Strategy Results for the Week
It was another difficultﾃつperiod to be buying strength, yet the strategy turned out another profitable week. It didﾃつregister the first loss since May 19th, yet it was very small. I was uncomfortable being long, and therefore took half positions. I also closed out the trades early due to going out of town, and my overwhelming sense that the markets were going to tank. Obviously it turned out to be the right move to make. Had I not closed the trades out early, they would have stopped out for losses.
It is easy to see from charts that mean-reversion strategies will get killed during a significant market move oneﾃつdirection or the other. I am well aware of that reality and am glad that I used my override to ensure I did not stay long into a free fall.
| TradeStation Performance Summary | |
| ﾃつ | ﾃつ |
| ﾃつ | All Trades |
Long Trades |
Short Trades |
| Total Net Profit | $87.99 | $87.99 | $0.00 |
| Gross Profit | $155.39 | $155.39 | $0.00 |
| Gross Loss | ($67.40) | ($67.40) | $0.00 |
| Profit Factor | 2.31 | 2.31 | n/a |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
| Total Number of Trades | 4 | 4 | 0 |
| Percent Profitable | 50.00% | 50.00% | 0.00% |
| Winning Trades | 2 | 2 | 0 |
| Losing Trades | 2 | 2 | 0 |
| Even Trades | 0 | 0 | 0 |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
| Avg. Trade Net Profit | $22.00 | $22.00 | $0.00 |
| Avg. Winning Trade | $77.70 | $77.70 | $0.00 |
| Avg. Losing Trade | ($33.70) | ($33.70) | $0.00 |
| Ratio Avg. Win:Avg. Loss | 2.31 | 2.31 | n/a |
| Largest Winning Trade | $140.00 | $140.00 | $0.00 |
| Largest Losing Trade | ($51.18) | ($51.18) | $0.00 |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
| Max. Consecutive Winning Trades | 2 | 2 | 0 |
| Max. Consecutive Losing Trades | 2 | 2 | 0 |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
| Max. Shares/Contracts Held | n/a | n/a | n/a |
| Total Shares/Contracts Held | 179 | 179 | 0 |
| Account Size Required | n/a | n/a | n/a |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
| Return on Initial Capital | 0.18% | ﾃつ | ﾃつ |
| Annual Rate of Return | 12.53% | ﾃつ | ﾃつ |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
| Return Retracement Ratio | n/a | ﾃつ | ﾃつ |
| RINA Index | n/a | ﾃつ | ﾃつ |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
| Trading Period | 5 Dys, 2 Hrs, 59 Mins | ||
| Percent of Time in the Market | 98.58% | ﾃつ | ﾃつ |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
|
Max. Equity Run-up(Daily)
|
$208.44 | ﾃつ | ﾃつ |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
|
Max. Drawdown(Daily)
ﾃつ |
|||
| Value | ($120.45) | ($120.45) | $0.00 |
| Net Profit as % of Drawdown | 73.05% | 73.05% | n/a |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
|
Max. Drawdown(Trade Close)
ﾃつ |
|||
| Value | ($67.40) | ($67.40) | $0.00 |
| Net Profit as % of Drawdown | 130.55% | 130.55% | n/a |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
| Max. Trade Drawdown | ($120.52) | ($120.52) | $0.00 |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
| ﾃつ | ﾃつ | ﾃつ | ﾃつ |
Wood,
How important is the discretionary element in relation to the mechanical element? [In your RSI<2]
The advantages of a mechanical [quantitative] system is that it removes the bias from trading.
jog on
duc
Is this in 000’s?
Duc, the discretionary element is not that important, unless one chooses to ignore the best possible parameters for taking the trades. Of course, ignoring the best possible parameters allows for more opportunities, but increases the chance of drawdowns. So when the market conditions are more aligned with optimum parameters, the system should be run completely mechanically. When trades are taken that have shown to have a greater chance of smaller avg. wins and larger avg. losses (the environment we are in right now) the discretionary element becomes very important.
Boomer, no, the returns are exactly as shown. As I stated in the post, I used smaller position sizing and took profits early. Had I had the entire amount of capital in the market, the returns would be roughly 4x as large.
Gotcha. I have been doing smaller lots too. Too much risk. 50% cash at all times, no margin, small lots, no more than 5 tickers. 100% cash every friday, usually 100% cash by the daily close.
Yeah, that’s been pretty much my MO. I still have not had the entirety of the cash in my strategy account “all in.” As I get more comfortable with the strategy and the market gets to more optimum conditions, I’ll likely get to all in.