Trading algorithmically a folio without stops (with IB), real $$$

[fullautotrading]

Quote from PocketChange:

Are you stating if you were to stop and close all positions at this moment in time you would realize a net gain of $56K?

Hi PocketChange,

Nope. The 56K are actually already "realized" in a certain sense (that also depends on what we mean by "realize"), as they are the difference between Gain and (temp) Loss. I have defined it in a previous post (see the one with handwritten formulas, on page 5).

So referring to our decomposition: PNL = Gain + Loss + Unrealized

it would be

"Net Gain" := Gain + Loss (taken with their respective sign)

Instead, what you get, in your pocket, if you close all positions at any instant is the <b>PNL</b> figure (cyan line). Clearly, you would be "losing" the portion of "Net Gain" that is in the "Unrealized" component (which can be thought as an ongoing "investment").

Let me know if clear enough.

 

[fullautotrading]

btw, note that the term "Net Gain", here, is really intended to be a short for <b>"Net Gain component of the PNL decomposition"</b>:

PNL = Gain + (temp) Loss + Unrealized

So you obtain the "Net Gain" component, by taking the Gain component and subtracting the absolute value of the (temporary) Loss component.

This terminology seemed logic to me (I am not native English anyway), but if you have better candidate to express this concept let me know of course. I am always happy about improvements.

I am aware that, out of context, someone might think I am referring to what you get when you close all. But for that there is already a precise term and it's simply the <b>PNL</b>.
The PNL shown on the app monitor, is always "net" of closing commissions and spread. That is, it represents the actual amount you pocket when closing all.

 

[jb514]

Could you post charts of just your pnl/net liquidating value? It would be interesting to be able to see the drawdowns and just the smoothness of the pnl curve.

I like the journal, keep posting

 

[fullautotrading]

Quote from jb514:

Could you post charts of just your pnl/net liquidating value? It would be interesting to be able to see the drawdowns and just the smoothness of the pnl curve.

I like the journal, keep posting

Hi jb514, thank you.

The pnl/net liquidating value is exactly the cyan solid curve you see in all folio updates I have been posting so far.

(Or do you mean that curve alone, without any other curves around ? )

The "smoothness" depends a lot on the scalping/hedging game rules. I believe that "tighter" games (more frequent orders) allow a smoother curve. Also, order sizing can be a very important factor.

Since the PNL is "sandwiched" between the Gain and Loss component, it would seem (intuitively) that an higher rate in both of them, would help making the curve smoother.

 

[jb514]

Yeah exactly, the cyan line without the others, so it doesn't shorten the scale of the chart.

I agree with you, more orders scalping the smoother the pnl curve will be. It looks like you're getting 4 cents per share which seems pretty good. Probably need to scalp more to get your cps down

 

[fullautotrading]

Here is a quick folio update, summarized in a folio view. Today we had a significant DD. And especially some energy related instruments "loaded up", and had to hedge (UGAZ, UPRO, DRN, URE got hit).
(The FAS layers have been "messed up" a bit by the forced suspension and had to make some size adjustment by using the entry injector).

In a next post I will show a PNL view in the form requested by jb514 (actually he made me have some other idea too )

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3928289" />

 

[fullautotrading]

Here is the PNL alone, as jb514 suggested (with the latest drawdown).

jb514's post gave me the idea that it would also be interesting to make of the "mirrored loss" curve a feature, as it is actually interesting being able to directly compare Gain and (temp) Loss on the same side. [Clearly, the picture I made earlier with the loss "mirrored" above the time axis was just a copy and paste/flip].

So I have added a new control to obtain (programmatically, this time) a mirrored image of the Loss curve (bottom picture).
(You will find it in the next update.)

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3928423" />

 

[ofthomas]

Quote from fullautotrading:

Here is the PNL alone, as jb514 suggested (with the latest drawdown).

jb514's post gave me the idea that it would also be interesting to make of the "mirrored loss" curve a feature, as it is actually interesting being able to directly compare Gain and (temp) Loss on the same side. [Clearly, the picture I made earlier with the loss "mirrored" above the time axis was just a copy and paste/flip].

So I have added a new control to obtain (programmatically, this time) a mirrored image of the Loss curve (bottom picture).
(You will find it in the next update.)

perhaps showing the P&L in terms of Percentage will be better than USD..

 

[fullautotrading]

Quote from ofthomas:

perhaps showing the P&L in terms of Percentage will be better than USD..

Thank you ofthomas.
Percentage of what, do you have in mind ?


[ "Capital" would make no sense, as it may be used only partially. I might have 1B and use only 500K for trading.

Margins, would be extremely erratic and give no info at all, as they can change of a lot from a minute to another, due to hedging entries. They also change intrinsically with volatility and with broker and algorithm used to compute them (span, regt, porfolio, ...)

Maybe Abs Not Val ? ]

 

[ofthomas]

absolute returns and then against S&P benchmark.. after all, the software is supposed to manage the account as a fund right?

Quote from fullautotrading:

Thank you ofthomas.
Percentage of what, do you have in mind ?


[ "Capital" would make no sense, as it may be used only partially. I might have 1B and use only 500K for trading.

Margins, would be extremely erratic and give no info at all, as they can change of a lot from a minute to another, due to hedging entries. They also change intrinsically with volatility and with broker and algorithm used to compute them (span, regt, porfolio, ...)

Maybe Abs Not Val ? ]