I am not sure what makes you think I am sending large numbers of orders that do not fill. I do not send orders until entry conditions are close to triggering. They are not just sent at the open on all stocks I am scanning for that day. I typically execute on more than 1 in 10 orders sent, if that is IB policy. Although occasionally on large gap down days, it could potentially be less than 10%, I suppose. Using portfolio BP, narrowing down the watch list premarket, or adjusting strategy inputs, I could maintain compliance if necessary. Thanks for the heads up. My goal is still to hit 100K by end of year, supplemented with contributions. Then the migration to IB will begin.
Rol's Trading Journal
- Thread starter Rol
- Start date
I am not sure what makes you think I am sending large numbers of orders that do not fill. I do not send orders until entry conditions are close to triggering. They are not just sent at the open on all stocks I am scanning for that day. I typically execute on more than 1 in 10 orders sent, if that is IB policy. Although occasionally on large gap down days, it could potentially be less than 10%, I suppose. Using portfolio BP, narrowing down the watch list premarket, or adjusting strategy inputs, I could maintain compliance if necessary. Thanks for the heads up. My goal is still to hit 100K by end of year, supplemented with contributions. Then the migration to IB will begin.
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Initial Capital (10/1/2011) $71,377
Total Net Profit $8,519.40
(Per Share) $0.15
Gross Profit $17,036.49
Gross Loss ($8,517.09)
Profit Factor 2
Total Number of Trades 565
Percent Profitable 62.65%
Winning Trades 354
Losing Trades 210
Avg. Trade Net Profit $15.08
Avg. Winning Trade $48.13
Avg. Losing Trade ($40.56)
Ratio Avg. Win:Avg. Loss 1.19
Expectancy 0.37
Largest Winning Trade $1,095.58
Largest Losing Trade ($348.07)
Max. Consecutive Winning Trades 23
Max. Consecutive Losing Trades 27
Total Shares/Contracts Held 57575
Total Commission $1,165.50
Return on Initial Capital 11.94%
Annual Rate of Return 147.09%
Buy & Hold Return 0.09%
Trading Period 28 Dys
Max. Equity Run-up(Daily) $14,898.96
Date of Max. Equity Run-up 10/26/2011 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 $82,779
Wkly Performance 0.87%
S&P Wkly Performance 3.73%
YTD Performance 37.78%
S&P YTD Performance 2.27%
YTD Correlation to S&P 0.62
[/b][/color]I lost 1K yesterday trying to short the run up. I had a bearish stance after the morning gap up, which made me trade against the strong upward bias that continued throughout the day. I am using the E-mini now to shut down my system if it crosses below its 200DMA. I won't try shorting again with any considerable size until this occurs.
Roi, You mentioned you have 65% of the 8k stks on profit on your testing. Do you have min price and min volume filter rules on your testing or merely entries rules? How do you select your stock to be on live trading from the testing 8k stks? Using percent profit and profit factor to be above some value or manually decide is the equity curve smooth enough for live trading?
Hi clarodina,
FYI my username is Rol, not Roi. Some reasons for filtering out low priced stocks: Commission would be higher at $1 per 100 shares. They tend to be too volatile for my comfort. Sometime low priced stocks are genuinely poor quality stocks to be hoping for any rebound in price, otherwise they would not be low priced. I need a way to reduce the number of symbols returned from nightly scans. Some reasons for filtering out low volume stocks: I need a way to reduce the number of symbols returned from nightly scans. Slippage can be significant with market exits, even around the close. I donât feel comfortable owning a stock with low liquidity.
It is always nice to see a stock return a high PF in backtesting, but I donât limit stocks to only those with a high PF. That would be too easy to exploit (I have tried it). Past equity curves of a stock do not predict future success. Unforeseen events could always strike a company. The edge, I believe, comes from overlaying all of the individual equity curves to produce a ânet equity curve,â and trying to determine if that curve is realistic and acceptable.
I know my strategy works fairly well most of the time, with periods of significant DD. When stocks become highly correlated it can suffer serious DD, but also can bounce back. On the other hand, a trend following strategy may be stopped out a majority of the time for small losses, while catching occasional large profitable moves. I suppose one has to pick their poison.
There is nothing magical about the stocks I pick. I would estimate that for every 5K account size, you should limit your symbol universe to 100 symbols, up to 2000 symbols.
RoI, Hello, you have been doing great ! Especially the way you managed last few month's volatility. Very nice.
I trade primarily fx and am trying to think how to approach stocks. I had a basic question on order execution at open and close. Can you please share your experiences on the following thread: Thanks.
http://www.elitetrader.com/vb/showthread.php?s=&threadid=229800&perpage=6&pagenumber=1
I trade primarily fx and am trying to think how to approach stocks. I had a basic question on order execution at open and close. Can you please share your experiences on the following thread: Thanks.
http://www.elitetrader.com/vb/showthread.php?s=&threadid=229800&perpage=6&pagenumber=1
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Initial Capital (1-1-2011) $47,853
Total Net Profit $17,875.69
(Per Share) $0.06
Gross Profit $97,376.55
Gross Loss ($79,500.86)
Profit Factor 1.22
Total Number of Trades 2458
Percent Profitable 61.64%
Winning Trades 1515
Losing Trades 940
Avg. Trade Net Profit $7.27
Avg. Winning Trade $64.27
Avg. Losing Trade ($84.58)
Ratio Avg. Win:Avg. Loss 0.76
Expectancy 0.08
Largest Winning Trade $1,936.09
Largest Losing Trade ($1,446.00)
Max. Consecutive Winning Trades 29
Max. Consecutive Losing Trades 38
Total Shares/Contracts Held 284957
Total Commission $5,874.41
Return on Initial Capital 37.36%
Annual Rate of Return 37.89%
Buy & Hold Return -2.54%
Return Retracement Ratio 1.53
Trading Period 10 Mths, 23 Hrs, 59 Mins
Max. Equity Run-up(Daily) $30,922.59
Date of Max. Equity Run-up 10/26/2011 15:00
Max. Drawdown(Daily)
Value ($34,775.71)
Date 8/8/2011 15:00
as % of Initial Capital 72.67%
Max. Trade Drawdown ($2,342.00)
Net Worth $82,333
YTD Performance 36.85%
S&P YTD Performance -0.20%
YTD Correlation to S&P 0.62
[/b][/color]Excluding the horrendous DD in August, the numbers YTD are not too bad. $.06 per share net is probably not too bad from a high volume trader's perspective.
Not talking about having min price and vol filter on your live filtering but rather on your testing rules on historical data. Some stks have OHLC having good equity curve on testing but they are not realistic on live trading due to liquidity problem and low price but they have good curve. Do you have min vol rule on your testing?
You don't choose stks with high pf or equity curve? What do you use? You would choose a stk with side way equity on your testing for live trading?
Isn't layering the sideway curve reduce the good curve of net equity curve?
I use the same price and volume filters on portfolio backtesting as well as live trading. Unrealistic fills is another reason I exclude low price, low volume stocks. It is hard to explain without looking at many individual equity curves. Over many years, some curves are in smooth uptrends, some are in sideways trends, but may then "breakout" to the upside, and some are in downtrends. You see every shaped curve imaginable. In the end, however, there are more winners than losers. I could remove the net losers, but as trades occur the equity curves are changing, and stocks may move from the net winner column to net loser column, and vice versa. I don't know how a stock will perform when I buy it. This unknowingness of which stocks will perform and which ones will not can be an asset, I believe, and allow me to work "under the radar." Many are looking for a sure thing. I am only looking for ballpark results and for what is good enough for me. You could try removing the worst performers if you think it helps.
Rol, have you consider the smooth curves are due to random factors on testing individual stk? you mention about as trades occur the equity curves are changing, and stocks may move from the net winner column to net loser column. Isn't this suggesting that the rules do not have an edge. If the rules have an edge on the particular individual stk, smooth curve should continue at least not much less compare to sideway curve from another indivudual stk. And layering of many different smooth curve should be better than layering of many smooth curve and not so smooth curve on live trading. This bring to the issue of should the sideway or downtrend curves be eliminated.