Weekly results of a wanna B algo trader - 2011
- Thread starter Engine99
- Start date
I would calculate the % based on the previous day's capital. The reason is that you want to know on any particular day, if you were to take the trade with X amount of money, what would the PnL% be, and then what would the PnL% be if you had instead put that same amount into the S&P's.
This should give you a chart of percentages for every day, one for your system and one for the S&P's, and then you can correlate one column to the other using Excel, and that should give you a clear view of what the correlation was.
Sucky trading week (down 2k1). Good news first. Monday and Tuesday were bad but by far not as bad as the S&P 500 performance. Wednesday I was at breakeven and the spike in volatility let my S2 trades gain quite a bit while everything else lost (especially the DOW and the S&P). Thursday I was up a grand but the S&P outperformed me quite a bit and Friday (Options Expiration) was a scratch day for my trades. Very interesting week to watch my screens, Vegas in the basement. Speaking of Vegas, I'm leaving for Vegas tomorrow and will be on the road all next week. Vegas, San Francisco and Seattle, so it'll be a busy week and my algos will be on auto pilot.
Usually I'm not worried about that but we've had a cable issue @ our house and some of the cables and outlets are new, so Iâm just hoping this doesn't go out while my little server tries to make sense of the streaming stock quotes
I did increase my size on S21 just before the market tanked, so that hurt that strategy quite a bit. Everything else worked as expected. The only strategy that's still somewhat in a pilot mode is the pairs trading S81 piece. It still makes me nervous since it's hard to backtest and has zero correlation to the S&P, so when it does well or sucks you never know if that's ânormalâ or if there's a code bug. S2 did well initially but then sucked cause the VIX dropped big time Thursday Friday.
The opposite is true for the other strategies (10,11 and 21). They did well Thursday/Friday while they sucked big time at the beginning of the week. As I mentioned before I'll post a correlation comparison (this time % based) some time over the weekend.
For all the ones following this thread, have a good weekend and wish me luck at the tables in Vegas !!!
Here are the results in detail
S1:-2697
S2: 8474
S10: 900
S12: 1126
S11: 3128
S21:-340
S81: 1278
Weekly Performance:
-2127
S&P 500 Weekly Performance:
-5983
Overall Performance since launch:
11869
S&P 500 Performance since launch:
1226
Risk Free Checking Account Performance since launch:
489
Usually I'm not worried about that but we've had a cable issue @ our house and some of the cables and outlets are new, so Iâm just hoping this doesn't go out while my little server tries to make sense of the streaming stock quotes
I did increase my size on S21 just before the market tanked, so that hurt that strategy quite a bit. Everything else worked as expected. The only strategy that's still somewhat in a pilot mode is the pairs trading S81 piece. It still makes me nervous since it's hard to backtest and has zero correlation to the S&P, so when it does well or sucks you never know if that's ânormalâ or if there's a code bug. S2 did well initially but then sucked cause the VIX dropped big time Thursday Friday.
The opposite is true for the other strategies (10,11 and 21). They did well Thursday/Friday while they sucked big time at the beginning of the week. As I mentioned before I'll post a correlation comparison (this time % based) some time over the weekend.
For all the ones following this thread, have a good weekend and wish me luck at the tables in Vegas
!!!Here are the results in detail
S1:-2697
S2: 8474
S10: 900
S12: 1126
S11: 3128
S21:-340
S81: 1278
Weekly Performance:
-2127
S&P 500 Weekly Performance:
-5983
Overall Performance since launch:
11869
S&P 500 Performance since launch:
1226
Risk Free Checking Account Performance since launch:
489
Just checked some weekend quotes and realized the SPY paid the dividend yesterday. So my SPY accounting was off, here are the correct numbers
Weekly Performance:
-2127
S&P 500 Weekly Performance:
-4874
Overall Performance since launch:
11869
S&P 500 Performance since launch:
2335
Risk Free Checking Account Performance since launch:
489
Weekly Performance:
-2127
S&P 500 Weekly Performance:
-4874
Overall Performance since launch:
11869
S&P 500 Performance since launch:
2335
Risk Free Checking Account Performance since launch:
489
Up trading week (1k) but terrible three days. By Tuesday I was up by over 4 grand already and gave almost everything back. The S&P 500 ripped like there's no tomorrow, so I'm basically back to the S&P performance since I started this comparison.
Had a great time in Vegas but while I made money I can honestly say gambling for a living isn't for me. Too many hours and too much smoking. Gambling @ the stock market is much more fun (I guess that's why I always liked online poker). Seattle was fun as well, lots of great seafood this last week but I'm ready for some R&R @ home.
Here's a strategy recap. S10 got killed this week which sucks cause I had high hopes this month. S21 returned to profitability, so I'm still happy with that strategy.
S81 didn't find any trades this week but the results look better than the strategy I think. I got lucky on several of these trades when I closed them early last week. S11 did well last week, this week is hurting a little.
S2 also sucked this week after volatility came out of the market and even a huge move in PCLN didn't really generate any profits.
I'll start moving some of my capital allocation from S10 into S21, I hope this will reduce some of the risk.
I will be off next week, enjoying my kid's spring break in the mountains and will run my systems on auto-pilot. For all the ones following my journal, I hope you did better and were closer to the S&P 500 performance!! Have a great weekend !!
Here are the results in detail
S1:-2677
S2: 6593
S10: 415
S12: 1096
S11: 3626
S21:668
S81: 2103
Weekly Performance:
1051
S&P 500 Weekly Performance:
8113
Overall Performance since launch:
12920
S&P 500 Performance since launch:
10448
Risk Free Checking Account Performance since launch:
535
Had a great time in Vegas but while I made money I can honestly say gambling for a living isn't for me. Too many hours and too much smoking. Gambling @ the stock market is much more fun (I guess that's why I always liked online poker). Seattle was fun as well, lots of great seafood this last week but I'm ready for some R&R @ home.
Here's a strategy recap. S10 got killed this week which sucks cause I had high hopes this month. S21 returned to profitability, so I'm still happy with that strategy.
S81 didn't find any trades this week but the results look better than the strategy I think. I got lucky on several of these trades when I closed them early last week. S11 did well last week, this week is hurting a little.
S2 also sucked this week after volatility came out of the market and even a huge move in PCLN didn't really generate any profits.
I'll start moving some of my capital allocation from S10 into S21, I hope this will reduce some of the risk.
I will be off next week, enjoying my kid's spring break in the mountains and will run my systems on auto-pilot. For all the ones following my journal, I hope you did better and were closer to the S&P 500 performance!! Have a great weekend !!
Here are the results in detail
S1:-2677
S2: 6593
S10: 415
S12: 1096
S11: 3626
S21:668
S81: 2103
Weekly Performance:
1051
S&P 500 Weekly Performance:
8113
Overall Performance since launch:
12920
S&P 500 Performance since launch:
10448
Risk Free Checking Account Performance since launch:
535
Did you ever calculate your correlation coefficient for your trades? 
I've been thinking about doing an analysis where if I have a bigger than average gain for the week, have a cutoff level where I stop trading for the week. Too often I've been up and then have my gains wiped out. Today for instance
I lost almost half my gains for the week on a single ill-fated trade.
I'm wondering if applying these sort of meta-trading rules that it might help out the overall profitability. Have you ever considered something along these lines?
I've been thinking about doing an analysis where if I have a bigger than average gain for the week, have a cutoff level where I stop trading for the week. Too often I've been up and then have my gains wiped out. Today for instance
I lost almost half my gains for the week on a single ill-fated trade.I'm wondering if applying these sort of meta-trading rules that it might help out the overall profitability. Have you ever considered something along these lines?
Jed,
Seems like most people who trade mechanically successfully, trade as much as their strategy can bear, or their risk tolerance can bear. If you have winning strat you should always trade. The casino never stops for the night just because they are up, they only limit the size of the bets to insure they can out live the down draws. If you are considering stoping when you are up by a lot, that can either mean you are trading too large size or your strategy does not have a strong enough statistical edge for you to be confident to keep trading through it.
fwiw, I always paper trade new strats until I find a small edge. Sometimes it never even makes it live...There is no shame in paper trading until your are certain your live trading will make money, that way you wont have hesitation.
Seems like most people who trade mechanically successfully, trade as much as their strategy can bear, or their risk tolerance can bear. If you have winning strat you should always trade. The casino never stops for the night just because they are up, they only limit the size of the bets to insure they can out live the down draws. If you are considering stoping when you are up by a lot, that can either mean you are trading too large size or your strategy does not have a strong enough statistical edge for you to be confident to keep trading through it.
fwiw, I always paper trade new strats until I find a small edge. Sometimes it never even makes it live...There is no shame in paper trading until your are certain your live trading will make money, that way you wont have hesitation.
I'm somewhere in the middle. I can't easily enter/exit my positions since they're mostly option spreads. I usually have to give up a little on the entry/exit, so I trade about 4-5 trades a day (enter or exit) but most of them run between a week and a couple of month.
I also try to find a balance between S2 and S10/11/21 to be somewhat hedged. My systems take every single S2 trade, however there are not that many, especially at a decent fill. S10/11/21s can be found daily but I can't take them all because they all have the same systematic risk. A major move up or down is going to kill most of them (e.g. FlashCrash on May 6th). So I try to make sure that this balance is in place every other day and adjust the position limits.
Hope that makes sense, I'm definitely open to other ideas cause I'd like to put more capital to work but at the same time I'd rather not increase my risk too much.
I also try to find a balance between S2 and S10/11/21 to be somewhat hedged. My systems take every single S2 trade, however there are not that many, especially at a decent fill. S10/11/21s can be found daily but I can't take them all because they all have the same systematic risk. A major move up or down is going to kill most of them (e.g. FlashCrash on May 6th). So I try to make sure that this balance is in place every other day and adjust the position limits.
Hope that makes sense, I'm definitely open to other ideas cause I'd like to put more capital to work but at the same time I'd rather not increase my risk too much.