Insider Information - Level playing field.

[ukdaytrader]

expectancy was £600-800 a day, reduced after I got wacked taking too much risk so now re-aiming at £200 -300 a day consistently before I increase the risk again.

My limits are too low so the although the number of wins is relatively high around 80% the return is so low on each one. My stop and limits are too skewed. The stop I allow for volatility, the limit I take a small profit.

 

[Trader333]

I should have explained what I meant by expectancy. Have you studied a large number of trades and determined:

1) What percentage will be profitable
2) What the profit will be for winning trades
3) What the loss will be for losing trades
4) Position sizing based on risk of ruin determined from the above


Paul

 

[Technically Fundamental]

I would suggest that, and I am wildely more pessimistic than post people, day to day you ought to be able to exit any normal sized position within 600 ticks, and that includes massive slippage, the exchange going down, you having a heart attack, etc etc...

IIRC Ftse overnight margins are around 350 ticks.

600 ticks per day?

how many markets are you watching?

 

[ukdaytrader]

Trader thanks for the pointer, I will do this over the next few days and post my results.

 

[ukdaytrader]

Below

Data - number of trades over a period of time - that resulted in profit or loss

Count - Profit 576
Count - Loss 83



Filter - max profit or loss on this sample

Data
Max - Profit 1075.16
Min - Loss -1597.87
Total Max - Profit 1075.16
Total Min - Loss -1597.87




Filter - average profit / average loss

Data
Average - Profit 75.85
Average - Loss -210.01
Total Average - Profit 75.85
Total Average - Loss -210.01

 

[ukdaytrader]

This is over a 30 day period including non business days.

It is a bit more complicated with my portfolio - so in terms of let say sizing I my take 50k of exposure on an equity, but offset 50k against another. So in this case although I have 100k exposure, in fact the absolute risk to be is somewhat limited. The risk is in this case as I perceive is determined by the difference in their betas (Im sure there is a better way of doing this, probably through co-variance or something but I havent thought this through - any advice would be great !)

 

[TheBramble]

Your expectancy is than +35.83 per trade. Not bad.

What about max drawdown?

If it's scaleable you could do well.

 

[ukdaytrader]

Bramble it is scalebale and depends on the cash available to risk. To get a better feel for what is going on we need to look at the distribution of the returns. I haven't quite done this yet.

The idea is to run this for 6 months before I sell my wife to an Arab and use the proceeds to bump up my capital.

About 30% of the strategy is based on news....but I dont take huge risks on this.
Another 20-30% is based on index / direct cash or options.

These two above account for lots of little gains

But the bulk of the strategy and returns comes from the equity analysis. Identification of under / over or distressed companies. This research takes an age to do (up to a couple of days), and sometimes you miss the opportunity whilst doing this or you make a decision that you dont' know what to do (i.e. current value = fair value) and therefore dont trade.

These equity trades result in the chunky gains i.e. 500 - 1000. 4 or 5 in month can yield good returns but sometimes the positions need to be held for some time (20+ days) and absorb my capital.

 

[ukdaytrader]

I also can't help thinking that we are in a 'lucky' period with so much volatility that stocks go in and out of fashion on a day to day basis that provides a lot of opportunities for them to become under / over valued against their peers. This may not be the case say in 12 months time.

 

[Technically Fundamental]

Bramble it is scalebale and depends on the cash available to risk. To get a better feel for what is going on we need to look at the distribution of the returns. I haven't quite done this yet.

The idea is to run this for 6 months before I sell my wife to an Arab and use the proceeds to bump up my capital.

About 30% of the strategy is based on news....but I dont take huge risks on this.
Another 20-30% is based on index / direct cash or options.

These two above account for lots of little gains

But the bulk of the strategy and returns comes from the equity analysis. Identification of under / over or distressed companies. This research takes an age to do (up to a couple of days), and sometimes you miss the opportunity whilst doing this or you make a decision that you dont' know what to do (i.e. current value = fair value) and therefore dont trade.

These equity trades result in the chunky gains i.e. 500 - 1000. 4 or 5 in month can yield good returns but sometimes the positions need to be held for some time (20+ days) and absorb my capital.

Seems like you're trading exactly how I would like to trade if I had the cap lol.

May I ask how much capital per equitiy to make those kinds of gains?

 

[TheBramble]

What has been your max drawdown? I agree with your comments that you may just have been lucky. How will you know?

 

[ukdaytrader]

Drawdown ? capital ? I keep it topped up at around 50k

 

[ukdaytrader]

Seems like you're trading exactly how I would like to trade if I had the cap lol.

May I ask how much capital per equitiy to make those kinds of gains?

Do it on paper, go to the bank and borrow it, if you think your strategy is good enough. No one in this world made money by saving it up. Any millionaire will tell you ....borrow at 8% and earn 25%. You make the difference.

Given your basic accounting knowledge this is something that you should fully understand.

You can also use a lot of techniques to hedge / de-risk your position for that event that Arabian nights lies awake thinking of.

 

[Technically Fundamental]

Do it on paper, go to the bank and borrow it, if you think your strategy is good enough. No one in this world made money by saving it up. Any millionaire will tell you ....borrow at 8% and earn 25%. You make the difference.

Given your basic accounting knowledge this is something that you should fully understand.

You can also use a lot of techniques to hedge / de-risk your position for that event that Arabian nights lies awake thinking of.

True. Loans/inheritance are the main factor I see millionaires get a good foothold. Most other people who have good businesses live basically hand to mouth (comparitavely) or the high earners get killed by the 40%.

I've always liked the idea of making it on my own steam but with such a small amount of equity its impossible to get a feel for the market and as far as I'm concerned all this s/b 10p/pip is a waste of time.

You'd deffo given me something to think about.

 

[TheBramble]

Drawdown ? capital ? I keep it topped up at around 50k

OK. What's the MOST you've had to put in to keep it topped up at the 50k level?

And why do you need to keep it topped up with additonal funds if it's performing according top the data you supplied earlier? I'm now confused.

 

[ukdaytrader]

I take cash out if its not needed and put it back in when I need to. It started with 30k and now its 50k. Hence I was saying earlier the amount in the account size is not relevant. If I wanted to trade something particular I may put more in to fund the trade and take it back out later. If I dont need the cash I take it out.

 

[TheBramble]

Do you understand what I am asking you for?

Do you understand what drawdown is?

What is the largest amount you've ever been down compared to your previous starting level regardless of how much you've put in or taken out?

 

[Technically Fundamental]

Do you understand what I am asking you for?

Do you understand what drawdown is?

What is the largest amount you've ever been down compared to your previous starting level regardless of how much you've put in or taken out?

You mean what is the most he has lost before needing to top his account back up to 50k

 

[ukdaytrader]

I've never had to put in money since the start i.e. I've not had a bad month yet, but I started off really carefully and slowly like £2.00 per point and equity purchases of £2k. Also there was significant luck attached to this as the S &P over the last few months has had record gains and the FTSE has recovered, which meant companies that were undervalued that I spotted rose even more as the market recovered. I also made quite a bit on some 3500 FTSE puts that I wrote earlier on in the year. This then meant that I was risking profits thereon which meant I could take a better approach to the risk.

So no injections have been needed to date, my profits have been getting bigger each month as well as the cumulative profits provide me with better cash to trade with.

 

[TheBramble]

I give up.