Weekly results of a wanna B algo trader

Devastating trading week (down 2k6). So much for a slightly sideways or down week that I was hoping for last week. I felt like a genius on Monday and since then lost every single day. (daily stats Mon: 1889 Tue:-3447 Wed:-184 Thur: -166 Fri:-729 )
I can't even beat the S&P 500 when it goes up every single day. S1 has a big hedge trade running right now, S2 blew a grand this week, S10 suffered from this bull move and all the other strategies trade so small positions that it really doesn't matter
Shutting down for this week and won't look at stocks or options the entire weekend but spend time with the kids to clear my rage.
I'll be on the road all next week (lovely Texas again), so my systems will be on auto pilot and I'll suffer every evening when I look at the results of this bull market.
Have a good weekend, one frustrated wanna B algo trader


Here are the results in detail
S1: -44
S2: 2569
S10: 6945
S12: -59
S70: -174
S11: 88
Weekly Performance:
-2637
S&P 500 Weekly Performance:
2845
Overall Performance since launch:
9069
S&P 500 Performance since launch:
11927
Risk Free Checking Account Performance since launch:
525
 
This is going to be a terrible trading week. Last two days have been slightly down but today has been down more than 3 grand. I suffer as the market goes up and my systems want it to go down. Needless to say I'm way behind the S&P as well. I'm not even looking at stocks, just gambling @ the poker tables, here's my bankroll there. Too bad that these are low limits (mostly 11$ heads up).

I'm hoping that the earnings season at least puts more capital to work here soon, especially for S2, so far I'm just watching from the sidelines. Trading definitely sucks right now, I may have to step down my size depending on how this week goes.

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Quote from Engine99:

so far I'm just watching from the sidelines. Trading definitely sucks right now, I may have to step down my size depending on how this week goes.
More...
Why aren't your algos determining the proper bet size based on recent performance ?
In other words poor performance = reduced bet sizes.
 
syswiz, couple of comments.
1st I appreciate your input. While this blog is mostly for me, you're pretty much the only one providing other idea, so like I said, your input is highly appreciated.

2nd. I'm all ears for ideas ;-). The problem is my systems are mostly mid/long term, usually holding 3 weeks to 3 month. So based on that I always allocate a fixed % of my account for new trades but I agree if there's a better way to trade smaller when I'm not in the zone and trade larger then the systems work well, I should leverage it. I'm just not sure what the right review period is, haven't backtested any of this nor any real handle on when to step up the size or lower it. Based on these holding patterns, do you think if I've three losing weeks in a row I should reduce the size or close the existing positions, or both? Most strategies are mean reversion, so I may close it at just the worst time.

Today was my first non losing day in a long time. I lost the last seven trading sessions. Today I broke even (technically I was up 2 bucks). I'm hoping the bleeding starts to slow down now, I'm also hoping google qualifies for an S2 trade tomorrow. We'll see.

Like I said, your input is welcome
 
Quote from Engine99:

Most strategies are mean reversion, so I may close it at just the worst time.
Today was my first non losing day in a long time. I lost the last seven trading sessions. Today I broke even (technically I was up 2 bucks). I'm hoping the bleeding starts to slow down now, I'm also hoping google qualifies for an S2 trade tomorrow. We'll see.
Like I said, your input is welcome
More...
Look. This is a tough game. I'm reading the best book on trading ever written and it just confirms this.
It's so APPARENT NOW that your strats are mean-reversion. However, they do need some "tuning" to insure they "REVERT" at the optimal time. Your systems seem to have a "hair trigger" and enter a reversal trade at a limit price instead of a stop price. I've backtested this a million times. You want to enter with a STOP going in YOUR INTENDED DIRECTION. A limit order against a trending market is like burning paper money...a sure loser.
What I'm saying is that my belief and experience is that mean reversion systems need SIGNIFICANT RETRACEMENTS to occur before placing orders "against the trend". Your systems seem to enter WAY TOO EARLY.

Here's an example:
Market climbs to 11,200. It then retraces 40 pts, but that is not enough (based on your backtesting). So no order is placed. However, in the next week, it retraces -100 pts. That "significant" move triggers your system to place a stop order at -110 pts. In other words, if the retracement was "bogus", then your system is not filled for that order. You cancel the order, and then restart the processs.
Got it ? As you can see from this example, determining what is SIGNIFICANT and what is NOISE is extremely critical for systematic trading.
 
Had another down week (Down 1k7). However I finally see some light at the end of the tunnel. I'm not sure if that is because I didn't follow the market action the last couple of days or it's because today was actually a good trading day (up over 1k3 today, otherwise this week would have been very bad again), but I'm excited !!
I made some set up mistakes (how hard can it be to set up an automated system) but I finally broke my losing streak this Thursday (breakeven) and Friday (first green day in nine trading sessions). As far as my systems go, S1 single discretionary trade. S2 entered a google position today and showed some gains by the end of the day (since this is a three month trade, all I can hope for is some crazyness in google like a run to 650 !!!!).
S10 got killed this week but had an up day on Friday, S11 had the wrong position size (put 10% of my account to work rather than 1), so by the time I exited the system I was already down over 140 bucks, so I had to close most of this position manually, otherwise this system would continue to work and deliver small results.
S12 entered four trades (all still small sized) and S70 also opened a trade. Overall I'm excited that there's more trades in my account, although there's still about 80% of my capital sitting idle right now. I'm hoping this earnings season will help me put the money to work.
I'll be on the road next week (lovely Texas AGAIN), so my systems will be on auto pilot and this time I'm actually excited for Monday to come, I think next week may help me bridge the gap to the S&P 500 and make up some gains to the index.
For syswiz and all the other ones reading this journal, have a good weekend, let's make some money next week !!!!

Here are the results in detail
S1: -44
S2: 3172
S10: 3532
S12: -96
S70: -174
S11: -4
Weekly Performance:
-1706
S&P 500 Weekly Performance:
1733
Overall Performance since launch:
7363
S&P 500 Performance since launch:
13660
Risk Free Checking Account Performance since launch:
557
 
Decent trading week (up 2k6). I was on the road all week so I didn't do too much checking but S2 missed a big mover today in RVBD. I'm not sure why it didn't get filled but I'll have to do some research this weekend; would have been a great position. Other than that everything worked fine. Monday was the strongest day this week. S2 definitely loaded up with five new positions and now I've about half of my capital at work. I'm wondering who the rest of the earnings season goes, I'm ready to put the second half to work as well. S70 didn't find any positions and I may turn that system off, it's not worth the maintenance overhead. S12 got stopped out of COST and closed NBR. S10 shined in this sideways week. S11 did well so far and also contributed a little to the bottom line. Overall a very good week and very needed confidence booster (and I finally had a week where I was better than the S&P performance). Next week will be a short travel week (3 days in lovely Texas) and once again auto-pilot will take over (and hopefully do well again).

For all the folks following this journal, have a good weekend and let's make some money next week $$$.

Here are the results in detail
S1: -44
S2: 3873
S10: 5793
S12: -86
S70: -189
S11: 49
Weekly Performance:
2656
S&P 500 Weekly Performance:
948
Overall Performance since launch:
10019
S&P 500 Performance since launch:
14608
Risk Free Checking Account Performance since launch:
590
 
Nice week.
Not to be a wise-ass, but maybe you need to report your results AFTER TRAVEL EXPENSES !
Wow, you really travel Dude.
(I'm just jealous...natch)

:D
 
Decent trading week (up 2k9). Blew up my poker account (again). Sucks cause I had a nice run but played too big @ the end. Won't play for a while since I was playing way too much the last month anyway.

As far as my trading goes, I had a stress free week, no major down days and nice performance against the S&P 500 (which I'm still trailing). I've had to reduce my S2 trading size since it found so many trades this week that I was running low on funds and earnings season and additional candidates are going on for another couple of weeks. I'm about 2/3 invested right now. I can't remember the last time I was that heavy in the market. Had a short trip this week. I'll be in DC Tuesday – Friday, so finally something outside of Texas. I hope that the S2 run continues and the market moves sideways, that's a good setup for my account and I'd need another two strong weeks to catch up to the S&P 500. Next week will also be election week, so this could cause potential fireworks, we'll see. I'm ready for this weekend and will end this week with the best weekly P&L since inception of this thread. For all the ones following, enjoy your weekends as well and let's make some $$$ next week.


Here are the results in detail
S1: -44
S2: 6283
S10: 6191
S12: -390
S70: -149
S11: 51
Weekly Performance:
2999
S&P 500 Weekly Performance:
222
Overall Performance since launch:
13018
S&P 500 Performance since launch:
14830
Risk Free Checking Account Performance since launch:
622
 
Terrible trading week (down 3k9). On Thursday I was ready to throw up after the market kept going up and volatility got sucked out. I mean really, WTF???? Is the future that fucking great that we have a 20% stock market move without any pullback in a couple month and a VIX @ 18; so nobody is worried that we'll EVER pull back after this run? Really? Anyway, obviously my systems didn't do well this week, I should just buy fucking stocks and hold them because “the government is pushing America into riskier assets”. My 401k is my best performing vehicle this year. I should just blog about how much that made this year with 0 time investment; No worries about not putting enough capital to work and the way it has been going I'll be able to retire before 50 anyway. November 4th was my worst trading day since May 6th (the day of the flash crash) and honestly I don't think I've ever had a 10k performance difference between the S&P 500 performance my my trading account (N E V E R). I'm done looking at anything stock market related this week, I'll enjoy some good old family time after this week in DC. I'm somewhat looking forward to my next two weeks @ work, I'll be in San Diego next week and most likely the week after that as well. Not too much of a fan of going from Eastern time to Pacific (especially when the time change happens) but hey, what can you do, it'll be. Maybe I should just post on tripadvisor.com since I am solid @ traveling but suck @ trading ;) As far as my trading goes, there will be several changes over the next couple of month. I'll most likely re-baseline my systems again (how sad is that, when it happens twice in 12 month). I will also consolidate them (S70 sucks and S12 needs some re-work). More to come on this. For all the ones reading this, I hope you guys did better and enjoy your weekend. One frustrated Algo Trader Wanna B.
Here are the results in detail:
S1: -44
S2: 5641
S10: 2881
S12: -670
S70: -139
S11: 75
Weekly Performance:
-3886
S&P 500 Weekly Performance:
6268
Overall Performance since launch:
9132
S&P 500 Performance since launch:
21098
Risk Free Checking Account Performance since launch:
655
 
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