Weekly results of a wanna B algo trader - 2011

Good trading week (up 3k). Had ten green days in a row but on Wednesday my run came to an end. Made up for my losses on Thursday and finished the week strong. S2 has four trades going and the earnings season is still young. I'm throttling back my S21 strategy because this low volatility environment increases the position size and therefore the risk.
S81 closed the trade earlier this week with a nice gain, so my systems are still firing on all cylinders. I'll be on the road next week (going to D.C.) so systems will be on auto pilot, however I'm getting a little nervous in this low volatility environment. I'm way too delta positive right now, so I'm hoping that S2 will continue to load up as the earnings season continues.
Last weekend in the ski resort !!!! I'll enjoy three more days in the snow here starting tomorrow. For all the ones following this journal, have a great weekend !!!!


Here are the results in detail
S1:-2677
S2: 14737
S10: 1633
S12: 1206
S11: 5096
S21:8550
S81: 3047
Weekly Performance:
3224
S&P 500 Weekly Performance:
3443
Overall Performance since launch:
26431
S&P 500 Performance since launch:
16464
Risk Free Checking Account Performance since launch:
710
 
Terrible trading week (down 7k). Lost on all fronts. Market kept raising and I lost every day but Monday. Very frustrated, just when I had a really great run :( I was happy that pokerstar finally let me cash out my poker money (after the DOJ/FBI thing) and I bought a nitro remote control truck, it ran for exactly 48 minutes before the wheel broke off. Another downer this week.
Not much to say about my strategies other than every one lost money while the market kept going up again. Sucks big time. I've reduced most of my trading quite significant right now, since there's absolutely no volatility left and I probably should just buy S&P shares. Just when I was ahead of the S&P big time I have twelve grand back and am behind again.
Enough crying though, hope you all have a great weekend !!!


Here are the results in detail
S1:-2677
S2: 12620
S10: 617
S12: 1156
S11: 5278
S21:5278
S81: 2713
Weekly Performance:
-6953
S&P 500 Weekly Performance:
5244
Overall Performance since launch:
19478
S&P 500 Performance since launch:
21708
Risk Free Checking Account Performance since launch:
756
 
Killer trading week (up 10k). Too bad I missed 5 digits by one dollar but this has been my best trading week this year so far. Still enjoying the result right now (with a nice Manhatten). Every strategy killed it, except S81. However S81 left 6 grand on the table when I entered a trade highly over leveraged and then had second thoughts, by the end of the week I should have just traded my system.
On the other hand I'm reading this book right now and I'm happy to reduce my risk rather than focus on profits.www.amazon.com/Fooled-Randomness-Hidden-Chance-Markets/dp/0812975219 Most of my gains came from S2 which shines in volatility increasing markets, glad to have that strategy around. S21, 10 and 11 did ok and performed nicely. I'll take my wife on a trip to Italy (Sardinia) next week and will be in the UK the following week, so my systems will be on auto pilot for two weeks. I'm hoping to have internet access from these locations, but the resort in Italy is 285 Euros per person per night, so it better have a free mini bar and broadband connection ;)
For all the ones following this, I hope you guys did well. I saw neke's thread http://www.elitetrader.com/vb/showthread.php?s=&threadid=213286&perpage=6&pagenumber=33 and he killed it this week as well.
Happy Mothers day and have a good weekend

Here are the results in detail
S1:-2232
S2: 21227
S10: 1609
S12: 1156
S11: 5210
S21: 6416
S81: 2300
Weekly Performance:
9999
S&P 500 Weekly Performance:
-4413
Overall Performance since launch:
29477
S&P 500 Performance since launch:
17295
Risk Free Checking Account Performance since launch:
802
 
Here's a quick update. Had two black out weeks. Internet in Italy was like hitting pocket aces at the poker table. It sometimes showed up but not for very long. Had a great time in Sardinia though.
This week wasn't much better either. Had tons of work in London and could barely start my systems each day, no chance to do good accounting/record keeping. I'll check my major balances once I get back to the US (tomorrow morning), but at a glance it seems like my account moved sideways the last couple of weeks. Next week will be a different story, I'll be back home and enjoying a decent internet/trading setup.

Hope you guys did better, I barely had a chance to follow the markets the last couple of weeks.
 
Good trading week (up 3k). I was at home all week and this was well deserved ;) my systems needed a little bit of tuning this week. Monday and Friday were two red days (-1k per day), the rest of the week worked well though. Overall I'm very happy with my performance so far this year, I'm definitely doing better than I thought I would a couple of month ago. The thing that sucks right now is that earnings season is over and volatility is dropping again, so this may change quickly. I started on a new system development (S85, similar to S81 but less optimized) and it shows spectacular results right now. I haven't found the bug or look forward problem I have in the backtesting strategy, but it definitely shows unrealistic gains. I've converted it to a live trading system today and it entered the first trade. We'll see over the next several weeks where it comes short, overall I'm excited about it though. I've a short trip next week (Going to D.C.) but should be able to continue development for most of the time. S10 and 11 are working well in this type of environment, S2 definitely has some catching up to do.
Overall a good week, finally back in the net and in the saddle ;). For all the ones following this journal, I hope you did well and have a good weekend.

Here are the results in detail
S1:-2232
S2: 16355
S10: 2925
S12: 966
S11: 6124
S21: 12640
S81: 2870
Weekly Performance:
3040
S&P 500 Weekly Performance:
-198
Overall Performance since launch:
33031
S&P 500 Performance since launch:
15930
Risk Free Checking Account Performance since launch:
913
 
Good trading week (up 1k). Saved by the bell is all I can say. Today's P&L had a 3k2 range, I opened up -1k5, my systems came back big time as the market recovered and I was up 1k7 and then I closed about breakeven. I'm glad to see some volatility back in this market, although I didn't fully understand why the VIX went down on Friday with the market. I hope it doesn't shoot back up on Monday, I'm not sure I can handle a strong down move well. Had a short trip to D.C. this week and went live with my newest trading system S85. Since it is a modification of S81 I'll just track it that way for right now. I've high hopes for this system, just like I've had for S21. S21, S2 and S11 seem to be the strongest performers this year, I'm definitely happy with the results so far. I'm a little bit ahead of my plan this year and had a very strong May, my last four weeks are all green. Too bad it can't always be this easy ;) For all the ones following my journal, I hope you did well and the increased volatility helps your trading. Have a good weekend !!


Here are the results in detail
S1:-2232
S2: 16309
S10: 2385
S12: 966
S11: 7695
S21: 13213
S81: 3223
Weekly Performance:
1102
S&P 500 Weekly Performance:
-6115
Overall Performance since launch:
34133
S&P 500 Performance since launch:
9815
Risk Free Checking Account Performance since launch:
950
 
Terrible trading week (Down 5k). Lost the entire week in the last hour on Friday's trading. Today was full of ups and downs, an hour before closing I was down about 800 bucks, at closing I managed to add another loss of 5200 and closed down over 6 grand. The daily results may cause vomiting, especially seeing the account up during the day most of the time, just to see the profits getting crushed in the last hour of trading (Mon:-1627, Tue:721, Wed:-2753, Thur:4597, Fri:-6034) Tough to close this badly on a Friday. The last hour on Friday killed the last three weeks of trading profits. I guess this is a good reminder that this isn't as easy as it seems during good runs. Interestingly I've had an email exchange last night with a fellow trader and told him that I've had a really nice run recently; probably jinxed it right there. Anyway, not much to report on my systems. S1 made some money during discretionary trading Friday, S2 has barely anything open right now (QCOM is the only position), so it didn't benefit from the gains in volatility. S10/11 and 21 lost a salary this week and S81 found a couple of trades that are working for right now. Next week my systems will be on auto-pilot, I'll be hitting the road and going to London. Stability hasn't been a great concern lately, other than Tuesday when Comcast decided to perform some cable maintenance the last 30 minutes of trading (which is when most of my exits/entries happen) my algos have been quite stable. Heading into the weekend after this frustrating trading day, hope you guys did better.

Here are the results in detail
S1:-1457
S2: 15307
S10: 475
S12: 1064
S11: 7020
S21: 8415
S81: 4007
Weekly Performance:
-5096
S&P 500 Weekly Performance:
-5580
Overall Performance since launch:
29037
S&P 500 Performance since launch:
4235
Risk Free Checking Account Performance since launch:
996
 
No post today. Sitting @ the airport in London Heathrow and won't get back home until late tonight. Right now /ES S&P 500 E mini futures are up about 13 points, I think as long as they close above 10 I'll have a good week, if they drop and close below it'll be tough. Have a good expiration Friday!!
 
Great trading week (Up 5k1). Eliminated last weeks losses. This week had the strongest start I've ever experienced. Monday/Tuesday gained over 10k. Then Wednesday I pretty much gave most of that money back. Thursday was a scratch day and Friday locked the week in. I would have expected a stronger bounce in this triple witching week, especially since we're so much oversold and close to the 200 day MA, but the market never does what you want it to do ;) Here's an update on my systems. S2 is back to 0 open trades, Considering the spike in volatility, that obviously sucks cause this systems would have nicely benefited from it. S10/11/21 are very much loaded up right now, which is a little bit concerning considering the situation in Greece. S81 had one major bad trade, which I'll need to manually fix next week, something went wrong there and it only closed one side of the pairs trade, giving me quite some exposure to the remaining piece. I had a good week in the U.K. On Wednesday I met my cousin who works for a hedge fund and we went to an investment banker wine tasking. Was fun, however I'm glad to be back home. Those international trips are very exhausting. I'm still a little bitter that I blew so much money on Wednesday (down > 7 grand that day), however overall I have to say I got lucky that most systems closed many positions on Tuesday's bounce. I'm having a decent year so far, (up > 10%), most Hedge Funds don't match these gains for 2011 yet (one thing I've learned at the wine tasting, the other thing was that those guys make life changing money every single year). Anyway, I hope all of you did well and you've had a good week. I'll be working from home next week and will need to run some updates on my trading server. For all the ones following this journal, have a good weekend !!!

Here are the results in detail
S1:17.5
S2: 15612
S10: 1993
S12: 1641
S11: 8332
S21: 9021
S81: 1971
Weekly Performance:
5102
S&P 500 Weekly Performance:
158.32
Overall Performance since launch:
34139
S&P 500 Performance since launch:
4393
Risk Free Checking Account Performance since launch:
1042
 
Another good trading week (up 6k8). Definitely trading in the zone right now. I get so lucky it's not even funny, my systems close before the market crashes, they open at a decent time. I should increase leverage and ride it as long as it works. All systems firing on all cylinders, except S2 which is flat right now. S81 is gaining more momentum and has 9 positions running right now, so I'm looking forward to those results as the position size increases. This seems like a crazy market to trade right now, so I'm happy with anything that shows green, unfortunately I've a feeling that this won't happen much longer for my trading systems. I'm back in Europe right now and will work from here next week. I hope you guys kicked some S&P 500 butt this week and made some $$$. For all the ones following this, stay safe and have a good weekend.



Here are the results in detail
S1:17.5
S2: 15612
S10: 3735
S12: 1641
S11: 9100
S21: 11174
S81: 2474
Weekly Performance:
6873
S&P 500 Weekly Performance:
-474
Overall Performance since launch:
41012
S&P 500 Performance since launch:
3918.04
Risk Free Checking Account Performance since launch:
1088
 
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