Weekly results of a wanna B algo trader

Lucky trading week (up 1k1). I kicked the S&P 500's ass this week ;) I'm up and leading the pack while the S&P had quite a bad week. Now overall I'm happy to have finished green but I didn't do so well with my discretionary trading (S1). I put a hedge trade on before the Fed meeting and initially I was a happy camper. After hours though the S&P e mini futures moved strongly against me and all of a sudden I didn't look that smart. Bottom line is I was on the road this week (Texas), had some time on Wednesday and basically went on tilt and traded 114 S&P e-mini round trips for a profit of 12.5 (and commissions of almost 300 bucks). Yes a lower commission broker would have helped but I can just say I'm lucky I didn't get hurt during that rampage. I also played some mid stakes on-line poker this week and had a similar experience, so I guess a lottery ticket may have worked best for me. Bottom line is S1 is where it started two month ago, good news is that my hedge still somewhat worked (S1 suffered but S10 gained). The automated results on the other hand did well. S2 benefited from volatility, so that's slightly up. S10 was hurt because of volatility but it collects decent time decay. S12 sucked but it just has two positions open (SBUX and VZ), so the loss is minimal.
S70 also dropped which is unfortunate. S70 is the new kid in town and my most recent strategy, so I was hoping for slightly better results than what I'm seeing so far. It has six positions open and the only one working well is BGZ.
Overall I can say I was saved by the bell (and time decay), I'm hoping next week nothing crazy will happen until I roll some of my option trades. For all the folks following this journal, enjoy your weekend.

Here are the results in detail
S1: -2
S2: 3011
S10: 4659
S12: -206
S70: -71
Weekly Performance:
1176
S&P 500 Weekly Performance:
-5283
Overall Performance since launch:
7755
S&P 500 Performance since launch:
-1397
Risk Free Checking Account Performance since launch:
286
 
One question I always ask myself is my performance (trading that is ;-) ) and correlation to the S&P 500. You see my performance on a weekly basis and it's comparison (this week I was doing goooood in comparison ;-) ) but the other question is "How correlated is my trading to the S&P 500"?

If you look at the attached picture (daily comparison of the S&P and my results), it is quite correlated. While each/every strategy doesn't seem to be correlated individually (you have to trust me on that, there's nothing in the graph that would allow you to conclude this), the combination of the strategies definitely is.The yellow line is the risk free checking account performance. The red line is the S&P 500 performance. The blue line is my trading performance. I barely beat the S&P (except this week which has been bad for the S&P) due to the fact that I have more than half of my capital sitting idle.

Unused capital is a systemic problem I'm trying to solve right now (any suggestions welcome). If I increase my existing position size, I don't feel comfortable with the trades and the associated risk. I can't increase the number of positions, mainly because my systems have specific entry/exit parameters and they don't find/execute trades every day. I could put some money into bonds to have it slightly better allocated but that's a whole different animal that I don't understand. So one of the alternatives that I see is increasing the number of systems traded (and therefore potentially the correlation to the S&P). Other ideas are welcome.
 

Attachments

Quote from Engine99:


Unused capital is a systemic problem I'm trying to solve right now (any suggestions welcome). If I increase my existing position size, I don't feel comfortable with the trades and the associated risk. I can't increase the number of positions, mainly because my systems have specific entry/exit parameters and they don't find/execute trades every day. I could put some money into bonds to have it slightly better allocated but that's a whole different animal that I don't understand. So one of the alternatives that I see is increasing the number of systems traded (and therefore potentially the correlation to the S&P). Other ideas are welcome.
More...
1) Diversify into Forex futures....Euro/USD, GPB/USD, all good trading environments.
2) Diversify into index or equity options to lengthen your time-in-trade.
 
Quote from syswizard:

1) Diversify into Forex futures....Euro/USD, GPB/USD, all good trading environments.
2) Diversify into index or equity options to lengthen your time-in-trade.
More...

Thx syswiz, I appreciate your input.

My biggest problem is that all my trading is already options based (all automated trading) :(

My discretionary trading (S1) is all S&P 500 e-mini based (and very short term, typically less than 30 minutes), I'm trying to keep this at the level where it is since I've a day job (where I travel a lot) and don't have the bandwidth to watch more markets or watch the /ES with more consistency.
 
Quote from Engine99:

Thx syswiz, I appreciate your input.

My biggest problem is that all my trading is already options based (all automated trading) :(

My discretionary trading (S1) is all S&P 500 e-mini based (and very short term, typically less than 30 minutes), I'm trying to keep this at the level where it is since I've a day job (where I travel a lot) and don't have the bandwidth to watch more markets or watch the /ES with more consistency.
More...
This is not making sense. You indicate your ALL TRADING is options and then you mention the emini futures contract ?
On top of that, your average time-in-trade is only 30 minutes for options ? really ?
HARD TO BELIEVE.
Many, many hedge fund managers would really raise their eyebrows when told of a systematic options day trading approach.
 
I think his automated trading is on options and for a longer timeframe, but his discretionary trading is on the e-mini with a hold time of < 30 mins.
 
Quote from tyro_t:

I think his automated trading is on options and for a longer timeframe, but his discretionary trading is on the e-mini with a hold time of < 30 mins.
More...
Ok then. I'm not out to discredit him, but I think divulging some more details would make his tremendously successful approach much more believable.
 
Quote from syswizard:

Ok then. I'm not out to discredit him, but I think divulging some more details would make his tremendously successful approach much more believable.
More...

tremendously successful any my results don't mix. Like I said, I often have a hard time to beat the S&P 500 performance (except for this week).

If you look at the running total, only two strategies are green right now (since June)
Here's some explanation on the strategies
S1: -2
Discretionary Futures Strategy, /ES based, hold time ~ 30 minutes. I also use this to hedge S10 manually.

S2: 3011
Equity Options Strategy, average hold time 2 month. Benefits from Volatility increases as well as delta moves

S10: 4659
Index Options Delta Neutral Strategy (think iron condor). Benefits from volatility decreases as well as theta decay

S12: -206
Equity Options Strategy, average hold time 1-3 month, benefits from theta decay (barely) and delta moves. Think broken wing butterflies.

S70: -71
Equity Options Strategy, hold time 1 month. Based on a single technical indicator, it's a coin flip that benefits from theta and delta changes.

Hope that helps
 
Got it.
For diversification, why not add :
1) an automated Forex futures strategy
2) an interest-rate related strategy using TLT etf for example or TBond futures.
3) a commodity strategy using USO etf or crude (CL) futures or natty gas (NG) futures
 
Results will be delayed this week. Leaving for a short family trip and leaving the laptop @ home. If the SPYs close down more than 70 cents I'll finish this week red, right now I'm still slightly green. Yesterday my systems went wild and the day was a disaster. I'm looking to get away from poker tables, stock quotes and anything else that would stimulate compulsive behavior.
Have a good weekend, I hope to post my results by Sunday night.
 
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