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What is a reasonable return


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What is a reasonable return

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  #91 (permalink)
 bushido 
Singapore, Singapore
 
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This guy ( Profit Expectations) says 2 points per ES contract per day, which is $100 bucks on a $10k capital, which is 1% per day.

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  #92 (permalink)
 bijeremiad 
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Here are the trading results of a day trader from Norway.

"Averaged" $1475 per day over 10 years. First few years were "learning", good years 2006-2009, more challenging lately.

85.7% profitable days. Only 15 losing days in 2006, 17 in 2007 and 8 in 2008. But more recently he has had two losing months in January 2012 and April 2012.

Another thing to keep in mind is that his profit is only 0.07% of the notional $5.1BN of stock traded. Edges are tiny.

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  #93 (permalink)
 bijeremiad 
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Here are the monthly results of a day trader, Matt. Trades stocks with a prop firm, mostly his own money. Employs mountains of leverage, buys thousands of shares and takes dimes and dollars out of the market. You can see him progress over 4 years from $120/day to $8k/day.

Here is his view of the trading landscape in terms of those who survive/thrive in the trading world.

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  #94 (permalink)
 bijeremiad 
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In another post, I discuss the results of 266 day traders at a day-trading firm that came under SEC scrutiny and made the P&L of their traders part of the public court record.

The profitable group falls into three buckets: 1) single digit returns (averaging 4%), 2) market-like returns (averaging 21%), and 3) leveraged returns (200%+).

Unfortunately, no way to tell how much leverage used, nor what the draw downs were like.

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  #95 (permalink)
 bushido 
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Great posts and research bijeremiad!

The day trader from Norway seems to be employing multiple strategies involving illiquid stocks. That may not compare that well with day trading futures. Nonetheless, the results are very impressive.

Your research on Tuco is quite illuminating, with less than 10% being profitable enough to be considered making a living from trading.

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  #96 (permalink)
Ilikefutures
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One of my favorite books is "Live The Dream by Profitably Day Trading Stock Index Futures" by Gary Smith. This was written back in 1994-1995. Gary was unprofitable for many years, and then decided to start day trading stock index futures (NYFE and S&P 500). He set a goal to just be profitable every month. I think that should be a good place to start for any day trader, rather than focus on any type of return. Over 90% of traders are unprofitable to begin with, so start with this seemingly modest goal. And, don't quit your day job!

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  #97 (permalink)
 bijeremiad 
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Here is the capitalization plan of Maverick FX.

Looks like they would expect you to return about 4.5%/yr on your buying power - unlevered. The levered returns are more like 125%. Presumably these levels exist because they have had some people achieve them. No discussion on line of those statistics...


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  #98 (permalink)
 bijeremiad 
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Here are "implied" results from trading room recommendations from Maverick for 2013 for the FX group. Average win rate was about 55% with Wavg/Lavg around 1.7. Can't really tell but looks to be about 12-15 trades per month.




Here are some slightly different numbers from their equity/options group. They mentioned 2013 was their worst year for the last 5. Have seen win% in the high 50s to low 60s and Wavg/Lavg closer to 2:1, with calculated returns in the 50-80% range.


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  #99 (permalink)
 sands 
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As subjective a question as I can think of :-)

Myself I pay more care to the daily pnl, and try to get some consistancy there. Then checkpoint against weeklies and monthlies to ensure I'm not overly or underly active. Annual pnl takes care of itself.

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  #100 (permalink)
Rock Sexton
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Zwaen View Post
Maybe not entirely on topic, but your post reminds me of stages in method development. In earlier times, when was searching and constructing a method for trading, I wanted to find a profitable method too much. I started deceiving myself, cooking my own statistics, to make the method profitable. For example, finding some reasons to not take some losing trades, or finding a ‘filter’ which had no logical basis. This kind of self-deceiving is very sneaky, and it took some time before I recognized my behavior.

This behavior reminds me off the general trait known as backwards rationalization: after some facts happened, your minds finds reason to make you feel better( or rationilizes it ). For example, how many times after you lose something (material possession / job etc) you told yourself ‘ it wasn’t that good anyway’ ? If you not already have done, look around at people and you will recognize that almost everyone constantly applies this behavior. It is very deeply rooted.

Off course, when I started trading the ' profitable' method with real money, I always had problems pulling the trigger. Probably because deep down I knew, the method wasn't that good, and I had been self-deceiving.

Then at a moment I recognized this behavior, and I flipped it around: I constantly try to find holes in a method, and try to find reasons why it will not work. Only if a method survives this stage, I will find it tradable - robust. Be very hard for a/your method, or in the end you will pay for your behavior.

This post is interesting because for me, I've always been the guy trying to poke holes in my own system. That trait is what helped me get it to where it's at today. I'm amazed at what it's become considering I'm entirely self-taught and yet I still find myself looking too hard for reasons to be wrong. It's quite strange.

I've been attempting to get to the root of my cynical behavior and my relationship to money because it prevents me from executing trades properly at times or even executing them all. Too often I'll look at stocks that match my criteria and try to discern which one is the likely winner. This defies the nature of distribution of win/losses in a system. This does not allow the averages to bare out as they should. If the system is sound and the risk management is in place, then cumulatively one should come out ahead.

BTW, I transitioned into swing trading full time over a year ago. I got to a point where I knew I couldn't go on day trading high risk positions for small pockets of movement for the rest of my life. One of the things I'm also trying to work on is my reluctance to remove risk via scaling out. Too often I'm narrowly focused on the total profit factor if I hold the entire position from A to Z.

I currently find myself down 6% on my $300,000 capital. Some things beyond my control happened leading into the new year and I made an unwise choice to offset the situation by increasing positions sizes about 2x-3x. It got me completely off my game. I couldn't mentally handle the $ fluctuations as the position was working itself out.

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