Saturday, February 28, 2009

** VIDEO ** Expo Goodies; Top CTAs; Motivation

Tonight I have some fun with the New York Expo, compare the Top 2007 vs. 2008 CTA performances, and discuss what helped motivate me this week. You can also view Friday's post and February recap below.



Please note I'll be gone for much of Saturday, and will check comments when available.

Have a great weekend.

15 comments:

pkmaui said...

Don,

So many things you say ring true for me especially the motivational cues.I even ordered these 3 books:
The tao of poker, The physcology of trading, Golf is not a game of perfect-thinking i will get "something" out of it.

I could probably write a better version of "trading for dummies" on the history of my past!

Thanks Don for providing all of us together- a special & unique place to go to:)

pk

A said...

Hello, more on costs...

The average retail trader pays about 2.4 per side which would come to about 90K in commissions. That would leave us flat for the month if we traded exactly the way you do.

I guess the moral of the story is we NEED professional rates.

bradley said...

Hi Don,

Thank you for the great blog. It is very encouraging and it has helped me on my good days (stay humble) and bad days (stay a float). Feels like a community.

I am curious as to why you keep comparing back to the 2008 so much? It is almost 20% of the way through 2009 and I remember you saying it is not what you usually do?

And question two - how on earth do you get a 97% hit rate? I go between 33% and 66% with a reward to risk of 1:1 to 2:1.

Thanks
brad

Thomas said...

Don,

Your blog is very good. I have incorporated your Scorecard into my daily routine (with a few entry modifications). I find that it's a good tool to rate and improve one's performance.

Thomas

Glems111 said...

Hey Don,
Glad your feeling energized after the expo. My question to you is that I am fairly new to sp fut. and Iam using a 1.5 to ratio. What are your thoughts. Also hows the Boston Group forming.
Enjoy those Big Bad Bruins

Glenn

Don Miller said...

A -

Partially true ... see my comments below and check out the "CME Rate Impact" post in the key post link section in the lower left margin for an elaboration.

In my view, $2.40 per side is outrageous, if not an outright crime, and any broker with a customer with half decent volume would be stupid not to negotiate lower rates else lose the business to someone who is more flexible ... as was the case when I traded with far less volume.

Keep in mind the my volume reflects both liquidity-providing trades (which reflect the largest volume and cost but smaller per-win profit) AND speculative trades (lesser volume, greater per-win profit). Yet I don't track the specific results as they blend into the overall day's trade.

Don

Don Miller said...

Hi Brad -

Primarily becasue the final CTA data was just released this week, so it was the final necessary piece to a year-long personal bechmarking effort. But now it's done and over.

Re: the 97%, keep in mind that's # of profitable days / total days, and each each could include up to 40 trade sequences (flat to flat), many of which are unprofitable, scratched, stopped, etc.

Yet because I view the entire day as a single "trade" and book my results that way, I don't track or care about the irrelevant "per true trade" take, which can often be far less than 50% in a given day and still reflect a profitable day if I've managed risk well with size.

Basic example: 4 probing trades with small volume which lose small or scratch and 1 win with heavier size once I have more market data and conviction = 20% success and likely net profitable. Such is often the case.

Good ?s ... hope that helps.

Don

Don Miller said...

Glenn -

Great game, but the Bs lost on a soft overtime goal. [Reminds me of some trading days when the trade goes through my legs.]

Re: the Boston group, it's still on my radar, but I just haven't had time to organize anything yet. The list of interested people is pretty decent though, and I'm still going to plan something.

Re: a ratio, that's really tough to answer given so many styles, cost structures, etc. See my response to Brad too.

Don

Don Miller said...

Brad -

One other comment re: '08 in that I think it's human nature to internally benchmark oneself to past performances once you know your potential and capability, and perhaps that's sitting in the back of my mind as I harshly critique my early-2009 performance and lack of drive.

In fact, I've thought long and hard about looking back at the detail of days from last fall to perhaps find a clue as to what I'm not doing now that I did then. And yes, it would go against my grain of not usually looking back, which is one reason I've been reluctant to do so.

Yet just maybe it might help provide a missing clue in order to correct something that's not there right now and allow me to move ahead.

I'm not sure.

Don

estrader said...

I am also paying $4.40/round turn or $2.20 per side with mirus futures using the ninja trader dom. According to your Feb.# contracts of 37,534/$19,149=You are paying $0.51 cents per contract or $1.02/round turn. That seems awefully cheap, I thought CME floor fees were $1 and an additional $1 for broker transaction fee for a total of $2/side minimum.... Is the $0.51cents per side include your cme membership fee?

Don Miller said...

estrader -

Your stated CME rate is incorrect ... check out the CME Globex lessee per-trade rates at:

http://www.cme.com/clearing/clr/fees/lessememp.html

CME Globex fees for lesees after the 1st 200 contracts are only $0.21 per side (since one of the components is capped at $50/day). For non-members it jumps to $1.14 per side which is why the cost/benefit of leasing a $2K-$3K monthly seat is a no-brainer for any serious futures trader with more than minimal volume.

Either way, the difference between the CME piece and what a broker is charging a trader is going in the broker's pocket, and many times at an astonishing premium over competitive alternatives. This is something most brokers DON'T want you to know, especially those who offer "bundled" rates.

And yes, you have to add my CME lease price to my per-trade cost.

Don

Don Miller said...

All -

Please refer to my 1/27 & 1/28 posts for the whole discussion about CME leases, rates, and how it affects my trading and bottom line, as it's well documented there.

No problem with the ?s ... I'd just rather refer you to that particular discussion vs. rehashing it again here :-).

Thanks.

Don

estrader said...

Don,

Just read the 1/27 & 1/28 posts.
You stated that your "Lease Fee (Actual '08 Costs) = $22,600" which comes out to $1,883.33/month for your lease membership. According to your Feb.# contracts of 37,534/$19,149=You are paying $0.51 cents per round turn, Or $0.42/round turn after the first 200/lots and $50/cap. So your monthly cme lease fee of $1,883.33/37,534 contracts=$0.05/round turn. You are paying $0.47/round turn after the 200/lot $50 cap. If my math is right which includes the 5 cents per round turn for your cme lease membership fee, Then your broker would be receiveing $0.04/round turn in commissions. ($19,149/Feb roundturns 37,534=$0.51.

Don Miller said...

estrader -

Your math is incorrect.

As stated throughout the blog, the # of traded contracts always reflects both buys AND sells, so the .51 is per side, .21 of which [after the cap] goes to the CME.

The CME lease fee is also not included in the commission $ total [it's in the overhead #],so you'd have to increase the .51 rate if you want to show the effect of the lease in the commission rate.

I know these calcs like the back of my hand, and the broker is doing just fine and gets more than the Merc :-).

Don

EK said...

Good info on motivation, Don. Thank you. Monday mornings i'm sometimes sleepwalking, so you've given me some ideas. Perhaps i'll watch the YouTube of KG screaming just before market open.