Rol's Trading Journal

Quote from Joman:

Hi Rol, thanks for your thread.

I've been following you for the past few weeks and really enjoyed your comments even if it was not the easiest market to trade recently for a counter-trend trader like you !

I was just wondering what was your criteria to scan stocks ? Do you follow the entire US stocks market or have some kind of filters with regard to volume or volatility ?

Keep up the good work !
More...

Thanks for following along Joman!

As a rule, I do buy the dips with automation but I think views on counter-trend and trend following styles are thrown around so much in constantly changing markets, to me it just becomes mud soup. Given a strategically chosen time frame, you could make a case for either. I focus on several days as opposed to intraday or weekly.

I actually have an aversion to the label counter-trend. I filter out stocks that are simply in a slow grind down. I don’t use MACD, ATR, or BB. I don’t want to just giveaway my criteria. Good magicians don’t give away their secrets either! I am more comfortable with saying what my method is not, rather than exactly what it is. Then, if others are discovering similarities in their own research, they will identify with some of what I am saying. My style is not without inherent risk, as has been displayed!

When you skip a rock along the water, it hits the water, and then rises, and repeats several times. If you bounce a ball down stairs, when it hits the next step down, at some point it rises above that step. When I enter a stock, I don’t know when it will rise back up, but I am banking that at some point in the not too distant future, it will rise. Whether or not that turns out to be above my buy price is irrelevant to my strategy.

With dip buying automated, I am focusing more on identifying market strength and weakness using discretion, and riding trends as long as possible. Hopefully, this will complement my automation and fill in any gaps. I scan around 8000 stocks and ETFs, but after applying price, volume, and margin restriction filters, it is more around 1500. Volatility is a key intraday filter.
 
Code: 
[color=green][b]
Initial Capital (10/1/2011)	$71,377 
Total Net Profit	$5,517.51 
(Per Share)	$0.26 
Gross Profit	$9,206.09 
Gross Loss	($3,688.58)
Profit Factor	2.5
Total Number of Trades	196
Percent Profitable	62.76%
Winning Trades	123
Losing Trades	72
Avg. Trade Net Profit	$28.15 
Avg. Winning Trade	$74.85 
Avg. Losing Trade	($51.23)
Ratio Avg. Win:Avg. Loss	1.46
Expectancy	0.54
Largest Winning Trade	$1,095.58 
Largest Losing Trade	($348.07)
Max. Consecutive Winning Trades	12
Max. Consecutive Losing Trades	12
Total Shares/Contracts Held	21214
Total Commission	$413.43 
Return on Initial Capital	7.73%
Annual Rate of Return	194.26%
Buy & Hold Return	-0.63%
Trading Period	14 Dys
Max. Equity Run-up(Daily)	$10,938.46 
Date of Max. Equity Run-up	10/10/2011 15:00
Max. Drawdown(Daily)	
Value	($5,111.86)
Date	10/3/2011 15:00
as % of Initial Capital	7.16%
Max. Trade Drawdown	($5,473.00)
	
Net Worth	$78,308
Wkly Performance	0.26%
S&P Wkly Performance	5.97%
YTD Performance	31.37%
S&P YTD Performance	-2.53%
YTD Correlation to S&P	0.63
[/b][/color]

attachment.php


I turned in a flat performance this week as I traded in and out of long/short ETFs. By trying to hedge the few long stocks I had, I cancelled out their profits with losses on my shorts. I think I should just hedge when substantially exposed to the long side, and the market is under continued extreme selling pressure. I would rather let my automation run unsaddled, and just use hedging during extreme sell offs to help ease the pain. It was fun actively trading the ETFs, but did little for my bottom line. I went ahead and ended the week with an 800 share position taken in QID AH, average price 43.67, and below the low for the day, for an unrealized gain of $22.

It is relatively rare for my strategy to take positions in ETFs, let alone short ETFs like QID. I will probably hedge it with QLD next week if the market acts like it wants to continue higher, as it could be painful to hold 800 shares for me otherwise.
 

Attachments

Most of today’s profit resulted from entries this morning as the market appeared to be continuing yesterday’s decline, but then reversed to trend higher into the close. I passed up several additional entries that would have worked out as my current settings are not overly aggressive. I may reevaluate the system to be a bit more aggressive the remainder of the year, but not nearly as aggressive as I was starting this year. I am counting on downside volatility to subside over the next few months. Just when people think they have the game figured out from recent market behavior, the market has a habit of changing the game.

I left a lot of profit on the table when I closed my QID too early yesterday. I was reluctant to take any heat on it, and so my stops were too tight.

Real-time Account Net Worth $78,935.56
Real-time Unrealized P/L ($209.85)
Real-time Realized P/L (Today) $482.79
 
I got the urge today to trade in and out of QID, and caught a piece of the afternoon slide with 300 shares to net around $240. I got stopped out on EDU and NFLX for the rest of the gains. I have turned back on intraday stops on profitable trades. I flip flop on using it because days like today it helps stem losses, but hurts when stocks begin to give up gains and then reverse to close higher. With the nasdaq dropping 2% today, by today’s hedging actions and profit taking, I was able to only drop $150 in net worth on the day. Current exposure is comfortable at 25%.



Real-time Account Net Worth $78,798.05
Real-time Unrealized P/L ($644.36)
Real-time Realized P/L (Today) $297.30
 
Today’s action looked as if sub 1200 on the S&P was bought up again. I went ahead and entered 300 shares SPY midday to give myself a bit more exposure. If 1191 support gets broken, I will look to short aggressively in the coming days to hedge.

Real-time Account Net Worth $79,112.95
Real-time Unrealized P/L ($472.95)
Real-time Realized P/L (Today) $146.51
Current Exposure: 107%
 
Code: 
[color=green][b]
Initial Capital (10/1/2011)	$71,377 
Total Net Profit	$7,880.81 
(Per Share)	$0.23 
Gross Profit	$13,094.54 
Gross Loss	($5,213.72)
Profit Factor	2.51
Total Number of Trades	341
Percent Profitable	66.86%
Winning Trades	228
Losing Trades	112
Avg. Trade Net Profit	$23.11 
Avg. Winning Trade	$57.43 
Avg. Losing Trade	($46.55)
Ratio Avg. Win:Avg. Loss	1.23
Expectancy	0.49
Largest Winning Trade	$1,095.58 
Largest Losing Trade	($348.07)
Max. Consecutive Winning Trades	13
Max. Consecutive Losing Trades	12
Total Shares/Contracts Held	34246
Total Commission	$705.03 
Return on Initial Capital	11.04%
Annual Rate of Return	182.16%
Buy & Hold Return	-0.82%
Trading Period	21 Dys
Max. Equity Run-up(Daily)	$13,026.27 
Date of Max. Equity Run-up	10/21/2011 15:00
Max. Drawdown(Daily)	
Value	($5,111.86)
Date	10/3/2011 15:00
as % of Initial Capital	7.16%
Max. Trade Drawdown	($5,473.00)
	
Net Worth	$80,797
Wkly Performance	3.96%
S&P Wkly Performance	1.14%
YTD Performance	36.57%
S&P YTD Performance	-1.42%
YTD Correlation to S&P	0.64

Real-time Unrealized P/L	($258.53)
Real-time Realized P/L (Today)	$1,471.09
Current Exposure	15%
[/b][/color]

attachment.php


I lost my internet connection yesterday afternoon, so a few overnight positions would have exited. Thankfully, the market gapped up today. By today's close, I moved mostly to cash. I am not sure how markets will respond to the meeting of European leaders over the weekend. Any "good news" may already be priced in. If S&P 1235 can hold as support next week, I might reenter SPY with a stop below 1235. I probably don't want to try shorting until 1242 resistance, or if markets start selling off on European news.
 

Attachments

I forgot to mention that I activated the index monitor, which shuts down the strategy when the index I track crosses below its 200DMA. I currently use the E-Mini Nasdaq-100. It is the only one above its 200DMA I track. Eventually, I will switch to the mini Russell 2000. The Russell 2000 was the first to breach its 200 DMA on July 29. I noticed in July how many stocks began dropping below their 200DMA, but did not heed the warning. Besides, I thought my strategy was "bulletproof." I like using the futures, because they will alert me to overnight action when they are trading. I feel all this vigilance is necessary to allow me to observe for longer term topping action, and prepare for shorting, rather than succumbing to what happened to me in August.

attachment.php
 

Attachments

Quote from fickletrader:

Outstanding performance Rol :)

I'm glad you've "immunized" your portfolio with some defensive tactics.
More...

Thanks fickletrader!

I hope to be able to complement RTM trading with TF. Why not do both! That would really keep Mr. Market confused. :p
 
don't you get an order rate problem? It looks to me like you're sending an awful amount of orders, but will probably be only executed on a portion of it each day. If you're with IB, they would block your account if your execution vs order rate is less than 10%
 
You must log in or register to reply here.
Back
Top