Taking 320K to 3.5million by Year End 2009

[Nikolas G]

Quote from neke:

Weekly Update for week 1/50 ended 1/17/2009

Ugly week, down 19K (6%). Not exactly how I wanted to start the year.

The major setback was on Monday when I tried to fade the sell off. Too leveraged: kind of forgot I have no buffer, as I was starting with a fresh capital base. Tried to come back later in the week on reduced leverage. Really putting in a lot of work into deriving a formula that should govern my leverage. It should depend on strategy, historical performance of strategy, buffer above starting capital, and recent performance of strategy.

Opening Balance:               	    	320,064
Net gain for the week 		        -18,534
------------------------------------------------
Net Balance:                   		301,530
Number of Trades	            	 23
Number of Profitable Trades    	    	 11


Top/Bottom Discretionary Trades for the week

TICKER	ENTRY DATE/TIME		EXIT DATE/TIME		QTY	PURCHASE AMT	SOLD AMT	GAIN/LOSS	TYPE

POT	2009-01-15-10-33-35	2009-01-15-14-01-38	3000	195480		206279		10784		LONG
SZCAD	2009-01-15-10-36-40	2009-01-15-14-02-34	10000	15400		22500		6936		SPY CALL
-----------------------------------------------------------------------
SPY	2009-01-12-09-45-51	2009-01-12-15-43-09	7000	616843		606830		-10030		LONG
SZCAJ	2009-01-12-10-08-27	2009-01-12-15-42-35	35000	58138		38500		-20191		SPY CALL

Actually that buffer you talk about is only not there if you section your performance off on a yearly basis. However, this is arbitrary. I am mentioning this, since this might have a positive effect on your psychology when you leverage in the beginning. The buffer has been there ever since you started your blog 3 years ago.

 

[neke]

Quote from Nikolas G:

Actually that buffer you talk about is only not there if you section your performance off on a yearly basis. However, this is arbitrary. I am mentioning this, since this might have a positive effect on your psychology when you leverage in the beginning. The buffer has been there ever since you started your blog 3 years ago.

Yes, I rebalance on a yearly basis! So as far as it goes, I am starting on a clean slate.

 

[BigFunky]

Quote from neke:

Yes, I rebalance on a yearly basis! So as far as it goes, I am starting on a clean slate.

Given that you need to compound so frequently, would it not be sensible to 'start on a clean slate' every week?

 

[neke]

Quote from BigFunky:

Given that you need to compound so frequently, would it not be sensible to 'start on a clean slate' every week?

Nope. One week is too myopic a time-frame to work towards. The fear of losing for the week would cause me not to take any risk, and with that have a flat curve.

 

[neke]

Weekly Update for week 2/50 ended 1/24/2009

Moderately positive week, up 9.6K (3.2%).

Made it Tues/Wed, lost it Thur, and gained some back on Friday. The market is definitely begging for direction.

Opening Balance:               	    	301,530
Net gain for the week 		          9,626
------------------------------------------------
Net Balance:                   		311,156
Number of Trades	            	 23
Number of Profitable Trades    	    	 12

Since Inception of Thread   01/10/2009 - 01/24/2009

Opening Balance:                   	320,064
Net gain (Less Margin Interest)		 -8,908	(Down 2.8%)
------------------------------------------------
Net Balance				311,156

Number of Trades	           	46
Number of Profitable Trades        	23


Top/Bottom Discretionary Trades for the week

TICKER	ENTRY DATE/TIME		EXIT DATE/TIME		QTY	PURCHASE AMT	SOLD AMT	GAIN/LOSS	TYPE

SPY	2009-01-21-14-32-13	2009-01-21-15-59-20	8000	661960		672000		10016		LONG
---------------------------------------------------------------------------
STT	2009-01-20-11-09-02	2009-01-20-14-37-56	6000	111465		105271		-6208		LONG

 

[BlindLemonBoosh]

Necessary Weekly Compounding To Reach Goal: 5.17%

 

[neke]

Quote from neke:

After some thought, the fraction, f, to use on a trade shall be a function of 3 variables for stocks, and 4 variables for options:

f = g(cratio, histf(strategy), recentf(strategy)) --stock
f = g(cratio, histf(strategy), recentf(strategy), daystoexp) --options

Continuing on the development of the sizing formula. The first variable is cratio. The idea is to shrink my position size when there is little or no buffer, and to size up to the optimal as the buffer increases. With that in mind, I have found the formula below good:

f = (cratio^2)/(1+cratio^2) * g(histf(strategy), recentf(strategy)) --stock
f = (cratio^2)/(1+cratio^2) * g(histf(strategy), recentf(strategy), daystoexp) --options

The value of (cratio^2)/(1+cratio^2) is given below for a number of values of cratio:

cratio		(cratio^2)/(1+cratio^2)
0.5		0.20
1.0		0.50
2.0		0.80
10.0		0.99

What this means is that at the beginning, with no buffer (cratio=1), I should take 50% of my optimal size (if all other parameters say so). Should I suffer a drawdown of 50% from the starting balance (for any reason), cratio would become 0.50, and my size will only be 20% of normal optimal size. On the other hand, should the account be up 900% at any point in time (cratio=10), I could practically use up the optimal fraction.

The above obviously implies that my rate of growth should be smaller at the beginning, but grow more than exponentially as time goes on (provided the edge remains!).

 

[neke]

Weekly Update for week 3/50 ended 1/31/2009

Nice week, up 25K (8%).

Very good win rate (80%). Lots of trades on SPY as well, with a tendency to exceed my intended size because of averaging up/down: biggest was 8K on Monday, while I lost almost as much on the same SPY earlier. The market see-sawed and ended almost even (open to close). Closed the first position at a loss (8K). Had the good sense to come back immediately in the same direction (LONG) as it appeared I was just shaken out. Glad AMZN came up on Friday, and dished out some gains in stock and options.

Opening Balance:               	    	311,156
Net gain for the week 		         25,279
------------------------------------------------
Net Balance:                   		336,435
Number of Trades	            	 24
Number of Profitable Trades    	    	 19

Since Inception of Thread   01/10/2009 - 01/31/2009

Opening Balance:                   	320,064
Net gain (Less Margin Interest)		 16,371	(Up 5.1%)
------------------------------------------------
Net Balance				336,435

Number of Trades	           	70
Number of Profitable Trades        	42


Top/Bottom Discretionary Trades for the week

TICKER	ENTRY DATE/TIME		EXIT DATE/TIME		QTY	PURCHASE AMT	SOLD AMT	GAIN/LOSS	TYPE

SPY	2009-01-26-14-05-13	2009-01-26-15-33-30	8000	664230		672500		8245		LONG
ZQNBK	2009-01-30-09-36-00	2009-01-30-09-42-05	10000	49956		56690		6563		AMZN CALL
---------------------------------------------
CAT	2009-01-26-11-54-47	2009-01-26-13-52-15	8000	257800		254495		-3327		LONG
SPY	2009-01-26-12-25-51	2009-01-26-13-51-46	9000	760689		752943		-7771		LONG

 

[hermitage]

well done.

 

[short&naked]

Do you hold any trade overnight or are these all intraday?