Tuesday, December 23, 2008

Special Post - 2008 Statistics

OK, let me first do away with the disclaimer that I strongly believe statistics are largely irrelevant, and their use is best when limited to very sporadic look backs. For me, "sporadic" is once a year, period. After all, a pitcher shows up to pitch, a batter shows up to bat, a trader shows up to trade, and the stats are natural indirect fallouts. The minute we start trying to "manage" to stats ... well, therein lies the danger and is where many losing traders start down the slippery slope of doing things like capping gains to try to fit certain distribution patterns.

Having said that, and with a deep breath, here's some preliminary data on the year:

2008 Statistics (All $ are net of transaction costs)

Market Days Traded: 253
Market Days Not Traded: 0
Perhaps we should stop right here as it's likely the most telling statistic and why my December brain was fried.

Days Positive: 197 (78%)
Days Negative: 56 (22%)

Weeks Positive: 45 (88%)
Weeks Negative: 6 (12%) Includes 2 in December

Months Positive: 12 (100%) The current trailing stop will ensure December ends +.
Months Negative 0 (0%)

Average Day P&L: + $6,505
Median Day P&L: +$6,195
Note: Multiplying the average by the # of days traded won't tie to the Net P&L for the year because the latter includes overhead expense.

Largest Gain: $70,423 September 18 (Yes, I've linked to it. 'Twas the toughest post of the year.)
Largest Loss: -$93,574 October 6 (This one's a fun read. Note the comment "On 12/31, this will be a distant memory and the wound will have scarred over." Just remind me to take 10/6/09 off.)

Days to Recover from Largest Loss: 4

Largest Daily Winning Streak: 15 Days - Aug 26 to Sep 15 (+ $185,250)
Largest Daily Losing Streak: 3 Days - Feb 1 to 5 (Minimal Damage at -$9,213)

Largest Weekly Winning Streak: 21 - Jul 14 to Dec 5
Largest Weekly Losing Streak: 2 (Twice) - May 19 to May 31 and Dec 8 to Dec 19

# Times with Consecutive Losing Days: 9

Daily Profit Distribution (# Days at each Profit or Loss level) ... Click to Enlarge.

Note 75% of the days fall within the first 3 bars of profitable segments (essentially 0 to $30K).

And perhaps the most important statistic of the year, when compared to prior years (after all, the only stat that means anything is the bottom line):

# Months P&L (before overheads) > $100,000: Zero, Nada, Zilch

# Months P&L $100,000 - $200,000 : 6
# Months P&L $200,000 - $300,000: 2
# Months P&L > $300,000: 1

Talk about a Bamboo shooting from the ground.

And while I'm not sure what this all says -- and won't spend much time trying to figure it out -- aside from the one day from hell (which as noted was recovered in less than 4 days), I seemed to be in multiple prolonged periods (multi-day & multi-week) of being in the proverbial "zone" while keeping damage to a minimum during times when I was out of sync. It's frankly hard to believe that out of 253 trading days, I only had nine instances of consecutive losing days, and only one where it stretched to three.

Of course in less than ten days, this will mean nothing. I'll need to approach 2009 as I did every day, week, and month of 2008 ... as if 2008 was a disaster and that I'm starting not only from scratch, but from behind. Way behind. A new season will dawn and a new champion will be crowned. I'm going to have to jump into that damn pool again and get wet.

Yet that's for later. For now, it's OK to reflect on 2008. The Year of the Bamboo.

But not for long.


Eric D said...

Don - Congratulations on a great year.

Any plans to take a vacation & get some time completely away from the markets to recharge?

I don't think I have ever seen anyone else with as much focus & determination as you showed this year. I know you said that you burned out going into December which is totally understandable but do you think you will continue next year with the same trading style & extended hours?

I know that for me personally, some of my best trading & most profitable periods came after a time away from the markets. Things seem to become clearer for me when I step away from them for a brief period & then come back to them.


Don Miller said...

Eric -

Yea, I'm thinking about it. I actually consider myself on "vacation" now, and am recharging, but your point is valid as I'm obviously still keeping an eye on things.

Over the next week, I'll do a post called "What Now?" as I try to figure out where to go from here.

I don't need the money, could easily retire, and have basically now accomplished everything I've ever wanted out of the industry -- including both this year's results as well as prior years of teaching students, some of whom went on to become large successes.

So I'm left trying to figure out how to approach next year, and don't have an answer yet. I guess it's a good problem to have.