Tuesday, November 13, 2012

Tues. 11/13

2:20pm CST -
RESULTS FOR DAY
ZS Contracts:4
Net $P/L:104
Wins:1
Losses:1
Win%:50
Avg$Win:215
Avg$Loss:-110
Posted by at

13 comments:

  1. AnonymousNovember 13, 2012 at 8:16 PM

    You beat me. I lost $900 today when one of my symbols blew up on me on some rumor. It felt bad, but it was the first losing day for me since October 2nd.

    -TC

    ReplyDelete
    Replies
    1. MBAGearheadNovember 13, 2012 at 8:41 PM

      So put the $900 in perspective, how much are you up overall since 10/2?

      Delete
    2. AnonymousNovember 14, 2012 at 12:00 AM

      ~$8,000.

      Equity volumes fell so hard, I'm only booking between $250-$600/day since after August 2nd, and roughly double that per day before that.

      -TC

      Delete
    3. AnonymousNovember 14, 2012 at 12:06 AM

      I trade very differently than you, FWIW. I prize low-risk, high-sharpe over absolute PnL. I'm much more likely to do 100 shares across 10 symbols than 1000 shares in 1 symbol, and I use the diversification of a portfolio to make my money. I also do a very large amount of volume.

      I don't think a manual trader can hit extremely high sharpes and has to do what you're doing, but my frustration with watching you bleed money is that I think, while some of your signals are legit, there's poor information utilization and sloppy execution. I can say I wouldn't design systems the way you design them, at least from what I can tell publicly anyway.

      I look to your blog for more psychological reasons than trading reasons. I can't stomach losses. It just kills my sleep and my mental state of mind.

      -TC

      Delete
    4. AnonymousNovember 14, 2012 at 12:10 AM

      (Oh, also, I don't mean that I wouldn't design systems the same way as an insult or anything. I just don't derive signals from chart patterns or technical indicators, and am much more a believer in using event-driven schemes or twists on concepts from statistical arbitrage.)

      I too am feeling the pinch in the markets, and not from losses, but just severe drop-offs in PnL. The volumes are so vapor thin, the liquidity is just not there, and making money is so incredibly difficult right now. There's just not as much opportunity in general. The only people in the market are well-financed, well-oiled professional operations.

      -TC

      Delete
    5. MBAGearheadNovember 14, 2012 at 2:01 PM

      Good info TC. Your world of prop/arbitrage is very different indeed.

      Delete
  2. JMF3November 13, 2012 at 10:05 PM

    Are all your 'systems' purely mechanical?

    ReplyDelete
    Replies
    1. MBAGearheadNovember 14, 2012 at 2:00 PM

      For the most part, yes. Typically any discretion I build into the rules comes back to bite me.

      Delete
    2. AnonymousNovember 14, 2012 at 3:19 PM

      If you find it tough to follow your rules and given all your strategies are mechanical, have you thought about automating the execution using NinjaTrader or Multicharts? If you are not ready to automate the execution, I am curious what is your rationale for that?

      Delete
    3. JMF3November 14, 2012 at 4:56 PM

      Automation would only make a difference if you feel that the losses are because of that on a regular basis. It doesn't seem that that is what you are saying -

      Delete
    4. AnonymousNovember 14, 2012 at 5:25 PM

      MBA said discretion comes back to bite him. So, if he automates his clearly defined rules and let his system run, at least he will get same performance as predicted. Thats my theory. Lets see what MBA feels about it.

      Delete
  3. MBAGearheadNovember 14, 2012 at 7:47 PM

    Correct JMF3. I am pretty good at following my rules. I don't see any advantage in automating my strategies. Perhaps if I find one that proves itself to have an edge over a longer period of time than a month or two, I may change my mind!

    Anon 5:25, a system that predicts performance sounds great! Where do I get one of those? LOL

    ReplyDelete
  4. AnonymousNovember 14, 2012 at 10:42 PM

    What I meant by getting same performance as predicted is this - If you automate your strategy, the difference between your execution and strategy performance will be minimal. If you are already getting same performance as your strategy, my comment doesn't apply.

    ReplyDelete

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