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2020 profit and loss results


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2020 profit and loss results

  #1 (permalink)
 
Big Mike's Avatar
 Big Mike 
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Hi guys,

I'm posting a new poll and opening the discussion to discuss 2020 results (profit and loss).

Please tell us how you did in 2020. It's not just about the money, so be sure to tell us what you learned, what you changed, what you discovered to work or not work --- etc.

Happy Holidays to all!

Were you naughty or nice this year? (2020 profit and loss results)

Total votes: 387
 


Mike

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  #2 (permalink)
 
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 snax 
Chicago, IL
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I'll get things started I guess. This was a very educational year for me, which sounds boring but it was anything but. I chatted with @wldman at the end of 2019 about the Tao and being like water, knowing that 2020 was going to be a breakeven grind for me.

I ended up making 2020 the epitome of a grind. Many, many, many small winners. About 8 days total wiped out many of those good gains because of revenge/rage-trading. I ended up about breakeven to a little down. I jumped back and forth between the micros and the ES & YM, and my 8 days were losers in the YM mostly. I learned a lot about the need to stretch winning trades more, this was so hard for me.

I am now on a new platform and broker (switched from tastyworks to Edge Clear/Sierra Chart) and I am looking forward to year 3, I know now how to avoid disaster days as long as I can keep my ego in check. I know I need to hang on to winners which I wasn't able to do in 2020. All in all I think I'm excited about the prospects for 2021 because I've been learning what not to do these past few years.

I think you can make big moves by blocking off your self-destructive behaviors.

Thankful to @Big Mike and all the FIO traders here who share their findings, hope I can just add value for someone else!

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  #3 (permalink)
 myrrdin 
Linz Austria
 
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It was a good year. I was able to take profit from some (expensive) learnings I made in recent years.

Eg.:

The smaller the trades the bigger the profit over the year.

Diversification is key.

There are times to sell options. There are times to trade seasonals. There are times to follow the trend. And there are times to sit and wait.

There are trades I do not enter. Even if they look tempting. (Eg. selling NG options, ending with Z, F, G, H or selling grain options in weather markets)

Thanks a lot to Mike and to everybody else who contributed to my learnings.

Best regards from Austria, Myrrdin

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  #4 (permalink)
 
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 SMCJB 
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Been a strange year (obviously). Since I work from home the pandemic didn't effect my work/trading at all. The Crude Oil volatility in Q2 and the Bitcoin rally the last few months have both been very lucrative. On the other hand being long USD hurt, and I was late to the Gold party and am now holding positions that are underwater but happy to keep them.

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  #5 (permalink)
 
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 wldman 
Chicago Illinois USA
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Responding because @snax tagged me.

It is interesting to me the types of people that are willing to discuss specific profits. I generally do not do that because of the negative connotation I associate with the flashy in your face types...the ones that claim epic riches and the other negative insecure personality type that lies about everything to compensate for something.

I am NOT assigning those labels to anyone specifically...certainly it is difficult for those "types" to survive for long in this FIO forum. Bullshit horns sound pretty quick here, thanks to wonderful leadership and an honest diverse and authentic fabric that seems to connect the membership.

"Results"

1) Full implementation of "The Strat" over the last two years has made a dramatic impact. Profits are almost always left to run. Trades NEVER become "investments". I have a slight lead on the ratio as in any given month 60% to 72% were winners. I don't pay attention to "R" or "Sharpe Ratio"...not because I disrespect the mantra, but because I don't need to. It is cliche, but killing losers little is both the hardest adjustment and the most beneficial adjustment to make. Don't be afraid to be wrong, be afraid to normalize losing money.

2) The "hedge trade" has been wildly successful. The application that was created to limit losses, has nearly doubled profits. The hedge is against investment longs...positions that are generally held as ownership interests in ongoing businesses. Good fortune has made it so that hedge profits plowed back into investment longs this year have been unbelievable. I was neutral into the shit show and was mediocre at trading in and out of the hedge, but DANG

3) Expanding time frame and eliminating reliance on my beloved 1600 tick /ES chart has greatly reduced the stress of being continually in the mix.

4) I am nowhere near prolific. I have probably triple the appropriate "cash position". I have not used margin well at all. Investment longs that are "fairly valued" are hard to find. Enthusiasm to maintain the requisite focus is sometimes a challenge. I have failed to consolidate a high achieving collaborative. I struggle to trade and invest liberated from my overriding world view. I am afraid of the IRS.

5) I acknowledge that if 4) represents my "problems" that I should STFU and keep my head down.

So...we tend to develop a harmful, not a beneficial metric when we quantify results in gross dollars.

If I said I made $100,000 per 1MM dollars that would communicate a few things. First, it would say that I am NOT better than "market returns" in a typical year. But, if I said who would like to make just $100,000 trading in 2021...how many people would think they "made it".

I present this as a way to get people to realize that they ARE good enough and that they CAN do this. On the same ratio someone making $500 this YEAR on a $5000 deposit is having the same level of success. The catch, of course, is that $500 per year does not operate a household. This illustrates how the "fantasy calculator" works...and confirms that as the work of the Devil...not to be confused with DevilMan...lol. If you do not have the luxury of a large deposit, recognize that it takes time. Identify and avoid setbacks. Do not "take shots".

Typically, I am very far beyond satisfied with 2X absolute value of market return for the year. I am really happy with anything better than absolute value of market returns. In the last 10 years I've failed to beat the market 3 times, I've matched the market (+/-) 3 times...and 4 times Ive been really happy of far beyond. Note that the single most important aspect is that I was fortunate to start many years ago with a well funded account and in a situation where most of my lessons were learned with other people's money in my role as market maker or firm trader.

The "mean" return since inception is 11.6% for the "index". This is why I bore you all with "investment longs" and effective use of other people's money (margin). Ask your broker about qualifying for "portfolio margin". If you don't know what that is you are doing this wrong. Run data on "invested" at market return over the last 30 years. ADD to that each year based on "trading" proficiency equal to some % of market return.

@ me if you want to talk about or rebut it.

Happy Thanksgiving everyone. Trade well and do well.

-Dan

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  #6 (permalink)
 
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 ShadowFox 
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My algo's did great. Bailed me out of two holes that discretionary trading got me into. Currently break even but learned a lot. Mainly that discretionary trading is not for me. I see all of these articles, posts, trading journals, etc. of people making thousands per day with almost no losing days, and that gets me in the mindset that I need to be doing better. Broker must love me during those days. Honestly I thought about making a strategy that takes double the position in the opposite direction as my discretionary trade. I would have been quite profitable with that (a lot of us probably would be). The problem is I built systems that worked great, and performed well, but I thought I needed to be doing better. I am on a small account (<$30k), so if I want to discretionary trade I have to turn some algo's off. I thought I could match my algo profitability and possibly outperform based on using my mind to analyze what's going on in the market rather than letting my strategies play out. I let myself fall into this trap twice and I was very wrong.

Here are the goals for the rest of the year and next year in order of importance.

1. Stop all discretionary trading.
2. Realize on my account size that consistently profitable days of $50 to $500 is a great return and these forums about $1000 to $5000 days from other traders are on much larger accounts, or from traders with much more experience than me (or in many cases fake). I trade on the side, not for a living, and the goal is to make some play money and have fun doing it.
3. Let the algo trades play out completely.
4. Don't overthink systems that are working. Continuing to tweak and filter can turn something pretty good into something ugly and you lose where you started from.
5. Work on notating and documenting systems better so I can look back on them a year from now and realize what they are doing.
6. Continue to build on my algo systems.

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  #7 (permalink)
 
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 mtzimmer1 
Upstate NY
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As @wldman expressed, I feel that results measured in dollars mean little in the absence of context such as account size, drawdown, and volatility to name but a few factors. With that said, expenses are paid with dollars and not percentage returns - $500,000 in YTD profits impacts one's lifestyle and net income in a vastly different way than $5,000 does. When I began trading I knew that I wanted to be transparent about my results in both absolute and relative terms to serve as a reference for other aspiring traders. To be clear, I am not at all suggesting that those who choose to keep their finances private are lacking transparency - I absolutely understand and respect the reasons to keep that information close to the vest.

Results:

As of 11/27/2020 my YTD P/L is $17,696.32. The starting account balance was ~$85k and I have deposited ~$15k over the course of the year. Conservatively speaking, let’s assume a $100k starting balance - 17.6% YTD return. The maximum drawdown occurred in Feb/Mar and equaled -13.7% from an earlier peak of $94.5k (end of day account balance not intraday negative excursion!)

I began logging the hours I spend on trading, research, and testing on 4/16/20. Over the course of the past 225 days I have recorded 860 hours for an average of 3.8 hours per day (including weekends). Extrapolate for the first four and a half months of the year and the sum comes out to 1265 hours. This is likely a severe underestimation as it only counts the hours I spend doing work directly related to my trading, and excludes time spent on related activities such as browsing forums, creating YouTube videos, etc. $17,696.32 divided by 1265 comes out to an average hourly wage of $13.98 which is just slightly higher than minimum wage in New York state. The difference is that I am fascinated by trading and enjoy this ‘job’ much more than any other employment I’ve had.



Systematic Trading:


I began the year trading most of my capital on a multi-day mean-reversion stock strategy. This was the first solid system I had developed and it worked very well during the grind higher between October, 2019 and February 2020. The model was absolutely obliterated in the Feb/Mar crash but I thankfully began allocating some capital to a newer model that rotated between Treasuries, Gold, and the S&P500, which held up much better during that period. I currently trade this same model, albeit a revised version, with leverage.

The version of the model that I currently trade has returned 49.2% YTD without leverage. There are two primary reasons why my live account performance is lagging these figures by 30%. The first is that I didn’t begin dabbling with this strategy live until February 24th. I didn’t begin trading it with the majority of my capital until April 1st. The second reason is that the first version of the strategy was somewhat curve-fit and out-of-sample performance on my live account, while profitable, significantly lagged in-sample performance. The revised version removed all of the curve fit logic, greatly simplifying the code, and increasing robustness. These changes took effect on November 1st.



Discretionary Trading:


I was very fortunate to find a mentor in August. Working with him has been a tremendous learning experience. I began to focus less on daytrading and more on swingtrading momentum/growth stocks. The past three months trading in this style under his guidance has been the best discretionary trading results I’ve ever had. I still dabble in daytrading with small size but no longer feel that intraday trading is the only way to reach my goals. Many of the guys at the top of the USIC leaderboard with triple digit YTD returns are trading variations on Mark Minervini’s and William O’Neill’s approaches. If I can add alpha through daytrading, great. If not, I believe I will still be able to achieve acceptable returns.



More important than the money made this year are the lessons learned:

-Money is nothing more than a tool. In a post on January 30th I wrote “my days gain/loss is sitting at -$720. Ouch.” My relationship with money has changed significantly over the course of the year. Of course I still don’t like big setbacks in my equity, but I do much better now at separating my trading results from my emotional state.

-Curve-fitting is NOT the most robust way to build a model, and simpler is (almost) always better.

-Intraday trading is really hard. I’ve had some modest success now with both systematic and discretionary trading on longer timeframes but still have yet to produce alpha on a consistent basis from daytrading.

-Be the master, not the jack. Working towards mastery of an imperfect method is much more productive than searching for a perfect method.



Thank you Mike for this poll - I found this reflection to be very beneficial!

I hope I didn’t overshare, and that this reflection is helpful in some way to others.

Cheers,
Zimmer

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  #8 (permalink)
 OUrocketman 
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I hope everyone is having a good year, staying happy and healthy! I very much appreciate the knowledge that is shared by the members of this forum.

All in all my trading is off to a start that I personally am pleased with. (Though I will say my goal is to make at least 40% year on average while keeping my day job. Eventually would like to quit dayjob, but that is a different topic for another day!)
This is the first year I have actually gotten my feet wet with trading my algos in a live account. I went live mid June and thus far am up 22.7%. The biggest thing I have learned this year is that coming up with algorithms that are properly developed and engineered is hard enough, but actual implementation of an automated IT infrastructure is certainly not something to ignore during planning phase (though it’s nowhere near as difficult as developing a properly made algorithm.) I’m probably out 5% getting the rubber to meet the road there. It is required in my view to have the framework such that you are automatically notified if your trading server goes down / if you have a position mismatch.
Apart from that, I’d like to share some things that I have learned from just getting my toes wet this year and in the time I’ve been working up to this point in general. Please keep in mind that this is coming from a novice trader who never discretionarily trades (and probably never will) and does not HFT. I will hold a trade for typically hours within a “session”, but will never hold trades past the session. Depending on what I’m trading this means I’m always out by New York close or around noon.
Tidbits I’ve learned developing algorithmic trading strategies to date:

1) How the strategy is developed is at least as important as the metrics a strategy is projected to generate based off some backtest
a. Many people unknowingly downgrade out of sample data to being in sample data during their development process. If one performs any optimization over a data set, it must be viewed as being “in sample”. Some traders may develop an algorithm and back test it from 2001 to 2016, but then walk forward optimization from 2001 to 2020. If you do this, please know that you have then “touched” the data from 2016 to 2020, and now all that data is in sample. Systems that were developed on 100% of data being in sample are much more likely to fail in the future. Highly recommend at least 2 years of data being completely out of sample
2) Sometimes, shit just happens. I encountered a market fill on MESZ20 darn near 120 ticks against me and it hurt. I was tempted to completely redesign limit fills into my algorithm, but then remembered tidbit #1 above, which leads to tidbit #3
3) If you are a non-discretionary trader, do not just “tweak” a system around some black swan event. Experience I had in 2) above will happen again, but they are rare. Last thing I need is to miss out on phenomenal trades in the future just because event above very rarely happens.
4) When one is developing algorithms to trade using a genetic pattern finder, it is far more fruitful to look at the statistics of the systems that are being generated as a group rather than to just focus on statistics of a single system. If all the systems being generated are passing your criteria to go live on truly out of sample data, then that really bolsters confidence, and from what I can tell, makes it far more likely that the individual system(s) you select will perform well farther into the future. If this is obvious to you, then that’s fantastic, but I will say that this was revolutionary for me.
5) Correlation is not all bad. It can be useful to look at correlation of systems losing money and correlation of systems gaining money separately. Idea here being if all the systems trade and make money, then great, we just don’t want them to all lose at the same time. That hurts, and systems should be selected such that is extremely rare—and not even witnessed during portfolio backtest and forward test.
6) For intraday swing systems, human nature wants us to have tight stops and a small(er) take profit. I’ve performed a lot of analysis across markets and for intraday swing systems that is the opposite of what one should do from what I have seen. Fairly loose stop losses and extremely ambitious take profits seems, over the long haul are statistically better
7) I am an engineer professionally, and hardly been accused of being one driven by emotion, but truly nothing can prepare you for what your thoughts / emotions can be for when you are first deploying a trading system. Having a written plan in place for what your “cutoff” criteria can be ahead of time can be extremely valuable. And for crying out loud, don’t go tweaking on something that is statistically valid just because you have a bad day. The day that you lose trust in a system is the day you should throw it away. The system has cheated on you and you need a divorce lol.
8) Have an idea of what your metrics should be going into trading development. For example, I like my winning percentage to be at least 60 percent with winners:losers >= 1.4. I’m also happiest when winning streaks are around twice as long as losing streaks, and I know a system drawdown of 30 percent is the budget I do not want to bust in development. Bottom line, know where your comfort zone is and stick to it. If a market won’t give it to you, don’t force the market, find another market 😊
9) Manage your trading system(s), but don’t relentlessly critique them. It seems human nature to me to easily see all the times where “it was obvious” we could have done better, but we seem incapable of keeping score against ourselves, when clearly our system was smart(er).

Cheers!


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  #9 (permalink)
 FT126 
Atlanta GA
 
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I'm still a new futures trader (<6 months). I've donated about $1500 to the discretionary MES gods that I attribute to hard knox education.

As a seasoned technology guy in my full-time life, I've decided to focus on algo trading going forward. I simply don't have the time during the day to focus on the markets. That makes something hard even harder and facilitates losing money.

However, I've written software before and get complex data analysis. I'm building my development and testing ecosystem now and hope to dive deep over the holidays. I can code and test nights/weekends without impacting my primary income.

I hope to get at least one reasonable strategy automated going into next year. It's a learning process.

At 50yo, I'm looking at a 5-year time horizon before I need the money I seek to earn trading (think semi-retirement as I travel the country in my big-ass RV). Adopting an automated approach is also conducive to that lifestyle.

Happy to be on futures.io. Lots of great info and insights to consume as I build my skills toward having a small retail trading business in my retirement years.

Tony

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  #10 (permalink)
 
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 xplorer 
London UK
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FT126 View Post
I hope to get at least one reasonable strategy automated going into next year. It's a learning process.

At 50yo, I'm looking at a 5-year time horizon before I need the money I seek to earn trading (think semi-retirement as I travel the country in my big-ass RV). Adopting an automated approach is also conducive to that lifestyle.

Happy to be on futures.io. Lots of great info and insights to consume as I build my skills toward having a small retail trading business in my retirement years.

Tony

Welcome Tony,


Algo trading is a fascinating subject, just as well you are familiar with complex data analysis since you are likely going to need it.

There are quite a few algo traders on FIO - @kevinkdog is among the more expert ones in the field, should you have specific questions during your development process.


In any case, good luck!

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