hi ian
lets do that to.. new thread do you think? (Grey's post above say 80% of your capital should be swing, this could/should be more important i guess)
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hi ian
lets do that to.. new thread do you think? (Grey's post above say 80% of your capital should be swing, this could/should be more important i guess)
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Running total (Day 6)
shorts total
-157cents
longs total
+27cents
attachment shows trades with postion sizing
not a good night
-$984
Account bal = $28,704
View attachment 31477
shorts total
-157cents
longs total
+27cents
attachment shows trades with postion sizing
not a good night
-$984
Account bal = $28,704
View attachment 31477
Last edited:
timsk
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Hi beflan,
I admire your openness in posting your trades and, especially your P/L account. It'll be interesting to hear Iraj's take on this but, IMO, you're trading too much size and therefore taking on too much risk. Take your LCK trade on day 6 for example. If this gaps down 50% overnight or is suspended from trading and then gaps down 50% when the suspension is lifted, it will wipe out 30% or $10,000 from your account. Ouch! Additionally, I'm not sure where your stops are, but I notice that the main damage to your account has been done by just 6 of your 36 trades to date - or 17% if you prefer: ISIL on day 1, VCLK and FFIV on day 4, BIG and CSIQ on day 5 and LCK on day 6. All show losses in excess of -U.S.$300.00. i.e. in excess of the golden 1% rule of available equity. I'm not saying what you're doing is wrong or that your strategy won't work in time - that's your business alone. But, if I were in your shoes, these are the issues that I'd want to keep a close eye on.
Tim.
Grey1
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Hi
I have not checked the pos size for any of the trades but I assume he is usingDAILY ATR . let see how a simple mean reversion concept works out in 15 trading days. I am trying to highlight the fact that Holy grail is in front of people eyes and instead of applying risk and money managment to the strategy to gain a long term advantage over the market they are trying to find a strategy which pays out no matter how poor the risk / money mangamnet is ,, TWO TRADERS BOTH WITH THE SAME STRATEGY CAN HAVE OPPOSITE RESULTS ,,, ONE BANKRUPT AND THE OTHER A WEALTHY MAN . BY THE WAY THIS IS A FACT AND NOT SUBJECT TO NEGOTIATION
Grey1
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Tim,
many thanks for your post, i can not thank guys like you and Grey enough for you comments... (ass kissing over)
the trades i post here are paper trades only (for now)
all trades are opened at 7:00pm ish Uk time and closed just before market close (therefore no issue with overnight gaps, suspension could be a problem tho)
on position size and stops, to test the strat (no money on the line yet) I've taken a very simple view,
1. no stops used (at least for the first 15 days)
2. a notional starting account of $30K with 25% margin (ie $120K funds to trade with)
3. as i'm both sides of the market the full funds (including profit/loss) will be put into action each night
4. Position size will = full funds available divided by 6 (ie 6 position per night i don't see the point of looking at ATR of position size, the way i see it, these stocks has gained/lost 5%-7% on the day and therefore equal positions in monetary value should be take in each position, the mean revision (if any) should be in proportion to the move on the day)
I think money management is more complicated than just risking 1% or less per trade (but i could be wrong)
hope this make sense
again thanks for your input (please feel free to criticize, its the only way i learn)
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Grey1
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Nope they are not ,, the least way of doing this by ATR and i was under the impression you done that . You cannot short 1000 HIGH ATR AND LOW ATR stock and expect a correct distribution of the risk. This might be the reason for having a losing day ,,
grey1
Grey1
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Nope they are not correct ,, the least way of doing thisis by ATR and i was under the impression you done that . You cannot short 1000 HIGH ATR AND LOW ATR stock and expect a correct distribution of the risk. This might be the reason for having a losing day ,,
grey1
another poor day:
shorts
-143cent
longs
-117cent
P/L as per attached
-$1,256
Account Bal = $27,448
View attachment 31547
shorts
-143cent
longs
-117cent
P/L as per attached
-$1,256
Account Bal = $27,448
View attachment 31547
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Trader333
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Belflan,
Have you got any way to measure ATR on each of your chosen stocks that you wish to trade as this will form the basis of your position sizing ?
If not then let me know and I will show you a way of position sizing each stock relative to its volatility. This will have a big impact on your profitability and keep your risk per trade the same.
Paul
Have you got any way to measure ATR on each of your chosen stocks that you wish to trade as this will form the basis of your position sizing ?
If not then let me know and I will show you a way of position sizing each stock relative to its volatility. This will have a big impact on your profitability and keep your risk per trade the same.
Paul
Hi Paul,
at the moment I've got only IB chart ATR indacator which i could use (but havn't as yet, as you can probibly see by my results, still early days tho)
if there's a way of setting out ATR on TWS in column format i havn't found it yet?
i've taken your advice about hyperservice, so should have TS2 running soon
thanks
thinking of risk
thanks again Grey 1,
will go through an exercise to see what would have happened if correct position sizing was to be used.
attached is a spread sheet with ATR's for the stocks i traded and the P/L made on each trade with my position sizing.
what is the calulation on ATR and price that should be used to give correct position sizing for this type of strat????
thanks
Glen
View attachment 31557
thanks again Grey 1,
will go through an exercise to see what would have happened if correct position sizing was to be used.
attached is a spread sheet with ATR's for the stocks i traded and the P/L made on each trade with my position sizing.
what is the calulation on ATR and price that should be used to give correct position sizing for this type of strat????
thanks
Glen
View attachment 31557
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timsk
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Hi Glen,
I confess that I've always struggled with the concept of ATR, so your question is best answered by Iraj, Paul or someone more proficient in its use than me. That said, it appears from your excel doc. that you're using daily ATR for an intra day trade. So, in the case of trade 1, day 1, AYI has an ATR of $2.00. If the entry price is $38.01, then your stop loss would have been at $36.01 (assuming 1 x ATR). On this basis, your position size would have been 150 shares. (150 x $2.00 = $300.00, i.e. 1% of total equity.) Clearly the position size is too small, so I would have thought that the ATR ought to be measured by the intra day timeframe you're using. If the trades are open and closed in the last two hour session, then I would have thought that it should be based on a maximum of 15 minute ATR. As I say, this isn't my field and I'm floating these ideas in the hopes that I'll get a better understanding from those that know what they're doing!
Tim.
