Trader P/L 2012
- Thread starter d08
- Start date
So I still consider it 850/60 instead of the 85/6 njrookie proposed.
I start out the year with $X in the trading account and $0 in the separate cash account. As I build profits I'll sweep them out into the cash account, and when I have drawdowns I'll sweep the other way. But if I have drawdowns on the initial $X I don't add money, which means at the beginning of the year I trade conservatively and below capacity. All pct returns/dd are calculated based on aggregate value of trading account and cash account, so right now I have roughly $X in the trading account and $8.5X in cash. On 1/1/2013 I will remove the $8.5X and consume blackjack and hookers, once again zeroing out the cash account for the new trading year.
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Interesting structure and makes sense. So in reality it's not exactly 850% and 60% DD, since the cash account is actually part of the equity but you decided to keep it separate. Am I correct?
So I still consider it 850/60 instead of the 85/6 njrookie proposed.
I start out the year with $X in the trading account and $0 in the separate cash account. As I build profits I'll sweep them out into the cash account, and when I have drawdowns I'll sweep the other way. But if I have drawdowns on the initial $X I don't add money, which means at the beginning of the year I trade conservatively and below capacity. All pct returns/dd are calculated based on aggregate value of trading account and cash account, so right now I have roughly $X in the trading account and $8.5X in cash. On 1/1/2013 I will remove the $8.5X and consume blackjack and hookers, once again zeroing out the cash account for the new trading year.
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Really just sounds like a prop account, in which case return is not really applicable. You take distributions each month over and above minimum equity requirement. Am I wrong?
Interesting structure and makes sense. So in reality it's not exactly 850% and 60% DD, since the cash account is actually part of the equity but you decided to keep it separate. Am I correct?
So I still consider it 850/60 instead of the 85/6 njrookie proposed.
I start out the year with $X in the trading account and $0 in the separate cash account. As I build profits I'll sweep them out into the cash account, and when I have drawdowns I'll sweep the other way. But if I have drawdowns on the initial $X I don't add money, which means at the beginning of the year I trade conservatively and below capacity. All pct returns/dd are calculated based on aggregate value of trading account and cash account, so right now I have roughly $X in the trading account and $8.5X in cash. On 1/1/2013 I will remove the $8.5X and consume blackjack and hookers, once again zeroing out the cash account for the new trading year.
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Really just sounds like a prop account, in which case return is not really applicable. You take distributions each month over and above minimum equity requirement. Am I wrong?
The return is pretty arbitrary, dependent on leverage, but mac asked for clarification so I gave it.
Poloarbear,
I think the best way to characterize your return metrics is first to calculate your daily return based on COMBINED trading account and cash account and then to calculate DD and sharpe based on that.
It is equivalent to adjusting daily trading account return by (dividing by) the [ratio of your trading account/cash account ratio + 1].
You can view the rebalancing b/w cash and trading account as part of your trading actions.
njrookie
I think the best way to characterize your return metrics is first to calculate your daily return based on COMBINED trading account and cash account and then to calculate DD and sharpe based on that.
It is equivalent to adjusting daily trading account return by (dividing by) the [ratio of your trading account/cash account ratio + 1].
You can view the rebalancing b/w cash and trading account as part of your trading actions.
njrookie
Yes that is the method I use. At the beginning of the year I have $X in the trading account and $0 in the cash sweep account. As I accumulate profits I calculate my DD and sharpe based on the combined value, on a daily basis. That 60% DD was a real drawdown that chewed through about $3X of the $5X I had at the time, forcing me to sweep cash in multiple times. I foolishly wanted to probe my capacity limits, and the result was terrifying.
I think the point of confusion is that in a typical prop account you start out with a reserve at the beginning of the year of say $9X, in which case your returns would be calculated on your total $10X of capital. I do not start the year with a reserve. I never add money if I draw down on the initial $X.
I hope that clarifies things; if anyone is still confused just PM me. I don't want to pollute this thread any further with this off-topic stuff.
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Curious how you and other "5-6-digits-a-day" guys know that are you trading at capacity?
Are you only using limit orders? With market orders you would just be moving the market so it would be hard to tell. No?
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the short answer is you never really are trading at capacity. in a particular strategy you can get a bit confined, but most traders trade multiple strategies warranted my market conditions. usually something else gets in the way other capacity that limits profits. this can by time constraints, risk concerns, or just not enough sack to put the trade on. there is always more money to be made if you are willing to put in the time and effort into the strategy and your own mental game.
Curious how you and other "5-6-digits-a-day" guys know that are you trading at capacity?
Are you only using limit orders? With market orders you would just be moving the market so it would be hard to tell. No?
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the short answer is you never really are trading at capacity. in a particular strategy you can get a bit confined, but most traders trade multiple strategies warranted my market conditions. usually something else gets in the way other capacity that limits profits. this can by time constraints, risk concerns, or just not enough sack to put the trade on. there is always more money to be made if you are willing to put in the time and effort into the strategy and your own mental game.