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April 1st, 2008 by eyal | Filed under Day Trading, Trading Resources. |
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I don’t post daily results anymore, it’s not very meaningful and just adds to stress during drawdowns. But Here’s a snapshot of my total R return since August last year. Note the Jan - Feb chop/drawdown that I mentioned before. I then made some changes to my trading to adapt to the new environment. I included last year’s data mainly so it’s easier to see the Jan-Feb period in context. Also note that I was on vacation for most of December (only worked for 4 days) and Nov/Jan weren’t full working months either. The graph was generated using Stocktickr.
I’m also trialing Market System Analzyer which offers a wide array of statistics and position sizing simulation tools. Here are a few interesting stats for data since Jan 2007.
- Total Number of Trades: 731
- Profit Factor for all trades: 1.669
- Percent Profitable: 39.67%
- Max Number Consecutive Wins: 7
- Max Number Consecutive Losses: 11
- Win/Loss Ratio: 2.538
- Worst Case Drawdown (%) Equity Value: 5.922%
I’m very far from trading in the best way I can, both from a hard stats point of view as well as on a personal level. I don’t think it’s possible to trade in a 100% “optimal” way but there are certainly things I can and should continue working on. This is one of the fascinating and challenging aspects of trading, you never “arrive”, you just progress or regress.
MSA is a truly excellent piece of software, I use it regularly as a complement to my meagre programming skills in Excel.
Eyal,
That is a cracking worst case draw down..
Did I not read something correctly or were you going through some sort of trading crisis recently? :)
I mean… 5.9% is super good in my opinion..
I would have a stab in the dark and say that your average R would be close to or even under 0.5% if you are printing those sort of figures.
Well done!
Andrew - which parts of MSA do you find most useful? Do you actually apply those equity curve crossovers and dependency rules?
Your points about the R are correct, on average it’s slightly below the 0.5%. I like to keep drawdowns to the minimum even at the expense of rate of return. I don’t think I could stomach something like 20-25% drawdown. See that negatively sloping line over Jan and half of Feb? That’s the crisis :-) I guess it was 80% psychological and 20% a specific tactical aspect of trading. The late Feb and March recovery, and raw numbers, make it look like just a short tough period but while in that period the recovery didn’t seem as close it ended up being.. as Maoxian says, it’s a mental game.
Eyal I know what you mean. I’m the same in terms of tolerance to draw down and I think bet size is the key to controlling this apart from better trading!
I pay special attention to the parameter study linking max % DD and fixed fraction %. I like to monitor that slope and note where it crosses the 10%, 15%, 20% (etc) DD line and how that sloped line changes over time, I will gladly sacrifice extra $$ to have a chance at an early tell when my trading is broken.
I view the performance results and monte carlo results at different confidence levels periodically as well. Also I like the optimizer in terms of maxing out different variables such as profit factor and return/dd ratio. I use a small part of the software and have found it valuable enough to become a paid subscriber, it’s a great little helper for my trading.
I don’t pay any attention to crossover ideas and haven’t discovered anything significant with dependancy on my trades yet. With stocks there is what I call ‘tsunami risk’ (not really black swan as everyone knows they are out there) which is something like a suspension and a 50% gap against your which I still haven’t worked out how to accurately quantify (probably a 1 in 2-3-5 year event), and as my parcel size is very variable even at low FF% sizes I’m super cautious of this threat, best I have come up with so far is to add a 50% fudge factor to my max indicated DD and position size accordingly, otherwise I would be much more comfortable running a larger FF%.. Something you can probably do in FX or with index futures but not stocks.
Very interesting stuff. I need to study it closely. I only just started using MSA. I’ve not seen any dependencies either. And I’m not sure there’s a lot of value in the monte carlo. That assumes a random order of trades (if I understand it correctly) which doesn’t make much sense to me.
My worst nightmare is what you described in the Tsunami. Like you, even with intraday trading and a relatively low FF % the capital employed can be quite substantial relative to my account size. I was in a halted stock only once in the past and it turned down in my favor but it’s a scary situation. I don’t think there’s any way to avoid this. I can only think of one mitigation method and that is to keep additional reserves elsewhere to allow you to continue trading.