Weekly results of a wanna B algo trader - 2011

E

Engine99

This is a continuation of
http://www.elitetrader.com/vb/showthread.php?s=&threadid=200655&perpage=6&pagenumber=18

First trading week in 2011


Small trading week (up 600 bucks). Blew up my poker account again while I was on the road, so that's it for a while ;). I actually got lucky with my trading today, without today this week would have been red.
Obviously the S&P 500 blew me out of the water again, but at least I didn't lose any money this week. I am backtesting a new strategy that seems very promising, I started trading it small today (S21).
It'll be interesting to see how it works out, it focuses on good exits rather than entries. I'll start automating it next week. After this trip (Texas) I'll go to DC next week, so my systems will be on auto-pilot.
For all the ones (syswiz I hope you find this thread since you're the only one who provided input on my other thread) that are going to follow this, have a good weekend and a strong 2011

Here are the results in detail
S1: 15
S2: 338
S10: 339
S12: -107.50
S11: 55
S21:20
Weekly Performance:
619
S&P 500 Weekly Performance:
2751
Overall Performance since launch:
619
S&P 500 Performance since launch:
2751
Risk Free Checking Account Performance since launch:
54
 
Shitty trading week (down 3k7 while the S&P gained over 4 grand), also down for the year. Market is still going up every day, the biggest closing pullback this year was about 2 (TWO) S&P points, or less than 30 cents on the SPY. I'm not even sure if we've had a 1% market pullback since Thanksgiving. Needless to say my trading sucks in this environment. Going to the mountains this weekend to clear my mind. Still excited about my new strategies though.
Work has fully kicked in, I'm going to the east coast again next week. On my trip this week I saw "social network", next week is "wall street". Decent movies this year so far. I had a small server outage this week, luckily, nothing happened and it lasted less than 1 hr to reboot and get the systems going again. Not sure what actually happened but I'm not too worried either since this is the first one in quite some time. Monday S21 should be fully automated but because I'm in customer meetings all week I'll have a tough time turning it live since I want to look at new strategies to make sure they don't find trades left and right ;). Next week is Options Expiration and more earnings, I hope we'll go a little down at least but I wouldn't bet on it. Anyway, time to leave the market behind for this week, for all the ones reading this, have a good relaxing weekend.

Here are the results in detail
S1: 435
S2: -1595
S10: -3181
S12: 55
S11: 856
S21:240
Weekly Performance:
-3693
S&P 500 Weekly Performance:
4274
Overall Performance since launch:
-3074
S&P 500 Performance since launch:
4274
Risk Free Checking Account Performance since launch:
98
 
Terrible trading week (Down 2k1). Everything was good until Friday. Blew over 3k on Friday and don't know really why. S2 suffers in this low volatility environment and the results show it. S2 also had an execution error where one trade on Friday (120 contracts) got executed with the natural price instead of the mid price, since I didn't mess with that code in a long time I've no idea why/what really happened. S21 is crunching along, I like it, S11 also has decent results since I increased the size, however it's not a relaxing strategy, it makes me very nervous. S79 is fully automated and the results suck.
My IB account has less than 1% margin left, I'm not sure if that's a calculation error or if I've too much size in that account. I hope they include a lot of the naked options that expired worthless yesterday, so hopefully by Monday my margin is back to 25%. If not I'll obviously have to adjust the account ;)
I was home yesterday (trip this week was very short) but I was in a terrible mood yesterday after blowing 3k and seeing the margin warnings. We went to the mountains last night just for Saturday and I woke up to paradise. 1 foot of fresh powder, 18 degrees and no people on the slopes since last week was the long holiday weekend!!!!
I'm looking forward to some R&R and forget about my trading results, this year I've blown 5k so far and I'm not sure I have a good handle why this is happening yet. S2 which shines through earnings season is definitely a big disappointment so far.
I'll be on the road next week going to Silicon Valley, so all systems will be on auto-pilot again. Hoping to get a positive week, my confidence is definitely close to the low point.


Here are the results in detail
S1:35
S2: -5608
S10: -1295
S12: 875
S11: 1463
S21:158
S79:-528
Weekly Performance:
-2112
S&P 500 Weekly Performance:
-1840
Overall Performance since launch:
-5186
S&P 500 Performance since launch:
4274-1840
Risk Free Checking Account Performance since launch:
134
 
waik35.gif



Woke up to some pretty disturbing emails this morning (Margin Violation & Position liquidation). Bottom line is my account is in margin violation (see pic).

Usually I'm very happy with interactive brokers. I logged into my account and what used to be slightly over 5% excess liquidity Friday after the close turned into a 2% (+) liquidity yesterday afternoon and a -2% liquidity on Sunday morning!!!

I have about 60 contracts in my account that have expired worthless on Friday, so I'm still hoping this is a "computer error" and my liquidity will be back to 20% by Monday morning (and the current calculation includes these contracts) since they still show up in my account, however I'm not sure that's going to happen. I'm also not sure I understand why this would change over the weekend when the market is closed and no real news are out or futures are open.

Worst case I may get screwed on one position. My only complex position in this account is in XOM (Jan 12 leaps), everything else is overly liquid and should be executed with very little slippage (famous last words). Anyway, if anyone else has experience with letting a ton of worthless options expire (I'm obviously short those contracts), let me know.
 
Quote from Engine99:

.. the close turned into a 2% (+) liquidity yesterday afternoon and a -2% liquidity on Sunday morning!!!

I have about 60 contracts in my account that have expired worthless on Friday, so I'm still hoping this is a "computer error"........
More...
have you consider your algo may need some major tweaking?
 
I do about 10 times a day ;-)

But then rational logic kicks in and I look at my comparison data from the previous years. Right now I've a draw down of my account of ~ 3 percent. Sometimes (like May last year, remember May 6th) my draw down goes slightly over 10%, so I'm well within my standard boundaries. So I don't think there's anything fundamentally wrong with the trades/algos so far but the trade that got executed at the natural price definitely raises a red flag and is worth while investigating. I'll check it out Monday on the road, thank god for the tick data backtesting capabilities of Thinkorswim. I should see my spread/volatility and check why all of a sudden that changed so significantly.

The margin thing is also somewhat concerning but it's part of my account moves and taking more advantage of the portfolio margin (and the black box calculation model that Interactive Brokers uses). So it could be that I've too many positions open, however I am still in denial and hope that this is due to the expiration on Friday and the computer model isn't reflecting that in the margin calculation. For the last several years traderworkstation (IB's direct access platform) didn't even allow access until Sunday noon cause they needed to do a lot of system maintenance over the weekend, so like I said I'm hoping this is a non issue by tomorrow. I'll definitely know more tomorrow morning, I'll be leaving for the west coast, so I'll check my account before my flight departs. If indeed I'll face liquidation of some positions, it would definitely suck because the first couple minutes are typically not great for option spreads (even on SPYs and other highly liquid options) but I'd manually close out about 30k in stock positions (S79) in the premarket which should add 4500 bucks back into the margin.
 
209t81x.gif


Good news is that my margin is back to normal. Like I said in the previous post, IB used to prevent access from TWS (traderworkstation) until Sunday's @ noon. Seems like there's still maintenance activities that run on Sunday mornings that mess up some of the reporting. I guess it wouldn't have been such a big deal if I hadn't received the email about the margin violation/liquidation, that email was scary.

Anyway, now it's noon mountain time, all my positions are back to normal, my short option contracts are all gone and my margin is back to 40 grand. Lesson learned, should this happen to you and it's expiration Friday or the weekend following (and you're short worthless options that you don't want to buy back) just ignore the message until Sunday evening. If it's still happening then, chances are you need to react ;)

Have a good remaining Sunday.
 
This is a Friday post since I'm stuck @ the airport in San Jose. Good trading week (Up 3k2). Had four up days in a row then on Friday things went south :(. It started when the market was up slightly and I put on a hedge S&P E-mini futures trade, which went south right away. I also fixed a bug yesterday in S21 and sure enough introduced another one which actually cost me 250 bucks today because of a bad filling logic (rounding). Lesson learned on that one for sure.
Had a good routine this week. Got up @ 6.15am (I love West Coast weeks), had my systems started by 6.30 and went for a run afterwards. Worked well except for today, by the time I got back from the workout I was a grand in the hole.
Good news first. I know what the bug is, so that one is fixed and regression tested. Volatility went up nicely, so S2 had a comeback. I almost closed out all my positions today, which is great cause I know the money/P&L is actually true ;) S10 landed in the sweet spot but the raise in volatility hurt the position a little. S11 took a huge hit today, unfortunately that's expected when volatility spikes 20%. S79 is dead, it never had an edge from the beginning, however it did close out the positions with a profit of roughly 100 bucks, so at least I got lucky. Overall I'm still trailing the performance of a savings account for the year and will start the first month in red. I am also still trailing the S&P performance (this year and since June of last year), but it sure was nice to see my account up this week while the S&P 500 took a dive. I'm working on a new equities based strategy right now, I'm still in the honeymoon period where the results look too good to be true. I hope to have more backtesting results by next week. I've had a good time on the west coast, especially winning money at the Bay101 poker tables this week. I'll have a short trip to the East Coast next week but should be home most of the time. For all the ones following my weekly results, have a good weekend !!!

Here are the results in detail:
S1:-730
S2: -3427
S10: 415
S12: 815
S11: 653
S21:361

Weekly Performance:
3273
S&P 500 Weekly Performance:
-1286
Overall Performance since launch:
-1913
S&P 500 Performance since launch:
1148
Risk Free Checking Account Performance since launch:
179
 
Small down week (-306 bucks). Not much excitement other than I was 2k in the hole due to discretionary trading this week (and finally recovered some). I better stick to my strategies cause at least they lose slower than me taking on 40 e-mini S&P futures. My flights got canceled this week due to the weather, next week I'll hit Texas again, so at least there will be little chance to add additional losses due to discretionary trading. Overall I'm excited about some of the new development with my strategies, however I'm not happy with my trading results. Still 2 grand in the hole for this year. This weather is obviously great for skiing, so I'm back up in the mountains and will stay there till Monday (which is when I'll hit the road again).
I saw neke's post, he didn't have a good week either, so hopefully next week will be better. I truly think I am close with another strategy, however there's still a step missing. For all the ones following this journal, have a good weekend. Let's hope next week will at least clean up my losses for this year.


Here are the results in detail
S1:-1230
S2: -2802
S10: 415
S12: 389
S11: 883
S21:163

Weekly Performance:
-306
S&P 500 Weekly Performance:
6787
Overall Performance since launch:
-2219
S&P 500 Performance since launch:
7935
Risk Free Checking Account Performance since launch:
215
 
Good week (Up 2k9). Was ahead of the S&P all week but got my butt kicked again today and lost while the S&P had a huge up day. Finished this week and turned green for the year, so my January losses are gone (for now, I've a bad feeling about next week). I also passed the savings account performance !!! I was in Texas this week and it was quite cold there as well, going to the East Coast next week and staying cold I guess. My systems will again be on auto-pilot next week.

Next week is OpEx, so we should see some options movement starting Tuesday. Overall I'm happy with my trading systems, S21 sucked mostly cause I got stopped out on Ebay after a huge up move. I'm making good progress with my new strategy and I'm in my first couple trades, so we'll see how that works. Since it's experimental it'll still be tracked under S12 until the first dozen trades are completed. S2 is slowly coming back this year S11 on the other hand suck bad so far. Leaving to go skiing here soon, so I hope whoever follows this, did well and have a good weekend.


Here are the results in detail
S1:-1230
S2: 1220
S10: 415
S12: 459
S11: 555
S21:-434

Weekly Performance:
2941
S&P 500 Weekly Performance:
3878
Overall Performance since launch:
722
S&P 500 Performance since launch:
11813
Risk Free Checking Account Performance since launch:
268
 
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