Saturday 2 October 2010

Our first really good week

This week we have rolled out a second counter-trend system for each of the 4 markets we are trading. Jerome has expressed some scepticism about how to monitor this, but has been persuaded that we are ready for this next challenge. We still retain one of the fast counter-trend systems (which makes about two-thirds of our daily trades on its own) but recent research is beginning to cast doubt on whether even this one should be retained.

But regardless of these deliberations, we have had a really good week posting +146, +189, +379, +172, +119 (equalised for points over the whole portfolio) over the week for an average of +201 per day versus our long-term target of +75. This is a really excellent result and produced a return of just over 7% for the week. Some of the trading has been quite uncanny. For instance, trading US and German equity futures we made 134 trades over the week. 89 were profitable (66%) and the total winning points were 2179, versus -246 for the losing trades. So the average win was 24.5pts while the average loss was -5.5, a win/loss ratio of 4.5x. An average trade of +14.4 on 134 trades! This is quite exceptional - trading doesn't come much better than this

Other highlights include Jerome's work on the daily spreadsheets. This records a significant amount of data in addition to the trades. I will now be working on this to add further detail helping the reconciliation to broker statements, and various performance data on the individual systems and the overall portfolio. For the first time since we started, we have no plans to change anything for the next week. Maybe the week after next we will up the trading size again.

We have settled into the rythmn of trading. Jerome very much likes this; I tend to get a bit bored. I need to find things to occupy myself with while trading and am beginning to think of reading some academic articles

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