Monday, December 31, 2012

2012 Trade Analysis

Another year in the books. Where does the time go?  And another year failing to reach the 100% return goal!  It's also the 2nd year in a row where I am gross positive but net negative thanks to the cost of commissions and/or lack of a sustained edge.  Over the past 12 months, I took $56,391 and turned it into $50,013.  That's a net loss of $6,378 or -11%.  Who cares that my gross gain was +$3,063?  Not me...
The most glaring thing I noticed about the numbers is that I am in a long-term, love/hate relationship with ZS. ZS was my biggest gain of 2012, biggest loss of 2011, and my biggest gain of 2010.  I also noticed that R:R alone does not equal success.  My best month (Oct.) was not the highest R:R ratio and my 2nd best month (May) was actually one of the lower R:R ratios at 0.8.

Isolating the curves for the symbols I traded most CL, NQ, ZS yields this look:
Finally, a few more charts looking at all trades:
That last chart seems to show fairly clearly that trades I exit more quickly tend to be losers and trades held longer (6+ min.) tend to win more often.  The conclusion in past years has been similar.  I think this is best explained because the longer you hold a trade, the more likely you are to overcome the spread (or make it negligible) because price has time to move away from your entry.  A trade held for 0 seconds, the extreme example, means you bought at bid and instantly sold at ask, or vice versa.  A 1 tick loser no matter what!

Needless to say, I am still searching for a methodology and system(s) that have a consistent edge that I can trade.  Perhaps 2013 will be the year!  Onward we go... 


  1. Lots of data - good for post game analysis.

    Despite the loss, your P/L was pretty balanced throughout most of the year.

    If you can devise a consistent discretionary or automated strategy to tell you whether you are in a "rising" or "falling" greater wave/trend and then place trades only in that direction in the smaller time frame, I think you would greatly benefit from the longer term trades perspective.

    Of course, seeing these things beforehand are always easier said than done, but if you can find someone in your area that can help with determining them systematically or even manually, it would most likely be well worth your time.

    Here's to a prosperous 2013!

  2. NQ never made it into positive column. Maybe time to pick a more positive symbol.

  3. I only did 40 million shares in 2012, but I had a positive year (quadrupled capital.) I couldn't take the volume up because the market was in the doldrums from August through November. So, needless to say, my income was very "middle class" for 2012. I hope the recent activity sticks.

    I've always felt your ZS trading was the best. NQ and ES are the most efficient contracts out there, and you need to have a very solid grasp of when to remove liquidity in the equities indexes. My trading life is deeply connected to the ES, even though I don't trade it directly. It's a non-trivial contract to master.


  4. Thanks all for comments.

    Soullfire, good idea. Agree, easier said than done. One man's up trend is another's down trend. The binoculars are infinitely adjustable...

    Cory - I will continue trading ZS. But may trade NQ again if I come up with a better system.

    TC - good job on a 400% year!! I'll just imagine it was on a 6-figure account and not 4. :)

  5. 5 digit account, but no red months in 2012. I used about 40x leverage to get the returns I did, no overnights.