Many thanks to Bruce Bitner for sharing highlights from his personal trading journal from the past week. I hope you gain insights about what it’s like to explore edges and develop trading strategies.
Enjoy!
-Andrew Falde
I’ve read that sharing your trading journal was a good thing but have resisted…. until now. I will apologize up front for the formatting, incomplete thoughts, and half baked ideas. I’ve tried to group similar topic items so it’s not necessarily time linear. Hopefully, you will find something helpful and maybe even humorous in my journey to becoming a better trader.
A little background. I’m working on bringing a TLT strategy from idea to funded strategy in a 5 week schedule. Last week, the stand alone TLT strategy wasn’t far enough along to stand on it’s own, so I started combining it with GLD.
The Goal this week is to stress test the TLT/GLD combination and make a decision if the strategy is viable for production or to be put on the shelf for future consideration. (Andrew’s reponse: might also consider it for a portfolio addition. On its own it may be close… with CL it might be an improvement to your offering) This is the most aggressive/optimistic result I was able to achieve by the end of last week. Next is to stress test it and see how well it holds up and if it can be deployed.
Asked Andrew: Do you have specific stress tests you would like to see? (Andrew’s response: I think you should add some conservative price-risk assumptions. What if you got .01 ($1) worse, or .02, or .03?)
Asked Andrew: Added price risk into the system pairing spreadsheet. Here is the table for the best case so far. (Andrew: Many strategies that people come up with could blow up in the process. This is a very cool summary report that explains the value of getting good fills and having good fill assumptions!)
Ran 3 additional backtests for the TLT to get an idea how robust the indicator settings are. These are relatively quick date-2-date backtests. The goal is relative performance. Overall, still profitable and generally the same income shape. The longer/slower signals had a deeper pullback and less overall return than the slightly faster signals.
Backtest single contract results on GLD version of the OBV.
Here the GLD/TLT strategies are combined to give a strategy robustness landscape. Note: I used the first close date as the start of the time period (which is inaccurate, typically 2-3 months off, the aRet numbers are slightly inflated over the 7 year timeframe)
Next, I want to backtest a roll during a minor pullback to bring the aRet/MDD up for each. Seems like I’m moving from stress testing back to development phase, determining rules again. I suspect this is one of the reasons I tend to get stuck in the development phase.
- Wednesday’s Group Mentoring Meeting Notes:
- Key to strategy deployment is to have a level of confidence out a specific strategy (among numerous choices known and unknown) to roll it out, scale it up, and keep trading
it, until there is a valid reason to scale down or exit.- Problem: There’s 1000’s of ways to make money in the market. Chose a few to implement. Once you have committed, now you have to have the confidence to keep trading it. Because…. none of the strategies will make money if the trader quits after the first loss or string of losses.
- Philosophy/beliefs about strategies are key to implementing and adhering to
systematic deployment and exiting.- Implementing a strategy can be looked at as a trade, employee
and asset. - Strategies are not something to be emotionally connected to,
same as a trade. Let the data determine your action. - Even good strategies don’t work sometimes. One edge (to stack on top of the other trading edges) is having a scale in/
scale out system to allow you to survive strategies that don’t work. (Continue focus on risk at each level of trading).
- Implementing a strategy can be looked at as a trade, employee
- Key to strategy deployment is to have a level of confidence out a specific strategy (among numerous choices known and unknown) to roll it out, scale it up, and keep trading
- Reading: Atomic Habits by James Clear
- Forget about Goals, Focus on Systems instead.
- Why?
- Winners and losers have the same goals.
- Achieving a goal is only a momentary change
- Goals restrict your happiness
- Goals are at odds with long-term progress.
- Focusing on the overall systems, rather than a single goal, is one of the core themes of this book.
Have a great Weekend!
– Bruce
Awesome stuff here, Bruce! Thank you. Regarding “a goal is only a momentary change”… That’s a great idea for everyone to remember.
A goal, by definition, must be something that can be accomplished. Once it’s accomplished, there is a void. It’s important to have goals that align with core values and a purpose… Those are things that are never finished and that always drive you… either when your goals are achieved or if you fail to achieve them.
Looking forward to seeing the future of this TLT / GLD options system!