Trader Performance 2006 - 2009

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Old Jan 13, 2010, 4:54pm   #1
D70
Joined Nov 2009
Trader Performance 2006 - 2009

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
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Old Jan 24, 2010, 10:53pm   #2
 
elitejets's Avatar
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Re: Trader Performance 2006 - 2009

Thanks for sharing
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Old Jan 25, 2010, 10:07am   #3
 
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Re: Trader Performance 2006 - 2009

What happened in Nov 07?

66% down month..
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Old Jan 26, 2010, 3:06pm   #4
D70
Joined Nov 2009
Re: Trader Performance 2006 - 2009

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Originally Posted by donaldduke View Post
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
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Old Jan 26, 2010, 3:46pm   #5
 
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Joined May 2008
Re: Trader Performance 2006 - 2009

Quote:
Originally Posted by D70 View Post
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.
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Old Jan 26, 2010, 5:39pm   #6
D70
Joined Nov 2009
Re: Trader Performance 2006 - 2009

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Originally Posted by montmorencyt2w View Post
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.

Last edited by D70; Jan 26, 2010 at 5:45pm.
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Old Jan 26, 2010, 6:05pm   #7
 
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Re: Trader Performance 2006 - 2009

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.
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Old Jan 26, 2010, 6:36pm   #8
 
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Re: Trader Performance 2006 - 2009

Quote:
Originally Posted by D70 View Post
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.
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--
Still learning my trade.

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Think of losing trades as your training fees.
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Old Jan 26, 2010, 8:51pm   #9
D70
Joined Nov 2009
Re: Trader Performance 2006 - 2009

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Originally Posted by Martinghoul View Post
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.

Last edited by D70; Jan 26, 2010 at 9:16pm.
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Old Jan 26, 2010, 9:43pm   #10
 
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Re: Trader Performance 2006 - 2009

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.
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Old Jan 26, 2010, 9:59pm   #11
D70
Joined Nov 2009
Re: Trader Performance 2006 - 2009

D70 started this thread
Quote:
Originally Posted by Benton D Struckcheon View Post
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!!
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Old Jan 26, 2010, 10:51pm   #12
 
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Re: Trader Performance 2006 - 2009

Quote:
Originally Posted by D70 View Post
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.
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Old Jan 26, 2010, 11:17pm   #13
D70
Joined Nov 2009
Re: Trader Performance 2006 - 2009

D70 started this thread 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

Last edited by D70; Jan 26, 2010 at 11:43pm.
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Old Jan 27, 2010, 7:56pm   #14
 
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Re: Trader Performance 2006 - 2009

Quote:
Originally Posted by D70 View Post
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!
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The wise man does at once what the fool does finally.
- Niccolo Machiavelli

...reclining in a comfortable chair with the dreamy, far-away look a volcano might wear just after it had desolated entire villages.
- Saki
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Old Jan 28, 2010, 9:47pm   #15
Kyu
 
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Joined Jun 2008
Re: Trader Performance 2006 - 2009

Quote:
Originally Posted by Benton D Struckcheon View Post
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!
What a great analogy. I loled!
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