sjalmond's Blog

[sjalmond]

Week 11: Going up...

Position at end of Wk 10
===================
Total Value: +£309 (+£31/wk ave.)
Open: -£15 x4
Closed: +£324 (all, 31)
Largest Drawdown: £139
- Delta: £361
- Lots traded: 5

Position at end of Wk 11
===================
Total Value: +£375 (+£66 change. +£34/wk ave.)
Open: +£15 x5
Closed: +£360 (all, 33)
Largest Drawdown: £139
- Delta: £328
- Lots traded: 5
---
Closed: +£26 (Wk 11, 2)
- +£29 x5
- -£3 x5


Notes
=====
The FTSE went up this week - at last, a clear direction! - and I made some profit. It's surprisingly nice to have a positive week again. Thursday it slowed, and Friday it fell over. Rising oil prices are finally being reflected in earnings forecasts of non-energy stocks, and down the market comes. My weekly-position is still long but the daily position is in cash and will stay there until the market does something definite in one direction or the other. Emotion free, hands off, rules placed, I wait...

As I've said before, the above figures don't include my positions in Brent Crude or elsewhere. The September contract in Brent Crude has been good to me this week -- more than £600's-worth of good -- and that's lifted my mood, and my account, significantly. The very-short term graph is near-vertical and that just screams 'bubble' to me, as does the uniformly uber-bullish writings in the press. The only end I see in sight is news-related, i.e. picket-breaking activity from an OPEC nation or newly-viable fields or technologies revealed. As with the FTSE, my mid-term position is long and my short-term account will react to things as they come. Again, watch this place.


Steve

 

[sjalmond]

The death of my account

I've been trading my Capital Spreads demo account for (more than) eleven weeks now and the time's come to switch my attention to my real-money account(s). Next week's update post will be in a new format and will reflect all activity through my mid- and short-term accounts. At least, that's the plan.

It's time you all met my trading partner, too: Pudjim. Pud's a gerbil. I can't use his money, and I definitely don't trust his trading advice, but do use his name - all my short-term trades go through 'his' account. Segregating my short- and mid-term trades means I can simultaneously bet both ways on any market. The markets are fractal and what's a minor retracement on one scale is a tradeable move in a shorter time-frame - and Pud and I aim to take advantage of that.


Steve

 

[sjalmond]

My Trading Journal doesn't work

Well done, messirs T2W & Steenbarger, for Thursday's KLab article. You, gentle reader, have probably already read it; if you haven't, go do it now! My weekly journal on T2W is a recap and reflection on my week's trading, as recorded in my hard-copy journal. The KLab article made me go back and flick through my notepad, and made me realise I've stopped using my journal for, well, journalling my trades in favour of using it for calculating-by-hand the various numbers for the various trades I've made each day and recording my open and closed trades each day -- I've not linked the one to the other! An example:

Wednesday's US crude-reserves report pricked the oil-bubble and the US- and Brent- futures fell. Brent fell 4%. My orders closed my long for +£56 and opened a short position. I trade EOD, and it was obvious to me that evening that the fall was over-large; I expected a bounce-back to pre-fall levels. I placed orders to pyramid my short, or to turn and open a long position. What happened? The market went down... then up... then down... then up. Result? My short stopped out for +£117 (yay!) and the churn triggered all my orders - and all my stops - for a £224 loss (boo!). None of this is in my journal - just a string of numbers representing the market's moves and the values of my various orders. How does that help me analyse my trading, or to change my bad or reinforce my good habits? It doesn't.

Post script: I didn't know which way the market was going to go Friday. I was in doubt, and I kept out. The market? She went up to pre-fall levels - just like I'd forecast. This goes down as a success - cash is a position, and probably the right one to take at the time - but I'm annoyed I missed the 180p move I'd correctly predicted. Anyone got any good heuristics for this kind of situation? All suggestions considered!

I'm making some changes to my Trading Journal as a result of these reflections. This week, I'll be updating my orders on my weekly trades and recording those open & closed positions, then recording the markets' movements & deliberating on them, then planning my short-term trades. If this takes two pages of my notepad, so be it! I'll reflect on this again in the not too-distant future.

 

[sjalmond]

Not Week 12

This isn't Week 12. It may look like it. It may include a table headed 'Week 12', it may be a week after Week 11, and it may be an update to Week 11, but it isn't Week 12. Honest.

Position at end of Wk 12
===================
Total Value: +£418/lot (+£43/lot change. +£35/lot/wk ave.)
Open: +£20 x3
Closed: +£398 (all, 35)
Largest Drawdown: £139
- Delta: £301
- Lots traded: 5
---
Closed: +£38/lot (Wk 12, 2)
- +£18 x3
- +£20 x3

The reason this isn't Week 12 is because Weeks 1-11 were the performance of my Demo account, trading Capital Spread's FTSE 100 Rolling Daily on a EOD basis and trendlines drawn on the daily chart. The results quoted above aren't - though they are my closest approximation. This week's results are from my Real account. Look good, don't they? £38/lot/week, 5 lots, £190/week... Same order of magnitude as my salary.

Anyway. My next post will (should!) be the first results from my Real account(s). I'm logging my various trades on a custom spreadsheet and I'll quote some figures off there for your reading pleasure. As always, if there's something you don't understand or don't see, comment or PM me and I'll try and do something about it. Answers are the easy bit - it's getting the right questions that interests me.


Steve

 

[sjalmond]

Week 2.1: Boldly going...

This also isn't Week 12: this is Week 1 of the new reporting regime.

Daily Weekly
FTSE Brent FTSE Brent
Margin 45 130 80 325
Max Drawdown 260 2939 150 9798
To start 305 3069 230 10123
Risk tolerance 0.50 0.50 0.50 0.50
Delta 130 1469 75 4899
Risk (trigger) 10 40 35 190
Risk (stop) 5 30 15 75
Risk/Lot 15 70 50 265
Lots 7 1 9 1
Risk 104 51 463 265
Margin Req. 385 1037

Eq MaxD Weeks
--- --- --- ---
Capital Account 3000
FTSE Daily 185 -224 12
Brent Daily 406 -112 2
FTSE Weekly 0 0 1
Brent Weekly -139 -185 1
--- --- --- ---
Value 3452 -130

Ignores dividends & rolling transactions


In my humble opinion, this... sucks. Give me a moment, and I'll try something else:

Curve MaxDd Per bet MaxDd/bet MM
--- --- --- --- --- --- ---
Capital Account 3000 3000
FTSE Daily 557 -270 234 -60 53%
Brent Daily 406 -112 234 -112 174%
FTSE Weekly 0 0 0 0 100%
Brent Weekly -139 -185 -139 -185 100%
=== === === === ===
Total 3824 -142 3329 -89 92%

[Ignores dividends & rolling transactions]
['Total' drawdowns are averages]

Okay, maybe that makes more sense - or it will in a moment!

The first two columns are the 'actual' values of profit and max drawdown - that's the actual value of the pounds and pence in my accounts (ignoring dividents and the cost of rolling transactions). The 'FTSE Daily' has been running for 7 weeks, the others for two.

The next two columns are profit and max drawdown for the same accounts before money management, i.e. if an account's been trading two lots, the first columns show their profit/drawdown and these columns show these 'per lot'.

The final column is a heads-up measure of the effects of my money management, or of asymmetric leverage. It's just the ratio of the increase in profit to the increase in Max Drawdown. The FTSE Daily's increased its drawdown twice as much as it's increased its profits; the Brent Daily's worked the other way. The FTSE Weekly's not closed any trades and the Brent Weekly's only trading one lot anyway, so there's no difference between the 'actual' and 'per lot' columns.

So, how rich am I? Hard to tell. My guess is £148/week, increasing by £39/week average. That's not statistically valid - so don't phone me to ask for money - but it'll be an interesting figure for comparison. The 'per week' is a simple average of the equity curve; the 'plus per week, per week' is just Per Week divided by (Delta divided by per bet per week), i.e. per week divided by the number of weeks to increase the number of bets. Simple, yeah? PM or comment if you want that in long-hand!

Per Wk +/Wk/Wk
--- --- ---
FTSE Daily £85 £22
Brent Daily £205 £16
FTSE Weekly £0
Brent Weekly -£141
=== === ===
Total £148 £39


Speak to you next week,

Steve

 

[sjalmond]

Drat: Journal's still not working!

What am I like!? I write a long post about how I need to reflect more on my trades and what do I do? I write a long summary on statistics from my real-money accounts, and don't reflect on anything! I didn't even comment on the fact my 'FTSE Weekly' account hasn't closed a trade in two weeks, or the fact my 'Brent Weekly' account is losing money almost as fast as my other accounts are making it!

I feel... such a fraud. *hangs head*

It's almost 22:00 now, and I have to be up at 04:00 all this week for work, so I'm not going to write anything more now. Maybe tomorrow, maybe not. I'm not practising what I'm preaching, am I!?

Steve

 

[sjalmond]

The other shoe has dropped

I've been warned that, when everyone around me seems to be telling me that a stock HAS to keep going up, I should prepare for a fall. On the same tack, I guess I should have prepared myself for a fall in my account when I seemed to believe that my balance HAD to keep going up.

No gloss: I've lost my profit, and more besides.

I'd started trading my discretionary system without really thinking about it, i.e. mechanically, and it cost me £500 in a single day. I started thinking again, but obviously not enough - I lost another £600 today. The £500 hurt. The £600, strangely, doesn't. I guess I knew I was doing something wrong, or didn't know enough, and I'm not too surprised to be caught out. Yes, it's a lot of money, but - to be blunt - a) it's not all mine, some of it is profits, and b) I can make it back. First: back to school. Back to small stakes. Back to the research. Back to looking, and thinking, and waiting.

My next 'weekly' post will be for system 3, as system 2 isn't working - and never will. It worked okay in trends, and in range-bound markets, but it can't cope with the real world - QED, and RIP.

Anyone know where I can get historic data for FTSE futures? Ten years'-worth!?


Steve