Trying To Understand My Bizarre Pattern of Losses Then Gains

J

jabowery

The attached screen capture is of my Alpaca algorithmic paper trading portfolio which experienced a nearly 6% drop on Wednesday, a small recovery on Thursday and then a >5% one day gain (yesterday, Friday). The S&P500 experienced only 0.7% gain (yesterday, Friday). These are all S&P500 symbols.

First off, this isn't the result of a "chance" purchase of some small number of inter-related stocks that just happened to experience huge volatility over those 3 days . The profit/loss in the portfolio doesn't follow that kind of distribution.

This portfolio resulted from an intrA-day trading strategy which ran on Wednesday but did not sell off at the end of trading on Wednesday. Rather, the portfolio remained pretty much the same through end of trading on Friday. The few changes that occurred due to outstanding orders did not impact the portfolio significantly.

So this was a terrible intrA-day trading strategy that, for some bizarre reason, turned into a fantastic intEr-day trading strategy.

Any wild-surmises?

I'll be honest: This is bizarre enough that I smell a rat.
 

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It shows “Today’s P&L” as negative, so could most of your portfolio go up on Thursday when the market went up eod? Friday was also good, while many stocks aren’t doing great, so you may have a good selection of those that did better than average.
 
jabowery said:
The attached screen capture is of my Alpaca algorithmic paper trading portfolio which experienced a nearly 6% drop on Wednesday, a small recovery on Thursday and then a >5% one day gain (yesterday, Friday). The S&P500 experienced only 0.7% gain (yesterday, Friday). These are all S&P500 symbols.

First off, this isn't the result of a "chance" purchase of some small number of inter-related stocks that just happened to experience huge volatility over those 3 days . The profit/loss in the portfolio doesn't follow that kind of distribution.

This portfolio resulted from an intrA-day trading strategy which ran on Wednesday but did not sell off at the end of trading on Wednesday. Rather, the portfolio remained pretty much the same through end of trading on Friday. The few changes that occurred due to outstanding orders did not impact the portfolio significantly.

So this was a terrible intrA-day trading strategy that, for some bizarre reason, turned into a fantastic intEr-day trading strategy.

Any wild-surmises?

I'll be honest: This is bizarre enough that I smell a rat.
More...

Paper trading will "never" replace the real thing. You have to realize "slippage" is real and the prices you get filled at will likely, be worst in real time. Also, volatility on stocks varies and changes from day to day. No way to predict it. Your results could also, be a function of pure luck. Not even enough information to base whether what you are doing makes any sense. Saying it is an intra day trading strategy, means what? Are you scalping, swing trading, etc?
Different trading strategies require different approaches.
 
jabowery said:
The attached screen capture is of my Alpaca algorithmic paper trading portfolio which experienced a nearly 6% drop on Wednesday, a small recovery on Thursday and then a >5% one day gain (yesterday, Friday). The S&P500 experienced only 0.7% gain (yesterday, Friday). These are all S&P500 symbols.

First off, this isn't the result of a "chance" purchase of some small number of inter-related stocks that just happened to experience huge volatility over those 3 days . The profit/loss in the portfolio doesn't follow that kind of distribution.

This portfolio resulted from an intrA-day trading strategy which ran on Wednesday but did not sell off at the end of trading on Wednesday. Rather, the portfolio remained pretty much the same through end of trading on Friday. The few changes that occurred due to outstanding orders did not impact the portfolio significantly.

So this was a terrible intrA-day trading strategy that, for some bizarre reason, turned into a fantastic intEr-day trading strategy.

Any wild-surmises?

I'll be honest: This is bizarre enough that I smell a rat.
More...

it’s been a wild week. Tech names and reopening names swung a lot. I had some names that are 10percent off their highs and now only 3percent off their highs.
 
smallfil said:
... Not even enough information to base whether what you are doing makes any sense. Saying it is an intra day trading strategy, means what? Are you scalping, swing trading, etc?
Different trading strategies require different approaches.
More...

The intraday pattern trading was momentum-based scalping, with end-of-day holding rather than sell-off of the portfolio. There was no interday trading to speak of.
 
guru said:
It shows “Today’s P&L” as negative, so could most of your portfolio go up on Thursday when the market went up eod? Friday was also good, while many stocks aren’t doing great, so you may have a good selection of those that did better than average.
More...

It is understandable that you'd attribute to Thursday the large gains given the mismatch between "Today's P&L" and the total p&l, but that interpretation doesn't fly with the Alpaca paper trading overview page which shows "today's" pnl is >5% and the gains on Thursday were far smaller:
 

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jabowery said:
The intraday pattern trading was momentum-based scalping, with end-of-day holding rather than sell-off of the portfolio. There was no interday trading to speak of.
More...


Your post was not really specific on what you were doing until you told us you were scalping. If you are only interested in pocketing small gains on a daily basis, you can make monies scalping.
 
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