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Trading in essence – it is a very complex and time consuming type of business. At the same time, many perceive it as a path to millions., working for yourself. Deals can be made on your own yacht in some Tahiti, live in grand style, travel, drive cool cars…
In principle it is possible, but let's try to figure out some of the key […]
Closed the remaining longs from Friday (Sber, Rosneft, Ursi – handles, RBK by take) Take-profit triggered on Friday, who might have thought?, that he will blow so much today. Now in cache, I watch the market, because. the situation is uncertain. Formally, we are on the sidelines 1210-1390, but going down from this range can have very unpleasant consequences for bulls. but, if the impulse is down from 1300 will be weak – I will buy.
No deal last week.
Still the devil knows what happened to the regime. Wake up in 4 morning, lie down in 8, then I get up by force at one or two days with the hope to lie down and sleep all night. The mind is still clouded.
Entered the M30 with long and long range targets. Потом понял, that I'm not yet ready to sit mentally for half a day in position. Refilled normally for a minute.
Closed on the principle "enough is enough for me". In a good way, would cover 1.5024 (would catch the local low).
Maximum drawdown for a trade ~ 12%. Outcome of the transaction +26%.
Already better. I will continue in the same spirit, the main thing is to get enough sleep…
UPDATE
It certainly pleases, but I'm not ready yet. My psyche 8 hours in position would not stand.
Steve Nison, President Nison Research International, Inc. (NRI), was the first who opened the Japanese method of technical analysis known as candlestick charts, for the West. He – an internationally recognized authority in this area, revolutionized technical analysis in the U.S. and Europe, using these methods. He is the author of two popular books: “Candlestick” and “In the face of Japanese candlesticks. He consults worldwide, including the Federal Reserve and the World Bank. In NRI, Mr. Neeson specializes in Internet-seminars and consulting services organizations. Detection of early signals of turning with the help of Japanese candlesticks The wise man is not one string to his bow. (Japanese proverb) Analysis charts candlestick chart has this name because its lines resemble candles. Used by many generations of people in East Asia. Such schedules have been run long before the column histograms or “tic-tac-toe”, but were virtually unknown in the Western world, before I put them into use in 1990. Now this technique is used in plotting the international level many traders, investors and prominent financial institutions.
On this portfolio I work out my market-neutral strategies, you have to do it manually because it is almost impossible to automate, as there are some factors, which cannot be mathematically described. On the real one, this model is also used with the maximum probability of trades..
In fact, the equity curve is better, but again drawdowns by 95% from site problems and there was one case of my mechanical error. Graphs, By the way, the site shows weekends so the lines are not so smooth.
Including commission 2.20 per side
| Trades | 209 |
|---|---|
| # Profitable | 114 (54.5%) |
| Avg trade duration | 3.7 hours |
| Annual return (compounded) | 706.3% |
| Average win | $2,385 |
| Average loss | $2,225 |
| Profit factor | 1.3:1 |
| Max peak-to-valley drawdown (historical) | 12.64% |
| drawdown period | Oct 26, 2009 to Oct 27, 2009 |
| Correlation w/ S&P | -0.109 |
| Sharpe ratio | 4.883 |
| C2Realism Factor | 99% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 9.8% |
| Chance of 20% account loss | 2.4% |
| Chance of 30% account loss | 0.0% |
I close the scalping portfolio after completion 1 quarter, tired of this constant website crashes. Since the trade is sent for execution over the Internet, This results in a strong slippage on such volatile instruments, like copper. There have been cases of 30-40 cents when buying and selling. ES is more or less normal also because, which is more liquid.
Periodically, maybe I will experiment on it then, what I don’t do in the model.
I leave only the main model portfolio, which I will periodically show.
I consider the result unsatisfactory for a number of reasons as mine, and large slippage from the site with its freezes and repeated down time., which is confirmed in the forums by the administrator. Nevertheless, portfolio is a little positive. No doubt, that there are critics. Bargained 8227 Contracts
Therefore, I do not recommend using its service until all technical problems are eliminated.. But to use it as a demo and as a site for running strategies is quite fine, at least it calculates statistics.
Despite the unsatisfactory result, I still kept good sharpe( more 3) и sortino ratio(more 6). On scalping , basically, getting good statistics is not always possible.
No commission
C учетом комиссии 2.20 per side
| Trades | 903 |
|---|---|
| # Profitable | 491 (54.4%) |
| Avg trade duration | 1.6 hours |
| Annual return (compounded) | 355.8% |
| Average win | $876 |
| Average loss | $926 |
| Profit factor | 1.1:1 |
| Max peak-to-valley drawdown (historical) | 13.54% |
| drawdown period | Oct 08, 2009 to Oct 27, 2009 |
| Correlation w/ S&P | -0.219 |
| Sharpe ratio | 3.583 |
| C2Realism Factor | 93% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 19.5% |
| Chance of 20% account loss | 2.4% |
| Chance of 30% account loss | 0.0% |
Trader Monthly’s 5th Annual Top 100 Highest Earning hedge fund manager list is out….
And no suprise here, John Paulson, who shorted sub-prime related issues in arguably the best trade in history, tops the list at $3 trillion more….
To make the top 100, you had to make at least $75 million….
Here’s the top 10:
-John Paulson, New York, Paulson & Co. Estimated 2007 Income: $3 billion+
-Phil Falcone, New York, Harbinger Capital Partners Estimated Income: $1.5–$2 billion
-Jim Simons, New York, Renaissance Technologies Corp. Estimated Income: $1.5–$2 billion
-Steve Cohen, Connecticut, SAC Capital Advisors Estimated Income: $1–$1.5 billion
-Ken Griffin, Chicago, Citadel Investment Group Estimated Income: $1–$1.5 billion
-Chris Hohn, London, The Children’s Investment Fund Estimated Income: $800–$900 million
-Noam Gottesman, London, GLG Partners Estimated Income: $700–$800 million
-Alan Howard, London, Brevan Howard Asset Management Estimated Income: $700–$800 million
-Pierre Lagrange, London, GLG Partners Estimated Income: $700–$800 million
-Paul Tudor Jones, Connecticut, Tudor Investment Corp. Estimated Income: $600–$700 million
So much for trade…:) Nice to read this. Post old (April – 7 – 2008)
Was puzzled by the question of market rapporting. If we imagine the market as a kind of animated egregor, theoretically it is possible to achieve this, just how to do it practically? Читал где-то, what traders, isolated for a while from communication with the opposite sex, increased their performance – actually entered into an emotional connection with the market, felt him, and it strengthens my thought, about the possibility of creating a working psychotechnics. I will think at my leisure. Who has ideas, connect.
try three charts to determine the country in question. maybe regional or other affiliation of the country, or region.
first schedule: structure of GDP in the usual breakdown by components (consumption on the right scale), but instead of pure export, just export is taken, to keep the intrigue, ie. the sum of the components does not give 100%.
second graph: growth rate of nominal GDP in USD.
third graph: structure of GDP by sector value added.
there are options?
in fact, this is the world economy.
which seems great:
* increase in the share of exports. not growth itself, and the growth rate. globalization, but.
* consumption reduction after 00x. by reducing the share of the United States? сомневаюсь, you need to look in more detail by country.
* still for shares, nominal GDP growth is very important. in the last post, Rosenberg talked about addiction (dependence density) between nominal GDP growth and company sales growth. no special conclusions should be drawn, but the nominal dynamics is very interesting.
* what surprised, this is the stability of the share of trade, construction and transport. And, for example, bounce in prey, but practically its absence in mechanical engineering.
UPD.
HM..
weirdness detected. the nuances of the methodology that I have not yet understood lead to, what “Mining, Manufacturing, Utilities (ISIC C-E)” And “Manufacturing (ISIC D)”, it is often the same, therefore, in the graph above, the sum of the shares is somewhere 120%, but not 100%. at what, go out on 100% fails due to inconsistent ratio (ie. shares of one in the other, which leads to double counting).
just in case,
mining accounts for a small part of GDP usually. but the growth of its share in the amount of production + mechanical engineering is noticeable. the trick is, what “mechanical engineering” not equal “(mechanical engineering + mining)-booty”, because there are still utilities)
Yesterday, by the end of the week, Nadezhda Grosheva practically managed to recoup her losses. With which we congratulate her :) Some of the bloggers recommended a strategy “Stay away from here” на долгосрочную перспективу. Beglaryan immediately became a resolute critic, citing the Japanese stock market. “The same is in store for China.!”, And generally speaking, “soon the world economy will cease to exist in that form, in which she is now”, “the bubble will burst”, “we live in the matrix” etc. Buffett got it too. Certainly, Gregory knows better, just where is he, and where is Buffett? :) The stock market has been around for hundreds of years, and has not undergone any fundamental changes. Processes have only accelerated, from the purchase of securities to the cycle time. And transformations always happen – это непрерывный процесс.