Week 2017-13 – Report

Screening

Again a little sloppy screening this week just because I was so focused on my research which suggested a gentle shift in my screening efforts. In any case, I did it daily, although the market was a little one-sided this week.

Execution

Execution was daily, but not flawless. On Wednesday I got a margin call as I forgot to cancel an order in the afternoon before leaving for some family time until after market close. I remembered too late and simply let it come, i.e. forced sell of one of my open positions. There was nothing I would not have done differently myself, so no damage at all, but definitely an avoidable error.

Then there was another error – I closed my short position on $XLF pre-market and forgot to cancel my existing SL order. There were at least 2 times during the morning I thought about doing it but was too busy and I eventually forgot. When I noticed, my SL buy was executed and positive, so I decided to set a new SL near my entry and let the position run, as it developed into a reasonable FT entry. Not what I initially planned, but it worked well, so I am taking the extra money. I don’t think it is a break of discipline, as I had liquidated immediately if negative, and the FT set-up was (and is) very real although unplanned.

In summary, there seems to be a need of better focus on execution even when in deep flow working on backtesting…

Research

Again, relentless work this week, both on new concepts and on simplifying older ones to the degree to throw them out. I am very satisfied as I believe to have found a very solid and reasonable simple concept for pullback set-ups on equities that holds over time and also revisited a mean reversion approach to equities and a reasonably modified one for FX 30min TF.

I am indicating the pending steps for the next week or two at the end of the report.

HR

All exactly the same as last week.

Still maintaining the chain for screening, execution and meditation unbroken which is the core of my work.

Meditation is slipping too much. I only do 5min before falling asleep. Need to improve and also revisit targets for sport and training.

Admin/IT

Updated screens, templates and indicators based on new insight from research.

Quality

I have delayed working on the business plan by one or two weeks as I first need to finish the other pending steps. Will try to finish my best/worst trades of the quarter this weekend or latest Monday/Tuesday.

Tasks for next week

  1. Close the research for PB and MR on “over time” – unfortunately I noticed stronger than ever survivorship bias after manually downloading 100 of the most capitalized stocks with history before 1990… Basically anything would have worked on those. Well, I have to figure out how to deal with it.
  2. For mean reversion: put it into practice with small positions. No point to papertrade as I need to understand whether the execution is reasonable. The strategy is not extremely tight or anything, but the shorter the holding period the more important the execution, so this will be the key here as the holding will be 1-3 days only.
  3. For pullbacks: build charting game and go through the gallery as far as possible. Difficult to set a quantitative goal here as I do not know how long it takes, but make this the priority of available time.
  4. Update BP. Incorporate trial period for mean reversion approach, revisit pullback and define level of discretion, think about how to embed Waverly Advisors’ trades.
  5. Clean up backtesting, document it and store it on Dropbox in a structured way.

Tasks for later weeks

  1. FX MR. Seems a promising concept and need to dig deeper into it.
  2. Profit taking. Concept of SL tightening based on anticipating MACD. Active profit taking etc.
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