011 15:00
as % of Initial Capital	0.21%
Max. Trade Drawdown	($314.25)
	
Net Worth	$71,106
Wkly Performance	4.04%
S&P Wkly Performance	4.93%
YTD Performance	21.54%
S&P YTD Performance	-3.28%
YTD Correlation to S&P	0.67
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I underperformed the S&P for the week, but my exposure had mostly remained under 40%. I want to get more comfortable with not feeling the need to put my equity to work. S&P is still negative for the year, while in spite of my recent DD I am up comfortably. So far, I think the cumulative numbers this month are the best they have ever been.

I may start shorting next week, if fear starts to creep back into the markets. I want to get more used to shorting as a hedge to my longs when markets seem dead set on heading lower. I know I have been advised this before, but I think you need to make it part of your psyche rather than just following others, for it to be effective. If you find yourself doing something thinking "I am doing this because I heard or read it here", then it has not been internalized yet.
 

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Here is an example where adding to a net profitable position did not work out. I added 200sh as support held and it began moving back higher. However, as the overall market began selling off in the afternoon, CDE followed suit. I think I need to place a hard stop that would guarantee a bigger profit when adding in the direction of the trend, if the original support breaks later in the day. Anyway, I was able to net $30 on the overall trade.

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I am in better shape this time then back on August 8 when the S&P closed at 1119. Today it closed 10 points higher at 1129, after the >3% drop in the market along with yesterday’s beating. I took a drubbing in JVA, but managed to exit on a pop today to reduce losses. Current exposure is 197% of Net Worth. I exceeded overnight BP at the open because several entries were triggered simultaneously. I was able to exit enough excess entries for a small profit. Occasionally orders don’t get cancelled fast enough when they all trigger at the same time at the open, so the day could definitely have turned out worse.

I see I got two one star ratings recently. I can’t say I blame you, as performance has been less than stellar. I am still green for the year by about 5%, but the S&P is now down around 10%. I think I am afraid to short the market because I tried it in 2009 as the market continued back above its 200dma. I think the path of least resistance at the present time appears to be down, although I haven’t heard much mention in the media of this being a bear market. Maybe when the majority concludes it is a bear market that will be the bottom. If I was at my computer when the Fed makes any announcements, I could probably make a nice strategy of following any strong trend that develops as a result.

Real-time Account Net Worth $63,297.21
Real-time Unrealized P/L ($6,657.22)
Real-time Realized P/L (Today) ($1,266.17)
 
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Initial Capital (9/1/2011)	$66,969 
Total Net Profit	($4,448.32)
(Per Share)	($0.28)
Gross Profit	$5,404.14 
Gross Loss	($9,852.47)
Profit Factor	0.55
Total Number of Trades	132
Percent Profitable	62.88%
Winning Trades	83
Losing Trades	49
Avg. Trade Net Profit	($33.70)
Avg. Winning Trade	$65.11 
Avg. Losing Trade	($201.07)
Ratio Avg. Win:Avg. Loss	0.32
Expectancy	-0.17
Largest Winning Trade	$274.75 
Largest Losing Trade	($1,181.00)
Max. Consecutive Winning Trades	20
Max. Consecutive Losing Trades	18
Total Shares/Contracts Held	15920
Total Commission	$314.65 
Return on Initial Capital	-6.64%
Annual Rate of Return	-105.51%
Buy & Hold Return	-0.90%
Trading Period	22 Dys, 6 Hrs, 19 Mins
Max. Equity Run-up(Daily)	$3,397.53 
Date of Max. Equity Run-up	9/19/2011 15:00
Max. Drawdown(Daily)	
Value	($7,828.63)
Date	9/23/2011 15:00
as % of Initial Capital	11.69%
Max. Trade Drawdown	($1,945.42)
	
Net Worth	$63,298
Wkly Performance	-13.40%
S&P Wkly Performance	-6.78%
YTD Performance	5.22%
S&P YTD Performance	-9.92%
YTD Correlation to S&P	0.72
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Market conditions over the last couple of month obviously have been suboptimal for my strategy. If I were to develop a strategy to fit recent unusual conditions, then it would likely not work the majority of the time. If I can avoid a complete system blow up until things improve, it would be an accomplishment.

I increased maximum position size slightly this time around, while also reducing maximum allowable positions, to better match paper trading position sizing. This will increase volatility of individual positions, but I think I am getting used to it. I had seen profits increase by 50% of beginning net worth from January thru June, so I know what the system can do.

I currently am over weighted in the Oil & Gas Operations, Chemical Manufacturing, and Non-Metallic Mining industries, so overall, I am not terribly diversified. Also, I am holding 175 shares of BIDU at a cost of $123.67/sh, that I feel well positioned in.
 

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I took a fairly large equity swing today. Unrealized losses were over 10k early on and NW dipped below 60k. I recovered by the end of the day with an $800 profit. I am going back to a smaller position size, with more allowed positions, since I am not comfortable with the larger position size relative to NW, and the associated individual stock DD. I am still over weighted in commodity stocks, but there is much talk about how poorly commodities are doing, so perhaps a bottom might be able to form here. It was also in the news that world markets crossed the bear market threshold recently (-20%), so maybe a short here could be viewed as being late to the market.
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Real-time Account Net Worth $67,218.40
Real-time Unrealized P/L ($3,583.11)
Real-time Realized P/L (9-26-11) $801.55
 
Seems to me you have a viable strategy here. With a strategy like this you're bound to have a big draw down when the market tanks, while outperforming the market in other periods.

The fact that you are still outperforming the market materially during a year with an impressive correction is a very good sign.

I wanted to ask, what is your average position size and how many positions do you typically have on at one time?
 
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