Trading like a chameleon

C

chameleontrader

In this thread I want to keep a journal and present my developing approach to the markets.

My current depot is:

DE0007164600
GB0007188757
DE0007238909
DE0006048911
NO0010096985
AU000000WPL2
FI0009003305

More to come.
 
My current depot is similar to yours.

Perhaps we can have a conjunction of depots?

By the way, I have been very successful with NO0010096985

Perhaps you will take a moment to describe your home planet.

Wish you well in the New Year.

Steve
 
Thx, same to you.

I'm from Frankfurt, Germany and am currently considering whether to apply as a trader or keep going on trading for myself. After finishing university I worked as an IT consultant for a year.

My strategy is a propiertary one, but I want to expand using mechanical approaches aswell using my IT skills.
 
I have spent a lot of time in Bonn (lived in the old town near the University). One of the best places in Germany I think.
 
I got either insanely lucky or I'm really good or both.

2005:
month ROI
may 10.06%
june 9.49%
july 3.21%
august 3.99%
september 11.38%
october -6.77%
november 8.14%
december 6.64%

day start 5/1/2005
day today 12/31/2005
days 244
ROI ann 90.67%
ROI 54.87%
average ROI 6.86%
trades 15
number of winners 11
hitrate 73.33%
payoff ratio 6.1
profit factor 16.7


What I'm working on at the moment is position size. I'm reading Vinces Book "Mathematics of Moneymanagement", but it doesn't really help. If I would use the Kelly Kriterion my position size should be 68%.

I further don't know how to integrate Risk & potential Reward into one model.

My price objectives are:

FI0009003305 50.00%
NO0010096985 75.00%
NO0010096985 75.00%
AU000000WPL2 100.00%
DE0006048911 186.00%
DE0007238909 124.00%
GB0007188757 100.00%
DE0007164600 75.00%

My position sizes are:

FI0009003305 10.29%
NO0010096985 20.58%
AU000000WPL2 12.09%
DE0006048911 17.36%
DE0007238909 11.16%
GB0007188757 14.88%
DE0007164600 13.64%

Risk per position:

FI0009003305 8.07%
NO0010096985 9.05%
AU000000WPL2 17.53%
DE0006048911 17.19%
DE0007238909 12.00%
GB0007188757 6.03%
DE0007164600 4.43%

Overall risk: 10.64%


@Steve:

Do you hold other shares I have in my depot, and what are your thoughts?
 
Actually I use Kelly criterion to size my own positions. Rather than go into a long disertation I will simply say that to use it effectively you have to be able to characterize the trade in one of two ways;

1. Percentage of risk that you are willing to accept in the form of drawdown

2. The nature of your edge expressed as a percentage or "confidence" factor. i.e. you evaluate the odds of success at 80%.

In theory if you had a 100% confidence in your success, you would put on a trade using 100% of your account value.

In practice, most traders using a fractional method and call themselves 50% Kelly Traders, or 75% Kelly Traders....

Do you see what I am saying?

If you would like more information, and a specific contact you may PM me.

Good luck,
Steve
 
New optimised position sizes:

ISIN position size
ISIN position size new
FI0009003305 0.00%
NO0010096985 15.10%
AU000000WPL2 8.86%
DE0006048911 27.00%
DE0007238909 23.00%
GB0007188757 11.00%
DE0007164600 10.00%
Cash 5.00%
Sum 99.96%


New performance aim: 136%
New overall risk: 9.76%

Max risk per Position: 3.3%
 
I used to hold many more. I was managing a small fund. But I am retired as of a couple months ago. My own portfolio is small as I am mostly in commodities and cash.

Frankly I dont understand your optimization process. If you could outline it I might have further comment. Are you using a variation of "efficient frontier" or something else?




Steve
 
Sorry I donot understand this thread at all. What is you all talking about. What is depot and what are all these numbers-what do they represent.

Please kindly explain to me in simple English. Thanks
 
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