Weekly results of a wanna B algo trader

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).
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That is a sample "time to turn it off" statement.
As soon as you start exceeding your backtested worst metrics, time to start thinking about shutdown.
 
Killer Trading week (Up 10k7). Take last week's comments and reverse them and you see how this week went. My systems took syswiz's comments into consideration and only opened two very small positions (one for S12 in BBT and the weekly S11 trade). The rest was just letting the existing trades ride. First 10k week since before the flash crash. Talk about mean reversion, this week has been perfect for my trades. I should be drunk by now ;-). I obviously kicked some S&P 500 butt this week, I've never outperformed the index by that much. This week also closed the gap between the S&P performance and my trading account performance, so it's a close race right now. Still sucks that I'm not much ahead of the index but it has had quite the run since I started the comparison. The drop in the market boosted S10 big time, the raise in volatility helped S2 a lot. Being away a week from expiration also showed some small S12 gains since those positions moved into the sweet spot of the butterflies. Overall a very good trading week, a decent week @ work in San Diego (will be back next week) and a very much needed confidence boost.
For all the folks following this journal, I hope you guys did well and enjoy your weekend !!!!


Here are the results in detail
S1: -44
S2: 8508
S10: 9871
S12: -399
S70: -210
S11: 154
Weekly Performance:
10784
S&P 500 Weekly Performance:
-3734
Overall Performance since launch:
19916
S&P 500 Performance since launch:
17366
Risk Free Checking Account Performance since launch:
687
 
Second monster week in a row (Up 8k8).Many options expired close to their expected move. S2 still left a lot of money on the table on GOOG and APPL as well as some other trades but after two weeks like this I really cannot complain. These last two weeks were amazing, I've never had such a good performance two weeks in a row. If statistics mean anything chances are I'll give some back over the slow season as volatility tends to decline and S2 tends to suffer because of it. But as I'm writing this I'm a very happy camper. I also had a good week @ work in San Diego (lots of good seafood ;-) ). I'll check out the snow in the mountains this weekend and I'll be off work next week watching my trading performance a little closer. I'll also have to do some maintenance activities (e.g. my IB TWS will no longer be supported at the end of the month, so I'll have to upgrade that and test to ensure it doesn't impact the IB API). Last week's (and this week's early) drop in stock prices helped volatility which helped S2 significantly. S10 also came back to it's sweet spot due to that. Like I said, a very strong trading week for me.
For all the folks following this journal, I hope you guys did well and enjoy your weekend !!!!


Here are the results in detail
S1: -44
S2: 12614
S10: 15201
S12: -431
S70: -210
S11: 257
Weekly Performance:
8876
S&P 500 Weekly Performance:
133
Overall Performance since launch:
28792
S&P 500 Performance since launch:
17499
Risk Free Checking Account Performance since launch:
720
 
Good Trading Week (Up 1k). Slow trading this week, little volume, low volatility (Good for S10, Bad for S2). Got all my maintenance activities done, upgraded my test and production instance to the latest & greatest Interactive Brokers Trader Workstation. Tested my APIs, they didn't find any new trades this week but they didn't complain either, so it looks like it's all working. Enjoyed some @ home time and went skiing. I'll be on the road again next week (Texas here I come). Spend time @ my bank on Monday and I'm finally debt free (first time since 9 years). One of the big changes I wanted to implement after the May 6th flash crash. I know it's not the best decision based on my trading performance and my mortgage interest rate but at the same time there's a lot of peace of mind that comes with that change. My systems did well, except S11 was thrown for a loop when it couldn't open a trade this week because the market was closed on Thursday. I hope you all had a good Thanksgiving and are going to enjoy the long weekend.



Here are the results in detail
S1: -44
S2: 11419
S10: 15621
S12: -38.5
S70: -210
S11: 342
Weekly Performance:
1096
S&P 500 Weekly Performance:
-2089
Overall Performance since launch:
29888
S&P 500 Performance since launch:
15410
Risk Free Checking Account Performance since launch:
746
 
I don't see how you reconciled your weekly net profit number.
The deltas for each strategy between the weeks do not "add-up".
 
Quote from syswizard:

I don't see how you reconciled your weekly net profit number.
The deltas for each strategy between the weeks do not "add-up".
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You're absolutely correct with that. I thought the same thing when I posted today. Here's how the numbers come together.
The Daily M2Market P&L comes from the net liq value from ThinkOrSwim and from IB (on IB I have a portfolio margin account and that net liq changes based on the sun and the cloud it seems). Anyway, the daily M2M seems pretty solid (+- 1-200 bucks based on IB's calculation). This week's nbrs looked like this:Mon -69, Tue + 886, Wed -348, Fri + 627.

The strategies on the other hand have very inaccurate reporting and those I look at once a week (Especially S2's results are approximated). S2 typically has rolls (buy back from month sell back month options) which I don't keep track of well. I have the data (in IB/TOS reports) but I'm too lazy to look at each every position/roll, so I basically approximate the results when I post them. On top of that TOS excludes commissions from P&L (but includes obviously in the net liq value), IB always includes commission (in net liq and position P&L).
Last year I've had a difference on S2 of 2 grand on TOS alone over the year, I get the turbo tax files from Pension (Clearing firm for ThinkOrSwim) and when I compared my results to those I underestimated my profit significantly. I seem to do better on the IB side.

Anyway, at a high level I still see that S2 and S10 are my bread and butter strategies unfortunately I'd need to focus more in the pennies to have the numbers align.

As always thx for your feedback.
 
Terrible trading week (Down 2k5). Started out really well. By Tuesday I was up four grand. Then gave all that back and then some. Low volatility and raising stocks are not good for my strategies. Since there's a good chance December will continue like this I may have to look at adjusting some stuff. I'm somewhat numb to the losses cause my dentist pulled my wisdom tooth today, that was not fun @ all. Next week may be my last trip for this year (going to Seattle), so I hope there's no system glitch, the new TWS platform for sure has some interesting “features” based on what I can tell so far. I did increase my trading stake this week (added 12k on Friday), so we'll see if that capital can be put to work (most likely won't happen until mid January). As far as my performance goes, I did also increase my allocation for S11 this week, and sure enough it's not working right away. Like I said, overall a very disappointing trading week with no good highlights after Tuesday evening. The S&P gained 6 grand this week, so even over the last two weeks I did not come close that that performance.



Here are the results in detail
S1: -44
S2: 9772
S10: 13121
S12: -221
S70: -210
S11: 328
Weekly Performance:
2487
S&P 500 Weekly Performance:
6044
Overall Performance since launch:
27401
S&P 500 Performance since launch:
21454
Risk Free Checking Account Performance since launch:
776
 
Just got back from my last trip for this year. I was in Seattle again and my systems are absolutely not in sync with the market. I blew over 3 grand today alone cause I'm so short and the market just goes up up and fucking higher up (not to mention yesterday's scare and Monday's up move, and of course last week's gains).

Last time I was in Seattle (2-3 month ago) same thing, the market went fucking up up up and I was hurting looking at my P&L.

I don't get how this is the greatest bull market in the last 10 years with unemployment at a high, millions in foreclosure destroying the american dream and the whole country going to hell by borrowing more and more.
Sorry to vent but today was a tough day and I'm a little bitter.

http://www.youtube.com/watch?v=jllJ-HeErjU
 
Of course the market posted another gain, why would it go down since everything is just fucking perfect.

I'm slowly going subscribe to the the whole country is going to hell but hey, at least the government is adding more and more crap to it's balance sheet so at least the market is going up theory.

Since my trading sucks right now and it's just a gambling that the market will eventually go down I've created a domain called
theclosetgambler .com. Maybe if I post my daily P&L I can avoid wild rage and actually start to focus again
 
Worst trading week ever in this attempt (Down 7k5). Obviously this market only goes up, so anyone like me must be a complete fucking idiot to assume it would eventually pull back.
Worst trading week since the flash crash, S and fucking P 500 went up and again is leading the comparison. I'm also very unhappy with various other aspects in my life right now more about that on theclosetgambler.com.
I'm still happy I made money since June but this is just ridiculous, nothing worked, dropping volatility hurt S2, major up move hurt S10, S11 is the only one inching slightly up but that system barely trades any size.
Not going to look at the market this weekend but going to take my 5 year old to some monster truck racing, fed up with my trading and other stuff right now.
For all the ones following this, sorry for the language, I hope you guys did better
engine aka theclosetgambler.com


Here are the results in detail
S1: -644
S2: 5687
S10: 9421
S12: -98
S70: -210
S11: 420
Weekly Performance:
-7322
S&P 500 Weekly Performance:
2512
Overall Performance since launch:
20079
S&P 500 Performance since launch:
23966
Risk Free Checking Account Performance since launch:
811
 
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