Objectives - March 2011 - 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 March:

• Read trading blog posts daily
• Archive important news and blog posts in searchable database as needed
• Follow the activity of SPY and IWM daily
• Update Market Report daily
• Update Market Breadth Indicators daily
• Simulate trades for mean reversion trading strategy daily using Interactive Brokers paper trading account
• Complete 1 Lessons Learned per week
• Complete objectives review for February 2011
  
• Modify StockFinder layout for day trade mean reversion strategy to include IB commissions in performance metrics
• Modify Stockfinder layout by simplifying price and liquidity conditions to a single source
• Finalize day trade mean reversion strategy parameters for baseline strategy in StockFinder layout
• Create TeleChart scans to replicate day trade mean reversion daily picks from StockFinder
• Begin paper trading day trade mean reversion baseline strategy and compare IB daily returns to StockFinder daily returns to calibrate trading scans
• Track DTMR strategy results with IB paper trading account and TeleChart stock data to evaluate slippage effects on strategy
• Add historical backtest results for day trade mean reversion baseline strategy to the DTMR trading plan blog post
• Create spreadsheet to track performance of swing trade breakout strategy
• Pick at least one stock a day to paper trade for swing trade breakout strategy
  
• Send out at least one resume a week

The items in green are 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 March:

• Read 1486 trading blog posts
• Archived 63 blog posts in email
• Posted Market Breadth Report to track sector behavior on 22 days
• Updated market breadth indicators spreadsheet on 22 days
• Monitored intraday SPY and IWM activity for 21 days
• Recorded simulated trades in journal on 21 days
• Worked out on 18 days
• Read 432 pages of Evidence-Based Technical Analysis
• Completed Google spreadsheet to automate relative strength investing strategy
• Completed Google spreadsheet to track daily trade performance
• Researched upgrading to Worden TC2000 software
• Studied Trader Kingdom webinars - John Joseph
• Researched bootstrap analysis and Monte Carlo permutation techniques
• Had networking meetings with 3 different fund managers/traders

I completed some of my objectives for the month.   I spent most of the month focusing on my mean reversion trading strategy. While it is not fully completed, I made a great deal of progress on its development.  Many of the items I did not complete pertained to developing my swing trading breakout strategy, which I want to put on hold until my mean reversion strategy is fully up and running using the IB trading simulator.

I was unable to finalize my day trade mean reversion trading startegy, but it is nearly complete.  This month I updated and simplified my StockFinder layout to incorporate commisions and compounding into the results.  Currently, I have a market breadth indicator to determine if I should be long or short and I have a have a short-term overbought/oversold indicator to rank stocks.  I have determined the liquidity requirements for my stock selection. In addition to these aspects, I have added a simple equity curve trading strategy that has helped reduce my risk while allowing me to incorporate some leverage to boost risk-adjusted returns.  I am currently working on finalizing a volatility-based position sizing strategy that will dynamically determine how much leverage I should incorporate to maintain reasonable risk-adjusted returns.  Once this step is completed, I will begin simulating the trades using Interactive Brokers trading simulator.  I expect to have this completed by the end of April.  Also, I will add the backtest results for the strategy to the trading plan post.

I was able to make a little progress on the job search last month.  Unfortunately, I did not submit any resumes to employers.  I was able to setup several successful meetings.  I was able to pick the brains of some successful fund managers and traders, who will also help me out and submit my resume to some of their friends in the business.  The trading world in Chicago is a very small community, so it help to have some great connections.  I am still split between discretionary and algorithmic trading.  I would ideally like to find a position that would allow me to pursue both routes, perhaps working as within a small team or traders/programmers/quants to get good exposure to all roles.  I figured that going on a few interviews will help me make a decision.  Thankfully, I am attracted to many different trading strategies and vehicles.

I have been studying some trader techniques that include risk management and statistical analysis to improve my strategy performance. Trader Kingdom has been a valuable asset.  The website includes several webinars, posts, and feeds about trading from real traders.  Also, Worden has released an update to TeleChart 2007 called TC2000 version 11.  It is similar in form to StockFinder and FreeStockCharts.com.  I will probably be upgrading this month, which will help me commonize and simplify my trading strategy scans.  A little spring cleaning is in order to help streamline my efforts.

I have put my martial arts membership on hold until May 1 to allow me to focus on finalizing my strategy.  I have been able to consistently work out using the gym in my building, but the work outs don't compare to my martial arts training.  I am really looking forward to getting back to training, especially sparring.