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The Automated Trader: August 2011
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Sunday, August 28, 2011. The pain of News Corp. Of course, the worst month(s) come as soon as I have scaled up the capital haha. Oh the joys of trading! August doesn't look crash hot either). Subscribe to: Posts (Atom). The pain of News Corp. I started out in trading early 2005 through managed funds. November 2005 started in stocks through fundamental analysis. After the 2006 May correction I learnt to use stops! View my complete profile. Pages I visit daily. Max Dama on automated trading.
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The Automated Trader: Correlation between volatility and performance
http://thetrendfollower.blogspot.com/2011/03/correlation-between-volatility-and.html
Friday, March 25, 2011. Correlation between volatility and performance. As a system (AGT is what I call my system) that trades intraday, its no surprise that it performs well in times of volatility where the intraday range expands, which is what typically happens during bearish times. So it has got a bit of an insurance mechanism built-in to protect from Black Swans. But unlike the techniques employed by funds like Universa, AGT is not too shabby during uptrends either. Subscribe to: Post Comments (Atom).
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The Automated Trader: March 2010
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Friday, March 19, 2010. Since the last update, five trades have been closed out. Three losses and two winners. Overall slight dip in closed equity since that October chart. Portfolio is currently fully invested in the market. Big winning trades are usually closed out when the market is correcting or experiencing a downturn of some sort, which is precisely when you DO NOT want to be increasing your position size. I have also been reading some of Ralph Vince's work, and I have been impressed. There are...
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The Automated Trader: March 2011
http://thetrendfollower.blogspot.com/2011_03_01_archive.html
Friday, March 25, 2011. Correlation between volatility and performance. As a system (AGT is what I call my system) that trades intraday, its no surprise that it performs well in times of volatility where the intraday range expands, which is what typically happens during bearish times. So it has got a bit of an insurance mechanism built-in to protect from Black Swans. But unlike the techniques employed by funds like Universa, AGT is not too shabby during uptrends either. Tuesday, March 1, 2011. A few mont...
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The Automated Trader: May 2011
http://thetrendfollower.blogspot.com/2011_05_01_archive.html
Sunday, May 1, 2011. April was a steady month, without being spectactular, with a result of 4.30%. There were 20 trading days in April (US markets were only closed on Good Friday), the system had some activity on 8 of those days. From these 8, only on one occasion were we fully invested. Subscribe to: Posts (Atom). I started out in trading early 2005 through managed funds. November 2005 started in stocks through fundamental analysis. After the 2006 May correction I learnt to use stops! Pages I visit daily.
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The Automated Trader: April performance
http://thetrendfollower.blogspot.com/2011/05/april-performance.html
Sunday, May 1, 2011. April was a steady month, without being spectactular, with a result of 4.30%. There were 20 trading days in April (US markets were only closed on Good Friday), the system had some activity on 8 of those days. From these 8, only on one occasion were we fully invested. How did you decide on your stock universe? May 19, 2011 at 10:28 AM. Mostly based on liquidity. May 19, 2011 at 10:29 AM. Thank you for answering. How many stocks do you monitor in total? May 19, 2011 at 3:19 PM. Curtis ...
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The Automated Trader: May performance
http://thetrendfollower.blogspot.com/2011/06/may-performance.html
Thursday, June 2, 2011. Quiet month in terms of number of trades, but we hit our numbers. 4.53% for May which brings us to 36.40% YTD. I've also been busy designing a new system, called TPO, another US stocks, mean-reversion based automated system, which is currently being papertraded. I couldn't trust any of my backtests with this one as it really does require intraday data to be accurately tested. So we'll run it for 6-12 months on IB's papertrader and see how the numbers stack up. Another bad time was...
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The Automated Trader: Time to scale up
http://thetrendfollower.blogspot.com/2011/07/time-to-scale-up.html
Sunday, July 3, 2011. Time to scale up. June was disappointing, with a result of -2.17%, bringing our first monthly loss since January. So overall for the half year we are 34.23%. Starting from next month, I will be scaling up the system, so from July 1st, starting capital will be US$60,000. I'll probably start the trade log and %chart again, but the monthly profit chart will be able to show percentage performance regardless of the capital base. Surely 10 positions at 10% each is a better option? If that...
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The Automated Trader: June 2011
http://thetrendfollower.blogspot.com/2011_06_01_archive.html
Thursday, June 2, 2011. Quiet month in terms of number of trades, but we hit our numbers. 4.53% for May which brings us to 36.40% YTD. I've also been busy designing a new system, called TPO, another US stocks, mean-reversion based automated system, which is currently being papertraded. I couldn't trust any of my backtests with this one as it really does require intraday data to be accurately tested. So we'll run it for 6-12 months on IB's papertrader and see how the numbers stack up. Pages I visit daily.
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The Automated Trader: February 2011
http://thetrendfollower.blogspot.com/2011_02_01_archive.html
Saturday, February 12, 2011. Tuesday, February 1, 2011. Subscribe to: Posts (Atom). I started out in trading early 2005 through managed funds. November 2005 started in stocks through fundamental analysis. After the 2006 May correction I learnt to use stops! View my complete profile. Pages I visit daily. Max Dama on automated trading. Favourite books and recommended reading. Benoit Mandelbrot - The (Mis)behaviour of Markets. Curtis Faith - Way of the Turtle. David Samboursky - TradeSim manual.