isa's long term trading journal

Hi Isatrader

It's good to see a longer term technical trader on these boards who uses similar techniques to my own. (I do not use so many indicators on my charts though). Keep up the good work (y)

I breakout trade placing limit orders with my broker and pyramiding positions using technical entries to do so. I reduce risk by using a 1% risk per trade rule which allows me to pyramid without excessive risk on each trade. I also calculate monthly and annualised returns against the FTSE 100 as I am a trader of UK shares and also use sharpe ratio to keep myself in check.

Lots of luck

Tafita

Thanks for the reply. On the subject of indicators, I tend to only really use 2 to 3. Which is rRelative (Price dived by the 200 Day simple moving average), MACD and Force Index (the difference between today's close and yesterday's close multiplied by today's volume). Other indicators such as RSI and Elder Impulse are more for confirmation/warning signals to me, but I never trade off a single indicator. I always have a price reason for entering a trade and just use the indicators to help with timing.
 
Hi Isatrader

I also calculate monthly and annualised returns against the FTSE 100 as I am a trader of UK shares and also use sharpe ratio to keep myself in check.

Hi Tafita, I’d be interested to know how you calculate your sharpe ratio? I had my first go at it the other day as you will see in my previous post, so not sure if it’s right or not. So would be interested to know how you calculate yours?

Cheers
 
Randgold Resources Exit & Re-entry

Randgold Resources (RRS)

Exit Date: 9/12/10
Original Entry: £64.49125 on 11/10/10 – Total Cost £1560.29
Amount: 24 Shares
Exit Price: £56.6625
Commission: £12.50
Total: £1,347.40

P/L: -£212.89
Percentage Gain: -13.64%
Trade Grade: E

Entry Date: 9/12/10
Amount: 26 Shares
Entry Price: £56.7375
Commission: £12.50
Total: £1487.68

Entry Grade: 43%
(Above 50% is good. Calculation: High-Entry price/High-Low)

Reason for trade
I decided to take my loss on this trade and then re-enter at the lower price and a few extra shares as Randgold is at it’s 252 day moving average. So the one year average of trading days. Throughout the last few years Randgold has bounced strongly off of these levels, but even if it doesn’t this time, I’m a long term bull on gold, so the one year average is an excellent place to buy and hold. With the aim of accumulating more shares if the bull run continues next year. I’ve included the seasonal HUI chart from ZealLLC.com as this shows that December tends to have a pullback in gold stocks, so I think a good opportunity to accumulate shares.
 

Attachments

  • RRS_Entry_11-10-10.png
    RRS_Entry_11-10-10.png
    156.1 KB · Views: 197
  • RRS_Exit_Re-entry_9-12-10.png
    RRS_Exit_Re-entry_9-12-10.png
    148.7 KB · Views: 226
  • HUI Seasonal Chart.gif
    HUI Seasonal Chart.gif
    50.6 KB · Views: 225
Last edited:
Weekend Update

My portfolio pulled back 1.51% this week to close at +5.13% for my account. The pullback was mainly due to the fees of taking the loss on Randgold Resources (RRS) and opening two new trades in Nickel (NICK) and Antofagasta (ANTO) which also includes the spread cost. So not too much to worry about.

S&P 500
The market managed a weekly close above the 61.8% Fibonacci level from the 2007 high for the first time. Looks to me like the start of the 3rd or 5th wave in this bull move since the summer depending on which pivot point you use for your starting point. Bearish warnings though on the daily chart as volume had a pop and drop during the week, so possibility it’s a false move higher. I prefer weekly data though and weekly the volume was good and broke above the previous weekly closing high so bullish on that front I think for me.

My Ratings
Short Term – Neutral/Bullish
Intermediate Term – Bullish
Long Term – Bullish
Disclaimer – this is all just my opinion for my personal trading account. I’m still learning, so do your own research.

US Economic Data – the week ahead

Tuesday
Producer Price Index*
Retail Sales*

Wednesday
Consumer Price Index*
Treasury International Capital
Industrial Production*
Housing Market Index
EIA Petroleum Status Report

Thursday
Housing Starts*
Jobless Claims
Philadelphia Fed Survey*

*most important

Looks like quite a lot of data this week from the states, so will need to watch carefully for anything out of the ordinary.
Have a good week:)
 

Attachments

  • ISA_Spreadsheet_10-12-10.png
    ISA_Spreadsheet_10-12-10.png
    74.9 KB · Views: 2,466
  • Equity-Curve_10-12-10.png
    Equity-Curve_10-12-10.png
    69.2 KB · Views: 188
  • SP500_Weekly_10-12-10.png
    SP500_Weekly_10-12-10.png
    127.1 KB · Views: 231
Win Loss Ratio

I did a bit more analysis on my portfolio this week and have calculated a few more bits of data to help me improve my trading. One that I found particularly interesting was my win loss ratio. I read about this in one of the recommended sections on this site and thought it would be useful to know.

Number of closed winners: 32 (58.18%)
Number of closed losers: 23 (41.82%)
Total closed trades: 55

Average win: £125.01
Average loss: -£152.31

Win Loss Ratio: 0.82

I think this is quite telling in that I can see clearly now that I’ve been cutting my winners too soon as the ratio is only 0.82, which isn’t good. My aim now is to improve this to above 1 over the next year and continue to have a higher number of winners over losers.
 
Win Loss Ratio

I thought it would be also useful to see the win loss ratio as individual years. I’ve calculated these by the closed dates of the trades.

2008

Number of closed winners: 0 (0%)
Number of closed losers: 1 (100%)
Total closed trades: 1

Average win: £0
Average loss: -£240.25

2008 Win Loss Ratio: 0

2009

Number of closed winners: 16 (53%)
Number of closed losers: 14 (47%)
Total closed trades: 30

Average win: £175.79
Average loss: -£142.99

2009 Win Loss Ratio: 1.23

2010

Number of closed winners: 16 (67%)
Number of closed losers: 8 (33%)
Total closed trades: 24

Average win: £74.23
Average loss: -£157.63

2010 Win Loss Ratio: 0.47

2010 hasn’t been a good year. Although I’ve had twice as many winners as losers, I’ve clearly taken profits too early as the average loss is more than twice the size of the average win. Which accounts for why the year has been completely flat profit wise on the overall account. I think it can be explained to a certain extent by my bad decision to keep open my position in natural gas for a whole year and average into the losing position 4 times. This accounts for 62.5% of my losing trades this year in only one area. It was a big mistake and my account has paid the price for it.

Overall it’s given me a lot to think about on how to turn this around for next year. But I think it’s a very useful metric to apply and will be using it regularly from now on.
 
Last edited:
Weekend Update

A fairly decent performance this week of +2.73% after last weeks re-balancing in my portfolio. So have recovered the -1.51% from last week. The re-balancing seems to have had the desired effect so far, as the portfolio is finally going in the same direction as the S&P 500 and my aim now is to try and outperform it over the next year and grow my equity by 10%+. One problem though is that my personal situation forced me to have to withdraw £1000 from the account this week, so I’m kind of back at the beginning again, as that was all my profit to date plus some more. It is frustrating, as I never wanted to take any money out of the ISA until I’d made significantly more profit, but these things happen and I’m confident I can get back to where I was soon.

S&P 500
Another warning sign on the S&P 500 daily chart for me is that the safezone stop has dropped a bit after rising for the last two weeks. This can sometimes be a sign that the market is going to drop a bit, but not always. But, I’m in favour of the seasonal influence taking hold this week and the so called Santa Claus rally. So for this week I’m still in the bullish camp. But the new high new low situation is getting worse, so I think there could be some selling the following week especially as it’s year end. Intermediate term still looks good to me. The breakout level has held so far and volume is above it’s moving average, so I’m still bullish for the new year.

US Economic Data – the week ahead
Looks like not a lot of data next week from the states. Wednesday and Thursday have the bulk of important data and markets are closed on Friday.

Wednesday
GDP*
Existing Home Sales*
EIA Petroleum Status Report

Thursday
Durable Goods Orders*
Personal Income and Outlays*
Jobless Claims
Consumer Sentiment
New Home Sales

*most important
 

Attachments

  • SP500_Weekly_17-12-10.png
    SP500_Weekly_17-12-10.png
    138.6 KB · Views: 182
  • Relative-vs-SP500_17-12-10.png
    Relative-vs-SP500_17-12-10.png
    26.9 KB · Views: 171
  • Equity-Curve_17-12-10.png
    Equity-Curve_17-12-10.png
    59.1 KB · Views: 173
  • Open_trades_17-12-10.png
    Open_trades_17-12-10.png
    7.1 KB · Views: 175
2010 Trades Review

I’ve decided to do a review of all my trades that I opened and closed during 2010, so that I can hopefully see where I went right or wrong and how to do better in future. There were 15 trades in total so it might take me a while to put them all up and analyze them in detail. But I think it will be a very good exercise that will give me some insight into my weaknesses as a trader, so will be worth the effort.

Trade No 41

Ticker: PHAU (ETFS Physical Gold)

Entry
Entry Date: 4/1/10
Offer Price: £68.0098 ($109.84 @ FX rate 1.6151)
Amount: 14 Shares
Entry Commission: £11.50
Stamp Duty: £0.00
Total: £963.64

rValue Zone: Below
Entry Grade: 68% – Above 50% is good (Calculation: High-Entry price / High-Low)

Entry Analysis – see 1st chart
Gold had made a 12% pullback from it’s December high of $120.84 and was rebounding. Weekly indicators were all in a downtrend but rebounding from their lows. Daily indicators were in the same position. This is not an entry I would take on a longer term position now though. I would use it for a short term trade, but would be suspicious of it being the low as it was the first rebound after the drop from the high which tends to be retested. i.e an A-B-C correction.

Exit
Exit Date: 19/2/10
Bid Price: £71.1194 ($109.55 @ FX rate 1.5404)
Amount: 14 Shares
Exit Commission: £11.50
Total: £984.17

Profit/Loss: £20.53
Percentage Gain/Loss: 2.13% (-2.56% in dollars)

Exit Grade: 19% – Above 50% is good (Calculation: Exit-Low / High-Low)
Trade Grade: B

Exit Analysis – see 2nd chart
The correction in actual fact turned out to be a 5 stage abcde correction and dropped another 9.3% below my entry price before rebounding strongly for 2 weeks. I think I must have been grateful to get back to even and the price action looked to be weakening again so I got out of the position incase there was another retest of the lows. Looking at the exit chart now, it looks more like what I now use for an entry signal. As price has broken above the weekly RSI downtrend resistance line, so I would be looking for this line to be retested and would go long if it held. I was lucky that the pound fell against the dollar during the same period as otherwise I would have made a loss.

Follow up Analysis – see 3rd chart
I’ve moved the chart on 3 months to see what would have happened if I kept open the position. The price rallied 12.4% in dollars to a high of $123.43 with only a few percent pullback after I sold in February. Indicators are starting to show negative divergences and gold is usually flat in the summer doldrums due to lack of physical demand, so a time to sell or hold for a longer term play.

Lessons from this trade
I got in too early in the correction. I didn’t wait for the major downtrend trend line to form, then let fear get the better of me and chose to get out for a small profit when I should have held my nerve. The B grade wasn’t deserved as it was purely from the fall in the pound against the dollar.

The charts are attached below.
 

Attachments

  • PHAU_Entry_4-1-10.png
    PHAU_Entry_4-1-10.png
    133.1 KB · Views: 195
  • PHAU_Exit_19-2-10.png
    PHAU_Exit_19-2-10.png
    136 KB · Views: 174
  • PHAU_Followup_28-5-10.png
    PHAU_Followup_28-5-10.png
    143.5 KB · Views: 198
2010 Trades Review

Trade No 42

Ticker: CRUD (ETFS Crude Oil)

Entry
Entry Date: 28/1/10
Offer Price: £15.49 ($25.19@ FX rate 1.6259)
Amount: 63 Shares
Entry Commission: £11.50
Stamp Duty: £0.00
Total: £987.37

rValue Zone: Below
Entry Grade: 9% – Above 50% is good (Calculation: High-Entry price / High-Low)

Entry Analysis – see 2nd chart
Price had fallen to a recent low and was below the 200 day SMA but above the 252 day SMA. A good place to get in for a long term position. This is also shown by the 1st chart from the Moore Research Center which averages the spot price over the last 15 and 25 years. This shows that December and February are generally the best time of year to get into an oil position as are the seasonal lows. However, the CRUD ETF had been underperforming the spot price by a long way due to contango issues with how the ETF price is calculated. So I was looking for a short term bounce to the 22 day EMA area. Technicals were around oversold levels, but the price was still falling. So I was a bit hasty with the entry I think and should have waited for the price to not make a new low.

Exit
Exit Date: 3/2/10
Bid Price: £16.3325 ($26.03 @ FX rate 1.5937)
Amount: 63 Shares
Exit Commission: £11.50
Total: £1017.45

Profit/Loss: £30.08
Percentage Gain/Loss: 3.05% (1.07% in dollars)

Exit Grade: 0% – Above 50% is good (Calculation: Exit-Low / High-Low)
Trade Grade: A+

Exit Analysis – see 3rd chart
It only took 4 days for the bounce to happen. I can’t remember why I sold, but the price had reached the target area and it was a Wednesday, which is when the EIA oil inventories data comes out, so I think it was because of a bad report that chose to get out quickly. This would explain the 0% exit grade as the bid/offer spreads are generally widened massively when the data is released. It was a good short term trade that would have been excellent in my spreadbetting acount, but the fees and spreads in the ISA are not suitable for trading like this, so it was a bad trade in that respect.

Follow up Analysis – see 4th chart
Oil dropped off sharply for 3 days after I sold, but it then found a base around 252 day SMA and rallied steadily till the end of April making around 20% gain from the lows to highs. But then the BP disaster happened and it sold off heavily again breaking below the uptrend line from February.

Lessons from this trade
Don’t do short term plays in my ISA as the fees are too high which stack the odds against you. Don’t use the CRUD ETF as the contango issues mean the prices will struggle in the long term to keep up with the spot price. Seasonal factors are important and should be considered for all trades, so look to buy oil and oil stocks in December and February if the price action supports it.

The charts are attached below.
 

Attachments

  • CRUD_Followup_4-6-10.png
    CRUD_Followup_4-6-10.png
    143.4 KB · Views: 172
  • CRUD_Exit_3-2-10.png
    CRUD_Exit_3-2-10.png
    145.6 KB · Views: 183
  • CRUD_Entry_28-1-10.png
    CRUD_Entry_28-1-10.png
    141.4 KB · Views: 180
  • Seasonal 25 year OIL.gif
    Seasonal 25 year OIL.gif
    30.6 KB · Views: 221
2010 Trades Review

The third trade this year was another attempt to play crude oil during it’s seasonal low period in February.

Trade No 43

Ticker: CRUD (ETFS Crude Oil)

Entry
Entry Date: 8/2/10
Offer Price: £15.6041 ($24.36 @ FX rate 1.5611)
Amount: 63 Shares
Entry Commission: £11.50
Stamp Duty: £0.00
Total: £994.56

rValue Zone: Below
Entry Grade: 28% – Above 50% is good (Calculation: High-Entry price / High-Low)

Entry Analysis – see 1st chart
The entry point looks so so. Indicators are near overbought in some cases and are showing a few divergences on RSI and MACD. It is a bit early again I think, as it would be better to wait until the following day for confirmation by prices staying above the low and volume showing some buying interest. But price is near a support level and below the 200 day SMA so a reasonable entry point for a longer term trade, but risky for a short term entry without confirmation. I would only take this entry in my spread betting account with a tight stop now, as is too much risk that it’s not the pivot point.

Exit
Exit Date: 19/2/10
Bid Price: £17.1396 ($26.40 @ FX rate 1.5405)
Amount: 63 Shares
Exit Commission: £11.50
Total: £1068.29

Profit/Loss: £73.74
Percentage Gain/Loss: 7.41% (5.98% in dollars)

Exit Grade: 21% – Above 50% is good (Calculation: Exit-Low / High-Low)
Daily Keltner Channel Captured: 104%
Trade Grade: A+

Exit Analysis – see 2nd chart
Price moved up fairly well for 9 days through the moving averages. Indicators are all in positive positions and price action is still strong. I would hold on to this now as it looks like it could reach the top of the channel. I didn’t get a very good exit grade though only 21% above the days low. Profit was fairly good though, £73.74 (7.41% including fees) in two weeks I’m happy with. Though it looks like I should have held on longer.

Follow up Analysis – see 3rd chart
The price managed to rally another 10% or so after consolidating a bit, and then sold off at the end of April.

Lessons from this trade
It was a good short term trade and I’m pleased I got in at the pivot low, but again it’s the wrong type of trade for this account as, as I found out when I did my win loss ratio, my average loss in 2010 was -£157.63 and my Average win was £74.23. So I should be aiming for trades of 30% or more and not taking quick 7% gains.

The charts of the trade are attached below.
 

Attachments

  • CRUD_Entry_8-2-10.png
    CRUD_Entry_8-2-10.png
    144.5 KB · Views: 176
  • CRUD_Exit_19-2-10.png
    CRUD_Exit_19-2-10.png
    148.1 KB · Views: 183
  • CRUD_Followup_25-6-10.png
    CRUD_Followup_25-6-10.png
    146 KB · Views: 181
2010 Trades Review

The fourth trade this year was a misguided attempt to try and play natural gas again, but this time without leverage. I had already averaged into a losing position in leveraged natural gas 3 times. So I shouldn’t have added to my exposure even more with this trade. Hindsight is a wonderful thing, but hopefully I’ll learn from this and not make the same mistake in 2011. Here’s the trade.

Trade No 44

Ticker: NGAS (ETFS Natural Gas)

Entry
Entry Date: 25/2/10
Offer Price: £0.3161 ($0.48 @ FX rate 1.531)
Amount: 3135 Shares
Entry Commission: £9.00
Stamp Duty: £0.00
Total: £999.97

rValue Zone: Below
Entry Grade: 28.5% – Above 50% is good (Calculation: High-Entry price / High-Low)

Entry Analysis
Price action is falling. Technicals are all falling. Price near the previous support level which is off the chart at the previous all time low of $0.45. Entry was on the day natural gas inventories are announced, but I got in 2 hours before the report. So this trade was a gamble that the data would be good and price would rebound from the all time lows. A terrible entry.

Exit
Exit Date: 29/5/10
Bid Price: £0.2509 ($0.39 @ FX rate 1.554)
Amount: 3135 Shares
Exit Commission: £7.00
Total: £779.57

Profit/Loss: -£220.40
Percentage Gain/Loss: -22.04% (-20.21% in dollars)

Exit Grade: 25% – Above 50% is good (Calculation: Exit-Low / High-Low)
Trade Grade: F

Exit Analysis
Natural gas dropped through the support level and dropped 20% before making a base and rebounding. When the rebound failed I sold out for a bad loss of -22.04%.

Follow up Analysis
Natural gas went sideways through the summer and then broke down again and is currently near it’s lows.

Lessons from this trade
Trade energy ETFs carefully as the contango issue with the pricing means they have downside bias even when the spot market is going up. Think about the fundamentals and cut my losses sooner so that I don’t damage my account.

The chart of this trade is attached below.
 

Attachments

  • NGAS_Entry-Exit_29-4-10.png
    NGAS_Entry-Exit_29-4-10.png
    103.6 KB · Views: 171
2010 Trades Review

The fifth and seventh trades this year were more trades in the physical gold ETF.

Trade No 45 & 47

Ticker: PHAU (ETFS Physical Gold)

Entry 1
Entry Date: 24/3/10
Offer Price: £72.35 ($107.77@ FX rate 1.49)
Amount: 14 Shares
Entry Commission: £9.00
Stamp Duty: £0.00
Total: £1021.93

rValue Zone: Below
Entry Grade: 88%

Entry Analysis – see 1st chart
ABC correction from December 09 high to the February 10 low. Prices recovering above the major trend lines and a lower pivot high formed in early March 10. The trend line has held price below it for 3 weeks and price is now testing the 100 EMA. Major indicators are not giving too much away but some are nearing overbought areas. Price is 5% above the 200 day SMA and the February bottom was around 4% above the 200 day SMA. So the combination of the 100 day EMA and the relative distance from the 200 day SMA should provide a good level of support for the price. Looking back now, I was again a day early with this entry and didn’t wait for the price to turn up before buying. I’m starting to see a bit of pattern in my entries that I need to remedy. I’m trying too hard to catch bottoms of moves instead of waiting for the price action to indicate it has turned positive.

Entry 2
Entry Date: 1/4/10
Offer Price: £72.61 ($110.45@ FX rate 1.52.12)
Amount: 27 Shares
Entry Commission: £9.00
Stamp Duty: £0.00
Total: £1969.35

rValue Zone: Below
Entry Grade: 68%

Entry 2 Analysis – see 2nd chart
Price has broken above the second downtrend line from the Dec 09 high and indicators are now looking much more bullish. The relative support area at 5% above the 200 day SMA held and price is now in the relative value zone (this is the area between the two moving averages). Price is also at the second downtrend line in the RSI but hasn’t broken out yet, so a chance it could fail. Looking back at this entry, it was much better I think, as the bears were thinning out and it’s a 10 year seasonal low point for gold, so the breakout had to be bought I think, as the probabilities were good for higher prices.

Exit 1
Exit Date: 7/5/10
Bid Price: £79.57 ($118.80 @ FX rate 1.48977)
Amount: 14 Shares
Exit Commission: £2.39
Total: £1111.63

Profit/Loss: £89.70
Percentage Gain/Loss: 8.78% ( 8.99% in dollars)

Exit Grade: 71%
Daily Channel Caputured: 286%
Trade Grade: A+

Exit 2
Exit Date: 7/5/10
Bid Price: £79.57 ($118.80 @ FX rate 1.48977)
Amount: 27 Shares
Exit Commission: £4.61
Total: £2143.86

Profit/Loss: £174.51
Percentage Gain/Loss: 8.86% (6.83% in dollars)

Exit Grade: 71%
Daily Channel Caputured: 217%
Trade Grade: A+

Exit Analysis – see 3rd chart
Price has rallied through April 10 and has reached the upper channel line on the weekly chart. Is approaching the Dec 09 so I’d expect some selling from people soon. Relative strength isn’t as strong as it was in Dec 09 so looking toppy to me. Gold is usually flat to down in the summer period till August time. Looking at it now I think I might take half my position off instead of selling it all like I did and let the the other half play out. Is easy with hindsight though.

Follow up Analysis – see 4th chart
The summer doldrums were volatile and gold continued higher for a few months before selling back to were I sold out. If I held on to the half position it could have made another 8% or so in those few months. So I was too early again.

Lessons from this trade
1. Wait for price action to confirm a pivot point before jumping into the trade as I tend to try to catch the bottom too much.
2. Scale in to winning trades.
3. Take half off if I have a big enough position when I suspect a intermediate term top and let that carry on for longer.

The charts of this trade are attached below.
 

Attachments

  • PHAU_Followup_9-7-10.png
    PHAU_Followup_9-7-10.png
    142.8 KB · Views: 183
  • PHAU_Exit_7-5-10.png
    PHAU_Exit_7-5-10.png
    145 KB · Views: 184
  • PHAU_Entry_1-4-10.png
    PHAU_Entry_1-4-10.png
    138.5 KB · Views: 191
  • PHAU_Entry_24-3-10.png
    PHAU_Entry_24-3-10.png
    138.6 KB · Views: 176
Have you worked out roughly what your commission bill will be over the year and then what this would be as a % of your overall account.

Do that and you might find you're working for your broker rather than yourself.
 
Have you worked out roughly what your commission bill will be over the year and then what this would be as a % of your overall account.

Do that and you might find you're working for your broker rather than yourself.

It’s something I’m acutely aware of, and I’ve taken steps a few months ago to try and help limit the impact of the high fees I have to endure trading in an ISA. Because of the small account size of only £8k, I’m limited to a trade size of a minimum of roughly £1k. Which means the £12.50 per side accounts for 1.25% each time I buy and each time I sell, plus the spread, which I try to limit to below 0.5%. I’m now doing my active short term trading in a spread betting account and the idea with this portfolio is to hold the positions longer than previously and aim for a 30%+ per trade instead of taking quick profits after a 10% rise and getting eaten up by the fees. Longer term the solution is clearly more capital to trade with, so I can trade a bigger position size, which would bring the fees percentage down. I working on this with the aim of putting the max £10,200 ISA allowance in each year and compounding my returns.
 
Have you worked out roughly what your commission bill will be over the year and then what this would be as a % of your overall account.

Do that and you might find you're working for your broker rather than yourself.

The total cost of entry fees, stamp duty, and exit fees was £435.24 in 2010. So as the account opened at £7776 at in Jan 10. The fees percentage accounted for a 5.59% headwind this year.

The only option I can see is to trade less frequently while the account is small and try to put more capital in when I can.

If you have any suggestions I’d appreciate it?
 
Hi Tafita, I’d be interested to know how you calculate your sharpe ratio? I had my first go at it the other day as you will see in my previous post, so not sure if it’s right or not. So would be interested to know how you calculate yours?

Cheers

Apologies for the belated reply, I'm having PC issues which i think I have fixed.

In terms of Sharpe ratio, I calculate it on a monthly basis . Because I trade UK equities, i use the FTSE 100 as the benchmark index against which to measure my portfolio performance. Please try to stay awake for the next bit.

Step 1: calculate the % change differential at the end of each month (or whichever timeframe you choose). This is done by subtracting the monthly % change in the FTSE 100 from the monthly % change in my portfolio.

Step 2: Calculate the differential average. This is the average of the % change differential. So if in November the % change differential is 1% and in December it was 3% the differential average is 2%.

Step 3: Calculate the standard deviation of the % change differential. :sleep:. I cheat and use the =STDEV function in excel for this.

Step 4: Calculate the Sharpe ratio: This is the differential average divided by the standard deviation.:clap:.

As an aside, on the same spreadsheet I calculate the average monthly return of the portfolio and multiply it by 12 to get an annualised return. On a separate spreadsheet, I calculate the expectancy of my trading system as espoused by Van Tharp.

Hope this helps.

Tafita
 
Apologies for the belated reply, I'm having PC issues which i think I have fixed.

In terms of Sharpe ratio, I calculate it on a monthly basis . Because I trade UK equities, i use the FTSE 100 as the benchmark index against which to measure my portfolio performance. Please try to stay awake for the next bit.

Tafita

Thanks for that. I will give it a go and see if I can get it to work.
 
My advice - trade less frequently.

Look at a daily or weekly chart, see those bigger moves, those are the ones you want to be on. But you need to be prepared to give the market some room to move. Most can't do this because they think that every day means something. But many days are just pure random movements and mean nothing.
 
Thanks anley, that does look like the only option really. I’m reasonably happy with the portfolio at the moment, but I might need to make a few changes soon as the balance isn’t right and also would like to get back into Palladium when the time looks right. For example OILW was bought when the pound was at 1.50759 against the dollar back in April, GBP/USD is roughly 1.55 at moment but if it moves back up into the 1.65 trading range then that’s a 10% headwind I’d be battling against. My trade in OILW is currently around -8%, so even if Crude made a 20% move in the spot market I’d only just make it back to above breakeven on the trade. So I’ve been looking into UK stocks in the energy sector and think moving to something like Premier Oil (PMO) or Wellstream (WSM) – both breakout plays, might be better for the portfolio in terms of reaching the 30%+ I’m now targeting per trade. I’m also overexposed in the mining sector. I opened Antofagasta with the intention of replacing Vedanta in the portfolio, as it was performing more strongly. But Vedanta has since broken above it’s year long downtrend, so I’m at odds which to stick with now in the long run, but I do want to trim one of them as I’m too weighted in mining for my liking.
 
2010 Trades Review

Continuing my review of this years trades. My sixth trade back in March was in Silver. I like to use the physical silver ETF (PHAG) as it tracks the spot price very closely.

Trade No 46

Ticker: PHAG (ETFS Physical Silver)

Entry
Entry Date: 26/3/10
Offer Price: £11.19 ($16.67 @ FX rate 1.4898)
Amount: 88 Shares
Entry Commission: £9.00
Stamp Duty: £0.00
Total: £993.43

rValue Zone: Below
Entry Grade: 0.05% – Above 50% is good (Calculation: High-Entry price / High-Low)

Entry Analysis – see 1st chart
Price looked like it had made an ABC correction from the December high and had made a move back above it’s moving averages and was now pulling back to the mid point on light volume. All indicators looked to have bottomed and were now all around their mid points as well. So as the volume was light on the current down move and it was seasonally a good point to buy in precious metals I went long on the first daily move up. My entry wasn’t good though as I was only 1 point away from the high of the day.

Exit
Exit Date: 11/5/10
Bid Price: £12.47 ($18.86 @ FX rate 1.5405)
Amount: 88 Shares
Exit Commission: £7.00
Total: £1090.21

Profit/Loss: £96.78
Percentage Gain/Loss: 9.74% (10.54% in dollars)

Exit Grade: 88% – Above 50% is good (Calculation: Exit-Low / High-Low)
Daily Keltner Channel Captured: 153%
Trade Grade: A+

Exit Analysis – see 2nd chart
The weekly chart looks good still. Volume is up and technicals are in reasonable positions. I think the violent sell down must have spooked me and I took my profits as soon as it got back near the previous high in case of another strong sell off at that strong resistance level. Also silver tends to have a top in May before the summer doldrums in precious metals, so that would have been on my mind. My exit grade was good though this time at 88% of the days range.

Follow up Analysis – see 3rd chart
I was few days early with selling my position and probably should have waited for silver to retest it’s December high before exiting. But the follow up chart shows that it was a good exit on this occasion as the summer doldrums held silver in a tight range for months.

Lessons from this trade
I think this trade is a good example for me of using the seasonal information and the support/resistance lines for entries and exits. Obviously with the information I have now of silvers huge move in the last quarter, I would have be vastly better off holding the position. But the risk during the summer months of holding it were too great for me and I think risk is the most important thing to consider in every trade.

The charts of the trade are attached below.
 

Attachments

  • PHAG_Entry_26-3-10.png
    PHAG_Entry_26-3-10.png
    149 KB · Views: 174
  • PHAG_Exit_11-5-10.png
    PHAG_Exit_11-5-10.png
    155.3 KB · Views: 169
  • PHAG_Followup_16-7-10.png
    PHAG_Followup_16-7-10.png
    152.3 KB · Views: 185
Top