Objectives - June 2010 - Review

In this post I will review my performance from the past month, determining what was accomplished, what was not accomplished and why. Below is a summary of the objectives I set for myself during the month of June:

• Archive 50 blog posts per week
• Post 1 Lessons Learned per week
• Simulate trading strategy and record daily trade results in journal
• Update market breadth indicators spreadsheet daily
• Document daily study activities on blog (pages read, blogs read, trades, tasks, etc.)
• Monitor intraday performance of SPY and IWM daily
• Monitor StockTwits feed daily
• Continue research stock market momentum behavior and returns
• Read 40 pages per week - Statistical Analysis with Excel
• Read 1 chapter per week - Schaum's Outline of Statistics
• Complete 1 chapter problem set per week - Schaum's Outline of Statistics
• Perform 1 backtest research study per week
• Read 15 pages per week - Option Volatility and Pricing

The items in green of the objectives that I completed during the month. The items in yellow are objectives that were partially completed during the month. The items in red are objectives that were not completed during the month. Below is the list of items that I accomplished in May:

• Read 910 trading blog posts
• Archived 241 blog posts in email
• Posted 4 Lessons Learned
• Completed 4 backtest research studies
• Read 20 pages - Daily Trading Coach - Steenbarger
• Read 137 pages - Statistical Analysis with Excel for Dummies - Schmuller
• Read 18 pages - Schaum's Outlines of Statistics - Spiegel
• Completed 8 problems - Schaum's Outline of Statistics - Spiegel
• 60.0 hours of backtesting with StockFinder 5.0
• Updated market breadth indicators spreadsheet on 22 days
• Monitored intraday SPY and IWM activity for 21 days
• Monitored daily StockTwits feed for 21 days
• Recorded simulated trades in journal on 22 days
• Paper trading 8 short-term strategies
• Evaluating multiple position sizing and portfolio allocation algorithms
• Updated blog sidebar to include useful trading tools and software tutorial/webinar videos
• Morning cardio on 11 days
• Ran 35.5 miles
• 19.0 hours of martial arts

Focus was the theme of the month in June. I realized that as my knowledge and expertise develop, I am finding I have less time to evaluate and pursue all of my ideas.  This is due to the fact that one trading idea seems to give birth to several new trading ideas, and my "To Do" list seems to be growing exponentially.  I decided this past month that I need to focus my efforts to maximize my productivity and education in the short-term.  I have indentified the following areas to focus on in the coming months:

• Backtesting and researching my first trading strategy in order to go live
• Expanding my domain knowledge of trading through blogs and reading
• Preparing for the demanding interview process associated with trading careers

Now on with the monthly evaluation. I monitored the StockTwits feed and the SPY/IWM activity virtually everyday this past month. The only day I missed was a vacation day when i could not be near a computer to monitor the markets. I also consistently updated my market breadth indicators.  Sometime in the future I need to update the spreadsheet by removing indicators that do not add any value, and add potentially helpful ones that I have found through my research. I have generated a list of various indicators for the short, intermediate, and long term behavior of the market.  Some of these indicators will require some VBA programming.  I need to streamline my activities in order to get the most out of my free time, and cleaning up my market breadth spreadsheet will help me accomplish that goal.

I did an excellent job recording the performance of my trading strategies on a daily basis.  Currently, I am tracking the performance of 8 different strategies.  They are all short-term, swing trading strategies focusing on the mean reversion of stocks.  In addition to the eight strategies, I am also evaluating position sizing algorithms and experimenting with the number of positions to hold at once (ex. 1, 5, 10, 20, 40 stocks) to try and reduce the equity curve drawdowns and portfolio heat/risk.  After following the paper trades for over a month, I need to determine a timing algorithm to tell me the best times to be long, short, or out of the market. I have begun experimenting with a few ideas.  It seems that the best timing algorithm will be based on the performance of the of the stocks in my trading universe, instead of the entire market.  This will help me determine when my trading universe is likely to exhibit follow through or mean reversion characteristics.  More research is definitely necessary.

I am in the beginning stages of strategy development, so my journal is mainly process and results oriented.  It helps me develop the discipline to have a daily routine of reviewing my simulated trading results, as well as helping me familiarize myself with equity curve characteristics.  Once I have a clearly defined trading plan that I am trading with actual money, I will begin keeping a psychological journal.  For now I will continue to develop my process skills and daily discipline.

I read through 910 trading blog posts last month. The number has dropped from last month because some of the traders I follow have been taking vacations.  Also, Dr. Brett Steenbarger's has quit contributing to his blog, TraderFeed, because he was recently hired by a hedge fund.  His posts were excellent and thought-provoking.  He will be missed.  I am planning on going through his older posts and adding the pertinent ones to my email archive.

I was able to archive 241 blog posts in my email account this month, which exceeded my goal of 200 archived blog posts. I made this an objective because I wanted a personal data bank of the trading blog posts I thought were memorable in case the owner's blog went down, or google reader crashes, etc. So far I have collected a total of 650 blog posts. This is a great way to search any type of information such as systems, indicators, strategies, etc. If I ever need any new ideas I can quickly do a search in the archive for stops, mean reversion, exits, volatility, psychology, etc.

I did accomplish some reading, but was unable to achieve an of my monthly reading assignments. I read 137 pages of "Statistical Analysis with Excel for Dummies". I read 18 pages and completed 8 problems in the "Schaum's Outline of Statistics" book.  I also read 20 pages of "The Daily Trading Coach".  As I mentioned above, I need to focus my efforts and my reading assignments need to be more streamlined.  I will continue reading "Statistical Analysis with Excel for Dummies", but I will discontinue reading the other books.  In there place, I will begin reading "The Universal Principles of Successful Trading" to help me get my paper trading strategy up and running in a live account.  I will also begin reading "Heard on the Street: Quantitative Questions from Wall Street Job Interviews" to help me prepare for upcoming interviews.  I will focus on completing these books over the next 2 to 3 months.  Once I have obtained a trading job I will resume reading other books in my reading list located in the side bar of the blog.

I spent 60 hours backtesting during June, which is a personal best. I have come to realize that it is more important for me to identify a trading edge than it is to read because I need to develop my trading strategy with virtual trading and journaling. I have identified my fundamental trading strategy, but it is still in its infancy.  I have created a list of backtesting topics to investigate various aspects of the trading strategy such as entries, exits, position sizing, market timing, long/short allocation, etc.

Even though I spent a great deal of time backtesting, I did not post any of my results on the blog. I have a tendency to race though the actual backtesting, and then sit on the data for awhile before creating a summary post.  I need to begin posting on my backtesting results.  I think I had a good idea last month with creating many smaller posts that arent as detailed as my original posts.  I spent some more time thinking about the topic this month.  I want to begin making short general posts on the many aspects of trading strategy development.  These posts wont give the exact details of the trading strategy, but will address major issues and ideas that I have come across along the way.  Each post will include an example with some simple results to prove my point.

This month I slacked off on the morning cardio.  I have found that with everything going on in my life, I have been waking up in the morning very tired.  I need to change this because a morning workout seems to make the whole day better.  I should keep the workouts short and now longer than 20 minutes to help motivate me.  I have my half-marathon at the end of this month as well as an exhibition Savate fight in mid-August, so I need to step up my training.  I was happy with my mileage this month, and I am looking forward to extending my long runs before the upcoming race. I was able to maintain my mileage (35.5 miles) and attend martial arts frequently (19 hours).

I am impressed with how well my paper trading is going and I am looking forward to researching more aspects of my strategy.  July is going to be a busy month, but I expect that I will still make advances in my development.