Trading as a hobby
- Thread starter HobbyTrading
- Start date
In my interpretation, it looks like he labeled the chart a bit weird. He started at 100%, and at end of 6 months he was up to ~135%. So looks like 35% return over those 6 months. That is an excellent rate of return.
@Mo06 it is as @Overnight mentions: I started at 100% and am now at approximately 135%. Thus 35% gained since I started in October 2016.
March in the rear view mirror: this is the graph of how my account's net liquidation value (nlv) changed since I started my current trading system in October 2016. The graph shows the normalised nlv, putting the starting value at 100%. It also shows how the high water mark (hwm) changed during this period. A new hwm was reached on March 10th, after which a new period in drawdown started. The hwm now stands at 150%, versus 100% at the start in October. The nlv ended the month March at 147%, versus 137% at the end of February, versus 100% at the start in October. So, after half a year of operating I am having 47% profit. Most of this profit however was reached in 2016Q4, during the, what I would call, "Trump honeymoon" rally. Much less profit was achieved during 2017Q1.
Overview of the instruments in which I hold a position at the end of March (IB instrument symbol names):
futures, long: 3KTB, ESTX50
futures, short: GE, M6E, V2TX, ZC
ETF stocks, long: EWG, QQQ, SMH, XLK
My main activity this month was to make the system able to run without supervision. Until now was my procedure to start TWS and my program on a trading day and close it some 16 hours later. It would follow one complete cycle, from trading in Korea until the end of regular trading hours in the USA. TWS has a built-in feature to shut down at a pre-defined time, but can stay alive for at most 24 hours. I installed IBController to keep TWS (or Gateway) active for multiple days. And added some code to my program to make it run forever but only allow trading during weekdays, not during weekends. Then I ran it one week, including a weekend, without interfering. This test went well, so the following week I went on holiday and let the system run unsupervised while I was away. However, I did remotely monitor: all log files are written to Dropbox and I can access those on my iPad. If an emergency would have occurred I would have been able to put on an "emergency brake" by stopping TWS/Gateway remotely. Luckily that was not necessary.
A remaining item on my to-do list is related to reducing debit interest being charged by IB. My account uses multiple currencies (USD, EUR, KRW) and IB charges debit interest on a per-currency basis. It is however rather complicated to figure out exactly how they get to the balance which they use to compute whether debit interest is applicable. Not only because I'm using multiple currencies, also because I'm mixing futures and stocks (ETFs) in one account. The stocks I use are all denominated in USD, so the analysis for EUR and KRW only relates to cash position and margin requirements for the futures. From online reports at IB's website I see that I need to focus on EUR and KRW as I am incurring debit interest on those currencies. I have to compute the required maintenance margin plus cash balance for each currency in order to determine whether debit interest is being charged or not.
Overview of the instruments in which I hold a position at the end of March (IB instrument symbol names):
futures, long: 3KTB, ESTX50
futures, short: GE, M6E, V2TX, ZC
ETF stocks, long: EWG, QQQ, SMH, XLK
My main activity this month was to make the system able to run without supervision. Until now was my procedure to start TWS and my program on a trading day and close it some 16 hours later. It would follow one complete cycle, from trading in Korea until the end of regular trading hours in the USA. TWS has a built-in feature to shut down at a pre-defined time, but can stay alive for at most 24 hours. I installed IBController to keep TWS (or Gateway) active for multiple days. And added some code to my program to make it run forever but only allow trading during weekdays, not during weekends. Then I ran it one week, including a weekend, without interfering. This test went well, so the following week I went on holiday and let the system run unsupervised while I was away. However, I did remotely monitor: all log files are written to Dropbox and I can access those on my iPad. If an emergency would have occurred I would have been able to put on an "emergency brake" by stopping TWS/Gateway remotely. Luckily that was not necessary.
A remaining item on my to-do list is related to reducing debit interest being charged by IB. My account uses multiple currencies (USD, EUR, KRW) and IB charges debit interest on a per-currency basis. It is however rather complicated to figure out exactly how they get to the balance which they use to compute whether debit interest is applicable. Not only because I'm using multiple currencies, also because I'm mixing futures and stocks (ETFs) in one account. The stocks I use are all denominated in USD, so the analysis for EUR and KRW only relates to cash position and margin requirements for the futures. From online reports at IB's website I see that I need to focus on EUR and KRW as I am incurring debit interest on those currencies. I have to compute the required maintenance margin plus cash balance for each currency in order to determine whether debit interest is being charged or not.
I've just found this thread. Good to see someone making it happen.
One obvious point is that borrowing in EM currencies like KRW is very expensive, so if you are going to have a negative margin anywhere don't do it there.
GAT
One obvious point is that borrowing in EM currencies like KRW is very expensive, so if you are going to have a negative margin anywhere don't do it there.
GAT
@globalarbtrader thank you for visiting my journal! I read with great interest your recent one-year report, and tried to compare it with my results (only a short period available as I started in October 2016). The results are rather different. I think that that is caused by a difference in instruments being used and in forecast rules being used.
I am aware that you often warn for the cost of borrowing KRW, which is why I keep a close eye on it. I did write my own program to analyse the maintenance margin per currency (TWS doesn't provide this data directly). IB did provide me a special "flex report" where you can see how credit/debit interest is building up every day. My costs caused by KRW are a lot lower than EUR. Thanks for the extra warning though.
I am aware that you often warn for the cost of borrowing KRW, which is why I keep a close eye on it. I did write my own program to analyse the maintenance margin per currency (TWS doesn't provide this data directly). IB did provide me a special "flex report" where you can see how credit/debit interest is building up every day. My costs caused by KRW are a lot lower than EUR. Thanks for the extra warning though.
Ahh, but I do know that the general trend of the US market is up. I don't know about next week, but I can say with some certainty that over a year, over a decade the market will be up. So, a trend trader should in general be profitable if he/she does not have to pay commissions and slippage.
I am not quite sure if I make sense.
Another monthly update. After being most of the month in a serious drawdown the month ended on a high note with a new high water mark. Compared with the starting point in October 2016 is my account now up by 62%. The graphs:
The upper graph shows the relative net liquidation value (rel. nlv), and the relative high water mark (rel. hwm). Both started at 100% in October last year. The lower graph shows the drawdown, during the same 7 months. Both nlv and hwm are at 162% today. It shows that a high water mark on March 10th was followed by six weeks of drawdown, and quite a severe one. A spike in nlv on April 1st almost touched the hwm, but did not set a new high water mark. The worst drawdown during April was -14%. The results of the French election changed this doom and gloom: my account jumped up by 9% on Monday morning (24th), compared to the previous Friday evening. And continued to rally during the rest of the week, setting a new hwm each and every day.
Currently I'm holding a position in the following instruments (IB instrument symbols):
futures, long: 3KTB, ESTX50, LE
futures, short: V2TX, ZC
ETF stocks, long: EPI, QQQ, XLK, XLY
My main activity during April was a rather frustrating one. I am having an issue with downloading historical data on some of the ETFs. This started on March 14th and occurs ever since. Before March 14th did this not occur at all. This affects 5 of the 45 ETFs for which I download the historical data every day. The issue is that incomplete data is being sent by IB to me on these 5 ETFs, whereas the entire requested history is available if I look on the chart in TWS. At first I tried to solve it myself, but when I couldn't find it I asked IB for help. This resulted in a message exchange during most of the month April. The end result? Although I have the evidence that IB is sending incomplete data to TWS (it's in the TWS logfiles), they blame it on my java software which runs on my machine. They tried to replicate it once and couldn't do it. Whereas I have this problem happening every.single.day.for.the.last.six.weeks.and.counting. Later during the month I started to notice that their responses were getting weirder and weirder. I gave up on them. This has been my month of Interactive Frustration.
The upper graph shows the relative net liquidation value (rel. nlv), and the relative high water mark (rel. hwm). Both started at 100% in October last year. The lower graph shows the drawdown, during the same 7 months. Both nlv and hwm are at 162% today. It shows that a high water mark on March 10th was followed by six weeks of drawdown, and quite a severe one. A spike in nlv on April 1st almost touched the hwm, but did not set a new high water mark. The worst drawdown during April was -14%. The results of the French election changed this doom and gloom: my account jumped up by 9% on Monday morning (24th), compared to the previous Friday evening. And continued to rally during the rest of the week, setting a new hwm each and every day.
Currently I'm holding a position in the following instruments (IB instrument symbols):
futures, long: 3KTB, ESTX50, LE
futures, short: V2TX, ZC
ETF stocks, long: EPI, QQQ, XLK, XLY
My main activity during April was a rather frustrating one. I am having an issue with downloading historical data on some of the ETFs. This started on March 14th and occurs ever since. Before March 14th did this not occur at all. This affects 5 of the 45 ETFs for which I download the historical data every day. The issue is that incomplete data is being sent by IB to me on these 5 ETFs, whereas the entire requested history is available if I look on the chart in TWS. At first I tried to solve it myself, but when I couldn't find it I asked IB for help. This resulted in a message exchange during most of the month April. The end result? Although I have the evidence that IB is sending incomplete data to TWS (it's in the TWS logfiles), they blame it on my java software which runs on my machine. They tried to replicate it once and couldn't do it. Whereas I have this problem happening every.single.day.for.the.last.six.weeks.and.counting. Later during the month I started to notice that their responses were getting weirder and weirder. I gave up on them. This has been my month of Interactive Frustration.
May has ended and here are my results:
See below for an explanation why the graphs show a step function on May 25th.
My account value stands currently at 156% of the total investments, thus a profit of 56% in about 8 months.
The rising trend, which started on April 24th after the first round of the French elections, continued until May 6th and reached several new hwm's along the way. But all good things come to an end and a new period of drawdown started, reaching a worst reading of -13% in May.
My current positions (end of May, IB instrument symbol names):
futures, long: 3KTB, ESTX50, GE, HE, M6E
futures, short: V2TX, ZS
ETF stocks, long: EFA, EWJ, EWU, QQQ, SMH, XLK
This month my account reached a personal milestone. I started trading a few years ago and made funds available to experiment and learn. Over the years I tried a variety of things, such as trading different instruments (stocks, ETFs, options, futures), different markets (Tokyo, Europe, USA) and speeds (from one review per week to a review every minute). I experimented with Elliott waves, and with support/resistance levels. Soon after I started I discovered that I'm not good at discretionary trading, so I started to educate myself in programming and switched to automated trading. All these experiments ate some of my funding away. By the time I started my current system (Oct. '16) I had lost over 40% of the total invested amount. This month has my trading system reached the point where I recouped all those previous losses. I have now returned to the point were I originally started. To celebrate this have I added some more funds to this system on May 25th. This influences the calculation of the relative nlv and hwm, as the baseline (= the total amount of funding) has increased. The absolute values (i.e. USD values) went up, the relative values (i.e. % values) went down. The additional funding also caused a new hwm, so the drawdown graph went back to 0%.
An interesting change happened to my ETF portfolio this month. Since the start in Oct. '16 it used to be dominated by ETFs which are related to USA equities, either in the form of index trackers (e.g. SPY, QQQ) or industry sectors (e.g. XLF, SMH). During this month however more positions outside the USA were incorporated in the portfolio. 60% of the portfolio value is now allocated to EFA, EWJ and EWU, thus outside the USA. It is the first time that only a minority is allocated to USA-related ETFs.
My trading software seems to have become more or less mature: there was no need to modify any of it this month. I only spent time to make some helper programs. For example a tool which helps me during rollover of a futures contract to a next one. It shows me the available contracts and compares these. Previously I would do these steps manually in IB's TWS, but that tedious work is not needed any longer.
See below for an explanation why the graphs show a step function on May 25th.
My account value stands currently at 156% of the total investments, thus a profit of 56% in about 8 months.
The rising trend, which started on April 24th after the first round of the French elections, continued until May 6th and reached several new hwm's along the way. But all good things come to an end and a new period of drawdown started, reaching a worst reading of -13% in May.
My current positions (end of May, IB instrument symbol names):
futures, long: 3KTB, ESTX50, GE, HE, M6E
futures, short: V2TX, ZS
ETF stocks, long: EFA, EWJ, EWU, QQQ, SMH, XLK
This month my account reached a personal milestone. I started trading a few years ago and made funds available to experiment and learn. Over the years I tried a variety of things, such as trading different instruments (stocks, ETFs, options, futures), different markets (Tokyo, Europe, USA) and speeds (from one review per week to a review every minute). I experimented with Elliott waves, and with support/resistance levels. Soon after I started I discovered that I'm not good at discretionary trading, so I started to educate myself in programming and switched to automated trading. All these experiments ate some of my funding away. By the time I started my current system (Oct. '16) I had lost over 40% of the total invested amount. This month has my trading system reached the point where I recouped all those previous losses. I have now returned to the point were I originally started. To celebrate this have I added some more funds to this system on May 25th. This influences the calculation of the relative nlv and hwm, as the baseline (= the total amount of funding) has increased. The absolute values (i.e. USD values) went up, the relative values (i.e. % values) went down. The additional funding also caused a new hwm, so the drawdown graph went back to 0%.
An interesting change happened to my ETF portfolio this month. Since the start in Oct. '16 it used to be dominated by ETFs which are related to USA equities, either in the form of index trackers (e.g. SPY, QQQ) or industry sectors (e.g. XLF, SMH). During this month however more positions outside the USA were incorporated in the portfolio. 60% of the portfolio value is now allocated to EFA, EWJ and EWU, thus outside the USA. It is the first time that only a minority is allocated to USA-related ETFs.
My trading software seems to have become more or less mature: there was no need to modify any of it this month. I only spent time to make some helper programs. For example a tool which helps me during rollover of a futures contract to a next one. It shows me the available contracts and compares these. Previously I would do these steps manually in IB's TWS, but that tedious work is not needed any longer.