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Category Archives: PnL

A topsy turvy day

Today was a bit unusual. We entered orders counter to our orginal plan. We went long on our shorts and shorts on our longs. By noon Mosk was fed up and feeling beside himself. I know he blogged about this. He gave us a speech before we broke for lunch. When you are having a bad day, simply just walk away. Before walking away, get out of your positions, by going flat or taking some share size off. This limits the amount of pain you will take. The next step is to get your strategy in order and know your risk tolerance. Do not try to make it  back on one trade! Make sure you stay small and feel good about your trade. Walk away from the day feeling okay.

After lunch we did not trade until around 3:00pm entering orders for overnight. Going into close we owned CLF. Needless to say we ended up positive.

A traders biggest down day usually comes after there biggest up days.

-Justin Valle

Control your emotions

Emotion can get the best of  you when trading. It can cause you to exit a position to early, either by; not allowing you to let the losers play out or cutting your winners to soon. If  you trade with emotion you will not be a successful trader. You must allow yourself to stay discplined and controlled and not base decision off your p&l. As I witnessed today,

Control your emotions

Maintain your emotions

 remaining calm and sticking to your strategy allows you to be successful.

Hillside Scan-alysis (Part II)

Yesterday, I wrote a blog about my PNL analysis for the Hillside scans.  As a follow up, I will provide an update on new stats that I will start tracking.  Positions initiated using Hillside scans are held for a period of five trading days.  I am attempting to analyze on which day the highest PNL is achieved.  In carrying out these studies, the goal is to optimize the length of the holding period.  Maybe five days is too long and not the ideal, for example.  Below is just a snippet of my analysis:

Bear in mind that I only have data from Jan. 3, 2011 and forward.  In other words, I do not have many data points accumulated yet.  Nonetheless, so far since Jan. 3, the highest PNL day on average has been at the end of the fourth day.  On the flip side, the lowest PNL day on average has been at the end of the fifth day, which definitely raises temporary flags.  At the close of the fifth day is when these positions are exited, but if the fifth day yields the worst PNL, the holding period should be changed.  My next step will be to analyze the optimal holding period for each pair of scans as one scan might steadily produce better results after x amount of days while another scan might produce better results after y number of days.

Hillside Scan-alysis

I am currently working on a PnL analysis for the Hillside scans.  Hillside is one of the trading desks featured on HFL and uploads daily a summary of positions made based on various scans using stochastics, money flow, bollinger bands, and volume (under Analysis > Hillside Materials).  To provide a quick background on these scans, Hillside initiates positions triggered by these different scans at the close and holds them for a period of five trading days.  The scans work in long/short pairs, so for instance, they will go long names on an uptrend with a stochastic below 20 while shorting names on a downtrend with a stochastic above 80.  For each pair of scans, the same dollar amount is invested on both sides, or in other words, they remain dollar neutral on each pair of scans.  Also, for each scan, each position is equal weighted (is roughly equal in value).  Currently, Hillside includes in their position stats the following scans: Uptrend w/ Stochastic <20 paired against Downtrend w/ Stochastic >80; Improving Money Flow paired against Declining Money Flow; Strong Volume Gainers paired against Strong Volume Decliners; Buy Bollinger Band paired against Sell Bollinger Band; Put/Call Buy paired against Put/Call Sell.

Hillside began posting stats for these scans on HFL on Dec. 10, 2010.  Below is a snapshot of how the scans have been performing:

PnL Analysis

Note: the Put/Call scans show zero PnL as this pair of scans was just recently added to the list.

Again, the above show stats at the end of the five day holding period, which is why the latest data is for Jan. 14, 2011.  In sum, the best performing scan so far has been the Bollinger Band pair- buying names that tick above the upper Bollinger Band and shorting names that tick below the lower Bollinger Band.  You can go into their spreadsheets to view which specific names were bought/shorted using these scans.  But as an example I will go over two of the biggest winners using the Buy Bollinger Band scan.  On Jan. 10, 2011, at the close, they initiated a long position in RAX, 237 @ 31.88.  Five trading days later they sold out of the position at an exit price of 34.53.  So they pretty much bought the bottom and sold at the top of that move, resulting in a PnL of about +$628.  Another trade that worked well was the long position in EOG that was initiated on Jan. 7, 2011.  Below is the daily chart of EOG.  Their entry price was 94.26 and exit price five sessions later was 100.58.  On 96 shares, this trade resulted in a profit of $607.

EOG Daily Chart

Another stat that I am starting to track is the number of positive days and negative days for each pair of scans.  Again, supporting the idea that the Bollinger Band scan has performed the best so far, the ratio of up/down days is greatest with 11 days of positive PnL and just four days of negative PnL.

I will continue to build upon this PnL analysis and look for opportunities to optimize the use of these scans.