Friday, January 30, 2009

Friday Notes - An Imperfect Month

4:00pm Let it be said that I probably made more mistakes this month than I've made in a long while. And if you scan back through many of the January blog entries, you'll see that while I began the month with some mental R&R (trading each day, but lightly), I haven't been satisfied with recent results.

My early morning performance -- traditionally a strength of mine over the years -- has generally been poor and has often resulted in my needing to make more midday adjustments on the fly than I'd like. Too many. And such was the case again this morning when I was just enough out-of-sync to suboptimize the classic morning-after-trend oscillations, although I again did OK with the midday short sequences to more than offset the early sloppiness. Trade sequences have also been sloppier than I'd like as I continue to work on re-establishing a consistent, non-hesitant, crisp trade execution flow.

And yet, as we peek at the chip score for the first time this year, I'm still awaiting my first daily chip loss of the year. 21 trading sessions, 21 chip gains. 23 overall in a row. I almost wish it weren't true, as the P&L on the other hand leaves a lot to be desired. If stacked against the '08 months, it would rank a mere 10th of 12, although certainly a decent improvement over December where I essentially locked up the year mid-month, and not that far off from January '08. And I'm traditionally a slow starter.

Yet this is why I hate statistics and pay little attention to them. As I've said ad infinitum, I care about one number: Net Profit. 21/21 means nothing, aside from a general view of consistency -- including possibly consistently mediocre. And while those new to the blog continue to try to calculate and make sense of all sorts of stats such as win/loss %, average points per trade, etc., I'll go on record once again saying such analysis in my view is a highly irrelevant after-the-fact statistic.

I also don't care for Rate of Return analyses, despite last year's benchmarking effort which was more for fun than anything. I'm a bottom line guy, period. Plus, too many games can be played with RORs in terms of moving balances around, purposely and effectively trading only a portion of tradable capital for risk control, or growing tiny amounts of capital with extreme high-risk leverage. It's simply not important to me, and I'd take $1M annually with a declining ROR every year in a heartbeat.

Yet we'll take one final and brief look at January, before forgetting it as soon as the virtual words are typed:

January 2009
Daily Gains: $119,259
Daily Losses: $0
Commissions: -$17,084
Overheads: -$3,271
Net Profit: $98,904
Daily Win/Loss %: 100%
Contracts Traded: 34,788
- Projected 2009 annualized: $1,186,848 (Careful with this; it's annualization of only one month.)
- Last three months annualized: $1,448,396
- Last twelve months actual: $1,630,942

My only comment about the pace figures is I don't like the declining #s from largest timeframe (12 mos) to the most immediate timeframe (1 mo), although Dec & Jan include an intentional slowdown so I can't make too much of it. Still, I'd rather see the three figures trend the other way.

Now, it's history and forgotten. The foundation for the rest of the year is now set, and it's time to build the house.

And I have to decide whether I'm truly going to get serious about the '09 trade. I've said I'm now ready. I've said I'm now well-rested. I've said last year is now fully and completely behind me and forgotten.

But as always, talk is cheap. I'm going to have to prove it again. Not to anyone looking over my shoulder ... just to myself. I'm my toughest critic and it will always be that way.

It was a very imperfect month and I have a lot of work ahead of me.

It's time for less talk and more action.

The wall studs go up on Monday.

We'll "chat" more over the weekend.


NQJ said...

Hi Don,

Thanks for sharing the no's with us. If it is ok, could you mention total no. of cotracts traded for month or average for day.

Thank you,

Don Miller said...

Just added.

E-Mini Player said...

Positive 6-figures while taking it "slow" on "imperfect" trading :D Don, you're setting the bar quite high! I'm hoping you knock this # out of the water in February when you're more serious :)

steve said...

Don if you need help with a negative chip day I'd be happy to stop by! I'm sure it wouldn't take me long. :)

Unknown said...

Hey Don,

Good job chipping up! You can nominate me as President of the “consistently mediocre” club…cause that’s the way I feel on my performance.

I too feel the same way about stats, but they continue to haunt me in bed. So may I ask you this : what % rate of return did you do for January?

Cause I did 3.5% and I’m bumming hard :( …

Your poker friend in Bulgaria,


Get In Get Out said...

Don, I have been trading the E-minis on and off for about 1 year and have blown out 4 10K accounts...I have recently taken about 8 weeks off to vent out and paper trade the e-minis from market open to close to test many different market strategies. I am feeling confident to getting back in of course trading slowly and 1 contract per trade. Reason I am posting is that I was using OptionsXpress at $16/roundturn which is astronomical after doing research on other brokers commission fee rates. I wanted your opinion on what you would recommend for a trading platform (web-based vs. software based) and a recommendation on streaming charts to trade off of. It might be confidential to let everyone know what charting software and platform you use, but wanted your opinion on what you would recommend. I was thinking about using IB interactive Brokers since they charge $4.80/round turn all inclusive with routing/floor fees. I am really stuck on what to do. I was going to use IB as a broker & use a 3rd party software called QuoteTracker while using optionsXpress streaming Quotes. Your opinion would be greatly apprechiated. My roomate from college works at the nymex as IT for a clearing firm and tells me most proffessional traers there use TT trader, but at $650/month for subscription fees seem too expensive....Thanx Don you seem like the most down to earth cool trader that is not super-ego superman like the guys on cnbc's fast money...

Don Miller said...

PK -

As noted in the text, ROR will be largely irrelevant and fairly meaningless as a goal this year as it is most, and thus I won't likely be tracking it this year. [I view last year's ROR benchmarking as a one-time event for me which I had some fun with.]

If it helps, right now I'm actively trading a similar balance to what I started with in '08.

I'll expand more on '09 goals over the weekend.


Don Miller said...

Hi Get In Get Out.

Sorry to learn of your struggles. I know it probably doesn't help, but I definitely had a few blowouts and great heartache in the early days.

In terms of platform, it's certainly not confidential, although I'll caveat my answer in that I don't recommend any specific trading strategy or platform.

Yet I can tell you what I use, which is TT for order entry and eSignal for charting.

The reason I have a separate platform for order entry vs. charting is that it provides redundancy in ensuring the data feeds and price data are correct.

In other words, if one feed goes down, it would be evident in that the order entry price ladder would no longer sync with the chart prices. And if that happens, a mental red flag goes off.

It's of course more costly to have both, but I consider it a necessary cost of insurance. Plus, vendors usually specialize in one or the other, and this way I get the best functionality of both order entry via TT and charting via eSignal.

The main reason I use TT is because of what's called their static DOME price ladder [which is what they sued several copycat providers over]. The DOME [depth of market] screen provides a solid view of market price action and is what I use to place all my orders. Other vendors can use similar technology, but they have to pay TT per-trade royalties which they pass on to traders in the form of higher commissions.

A long time ago and in my pre-CME member days, I used IB for a short time, as they seemed to have a decent discounted fee structure and decent connectivity, but I haven't done any research on them in a few years.

Hope that helps and hang in there.


RONIN said...

Hi Don:

Ninja Trader has the TT ladder DOM screen which they charge on a per trade basis and is very affordable. Traders in our room are very happy with that for execution and they use DTN Esignal for quotes and charts. Just my 2 cents.


Mistagear said...

I have just begun to trade E Mini's and am struggling to justify the time and effort compared to meager returns so far trading 1 contract at a time.
Do you consider it viable to trade a single contract at a time? Your returns are impressive but when i try to compare your multiple contract method against my own single contract, your quoted gross profit per contract comes down to $3.42
I pay a $5.00 commission fee per contract compared to your figure at a mere $0.49c per contract.
I am not for one minute knocking your returns, my question is, do you think it reasonably possible to graduate a single contract per trade account into something sustainable or am I really only kidding myself on chances of growing the account ?

Don Miller said...

Hi Peter -

There are so many variables, some of which I'll touch on in today's (Sunday's) post, that it's tough to answer.

And while I believe I could grow a small trading account with how I trade, I do believe though that "single contract" trading would be very difficult given how I use size and scale in and out and manage risk.

Yet the primary reason I think single contract trading would face significant challenges, is because it would almost force entry perfection to contstantly "nail" that sweet spot wholesale entry point. And given how imperfect and noisy the market usually is, I think one would face significant challenges.

As far as your $5.00 per contract fee, that seems far too high even for "retail" traders as I touched on in recent posts on commission pricing.

I'll touch on this more in today's post.