Weekly results of a wanna B algo trader - 2011

Terrible trading week (Down almost 8k). Started out ok on Monday, lost Monday's gains on Tuesday and Wednesday and Thursday/Friday have been disastrous for my trading systems. If I look at my systems versus the S&P 500 this week I underperformed by almost 22k. This has been the biggest gap since I keep track of my trading results. Yes, I'm still up twice as much as the S&P this year but another week like this and I'm actually below the S&P 500 gains. I'm not even sure I know what happened; very frustrating though. I'm sitting at the airport in Fankfurt right now getting ready to get back home to Colorado. I hope next week will be sideways or slightly down, I need to some R&R after this week's results.
Basically all option systems lost (S21, S10, S11) and all spreads are far away from their sweet spot. S81 (Pair Trading) made some gains but that barely made a difference. Our real estate deal is also hanging on a thin string right now, after the short sellers forgot to pay insurance on the home and now the hail damaged roof is causing a lot of discussion. Anyway, I hope most of you guys did better and actually made some money.

Here are the results in detail
S1:17.5
S2: 15612
S10: -1485
S12: 1581
S11: 6892
S21: 7494
S81: 6032
Weekly Performance:
-7794
S&P 500 Weekly Performance:
14070
Overall Performance since launch:
33218
S&P 500 Performance since launch:
17988.04
Risk Free Checking Account Performance since launch:
1134
 
Quote from Engine99:

Another shitty trading week so far. I've uploaded my current results and comparison to the S&P. I've created an online poll, blue is my trading performance, red is if I'd just buy SPY and let it ride. Considering the effort I'm putting into my trading it doesn't seem to pay :(

http://www.elitetrader.com/vb/showthread.php?s=&threadid=223232
More...

Don't get so down on yourself and your systems. Your system looks like a nice steady up-and-to-the-right result. I would kill to have that PnL graph. You had a bad couple of weeks, but every system has drawdowns. The S&P has been flat since May, but yours have been going up steadily.

I think you need to keep your expectations realistic. The S&P has gone up 7+% in the last 2 weeks. It's improbable, but it happens. You need to look at the overall performance though. If you rewind back to 3-4 weeks ago, I'm sure you'd be head-over-heels in love with your system at that time.

You can't shake your confidence just because you hit a rough patch, algorithmic traders need to be made of sterner stuff. It looks like your system is doing great, keep it going!
 
jd, thanks for your support, I truly appreciate it.

It just sucks when you've had a bad week (like last week) and then things don't look any better the following week, but you're right I should be happy with my results this year so far. I'm still on track to achieve my yearly goals.
 
Another down week (Down 1k6) but got somewhat lucky on Friday. Overall my systems have hit a rough spot right now and S21 gave up way more than I thought it would absent a market crash.
I guess it never works perfect even when you think it does. I'm still happy we sold off today, it was a much needed break for my strategies.
My pair trading (S81) is making more and more progress, I'm still experimenting with the automated strategy but I hope that all issues are worked out and now it's mostly a question of whether or not the strategy is profitable :)
Work also sucks big time right now, not happy on that front either. Going to keep this post very short since there really isn't any bright spot in this trading week, I hope we'll drop a little more next week and get some volatility back into this market but I've my doubts it'll actually happen.
My poll http://www.elitetrader.com/vb/showthread.php?s=&threadid=223232 showed some interesting results. Not too many folks would trade my trading system, I'm not sure if that's because it has some volatility in the equity curve or because they've better systems and results on their own.
It could also be an E.T. Special though, who knows what the motivation is to select “neither” ;)
For all the ones following, I hope you've had a much better week and you're ready for a nice sunny weekend !!!!

Here are the results in detail
S1:17.5
S2: 15612
S10: -1485
S12: 1384
S11: 8262
S21: 4272
S81: 5468
Weekly Performance:
-1683
S&P 500 Weekly Performance:
949
Overall Performance since launch:
31536
S&P 500 Performance since launch:
18937.04
Risk Free Checking Account Performance since launch:
1171
 
Quote from Engine99:

Another down week (Down 1k6) but got somewhat lucky on Friday. Overall my systems have hit a rough spot right now and S21 gave up way more than I thought it would absent a market crash.
I guess it never works perfect even when you think it does. I'm still happy we sold off today, it was a much needed break for my strategies.
My pair trading (S81) is making more and more progress, I'm still experimenting with the automated strategy but I hope that all issues are worked out and now it's mostly a question of whether or not the strategy is profitable :)
Work also sucks big time right now, not happy on that front either. Going to keep this post very short since there really isn't any bright spot in this trading week, I hope we'll drop a little more next week and get some volatility back into this market but I've my doubts it'll actually happen.
My poll http://www.elitetrader.com/vb/showthread.php?s=&threadid=223232 showed some interesting results. Not too many folks would trade my trading system, I'm not sure if that's because it has some volatility in the equity curve or because they've better systems and results on their own.
It could also be an E.T. Special though, who knows what the motivation is to select �neither� ;)
For all the ones following, I hope you've had a much better week and you're ready for a nice sunny weekend !!!!

Here are the results in detail
S1:17.5
S2: 15612
S10: -1485
S12: 1384
S11: 8262
S21: 4272
S81: 5468
Weekly Performance:
-1683
S&P 500 Weekly Performance:
949
Overall Performance since launch:
31536
S&P 500 Performance since launch:
18937.04
Risk Free Checking Account Performance since launch:
1171
More...

It looks like your strategy is reverting to the mean. How do you handle position sizing?
 
Correct, all strategies (but S2) are mean reverting.
Position sizing is based on a % of the overall account value.
Some of the delta neutral strategies also include a VIX component.
If VIX > 18 then standard position sizing is done.
If VIX 16-18 half of the position sizing is done
If VIX is 15-16 then 1/4 of the position sizing is used.
If VIX < 15 then they typically don't trade.
 
Not a great week but an awesome Friday (Made 3 grand today and got the week to a green close). Made 1k6 for this week and eliminated last week's losses. Pretty good considering the S&P 500 sucked big time this week. Earnings season is finally here and S2 is finding trades again; it's in google now, I'm hoping by the end of next week there's going to be two or three more trades for this strategy. It has been the best performer this year so far. I'll discontinue S81 as it's now fully automated and the results going forward will be reflected in S22. S22 has about 10 trades open so far and it's a strategy that can absorb some serious money (not that I have any ;) ). S81 still has five trades open and I'll slowly let them run out over the next several weeks.
Work is slowly getting better as well, one big change is that I haven't been on the road in several weeks, so that's quite nice. I'm really excited about S22 (just like I was about S21) and I'm hoping it'll deliver similar results. In my mind I'm already thinking about going back into debt and loading up on that strategy, however it'll need to show some good results first. The 700 bucks profit is almost a daily swing noise in that strategy, so the next several weeks will show the real results. I'll go up to the mountains this weekend. Yesterday I thought I'd go up because this week sucked big time but then today after the turn around (yea I'm still happy about the 3 grand) I'm thinking I'll go up to celebrate this week !!!!
I hope most of you did well. Today was a strange expiration Friday, that's for sure; If you were watching the VIX it was very untypical behavior, I think it made more than a 10% move from high in the morning to low at the end of the day.
For all the ones following, I hope you've had a good week and you're ready for a nice summer weekend!!

Here are the results in detail
S1:-1092.5
S2: 15542
S10: -879
S12: 11039
S11: 8567
S21: 6560
S22: 705
S81: 4213
Weekly Performance:
1687
S&P 500 Weekly Performance:
-5363
Overall Performance since launch:
33223
S&P 500 Performance since launch:
13574.04
Risk Free Checking Account Performance since launch:
1217
 
One more thing before I'm shutting down for this week.
Watch the last minute of this video
http://www.babelgum.com/channels/180638/clips/5003509
(Actually if you've never seen it watch the entire floored documentary, it's pretty good).

That's how I felt this week as well. Two weeks ago S81 opened a short position on COP. Because of a programming bug it also opened the same position the very next day, so I was short twice the amount that I've had in my risk model. I didn't really notice it right away and this Tuesday I looked at the trade. It wasn't profitable but didn't lose much either, so I checked the projected exit date and I knew by this Friday it would hit the time based exit anyway (for the first trade, Monday for the 2nd trade). I could have exited manually but I figured I'll just let "da system run".

Well sure enough yesterday Conoco Philips (COP) came out with some announcement that they'll split off part of their business and the stock opened up almost 10 %. I got somewhat lucky because it sold of a bit after that open but not only did that announcement come out a day before the time based exit hit, it also came on the only position in S81 that had double the risk due to my sloppy coding. Don't get me wrong, bad code deserves to be punished, but it just fits well with that trader's view of the market ;)
 
Let's get the crap out of the way. I blew 5 grand this week. I've got hit by a major gambling urge yesterday and blew 7k5 in a single day (S1 and S81 show the results). Averaging into losers and just being a complete trading rookie. Not sure why this happened, obviously not the first time it did, but then again usually I'm “cured” after a day like this for at least several month. It'll probably also take me a couple of month just to restore the account after that damage. Now the good news. S2 is finding trades again, had some very bad execution but is still making money. And since this earnings season is not over I'm hoping for more progress on that front. S11 and S21 also made nice moves and generated decent money. S81 is a disaster, I'm still highly over leveraged in some positions hoping for a turn around. I'm hoping to get out of some positions with less damage next week and will shut this strategy down. S22 is the wildcard right now and the fully automated S81 successor. I haven't had as many high hopes on a strategy since I've introduced S21 (hence the number 22), so this strategy produces big time based on the money allocated for it. The risk with this strategy is that it doesn't have a stop loss, so I'll need at least a year's worth of data to get an idea if/how vulnerable it is. So far it has 20 trades (16 are still open) and is net positive overall. The other part of S22 is the backtesting fun. I've bought another backtesting computer (it was either that or rent some space on Amazon again) and I'm still crunching numbers and running simulations. This new machine has brought my backtesting horsepower to 52 Gigs of memory and 22 CPU cores (split over 7 servers/desktops/laptops) Anyway, I obviously know what went wrong this week, could have been a nice up week but then again there's a reason why I don't trade discretionary, I just can't handle it well (I guess there's also a reason why I trade but my blog name is http://theclosetgambler.com ).
For all the ones reading this, I hope you guys did better and have a decent week. Have a good warm summer weekend !!!!
Here are the results in detail:
S1:-4775
S2: 16002
S10: -874
S12: 672
S11: 9294
S21: 6925
S22: 1295
S81: 2065
Weekly Performance:
-5027
S&P 500 Weekly Performance:
5719
Overall Performance since launch:
28196
S&P 500 Performance since launch:
19293.35
Risk Free Checking Account Performance since launch:
1263
 
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