Weekly results of a wanna B algo trader

Not sure what changed @ Interactive Brokers, but I can check my IB account balance before noon Eastern time on Sundays, quite the surprise.
Here's a recap:
Decent trading week (up 2100 bucks). I got lucky on Friday. I completely forgot about the SPY dividend. Usually triple witching has an upside bias, so that saved me (or the lack of a down day). Also the declining volatility helps my S10 performance quite a bit.
I was on the road (East Coast) all week, so my systems performed nicely with very little manual intervention. Next week I'll be working from home, so I may get some discretionary trades in at the end of the week, we'll see. Again I'm slowly recouping my confidence, it's good to have a winning week. Overall you see the performance, I am still behind the S&P 500 performance, so nothing to brag about. I'm looking forward to a weekend @ home, for all the ones reading this blog, enjoy your weekend and for all the dads, enjoy fathers day ;-).



Here are the results in detail
S1: 182.5
S2: 0
S10: 2328
S12: -172

Weekly Performance:
2168
S&P 500 Weekly Performance:
2673
Overall Performance since launch:
2163
S&P 500 Performance since launch:
3031
Risk Free Checking Account Performance since launch:
65
 
Had a bad day today, down almost 1k.
Ironically the S&P 500 performance was even worse, so I took the lead for a short period of time ;-)

Here is the running total since June 1st.
Overall Performance since launch:
+1111
S&P 500 Performance since launch:
+234
Risk Free Checking Account performance since launch:
+76
 
Terrible performance today. WTF. I've had to put another 15k into my IB account today since I exceeded my portfolio margin limit and dropped below 100k.
Not sure what's going on right now but my trading systems definitely suck.
Here's the running total since June 1st
Overall Performance since launch:
-1543
S&P 500 Performance since launch:
-2550
Risk Free Checking Account performance since launch:
+87


I hope tomorrow is a better day
 
Terrible trading week with an OK Friday (down almost 1400 for this week). My systems lost money three out of five days. I did some discretionary trading (S1) but the problem is that while I'm ok trading S&P futures, commissions and slippage usually take 30% of my profits. I'm just not born and patient enough for day trading. The good news with S12 is that one pig in that pool (BP) pretty much maxed out it's max loss and is currently @ -470 out of -500 max possible loss. So going forward that won't hurt me too much. I manually interfered with S10 yesterday and because of that I left 100 bucks today on the table. I'm not complaining though, that system got hit terrible during yesterday's sell off. 790 bucks in the first month trading is about 25% what I was hoping for. Only good news here is that I'm ahead of the S&P 500 performance but like I said, if it wasn't for Friday's little up move, I'd be negative (see yesterday's post). Next week I'll be going to the East coast again and will get back Thursday, so my systems will be on auto-pilot for the most part. For everyone reading this, have a good weekend and enjoy the weather !!!


Here are the results in detail
S1: 397
S2: 0
S10: 727
S12: -270

Weekly Performance:
-1365
S&P 500 Weekly Performance:
-4998
Overall Performance since launch:
798
S&P 500 Performance since launch:
-1967
Risk Free Checking Account Performance since launch:
93
 
Week going from terrible to f...ing worse. Sitting @ the airport right now in Texas after a long trip, watching the futures down again. Will hit several stops today and will close this week with another loss. NOT FUN.
 
Did you do any backtest before trading?
And why your results are so correlated to the S&P? Is it long only trend following?
What program do you use to auto trade with IB?
 
>>Did you do any backtest before trading?

Nah, I figured I'm going to wing it ;)
(joking)
Since I travel so much I religiously backtest, I've a large quotes database on my laptop and run various tests. More importantly I also segment the "unused data" and do a lot of forward testing.

>>And why your results are so correlated to the S&P? Is it long only trend following?
It depends on the strategy.
S1 is my manual discretionary trading. Very short term usually only trading S&P futures, usually with less than 30 minutes holding time.
S2 didn't have any trades yet but it benefits from an increase in volatility.
S10 is the opposite, it's basically a self adjusting iron condor. The problem is that's the only strategy that is at full volume right now and the increase in volatility and the strong downturn hurt that strategy, that's why it's very correlated to the S&P performance.
S12 are swing trades (trend following and support/resistance), usually ~2 month hold time. These positions are too small to make a dent right now but if they were larger, they would mostly be negative as well since many are long (emc and BP for example).


>>What program do you use to auto trade with IB?
I use the IB API (I use the java API) and write basically take the backtested code and move it into the actual execution side, so I don't mess up the code.
 
One more follow up to this mornings post.

Today is a good example where my algos were not market correlated. S 10 was breakeven.
Overall I made 400 bucks today while the S&P performance would have lost 596 bucks today.
The reason is that volatility dropped some which gave my iron condor some relief (S10 - see previous post). It still had delta losses since it moved out of the "sweet spot" area, however the drop in volatility made up for it.
 
This post is dedicated to Messi's superior soccer skills and the impact of psychology.
Argentina, I love the way you guys play soccer !!!!

First of all it was a terrible trading week. I'll post my results later this weekend but it was down ~ 4k, all on two days, Tuesday and Wednesday. I saw so many parallels to the Argentina/Germany game it wasn't even funny.

When I turned the TV on today, Soccer was on and it was 10 minutes before the end of the first half. Both teams played well and I was excited to watch the second half.

After the half time break Argentina played really well. Many chances, many shots but no goal. The score was still 1:0 for Germany due to an early German goal. One thing you could tell very easily was that Germany's defense was great. Defense is what Argentina struggled with even before the knock out rounds. However Argentina's techniques and their control was awesome to watch. Germany barely made it out of their own half for the first 10 minutes in the second 45 mins. But then they finally got a chance. AND SCORED. You could tell the hammer impact that this had on Argentina's psychology. 10 minutes later Germany scored again and the game was over. The final goal was just cosmetics.

I felt the same way about my trading. My algos trades well considering the market up to Monday. They made "cute" adjustments and I felt well positioned Monday evening. Just like Argentina at the beginning of the second half I just waited for the chance to score big. But that chance didn't happen. I got hammered on Tuesday. Then a little bit more on Wednesday. And rather than worrying when the big green day will happen I should have wondered when the counter attack of the Germans or the next big red day will happen. Defense wins the game, not great offense. I've seen this movie over and over again, look at Neke, this guy was trading well offensively but this year he's getting killed on all fronts and lost a serious portion of his capital.
http://www.elitetrader.com/vb/showthread.php?threadid=187779
Look at Lakers vs. Celtics, the final game was all about defense.
And look at the Germans, who played really well today and killed the Argentinian team within 10 key minutes. I would like to say, look at engine's trading journal, he's playing it defensively, but in reality, I'm good @ offense and have much to learn about defense. When it comes to your own trading, make sure you focus on the right thing, I'll make sure I'll incorporate it in my own learning and journey as a trader. Now while the 4k loss this week doesn't force my to file for bankruptcy, it's the psychological impact that's much harder to overcome. I struggled big time to trade at all after the flash crash took almost 6 month of profits out of my systems.
http://www.vimeo.com/11570780
I finally felt I had gained some confidence but this week just destroyed much of that again.
Anyway, I won't worry too much about it this weekend, it's fourth of July and there are many things to look forward to. I am convinced I'll finish this year green, however I hate starting out with a losing month and more importantly a major dent in my confidence.
Enjoy your weekend folks, like I said, detailed results will come later this weekend.
 
Quote from Engine99:

This post is dedicated to Messi's superior soccer skills and the impact of psychology.
Argentina, I love the way you guys play soccer !!!!
More...

Germany defended and attacked like a team. Argentina was about the individuals, holding the ball too long, bad passing, bad defensive organization.

OK how do I make money from this?
 
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