Who made money in 2006?

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
Post Reply
LeapFrog
Roundtable Knight
Roundtable Knight
Posts: 695
Joined: Mon May 17, 2004 4:18 pm
Location: Boston, MA

Who made money in 2006?

Post by LeapFrog » Sat Dec 30, 2006 1:28 pm

Year end is here and always good to reflect and examine.

Looking at my results for the year I did just fine - certainly compared to industry averages that I might compare myself with.

I found it interesting though to run all the trading systems that I now have in TB - both the 12 that it came with and the half dozen of my own that I've now transcribed into TTB.

As best I could, I set each of the 18 systems up as equally as possible. I used the "All Liquid" portfolio, $10 for comm, 5% for slip, trade on tick, a standard deviation volatility money manager over a 9 bar average, a quarter million equity base and zero for interest earnings.

Most of the systems lost money, a couple wiped out entirely, and a couple made a little bit of money (Trend Catcher was one, and one of mine was the other.) Some of these systems look great over 10, 20 or 30 year time horizons, but over the past 12 months, "...err, not so much!" (to quote Jon Stewart).

I can't help but also take note of some of my non-trading friends who passively made a ton of money in their investment accounts over the past 12 months "investing" in DJIA type stuff (one friend is up over 80% for the year having invested in resource stocks like BHP and Rio Tinto).

Happy New Year to all - Leapfrog!

danZman
Roundtable Knight
Roundtable Knight
Posts: 117
Joined: Thu Mar 10, 2005 10:07 am
Location: Newport Beach,CA

Post by danZman » Sat Dec 30, 2006 6:52 pm

For my systems (which are mostly stock trading systems), breakout systems did poorly. Buying below the breakout worked nicely. Index trading with contrarian data worked great. I'm looking forward to some great things in '07.

Happy New Year to all,

D

painless
Roundtable Fellow
Roundtable Fellow
Posts: 59
Joined: Tue Nov 14, 2006 12:52 pm

Post by painless » Sun Dec 31, 2006 1:08 am

My account was 10303 at the end of 2005 it is now 20080 - USD.
Almost 100% so I am pleased about that given all my "stupid trades" over the year. My testing is based on what it takes to trade one contract because that is all the money I have. I take comfort in knowing that everyone says it can't be done with the exception of Leonardo's post about stalking a market.. Which was a great read by the way.

Happy New Year

Forum Mgmnt
Roundtable Knight
Roundtable Knight
Posts: 1842
Joined: Tue Apr 15, 2003 11:02 am
Contact:

Post by Forum Mgmnt » Sun Dec 31, 2006 7:34 am

One can certainly make money trading with smaller accounts, however, the issue is one of risk. Trading one contract with a $20,000 account in many markets creates a large risk that you will go bust if the market moves against you significantly. If you are comfortable with this risk and with the drawdowns that are likely to accompany large relative trades sizes then you can certainly make money if luck is on your side.

If you trade without a decent edge with a small account as most beginners certainly do, then you will likely lose your account very soon.

If you trade WITH an edge you still run a high risk of going bust due to random events even if you trade perfectly.

- Forum Mgmnt
Last edited by Forum Mgmnt on Sun Dec 31, 2006 11:16 am, edited 1 time in total.

cramnhoj
Contributing Member
Contributing Member
Posts: 8
Joined: Thu Jul 06, 2006 5:27 am

Post by cramnhoj » Sun Dec 31, 2006 11:13 am

This reminds me of what Nicholas Taleb discussed in "Fooled by Randomness". He showed examples where some people attribute their good performance to skill where in reality its more of because of luck. Only when they have the big losses do they realize how risky their trading systems were. In short "it's all fun till someone pokes an eye out", or in this case till they blow up. In the end, only by using prudent risk management with a decent edge can one profit in the long run.

stancramer
Roundtable Fellow
Roundtable Fellow
Posts: 60
Joined: Sat Feb 07, 2004 10:34 am
Location: Washington DC

Post by stancramer » Sun Dec 31, 2006 12:56 pm

A number of Roundtable members seem to believe that "Portfolio Selection is King" and that what you trade is far more important than how you trade. Other members feel that this is an invitation to overfitting-the-past and inherently dangerous. The most stiff-necked and stoic among them adopt an unassailable, but perhaps extreme, truth: The only way to avoid overfitting during portfolio selection is to trade all markets. These people, by definition, always have the good fortune to trade the best markets of the year. Naturally they always trade the worst markets of the year too.

I would suggest that anyone lucky or smart enough to have these eight markets in their portfolio in 2006, probably did very well indeed. Similarly, those who didn't trade these eight markets probably fervently wished they did!

Happy new year to all,
S.C.
Attachments
part2.png
more nice markets
part2.png (139.43 KiB) Viewed 7986 times
part1.png
some nice markets in 2006
part1.png (136.65 KiB) Viewed 7986 times

RedRock
Roundtable Knight
Roundtable Knight
Posts: 939
Joined: Fri Jan 30, 2004 3:54 pm
Location: Chicago

Post by RedRock » Sun Dec 31, 2006 2:37 pm

stancramer wrote:
I would suggest that anyone lucky or smart enough to have these eight markets in their portfolio in 2006, probably did very well indeed. Similarly, those who didn't trade these eight markets probably fervently wished they did!

Happy new year to all,
S.C.
To a large extent, the nature of the system one is trading dictates which markets may be included. A system which attempts to take 'bites' out of the larger trend and which enters on stops, may experience too much skid on the thinner choices. Granted, in your well chosen examples, any entry would have been welecome. Just eyeballing, in spite of the nice trend in EURIBOR, Nat Gas and Nickel the deep retracements would have proven difficult for many systems to endure.


Painless:
Many moons ago, I ran a 10k account up to almost 30k in six months. {fixed ratio}. And back to 8k in the following few months. Using the same method throughout.

I hope you will not have a simmilar ride and extend congratulations on a great year and best wishes in 07.

painless
Roundtable Fellow
Roundtable Fellow
Posts: 59
Joined: Tue Nov 14, 2006 12:52 pm

Post by painless » Mon Jan 01, 2007 12:29 am

"One can certainly make money trading with smaller accounts, however, the issue is one of risk. Trading one contract with a $20,000 account in many markets creates a large risk that you will go bust if the market moves against you significantly. If you are comfortable with this risk and with the drawdowns that are likely to accompany large relative trades sizes then you can certainly make money if luck is on your side."

Bingo! Thats me! c.f. shows a great deal of understanding again. Yes I have had a good year and it has not been without pain. One good trade is larger than my max drawdown but since I am trading an index I must anticipate the drawdown to be a percentage of the contract value not a historical test value, it usually comes in about 4% of contract value when I analyse indices. So in reality I am no safer than when I started. :(

Thanks Redrock and believe me I am not overconfident. You have been there so you know where I am coming from, my account was down to 6800 at one stage and taking the next trade was make or break. It is not a comfortable way to do it and I hope that I can feel at least a little safe one day.

What a great spread of markets StanCramer put up. I wonder how 2007 will be for these indices that seem to be China driven. I also wonder if there will be a reversal for the USD once the Iraq mess is over. Now where did I leave my crystal ball?

All the best!
Blair

ratio
Roundtable Knight
Roundtable Knight
Posts: 338
Joined: Sun Jan 15, 2006 11:07 pm
Location: Montreal, Canada

Post by ratio » Mon Jan 01, 2007 12:05 pm

Started the year with 7906$ in my account.

Ended with 28329 in profit for a balance of 36235.

In February, after catching the Sugar and Copper move, I was up to 77,000$.

But thank's to too much agressiveness and poor money management I ended with where I am now.

This year I was trading with no System, And I think my big mistake was that I way over trade my account. I finnaly took some time in the last month or so, I put some of my trading idea in Trading Blox.

I open an other account, and I put 20000$ Canadian in it on December 18, 2006. I will trade on that account only my mechanical system. I am putting 3 system in paralell. 1 that trade Meat, 1 for US Bond and 1 that do only one trade a year with the Dow Jones index.

I may elect to publish all my trading here, because I find that we do not have any reference to what happen to a trading system when it go from backtesting to real life trading. So that would be a good reference, to see what happen when you over fitted a system (wich I dont think I did), or it would demonstrate to people that it is possible to come with tradable system, and that you can obtain result similar to what was acually tested.

What I found interesting in my system creation experiment is that multi system trading can really lower your overal risk exposure, while maintaining a really good result. Also the way you allocate the fund to the system, make a huge difference in the risk exposure.

Denis

painless
Roundtable Fellow
Roundtable Fellow
Posts: 59
Joined: Tue Nov 14, 2006 12:52 pm

Post by painless » Mon Jan 01, 2007 7:27 pm

Gee I thought I was game, I guess not :)
Lemahsin you have to get the big coconuts award for 2006 and it sounds like slowing down for 2007 might be a good idea. Congrats on coming out ahead and I bet you learnt a lot.

freeman
Roundtable Knight
Roundtable Knight
Posts: 114
Joined: Tue Oct 04, 2005 7:12 pm
Location: Switzerland

Post by freeman » Wed Jan 03, 2007 10:15 am

Well i still dont trade any of my systems full on mechanical,what i have done is taken a the odd pick from what they have picked up,with a bit of descret i cleaned up on a few stocks,95% is descrete for me.i will say TB has improved my trading alot from generating ideas ect.

Post Reply