Said Bitar Daily Journal

[JulianCohen]

Said Bitar wrote:

What a night

all the profits from the previous month with MOC disappeared tonight

Yup almost the same. My US Swing made huge gains the night before last. The. The MOC lost half of it today. But tomorrow is another day!

[SaidBitar]

I would like to wish Merry Christmas and happy new year to all of you and your loved ones

[Stephen James]

Thanks Said, same to you.

[SaidBitar]

Dec 2016

the moment of truth

ASX MRV1 : -4.38%
ASX MRV2 : +0.53%
US MOC1 : -6.72%
US MOC2 : -2.75%
US MRV : -1.03%
US WTT : 0% based on closed positions

looks like December was worse than what i imagined. Long term system was doing good at least the first 2/3 weeks.

[SaidBitar]

JAN 2017

for this month i will try to report the performance in a bit different way, so starting from the first day of the year i started recording the accounts values on daily basis in order to have the VAMI based on the open and closed positions
and it also helps to see the portfolio of strategies how they are doing all together.

in short all strategies were OK for the first time

stuff were looking much better but the 30th was harsh

the equity curve also i added line to show when it is making new equity high

and the DD graph

[TrentRothall]

Looks good Said.

Is the VAMI/Graphs based on the combined results of all your systems i’m assuming. (MR and trend following etc.)

[JulianCohen]

Nice one!

[SaidBitar]

I have three accounts, 2 with IB i will call them account 1 and account 2 and 1 with an investment bank i will call it account 3
account 1 has 2 systems US MRV and US MOC1 (this account was the hero for JAN ~10%)
account 2 has 3 systems 2 * AUS MRV and US MOC2
account 3 has WTT

what i am doing every night i update the ending value of each account i add them in one excel sheet and i am also making the VAMI for each account the addition of all the accounts is my trading capital so when they are summed together i get the above results.

I am still checking each system how it is performing and what is its effect on the bottom line but since some systems are using the same capital with others i thought maybe it will be clearer to report like this. Since end of the day i care about the trading capital how it is performing and i want to know the metrics for it (CAR, DD)

[SaidBitar]

Recently i was thinking a lot about one topic:
whenever we are trading several systems on the same market such as MRV (inter/intra day) technically are we diversifying or increasing exposure and how many is too many.

normally i check the correlation between the different systems but due to the fact that they are similar in nature and even if the universes names are different technically they are subsets of each other so the correlation is in the range of 0.7 between them.

In historical back testing this does not show that any disasters happened in the past even during the duration trading them the results are OK in the good days all go up and the bad days all go down.

Maybe it will be better have multiple trading styles on the same market such as trend following, momentum, MRV(iner/intra)day, and counter trend instead of having many from only 2 or 3 styles. I think this should be tested and will make me busy for sometime :pinch:

[JulianCohen]

Perry Kaufman seems to think that four is the sweet spot for diversification of systems. After that the law of diminishing returns kicks in.

[SaidBitar]

I opened the VPS to have a look on what is going on and there it was the TWS is closed and the time zone is changed.
most probably it is due to the windows update last night anyhow i opened a ticket to hostwinds,

stocks in the TF system i think they are having bad earnings and they are falling down like stones still i can not understand this bad earnings people sell like crazy weird!!

[SaidBitar]

So they suggested that i uncheck the option to synchronise from internet time server
let’s see

[JulianCohen]

Said Bitar wrote:

So they suggested that i uncheck the option to synchronise from internet time server
let’s see

This is the problem I had with Hostwinds. Should you need to know, I have had no problems at all with Speedy since I started with them

[TrentRothall]

Mine has been reset twice in the last month. When i open it nothing is open and the clock is reset too

[SaidBitar]

FEB 2017

figures based on total equity:

Monthly Performance

Equity graph

DrawDown

KPIs

this month especially in the second half so many profits were given back mainly from the WTT system

the green line is the WTT account, the other two are for combinations of inter/Intra day trading

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