Category: report

Week 2017-16 – Report

Screening

Was ok.

Execution

 

I have put into test phse my mean reversion semi-automatic system and on Wednesday instead of closing the position I was doubling. I also got a margin call on Thursday as I was slightly overleveraged and was out without my TAN codes to react. This is not the 1st time it happens – luckily it did not hurt me so far, but I need to find a way to a) avoid and b) be able to react when away from my PC.

Research

 

Not so much this week. I was working on the mean reversion approach, but that was more Admin work. Looked superficially into the FX 30min MR approach and applied it to 5min data with similar and consistent results. Dabbled around with VIX index and noticed the delta to VIX Futures. There may be some interesting points to look into in the future.

 

HR

It seems silly to repeat the same words every week. Now that I have given up on other goals and only maintaining execution and screening I should really change my approach to meditation as I am actually only lying 5min before falling asleep and trying not to think about anything…

The chain is still there.

 

Admin/IT

 

Cleaned up mean reversion approach to have files ready to be save in a structured way.

 

Quality

I worked on my BP this week for my mean reversion approach and will finish next week

Tasks for next week

Simply copying the tasks from 2 weeks ago as I failed to progress.

  1. Update BP. Incorporate trial period for mean reversion approach, revisit pullback and define level of discretion, think about how to embed Waverly Advisors’ trades.
  2. For pullbacks: set-up manual backtest environment and plan
  3. Clean up backtesting, document it and store it on Dropbox in a structured way.
  4. FX MR. Seems a promising concept and need to dig deeper into it. Try first with charting game to see whether the set-ups seem attractive (whatever that means)
  5. Profit taking. Concept of SL tightening based on anticipating MACD. Active profit taking etc.
  6. Analyze concept of entering a trade only on strong close (otherwise get out and re-try next day)

Week 2017-14 – Report

Screening

Was ok. I notice different levels of effort on different days, but I think it is ok. I have to face many constraints, so I have to adapt and I can surely say that I did not miss any single day to screen since I started the blog, even if there were days were screening was quick and superficial.

Execution

 

Flawless.

 

Research

 

I had a lot of goals/tasks from last week and as expected was not able to meet them all. I started with my priority to look through all my backtested trades and select the most appealing to me on my discretion. Surprisingly (or not) most of them did not look appealing at all. The once I selected had a lower R than the sample and I started to dislike the approach. This may seem flipflopping directionless – and it probably is – but I think I do not have a better alternative.

I think I really have to manually backtest my pullbacks stock by stock which will be a huge task. This thinking process led to skip the rest of the tasks for now as they lack sense for now.

I still set-up the MR approach, faced some troubles but finally managed to start trading it with share size 1 on Friday. I have set up trades for Monday but will be out the whole week, so full go live (with share size 1) will be thereafter, but the prep work is done.

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

I screwed up my log file and saved it. Fortunately Dropbox offers a way to recover previous versions with the same name – great feature that saved my ass. Only took me 2 days to figure it out…

Looked again into slowness of IB TWS without success. Need to check back with customer support.

Quality

I have delayed working on the business plan by one or two weeks as I first need to finish the other pending steps.

Tasks for next week

Nothing, as I will be out. I will take my laptop in case I see a chance to work on point 1.

  1. Update BP. Incorporate trial period for mean reversion approach, revisit pullback and define level of discretion, think about how to embed Waverly Advisors’ trades.
  2. For pullbacks: set-up manual backtest environment and plan
  3. Clean up backtesting, document it and store it on Dropbox in a structured way.
  4. FX MR. Seems a promising concept and need to dig deeper into it. Try first with charting game to see whether the set-ups seem attractive (whatever that means)
  5. Profit taking. Concept of SL tightening based on anticipating MACD. Active profit taking etc.
  6. Analyze concept of entering a trade only on strong close (otherwise get out and re-try next day)

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.

Week 2017-12 – Report

Screening

I was out for the first part of the week, so as anticipated and planned no screening. Returned to screening, although a little sloppy also as market conditions do not favor much activity at this point. Still it seems as it is exactly now when to find the best long candidates once the market turns back to bullish mode.

Execution

Execution was daily although I was out. I noticed that I am very uncomfortable with IAB Web Trader – need to set this up better for future situations where I cannot work with TWS. I used finally Tradingview website and my phone app to adjust trades.

Research

I worked relentless through my shortened week. There was so much I was looking into backtesting that I am not able to remember all… In summary, I did not find much value in my FX “pattern”, but also came across some old backtests and wonder whether there is more to find when focusing on time of the day or whether this may be cherrypicking etc.

In any case, FX is of second priority. I was going through more ideas on equities that look really really promising and performance enhancing. There is still more work to do and the main focus this week shall be on progressing and structuring it into something more actionable.

HR

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

Worked on further screens and indicator to help me in my manual backtest exercise I am planning. Still not there yet, so some more work to do this week.

Quality

Missed on working on my business plan, but I expected this. This week is end of month, so I should do this this week and finish my best/worst trades of the quarter.

 

Tasks for next week

BP update

Research – set-up papertrading, i.e. work with Tradingview Pinescript – if not possible, go to Prorealtime, to build entry indicator

Research – Runaway pullbacks, slowMACD enhancement – finish and structure results

Week 2017-11 – Report

Screening

Was ok, doing my work every day, cleaning up WL etc.

Execution

Execution was daily and flawless.

Research

The concept I mentioned last week did not work especially well so I changed my focus for the latter part of the week. I started to manually backtest FX on 30min candles, simply applying my set-ups (mentally adjusted to what I believe different characteristic of FX and especially on lower timeframes). Well, it is huge effort in time and discipline and I have only started, but the results have been frustrating so far… Anyhow there are 2 things I have taken away so far:

  • Most of the time prices are really chopping forth and back without all too much movement. But then there are few times when really huge moves happen. I believe this is extremely challenging both in backtesting but especially in realtime trading, but it is what it is and any strategy should take this into account in some way.
  • I noticed a concept of price making a huge move, then consolidating with subsequent inside bars, to then do the 2nd move in the same direction. Potentially seeing patterns where no are, but I quickly tried to quantify it, and with limited data seems reasonably promising.

I also worked on a very classic screener with moving average and MACD. Nothing fancy, but as I started reading Trading Day by Day: Winning the Zero Sum Game of Futures Trading I just wanted to try (also will check Adam Grimes’ thought on this in his book). Well, and beyond that I found a small modification which gives an interesting list of what I would call “runaway pullbacks” – those that are hardly pulling back and simply pressing further.

So next week which will be quite shortened for me, I will focus on the FX pattern which should not take too long, then on the runaway pullbacks and try to further manually backtest if any time left

HR

Still maintaining the chain for screening, execution and meditation unbroken which is the core of my work. I am satisfied with that, but looking forward I need to find a better way to incorporate especially meditation into my day as it happened quite often that I did a shortened session just before going to sleep.

As mentioned last week I have let go off training and also lacking focus on sport, which is clearly a failure or my plan so far. Need to revisit.

Admin/IT

Created the screens mentioned in Research.

Quality

I was going to update my business plan as approaching end of quarter which is much needed as in fact I have abandoned my “semi-automatic” approaches until further notice…  I was putting it on hold as I thought I could incorporate anything from the FX exercise, but as I am writing this I notice how stupid this sounds. No way will I have any new insights ready to be implemented in the next days, so task for next week is clearly to update the business plan, simplify it to my core process and especially check on rules for my trading.

Further comments

Well, next week will be challenging as I am traveling alone with 2 kids.

I will also face challenges in the execution of my screening which I will have to drop due to unavailablity of my software at least next Monday/Tuesday.

In any case I wanted to leave this documented that this is not a slip in discipline but simple real life constraints. I will at least manage my existing positions over the weekend and Monday/Tuesday.

Tasks for next week

Knowing that I will not be able to finish all tasks next week given that I have only 3 days I still list them all. Anything not finished next week will simply slip into the following.

BP update

Research – set-up papertrading for abandoned approaches

Research – FX 30min approach

Research – Runaway pullbacks

Research – FX 30min manual backtesting

Week 2017-10 – Report

Screening

Was ok, doing my work every day, cleaning up WL etc.

Execution

Execution was daily. I was especially aware of my sequence of order entry to avoid mixing up long and short which worked quite well for now.

Today I was about to enter an order with 400 shares instead of 40, but fortunately noticed.

Research

I was working on the concept I mentioned last week with mixed results and conclusions. I’ll have to let it sit for a while.

There was one very simple quote at the beginning of the Chat With Traders interview with Adam Grimes that stuck with me:

Market makes a big move.

Do we position for another big move in that same direction, do we look for a reversal or is there no edge and do we do nothing?

Well, extemely simple and I’d like to focus on this for the coming week(s), structuring my work beforehand etc.

HR

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

Let go off training for now and I’ll have to revisit sport in some way as I am struggling to meet 5 times a week and may need to reduce to 4 times.

Admin/IT

Cleaned up all my old screens I did not use in a while.

Quality

 

I started working on my best/worst trades for the quarter. Nothing more of importance.