Wednesday, December 3, 2008

SPI Trades Update 04/12/2008

Well, I have been busy this last month with work, been to Newcastle & back for work to visit a coal mine in the hunter valley with my job as a contract process engineer. Carbon Credits and coal bed methane are part of the new environmental rage these days in Australia.

Update for last month is attached. Have to say one trade was a slight disaster & another sub-system has bit the dust, once again I relied on too few trades to accept the system & suffered for it. I actually hit a system stop at about 300 points & exited early, if I had not, I would have had double the loss.

I have to take back what I said in beginning about not having a stop, I don’t have a set stop per say, I use limit orders with a target which adjusts for various reasons to exit including an assessment of whether the price action indicates the trade is wrong. Sometimes this means the limit order gets me out next open. In addition I do have a disaster or system stop when evaluating the performance just in case the system fails (as in this case) - I look at the maximum expected drawdown from testing, if it approaches that, I check the system responsible & exit if required.

While the total return is still excellent, that drawdown is not! So I can admit a mistake, that system is in the bin. One bad trade really hurts the Win/Loss ratio. This also is what trading mean reversion can be like, a lot of good trades but an occasional outlier can bite.

One thing I have done is reduce risk even further, I now trade ASX SPI CFD for $1 Points while I am forward testing. These are not too bad but I do have to be at open once again as the ASX CFDs are a new market & liquidity is low, so limit orders at open do NOT work, the market maker just hits your order not the actual SPI open price.

Ticker

Trade

Date

Price

Ex. date

Ex. Price

Points

Comment

SPIM_CCB

Long

30/09/2008

4494

1/10/2008

4885

391


SPIM_CCB

Short

2/10/2008

4875

3/10/2008

4670

205


SPIM_CCB

Long

6/10/2008

4575

7/10/2008

4685

110


SPIM_CCB

Long

7/10/2008

4420

7/10/2008

4685

265


SPIM_CCB

Long

10/10/2008

4080

14/10/2008

4500

420


SPIM_CCB

Short

14/10/2008

4500

16/10/2008

4055

445


SPIM_CCB

Long

24/10/2008

3903

29/10/2008

3980

77


SPIM_CCB

Short

30/10/2008

3917

6/11/2008

4176

-259


SPIM_CCB

Short

3/11/2008

4121

6/11/2008

4176

-55


SPIM_CCB

Short

5/11/2008

4330

6/11/2008

4176

154


SPIM_CCB

Long

11/11/2008

3980

21/11/2008

3600

-380

System Stop

SPIM_CCB

Long

20/11/2008

3405

21/11/2008

3434

29


SPIM_CCB

Long

21/11/2008

3240

21/11/2008

3434

194


Total

1596

No Win

10

No Loss

3

Total

13

Win %

77%

Avg Win

229

Avg Loss

-231

W/L

0.99

Expectancy

123

2 comments:

Paul said...

If you're trading CFD, have you factored in the 4 points spread round trip, effectively giving you a 2 point slippage. In many systems, 4 points is actually very expensive commission.

Unknown said...

Quite correct regarding cost, CFD costs are high in comparison to futures. Luckily the avg win is much higher.

But yes there is a commission cost built in of $5 per side (IB), I have tested higher, makes little difference. What is costing more using CFDs is slillage. If I had the cash it would be much better to use a proper futures SPI contract (& the system is modelled on that contract).