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 |
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2 comments:
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.
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).
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