Trader Performance 2006 - 2009

[D70]

I have been trading for many years and because it is the New Year and all. I thought I would post some actual trading results.

I am constantly surprised by how secretive people are about their trading results. The only thing people are generous with is their comment and criticism. So here you go, something of substance. A real trading history from one of my FX strategies.

Maybe I will start a new trend!

www.tradingthehardway.com

 

[elitejets]

Thanks for sharing

 

[donaldduke]

What happened in Nov 07?

66% down month..

 

[D70]

What happened in Nov 07?

66% down month..

Hi Donaldduke,
This specific trading model was running a larger than normal risk % per trade and as you know, November 2007 was pretty much the eye of the storm! Hence the drawdown.

I was also, at that point in 2007, well ahead of expectation on the model so was expecting a "hit", as it were

 

[montmorencyt2w]

I have been trading for many years and because it is the New Year and all. I thought I would post some actual trading results.

I am constantly surprised by how secretive people are about their trading results. The only thing people are generous with is their comment and criticism.

Generous to a fault aren't we?!

Yes, thanks for sharing. As well as Nov 2007 (Ouch!), what happened in 2009?
Seemed to go downhill after January.

Presumably you have other strategies? Maybe you were concentrating on them instead.

 

[D70]

Generous to a fault aren't we?!

Yes, thanks for sharing. As well as Nov 2007 (Ouch!), what happened in 2009?
Seemed to go downhill after January.

Presumably you have other strategies? Maybe you were concentrating on them instead.

Hi Montmorencyt2w,
I wasnt too bothered with Nov 2007. I had other strategies that filled this gap. I still think that a drawdown is part and parcel of almost any strategy, maybe not to the depth that I took mine but I wasnt too fussed. I probably could have sucked in the risk quicker but that wasnt really the goal, the goal was to run the method.

And as you have pointed out, the 2009 era caused me most concern because I could see my advantage slowly being eroded. Hence I wrapped it up and stopped trading this method.

 

[Martinghoul]

Quick questions for you...

Firstly, it's not great when you have side-pockets, i.e. "other strategies that filled this gap", as you put it. Looks just a bit suspect.

Secondly, have you tried to calculate your achieved (ex-post) Sharpe ratio? As someone who has been trading many years, you should be able to quantify your performance well, I expect.

 

[montmorencyt2w]

Hi Montmorencyt2w,
I wasnt too bothered with Nov 2007. I had other strategies that filled this gap. I still think that a drawdown is part and parcel of almost any strategy, maybe not to the depth that I took mine but I wasnt too fussed. I probably could have sucked in the risk quicker but that wasnt really the goal, the goal was to run the method.

And as you have pointed out, the 2009 era caused me most concern because I could see my advantage slowly being eroded. Hence I wrapped it up and stopped trading this method.

Thanks for the update.
As an outsider, and not knowing the background, purely from the numbers, it looks rather as though you never quite recovered from that loss in Nov 2007.

Still, if it's any small consolation, for a chastening experience I have just spent an hour or so reviewing an old, semi-dormant account of mine, and the wins and losses over a year or more. It was "only" a few thousand in both directions, not tens of thousands like you, but still a roller coaster, and lots of lessons in how not to do it. I could give a masterclass in that, although I'd still be my own worst pupil.

 

[D70]

Quick questions for you...

Firstly, it's not great when you have side-pockets, i.e. "other strategies that filled this gap", as you put it. Looks just a bit suspect.

Secondly, have you tried to calculate your achieved (ex-post) Sharpe ratio? As someone who has been trading many years, you should be able to quantify your performance well, I expect.

Hi Martinghoul,

I sense sarcasm in your post?

So anyway, your first sentence isnt a question so I wont reply to that.

However, regarding the sharpe ratio. No, I have not calculated it.
From what I know, one only calculates the sharpe ratio when they need to benchmark themselves (or a potential investment). I had no need for that. Plus, i always feel it's a bit like VaR, the stats guys love it but it doesnt improve your month to date. :|

To quantify my performance I was just running a number of stats, more out of interest and to check all was going according to plan and to spot if any trouble points were on the horizon. So i had a breakdown of all the trades, ie. number of, wins, losses, % win rates and so on. I was also then remodelling the results taking out the effect of compounding. These were the only items i felt were needed to quantify my performance.

Please kindly note that I am more interested in provoking others to post results than for us to pick my first offering to shreds. But forums will be forums.

 

[Benton D Struckcheon]

I'd post mine but there's no point: I was one of the victims of the crisis, as it were. I'd evolved what I thought was a really kewl system that worked kinda sorta like a quant system, and of course it suffered from the exact same flaw theirs did: it assumed a more or less normal (actually lognormal) distribution of prices, which as we should now all know, is just not right.
Got murdered, as a result. First time that happened to me in, well, a long time.
So, I've gone back to simple and stupid, the stuff that made me money before this system blew me sky high. Leave the quant stuff to the quants, assuming even they know how to handle it.
Pareto distribution is a better representation, and I like it more these days, but it's not part of my model assumptions. I just use it to analyze test results in a simplistic way, if that's the distribution that falls out, that is. If a normal distribution falls out, I'll use that to analyze the results.
No more assumptions. No more (needless) complexity.

 

[D70]

I'd post mine but there's no point: I was one of the victims of the crisis, as it were. I'd evolved what I thought was a really kewl system that worked kinda sorta like a quant system, and of course it suffered from the exact same flaw theirs did: it assumed a more or less normal (actually lognormal) distribution of prices, which as we should now all know, is just not right.
Got murdered, as a result. First time that happened to me in, well, a long time.
So, I've gone back to simple and stupid, the stuff that made me money before this system blew me sky high. Leave the quant stuff to the quants, assuming even they know how to handle it.
Pareto distribution is a better representation, and I like it more these days, but it's not part of my model assumptions. I just use it to analyze test results in a simplistic way, if that's the distribution that falls out, that is. If a normal distribution falls out, I'll use that to analyze the results.
No more assumptions. No more (needless) complexity.

Hi Benton,
Thanks for the post. I always find them excellent.
If I may dare you, why dont you post a graphic or numbered demonstration of your blow up? It would be good for all to see. The rise and fall, as it were. I am trying to fill this gap of knowledge that just isnt there for people.

ie. What do real equity curves look like!!

 

[Martinghoul]

Hi Martinghoul,

I sense sarcasm in your post?

So anyway, your first sentence isnt a question so I wont reply to that.

However, regarding the sharpe ratio. No, I have not calculated it.
From what I know, one only calculates the sharpe ratio when they need to benchmark themselves (or a potential investment). I had no need for that. Plus, i always feel it's a bit like VaR, the stats guys love it but it doesnt improve your month to date. :|

No sarcasm was intended... It just that it's always distressing to find out that losses are not really losses, 'cause they're hedged by some back-book trades that were never mentioned when the original strategy was being discussed. It's not good for credibility.

As to the Sharpe, I believe you're wrong there. Whatever other statistics you collect, your ex-post Sharpe ratio is a) easy to calculate (so not at all like VAR); b) is, arguably, the best overall characterization of your edge (certainly much better than % of winners etc).

Finally, I'd love to reciprocate and post my results, but, alas, it's not possible.

 

[D70]

Hi Martinghoul,

To solve your credibility issue, let us assume there are no "outside trades" (I left them out of the posted results for that very reason).

So what would a person do with his sharpe ratio once calculated?
And how would it help you trade your advantage?

Thanks.

EDIT: Just done very quick sharpe ratio calc for you Martinghoul)

Assuming the 3 month t-bill to be 0.8%.

My sharpe ratio is as follows:

1st year: 3.7
2007: 2.1
2008: 1.5

 

[Benton D Struckcheon]

Hi Benton,
Thanks for the post. I always find them excellent.
If I may dare you, why dont you post a graphic or numbered demonstration of your blow up? It would be good for all to see. The rise and fall, as it were. I am trying to fill this gap of knowledge that just isnt there for people.

ie. What do real equity curves look like!!

I'd have to go back through all my old trading recs, which, you know, I'd rather not do.
Think of the path of a ballistic missile, since that's about what it would look like.
Actually, that would be a real good analogy: the blow-up comes at the end! :cheesy:

 

[Kyu]

I'd have to go back through all my old trading recs, which, you know, I'd rather not do.
Think of the path of a ballistic missile, since that's about what it would look like.
Actually, that would be a real good analogy: the blow-up comes at the end! :cheesy:

What a great analogy. I loled!

 

[amnonco]

Hi Martinghoul,

To solve your credibility issue, let us assume there are no "outside trades" (I left them out of the posted results for that very reason).

So what would a person do with his sharpe ratio once calculated?
And how would it help you trade your advantage?

Thanks.

EDIT: Just done very quick sharpe ratio calc for you Martinghoul)

Assuming the 3 month t-bill to be 0.8%.

My sharpe ratio is as follows:

1st year: 3.7
2007: 2.1
2008: 1.5

sharpe ratio is not a good way for us trader to compaer ourselves to benchmark funds or cta pools...
upside volatility hinders sharpe ratio.
try calculating sortino ratio instead.

good luck

 

[Martinghoul]

Hi Martinghoul,

To solve your credibility issue, let us assume there are no "outside trades" (I left them out of the posted results for that very reason).

So what would a person do with his sharpe ratio once calculated?
And how would it help you trade your advantage?

Thanks.

EDIT: Just done very quick sharpe ratio calc for you Martinghoul)

Assuming the 3 month t-bill to be 0.8%.

My sharpe ratio is as follows:

1st year: 3.7
2007: 2.1
2008: 1.5

Well, Sharpe allows you to benchmark yourself, in a broad sense, against other traders.

Notwithstanding the various well-known minor flaws of Sharpe (see the other post about the Sortino ratio), in my view it's a very good general benchmark that can measure your risk-adjusted returns. In fact, that's the whole point. Your returns, in and of themselves, are meaningless numbers, unless you specify how much risk you were running to generate them.

 

[D70]

So, back to the point of this thread.

Is anyone up to posting some results?

 

[Benton D Struckcheon]

Found a spreadsheet with weekly results. This was me, 2003 - 2007 (in total return terms):

....and this is the SP 500:

Apparently, I was tracking the SP 500 quite closely before disaster struck. A bit behind, but not by much, which is fine, since I never risked everything, not by a long shot.
I do remember that once things really began to go south, I stopped keeping this spreadsheet, which was, I am sure, just one of the many stupid things I did in 2008.
OTOH, I did make a ton by accident in a different, more speculative account. The accident was a bit like Mrs. Packletide's Tiger (but without the incidental expenses). I'll describe that in my journal, where I suppose I should introduce my trading history a bit more fully.

 

[montmorencyt2w]

So, back to the point of this thread.

Is anyone up to posting some results?

I may do, if I can get it into a suitable format, similar to what you posted.
There won't be any fancy analysis, and I'm only doing it to stop your nagging

It includes some unwarranted good luck and some bad luck.
At no point will I claim it includes anything in the way of good trading.