"The true voyage of discovery consists not of going to new places, but of having a new pair of eyes."
—Marcel Proust (1871–1922)
PS: Longer entries soon.
Friday, October 12, 2012
Friday, October 5, 2012
Weekly Single-Stock Update
Two trades, both losses. (.22%) on the first, (1.2%) on the second. Brings the P/L down to +0.18%.
I like the strategy, but there are factors I didn't completely take into account when crafting it, things that improve performance and reduce variance. Still going to keep track of it, but the system I posted yesterday is really 10x more durable.
I like the strategy, but there are factors I didn't completely take into account when crafting it, things that improve performance and reduce variance. Still going to keep track of it, but the system I posted yesterday is really 10x more durable.
Tuesday, October 2, 2012
Performance on Multi-Stock Strategy
I developed a multi-stock strategy a month and a half ago, and added up the results of the "risky", "medium-risk" and "low-risk" counterpart strategies.
The risky strategy lost 1.8% before accounting for transaction costs and spreads.
The medium-risk gained 3.36% and the low-risk strategy gained 3.1% before accounting for transaction costs and spreads.
Transaction costs on the risky strategy greatly exceed the medium and low risk strategies and, thus, it will be cut from the race. The transaction costs on the medium and low risk strategies are very, very low relative to returns and the spreads should be nearly negligible, given the liquidity of the stocks chosen.
I'm seriously thinking about implementing the low-risk strategy in my account. It has a little more than one trade on average per week, with limited drawdown and a nice upward slope.
I'd like to put in a little more work into it, such as making a program that lets me know when a trade is in my favor, but I'm keeping it in mind every single day the market runs.
The risky strategy lost 1.8% before accounting for transaction costs and spreads.
The medium-risk gained 3.36% and the low-risk strategy gained 3.1% before accounting for transaction costs and spreads.
Transaction costs on the risky strategy greatly exceed the medium and low risk strategies and, thus, it will be cut from the race. The transaction costs on the medium and low risk strategies are very, very low relative to returns and the spreads should be nearly negligible, given the liquidity of the stocks chosen.
I'm seriously thinking about implementing the low-risk strategy in my account. It has a little more than one trade on average per week, with limited drawdown and a nice upward slope.
I'd like to put in a little more work into it, such as making a program that lets me know when a trade is in my favor, but I'm keeping it in mind every single day the market runs.
Friday, September 28, 2012
Weekly System Returns
Here's the weekly results for the system I developed several weeks ago. It currently runs on a single stock.
Monday: (0.5%)
Tuesday: No trade
Wednesday: 0%
Thursday: 0.36%
Friday: No trade
Weekly Overall P/L: (0.14%)
Complete Overall P/L: 1.6%
(Note: I'm updating the methodology of the system in order to utilize multiple stocks and potentially increase expectations and lower variance. Plus, intraday strategies may be added, such as the one I recently backtested).
Monday: (0.5%)
Tuesday: No trade
Wednesday: 0%
Thursday: 0.36%
Friday: No trade
Weekly Overall P/L: (0.14%)
Complete Overall P/L: 1.6%
(Note: I'm updating the methodology of the system in order to utilize multiple stocks and potentially increase expectations and lower variance. Plus, intraday strategies may be added, such as the one I recently backtested).
Thursday, September 27, 2012
Backtest
I ran a backtest on a technical pattern I've been interested in this last week or so. It turns out that on AAPL it pays off handsomely for a mere 8 minute hold (profit could be extended if I programmed several other pattern exits).
It can be difficult to figure out exactly what leads where, but it is especially helpful if you can quantify the traits you are looking for. At least, that way, you can run expectation tests on your data. Even if it is not perfect, it can give you an idea of what works and what does not.
I'm going to keep these results for myself, and perhaps, run it on a few other high volume stocks :) This time around I'm looking for stocks with slightly tighter spreads. I'd like an average of $0.02 or less...
On as side note, I'd recommend signing up for all the free services Rob provides at OvernightEdges.com. They're helpful, and very interesting.
It can be difficult to figure out exactly what leads where, but it is especially helpful if you can quantify the traits you are looking for. At least, that way, you can run expectation tests on your data. Even if it is not perfect, it can give you an idea of what works and what does not.
I'm going to keep these results for myself, and perhaps, run it on a few other high volume stocks :) This time around I'm looking for stocks with slightly tighter spreads. I'd like an average of $0.02 or less...
On as side note, I'd recommend signing up for all the free services Rob provides at OvernightEdges.com. They're helpful, and very interesting.
Wednesday, September 26, 2012
Trades
Made a couple of bad 'discretionary' trades today, and yet, they were placed for the right reasons. I need to manage my risk better. I'm getting some of the patterns down I need to identify, I just need to scale my share or contract amount to better suit my risk tolerance.
I'm trying to figure out a way to calculate stop based on share amount (versus account size) and current (perhaps expected) volatility. The higher the volatility the wider the stop. The higher the amount of shares the closer the stop. So, find some balance between share amount and volatility that my account can stomach.
Sounds good. Harder to implement.
I'm trying to figure out a way to calculate stop based on share amount (versus account size) and current (perhaps expected) volatility. The higher the volatility the wider the stop. The higher the amount of shares the closer the stop. So, find some balance between share amount and volatility that my account can stomach.
Sounds good. Harder to implement.
Tuesday, September 25, 2012
Problems
I found some problems with my model that reduce the return. While somewhat frustrating, the system still aids, more than enough, in forecasting price direction. In order to make it more robust I'll have to put in quite a bit more effort, which, at the moment, doesn't sound like something I want to do. But, I need to get to that point if I want to improve upon the system enough to make some serious money!
Push, push, push.
On another note, I dabbled in some pairs trading research the other day. My expected returns originally stated something like 50%, which would be unbelievable. I still got excited. Until I realized I was looking on return based on change in the spread, without taking into consideration the amount of money needed to invest in the spread and the inevitable transaction costs.
Those two factors ultimately reduced the setup to practically break-even, probably with a slight return in the positive direction. If I could pin point a way to reduce transaction costs, ideally by at least half, the system would work well enough to implement. At least, that's how it looks.
Damn errors and transaction costs!
Push, push, push.
On another note, I dabbled in some pairs trading research the other day. My expected returns originally stated something like 50%, which would be unbelievable. I still got excited. Until I realized I was looking on return based on change in the spread, without taking into consideration the amount of money needed to invest in the spread and the inevitable transaction costs.
Those two factors ultimately reduced the setup to practically break-even, probably with a slight return in the positive direction. If I could pin point a way to reduce transaction costs, ideally by at least half, the system would work well enough to implement. At least, that's how it looks.
Damn errors and transaction costs!
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