Thank goodness. I met one "hedge fund manager wanna be" and he had this system for playing OPENING GAPS. Wow, there was no software that could handle this...he had to get everything custom-programmed. In the end, it was a failure because he forgot to QUALIFY his list to LIQUID stocks. He'd get into huge positions and then found himself unable to get out at his strategies exit points. That was his big mistake.
Weekly results of a wanna B algo trader
- Thread starter Engine99
- Start date
Ah reality. My arch nemesis.
Tough trading week (up 900 bucks). First the good news, I liked my work trip this week, I haven't been to the northwest in quite some time. Next week I'll travel to the East Coast, which sucks cause I hate switching more than one time zone in between trips.
Now to my trading results. I did some trading @ home on Friday, so S1 showed a small gain. S2 was ok but dropped big time on Friday after all this volatility got sucked out of the market. Considering that these position will likely be open for another month, that's not a good sign. S11 doesn't work out at all. I'm trying to switch it slightly around. I love the weekly options since they give you more opportunity, but I just can't produce winning results (yet). S10 had a decent week, it moved from the low end of the range to the high end. As long as the S&P doesn't go much higher it's doing well. The drop in volatility also helped that strategy. S12 is moving close to break even. I'll increase position size on this strategy after more volume is back in the market. S70 finally showed some decent results and reduced the losses. I'm also changing my trade frequency on this strategy until it's more aligned to the backtest results. Overall not a bad week (and a pretty good month) but I was up two grand until Friday, so that's why I'm a little disappointed.
Now on the comparison side, I didn't even make a grand while the S&P 500 kicked my butt and ripped up six grand, so I had to watch from the sidelines. I'm ready to head into the long weekend without spending a lot of time thinking about the market. For all the traders that follow this journal, enjoy your weekend and relax, I hope a busy profitable autumns is just around the corner.
Here are the results in detail
S1: -149
S2: 3386
S10: 10221
S12: -4
S70: -182
S11: -281
Weekly Performance:
934
S&P 500 Weekly Performance:
6150
Overall Performance since launch:
11021
S&P 500 Performance since launch:
1865
Risk Free Checking Account Performance since launch:
368
Now to my trading results. I did some trading @ home on Friday, so S1 showed a small gain. S2 was ok but dropped big time on Friday after all this volatility got sucked out of the market. Considering that these position will likely be open for another month, that's not a good sign. S11 doesn't work out at all. I'm trying to switch it slightly around. I love the weekly options since they give you more opportunity, but I just can't produce winning results (yet). S10 had a decent week, it moved from the low end of the range to the high end. As long as the S&P doesn't go much higher it's doing well. The drop in volatility also helped that strategy. S12 is moving close to break even. I'll increase position size on this strategy after more volume is back in the market. S70 finally showed some decent results and reduced the losses. I'm also changing my trade frequency on this strategy until it's more aligned to the backtest results. Overall not a bad week (and a pretty good month) but I was up two grand until Friday, so that's why I'm a little disappointed.
Now on the comparison side, I didn't even make a grand while the S&P 500 kicked my butt and ripped up six grand, so I had to watch from the sidelines. I'm ready to head into the long weekend without spending a lot of time thinking about the market. For all the traders that follow this journal, enjoy your weekend and relax, I hope a busy profitable autumns is just around the corner.
Here are the results in detail
S1: -149
S2: 3386
S10: 10221
S12: -4
S70: -182
S11: -281
Weekly Performance:
934
S&P 500 Weekly Performance:
6150
Overall Performance since launch:
11021
S&P 500 Performance since launch:
1865
Risk Free Checking Account Performance since launch:
368
syswiz, thanks for the input.
The situation happens whenever the S&P makes strong moves (in either direction). If it moves strongly up, I miss out on the strong potential gains and just catch small gains. But the same it true when it moves down (unless it moves down strongly) like some of the previous weeks, I catch small gains. So overall I have less swings which helps my trading. Last year though when the S&P had the monster run from April on, I could not match the S&P performance, but then again most people probably didn't match that return.
As far as evaluating goes, I typically evaluate my systems once a month based on statistics. If they fit into the last three years (max drawdown ....) I keep on trading them. S70 slowly aligns with these statistics but the first month trading it didn't match the results at all. That's why I cut back the frequency to figure out if this was an outlier or if this has more significance.
thx for your input
The situation happens whenever the S&P makes strong moves (in either direction). If it moves strongly up, I miss out on the strong potential gains and just catch small gains. But the same it true when it moves down (unless it moves down strongly) like some of the previous weeks, I catch small gains. So overall I have less swings which helps my trading. Last year though when the S&P had the monster run from April on, I could not match the S&P performance, but then again most people probably didn't match that return.
As far as evaluating goes, I typically evaluate my systems once a month based on statistics. If they fit into the last three years (max drawdown ....) I keep on trading them. S70 slowly aligns with these statistics but the first month trading it didn't match the results at all. That's why I cut back the frequency to figure out if this was an outlier or if this has more significance.
thx for your input
Almost a scratch week (up 431). Very little movement in my trading account this week. Tuesday was a good day (about the only good day this week). Other than that I was hurting more and more as the market inched higher. Here are the daily results (Tue:+2237,Wed:-641,Thur:-810,Fri:-355)
My systems rolled all S2 trades (calendars) which was somewhat of a surprise, unfortunately that decision hurt S2 a little bit. S10 barely moved and I'm coming into next week ultra short, so I hope that we'll see the market move down a day or two at the beginning of the week to relieve some pain ;-)
The S&P 500 outperformed my results again this week but so far still within the normal boundaries. I hope that some action is coming back into this market soon, this low volume grind is making it hard for the systems to find opportunities. Next week may still suck as it's options expiration week.
I think my adjustment worked for S11, I'm slowly getting better results. S12 also finally turned positive this week. Best news all week is that I won't hit the road next week and will be able to work from home. By the way my gambling (poker) results have been awesome this week, I played 36 heads up tourneys on Pokerstars and had a 75% win rate.
For everyone who follows this journal, have a good weekend.
Here are the results in detail
S1: -151
S2: 3115
S10: 10848
S12: 3
S70: -263
S11: -149
Weekly Performance:
431
S&P 500 Weekly Performance:
1689
Overall Performance since launch:
11452
S&P 500 Performance since launch:
3554
Risk Free Checking Account Performance since launch:
395
My systems rolled all S2 trades (calendars) which was somewhat of a surprise, unfortunately that decision hurt S2 a little bit. S10 barely moved and I'm coming into next week ultra short, so I hope that we'll see the market move down a day or two at the beginning of the week to relieve some pain ;-)
The S&P 500 outperformed my results again this week but so far still within the normal boundaries. I hope that some action is coming back into this market soon, this low volume grind is making it hard for the systems to find opportunities. Next week may still suck as it's options expiration week.
I think my adjustment worked for S11, I'm slowly getting better results. S12 also finally turned positive this week. Best news all week is that I won't hit the road next week and will be able to work from home. By the way my gambling (poker) results have been awesome this week, I played 36 heads up tourneys on Pokerstars and had a 75% win rate.
For everyone who follows this journal, have a good weekend.
Here are the results in detail
S1: -151
S2: 3115
S10: 10848
S12: 3
S70: -263
S11: -149
Weekly Performance:
431
S&P 500 Weekly Performance:
1689
Overall Performance since launch:
11452
S&P 500 Performance since launch:
3554
Risk Free Checking Account Performance since launch:
395
Terrible trading week so far. Down about 4.5 grand since last Friday !!! Part was a system failure, part was just the market moving into another direction than what my systems thought. This week obviously ends my 10 week winning streak and hit my confidence big time. More detailed post will happen Friday !!
Terrible trading week (Down 1k8). Maybe I do better when I'm on the road and don't watch the silly quote screen all day long. This week killed my 10 week winning streak and eliminated several winning weeks in a couple days. Monday's and Wednesday's rally cost me (Strategy S10) a fortune, so that strategy took a huge hit. All other systems somewhat sucked too. Obviously another week where I didn't match the S&P 500 performance.
Good news is that S10 is âfixedâ and I hope that bug was the only issue in that strategy. The results below already reflect the SPY dividend that was paid today (60 cents if I didn't mess it up), so I'm still ahead of the S&P since I started the journal. I hope this week was the last boring week (I guess it wasn't so boring for me after all), I hope we get some volume and action into next week's market.
I'll be on the road in Texas next week (getting home Thursday), so auto-pilot for all strategies again. I'll take a break this weekend and will only do minimal system maintenance, right now this feels like mega-grind and I'm lacking passion and excitement.
For all the ones following this, have a good relaxing late summer weekend !!!!
Here are the results in detail
S1: -136
S2: 3237
S10: 6450
S12: -18
S70: -212
S11: -41
Weekly Performance:
-1810
S&P 500 Weekly Performance:
2386
Overall Performance since launch:
9642
S&P 500 Performance since launch:
5940
Risk Free Checking Account Performance since launch:
428
Good news is that S10 is âfixedâ and I hope that bug was the only issue in that strategy. The results below already reflect the SPY dividend that was paid today (60 cents if I didn't mess it up), so I'm still ahead of the S&P since I started the journal. I hope this week was the last boring week (I guess it wasn't so boring for me after all), I hope we get some volume and action into next week's market.
I'll be on the road in Texas next week (getting home Thursday), so auto-pilot for all strategies again. I'll take a break this weekend and will only do minimal system maintenance, right now this feels like mega-grind and I'm lacking passion and excitement.
For all the ones following this, have a good relaxing late summer weekend !!!!
Here are the results in detail
S1: -136
S2: 3237
S10: 6450
S12: -18
S70: -212
S11: -41
Weekly Performance:
-1810
S&P 500 Weekly Performance:
2386
Overall Performance since launch:
9642
S&P 500 Performance since launch:
5940
Risk Free Checking Account Performance since launch:
428