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| Symbol | Sector | Return | Exposure | Trades | Last Trade | Status |
|---|---|---|---|---|---|---|
| SDS | Non Equity Investment Instruments | 3.32% | n/a | 4 | 13-Jan-10 | Prior Holding |
08-Dec-08
Big Bamboo Suffers Large Losses
Holding Rationale for SDS.
Today, QID, SDS, and SMN all gapped beneath their stops for this system. This resulted in QID and SDS losing 2-3% more than projected, which is not terrible. What is terrible was SMN, which resulted in a loss 2x the projected 1% risk amount.
Since the gap down would have triggered the stop market orders, each position was closed at today’s opening print.
The latest trades have really put a hurtin’ on the system performance. As of today, the system is in a 12.5% drawdown from its highs. I will have to check to be sure, but I’m fairly certain this exceeds the max drawdown from highs realized during backtesting.
Trading is such a psychological challenge. Remember that I changed the stop to 8% and increased the position size to 2% as of the November 25 SDS trade. Wouldn’t you know that the two winners since then were smaller than expected, and all three losers were much larger than expected. In fact, the combined losses from these three closed trades were more than the combined losses from the seven previous losing trades. Ouch.
The system is still showing gains of 9.41% since inception (ignore the cash amount, I forgot to update it). But to look at the spreadsheet, would anyone want to trade this system? Probably not. As I’ve said at least a half-dozen times, this is why I’m tracking the system on the blog. I hope that watching this in real-time has helped or is helping traders think about the difficulties in developing and then trading systems.
On the bright side, I’m hoping the next trades are going to be from the long side.
No New Entry Signals
Posted at 18:11 in Holding Rationales | Permalink | Top
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