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... 

Quarter 4 2012 Trading Results

 

December Trading Summary

Net breakdown (contracts traded):
CL -$1574(208), GC $291(47), ZS $1895(13), NQ -$1167(56), $ ES -$635(4)
RESULTS FOR DECEMBER
Contracts:328
Net $P/L:-1189
Wins:119
Losses:135
Win%:47
$Commissions:1356
Avg$Win:88
Avg$Loss:-86

Thursday, December 20, 2012

Thurs. 12/20

3:00pm CST - In day-trading broker news, SEC issues a fine.

Net breakdown (contracts traded):
CL $16(1), GC $401(2), NQ -$264(9)
RESULTS FOR DAY
Contracts:12
Net $P/L:153
Wins:4
Losses:2
Win%:67
Avg$Win:152
Avg$Loss:-228

Wednesday, December 19, 2012

Wed. 12/19

3:35pm CST -
Net breakdown (contracts traded):
CL $8(5), NQ $36(13)
RESULTS FOR DAY
Contracts:18
Net $P/L:44
Wins:4
Losses:5
Win%:44
Avg$Win:135
Avg$Loss:-99

Tuesday, December 18, 2012

Tues. 12/18

2:40pm CST - The losing trades were too ugly to show so you only get to see one. I may soon put GC in my rearview mirror and never look back.  It had more than a $3000 range per contract but managed to trick me into the wrong position every time.  Will shut things down for the year by the end of the week and prepare for 2013. 
Net breakdown (contracts traded):
CL $38(5), GC -$1540(9), NQ -$578(26), ZS $829(4)
RESULTS FOR DAY
Contracts:44
Net $P/L:-1251
Wins:7
Losses:13
Win%:35
Avg$Win:194
Avg$Loss:-201

Monday, December 17, 2012

Mon. 12/17

3:20pm CST -
Net breakdown (contracts traded):
CL -$253(3), GC $6(1), NQ -$361(8)
RESULTS FOR DAY
Contracts:12
Net $P/L:-609
Wins:2
Losses:5
Win%:29
Avg$Win:5
Avg$Loss:-124

Friday, December 14, 2012

Fri. 12/14

2:05pm CST - Got caught in the chop today with CL having less than a dollar range on the whole day.  Hard to make money trading that.  I should have stopped at +$300 in hindsight.  For the week, net gain +$1102.

Got to wonder what it says when trading educators/mentors battle it out in a trading competition and the winner of each round is typically the one that loses the least amount of money!  Not many winning examples here.

Net breakdown (contracts traded):
CL -$597(15), GC $237(12)
RESULTS FOR DAY
Contracts:27
Net $P/L:-360
Wins:12
Losses:14
Win%:46
Avg$Win:69
Avg$Loss:-85

Thursday, December 13, 2012

Thurs. 12/13

9:25am CST - No trades yesterday.  3 each today in crude and gold.
Net breakdown (contracts traded):
CL $297(3), GC $207(3)
RESULTS FOR DAY
Contracts:6
Net $P/L:503
Wins:5
Losses:1
Win%:83
Avg$Win:120
Avg$Loss:-94

Tuesday, December 11, 2012

Tues. 12/11

11:20am CST - 2 trades in ZS System today which I started trading around end of Sept. but had recently scaled back lot size.  The reason is pretty clear on profit curve below.  It was rocking up all summer (thanks to drought?) but has been mostly flat since I started trading it.  It uses tick data so I can't backtest any further than I already have.  I will continue tracking the hypothetical results and will likely continue trading it with small size until I come up with a more profitable use of my capital.

I've been meaning to post some news links well worth reading. Thanks to Cory for the 1st one:
High-Speed Traders Profit at Expense of Ordinary Investors
High-Frequency Trading: A Grave Threat to the Markets and the Economy
NFA takes emergency enforcement action against FXDD

RESULTS FOR DAY
ZS Contracts:6
Net $P/L:544
Wins:1
Losses:1
Win%:50
Avg$Win:929
Avg$Loss:-385

Monday, December 10, 2012

Mon. 12/10

10:35am CST - Just 1 trade today. Busy with system development and testing...
RESULTS FOR DAY
ZS Contracts:2
Net $P/L:415
Wins:1
Losses:0
Win%:100
Avg$Win:415
Avg$Loss:0

Friday, December 7, 2012

Fri. 12/07

8:50am CST - I lied.  I couldn't stay away.  For the week, net loss -$628.
RESULTS FOR DAY
GC Contracts:1
Net $P/L:1016
Wins:1
Losses:0
Win%:100
Avg$Win:1016
Avg$Loss:0

Thursday, December 6, 2012

Thurs. 12/06

3:00pm CST - I need a long weekend!  Back next week...

Net breakdown (contracts traded):
CL -$560(9), ES -$635(4)
RESULTS FOR DAY
Contracts:13
Net $P/L:-1195
Wins:0
Losses:8
Win%:0
Avg$Win:0
Avg$Loss:-150

Wednesday, December 5, 2012

Wed. 12/05

11:30am CST - Done early after hitting my max loss I had set for the day.  Final trade was nearly a big winner which would have ended the day >+$200 but it stopped out by 7 ticks instead.  My quick scalping "experiment" is officially over.  I had planned to go all week but after 4 days of too much work for little/no net gain, only my broker is happy.  I did learn alot though and have more ideas to work on.
Net breakdown (contracts traded):
CL -$723(57), GC $48(5)
RESULTS FOR DAY
Contracts:62
Net $P/L:-675
Wins:28
Losses:24
Win%:54
Avg$Win:40
Avg$Loss:-75

Tuesday, December 4, 2012

Tues. 12/04

2:45pm CST - Up early but was pushing for >$300 but never got there.  2 decent winners got me back above par, both scaled in 2-lots, first in CL, last one in GC.  Trading like this is certainly reminding me how efficient the markets are.
Net breakdown (contracts traded):
CL -$264(73), GC $287(3)
RESULTS FOR DAY
Contracts:76
Net $P/L:23
Wins:36
Losses:34
Win%:51
Avg$Win:43
Avg$Loss:-45

Monday, December 3, 2012

Mon. 12/03

1:10pm CST - Decided to continue the quick scalping this week to see how things shake out.  Many of you may think I'm playing with fire based on my past discretionary efforts.  But a benefit in studying history is so that you don't repeat it.  That's my thoughts for now anyways.  Gold was not very golden today but otherwise a good day.
Net breakdown (contracts traded):
CL $466(37), GC -$367(11), ZS $107(1)
RESULTS FOR DAY
Contracts:49
Net $P/L:204
Wins:18
Losses:28
Win%:39
Avg$Win:82
Avg$Loss:-45

Friday, November 30, 2012

November Trading Summary

Net breakdown (contracts traded):
CL $141(65), GC -$15(35), ZS -$5427(153)
RESULTS FOR NOVEMBER
Contracts:253
Net $P/L:-5301
Wins:67
Losses:83
Win%:45
$Commissions:1233
Avg$Win:163
Avg$Loss:-195

Fri. 11/30

2:40pm CST - I thought my tiny 12 Gold contracts pushed volume to record levels yesterday. It was the first day I had  traded gold in a long time.  But then I saw the record volume was actually the day before.  So much for my impact on the world!  Haha

Today ended up being a bit of an experiment toward the end of the day in 100% discretionary scalping.  I like to think sometimes that my thousands of hours of experience of watching charts and DOMs has to be good for something.  After getting down $200, after having been UP $200, I decided to throw out my mechanical entry signals over the lunch hour and scalp my way to either -$300 or back to +$200 on the day.  The latter was the result and I'm not sure what that means for my trading in Dec. and beyond.  Will have to think about that over the weekend.

For the week, net loss -$136.  For the month, net loss -$5301.
Net breakdown (contracts traded):
CL $83(15), GC -$62(23), ZS $202(2)
RESULTS FOR DAY
Contracts:40
Net $P/L:223
Wins:23
Losses:17
Win%:58
Avg$Win:54
Avg$Loss:-60

Thursday, November 29, 2012

Thurs. 11/29

1:25pm CST - Added Gold to the mix today.  It was treating me well and I was up $350 in GC but gave all that back.  CL did better today.  I can tell it's going to take me awhile to get any comfortable consistency with my discretionary trade management.
Net breakdown (contracts traded):
CL $264(8), GC $47(12)
RESULTS FOR DAY
Contracts:20
Net $P/L:311
Wins:10
Losses:9
Win%:53
Avg$Win:88
Avg$Loss:-63

Wednesday, November 28, 2012

Wed. 11/28

2:20pm CST - The rut I've been in for the past 3 weeks continues.  But it will end.  Today was green but not by much...
Net breakdown (contracts traded):
CL $42(13), ZS -$21(4)
RESULTS FOR DAY
Contracts:17
Net $P/L:22
Wins:5
Losses:10
Win%:33
Avg$Win:168
Avg$Loss:-82

Tuesday, November 27, 2012

Tues. 11/27

2:10pm CST - Tough sledding on the CL slopes today. 
RESULTS FOR DAY
CL Contracts:14
Net $P/L:-282
Wins:5
Losses:9
Win%:36
Avg$Win:75
Avg$Loss:-73

Monday, November 26, 2012

Mon. 11/26

2:15pm CST - Added CL back into the mix and tested 1-lots of a new approach that has methodical entry signals but discretionary trade managment/exits.  We'll see how that goes.  Bounced around between $0 and +$200 most of day until my old ZS system fired off a couple late day trades.

Net breakdown (contracts traded):
CL $33(15), ZS -$443(6)
RESULTS FOR DAY
Contracts:21
Net $P/L:-410
Wins:8
Losses:11
Win%:42
Avg$Win:66
Avg$Loss:-85

Monday, November 19, 2012

Mon. 11/19

1:40pm CST - No trades on Friday in case you were wondering and likely none the rest of the week with the holiday approaching.  Today was a repeat of Wed. for me with nothing working.  Time for some rethinking/regrouping rest of week before I give back all my Oct. gains.  Happy Thanksgiving to all!
RESULTS FOR DAY
ZS Contracts:12
Net $P/L:-1137
Wins:0
Losses:5
Win%:0
Avg$Win:0
Avg$Loss:-227

Thursday, November 15, 2012

Thurs. 11/15

2:05pm CST - 2 losers then 2 winners for a scratch day in the trenches. 
RESULTS FOR DAY
ZS Contracts:8
Net $P/L:34
Wins:2
Losses:2
Win%:50
Avg$Win:215
Avg$Loss:-198

Wednesday, November 14, 2012

Wed. 11/14

2:00pm CST - Today felt like 6 coin tosses in a row where every single one came up the opposite of what I called.  Yes, technically I had 1 "winner" but that was due to a tick of positive slippage (the only good thing that happened today) at a breakeven stop exit.  ZS was spastic and rangebound.
RESULTS FOR DAY
ZS Contracts:12
Net $P/L:-762
Wins:1
Losses:5
Win%:17
Avg$Win:15
Avg$Loss:-155

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

Monday, November 12, 2012

Mon. 11/12

2:10pm CST - Regarding my main ZS system, I'm going to either A) reduce the risk (contract size) or B) stop trading it for now. It did great in Oct. but has been behaving poorly this month with 3 days of significant losses.  I have admittedly lost confidence in it partly due to the lack of backtesting data I had available (~5 months).  I have been testing another system with smaller lot size over the past weeks and will be stepping up focus more on that.  I think it may have more potential and better controls the risk per trade. 
RESULTS FOR DAY
ZS Contracts:21
Net $P/L:-2871
Wins:1
Losses:4
Win%:20
Avg$Win:247
Avg$Loss:-780

Friday, November 9, 2012

Fri. 11/09

2:15pm CST - The morning ag report drove price down quickly at the start.  I was up $600 later but things went back to even after that to close the day.  For the week, net loss -$2632. Most all of this was due to my main ZS system which just had a bad week.
RESULTS FOR DAY
ZS Contracts:16
Net $P/L:17
Wins:2
Losses:3
Win%:40
Avg$Win:312
Avg$Loss:-202

Thursday, November 8, 2012

Thurs. 11/08

2:05pm CST - Tuesday repeated... 
RESULTS FOR DAY
ZS Contracts:4
Net $P/L:779
Wins:1
Losses:0
Win%:100
Avg$Win:779
Avg$Loss:0

Wednesday, November 7, 2012

Wed. 11/07

2:00pm CST - Monday repeated.
RESULTS FOR DAY
ZS Contracts:12
Net $P/L:-2562
Wins:0
Losses:2
Win%:0
Avg$Win:0
Avg$Loss:-1281