Closing Time

This is Abi’s Trading Blog, signing off. Writing here was definitely a lot of fun. Thanks for reading, everyone!

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Missing computations…

March 29, 2012, beginning balance: 32,800 BEL, 350 SCC, 4,100 ICT. 22,000 AGI, 6,900 DMC. 32,325 Pesos Cash.

(22,000 x 12.68) + (6,900 x 52.95) = 644,315.

32,325 + 644,315 = 676,640 Pesos Cash.

22,292.60 / (5.86 – 5.6) = 85,740 shares recommended to buy. Round up 86,000. 5.86 x 86,000 = 503,960 Pesos.

676,640 – 503,960 = 172,680 Pesos Cash.

Final Position: 32,800 BEL, 350 SCC, 4,100 ICT, 86,000 EDC, 172,680 Pesos Cash.

March 1, 2012 Portfolio Value: 1,114,630 Pesos.

March 30, 2012 Portfolio Value: 168,264 + 85,680 + 268,550 + 516,000 + 172,680 = 1,211,174 Pesos.

1,211,174 / 1,114,630 = 1.0866. An 8.66% gain in 1-month. Trend-following systems won’t earn you the highest possible profits in the least amount of time. Instead, they’ll keep you out of trouble, and give you decent gains over time, as long as you trade markets that are liquid enough and trend enough.

Keep in mind that this type of trading is not for all. Interested traders must be able to psychologically withstand the system being wrong more often than not, and then hang on to the few outsized gains as pre-planned. Sometimes, large paper profits may vanish even when all the rules are properly followed, this can be very difficult to take. Keep trading the right way, because often the best trend-following gains follow the darkest periods.

Happy trading!🙂

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Trend-Following Demo – 30 March 2012

(For demonstration purposes only. Not optimized for profitability. Trade at your own risk.)

Hold – BEL, SCC, ICT, EDC

No Signal – AGI, AEV, ALI, BDO, CEB, FGEN, GLO, MER, MWC, PX, RLC, SM, SMC, SMDC, SMPH, TEL, URC

No transactions today. I’ll get back to yesterday’s computations shortly, which should finally show us the one-month trading result of the trend-following demonstration system. I hope it gave you some insights and ideas, hopefully to help enhance your own trading profitability.

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Trend-Following Demo – 29 March 2012

(For demonstration purposes only. Not optimized for profitability. Trade at your own risk.)

Hold – BEL, SCC, ICT

Sell – AGI (12.68), DMC (52.95)

No Signal – ALI, AEV, AP, BDO, CEB (Check out the 2-year chart. I remain in awe of Gokongwei, a brilliant market timer.), FGEN, GLO, MER, MWC, PX, RLC, SM, SMDC, SMC, SMPH, TEL, URC

Buy – EDC (5.86)

Many are not triggering buy signals because they’re pushing lows. That’s not how bull markets should act. Either this is a temporary pull-back or we’ve seen the top for now. Either way, you see what the system does. It’s stepping aside.

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Trend-Following Demo – 28 March 2012

(For demonstration purposes only. Not optimized for profitability. Trade at your own risk.)

Hold – AGI, DMC, BEL, SCC, ICT

It’s hard to watch those paper profits vanish for AGI, DMC and BEL, huh? Thus far, this demo has generated only cut-loss stops, with no profit-taking exits yet. That’s about right. On average, trend-following systems are only about 30% accurate. 70% of the time, you have bets that are small losses. About 1-in-10, or even 1-in-20, may be a big win. Whereas losses knock off about 1% to 2% of one’s portfolio, depending on one’s risk tolerance, the infrequent home runs add 10% or more, paying for a lot of the small losers, plus interest. At least, that’s the general idea.

Interestingly, Dennis and Eckhardt believe simple trend-following systems have become less profitable over time. Backtests of Donchian’s classic 20-day/5-day moving average system appear to confirm this. It is quite like commercial trading. A breakthrough product or revolutionary logistics system may initially stretch operating profits to unheard of levels. Then, over time, people start to learn and adopt. The product or system is copied, and eventually the previous advantage dissipates. To overcome the possibility of “system death”, Dennis and Eckhardt trading as short or as long a time horizon as possible, but to avoid the middle. Medium term trend-following is the most naturally attractive option for most trend-followers, and therefore the most susceptible to waves of popularity, signal noise, and in some instances, even system death.

When I look at the website statistics for my blog, it appears I have 50 or so regular readers. I want to thank each and every one of you for visiting and reading my blog. Thank you very much. Maybe someday, in the future, our world-lines will meet again!

Last few days for Abi’s Trading Blog. Enjoy the ride.

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Trend-Following Demo – 27 March 2012

(For demonstration purposes only. Not optimized for profitability. Trade at your own risk.)

Hold – AGI, DMC, BEL, SCC

Sell – BPI

No Signal – ALI, AEV, AP, BDO, CEB, EDC, FGEN, GLO, MER, MWC, PX, RLC, SMDC, SMC (That’s a lot of dark candles.), SMPH (Is that the definition of a parabolic spike or what?), TEL, URC

Buy – ICT, SM

Intra-day Position – 22,000 AGI, 6,900 DMC, 32,800 BEL, 350 SCC, (291,800 + 670) = 292,470 cash.

% gains from 10-day low: ICT = (63.45 – 58) / 58 = 9.4%; SM = (660 – 631) / 631 = 4.6%.

1,114,630 (nominal trading account) x 2% (risk per trade) = 22,292.60. 22,292.60 / (63.45 – 58) = 4,090 shares recommended by system to buy. Round up 4,100 ICT shares. 4,100 x 63.45 = 260,145 pesos.

Final Position –  22,000 AGI, 6,900 DMC, 32,800 BEL, 350 SCC, 4,100 ICT, 32,325 Pesos Cash.

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Trend-Following Demo – 26 March 2012

(For demonstration purposes only. Not optimized for profitability. Trade at your own risk.)

Hold – AGI, BPI, DMC, BEL, SCC

“I like the stars. It’s the illusion of permanence, I think. I mean, they’re always flaring up and caving in and going out. But from here, I can pretend… I can pretend that things last. I can pretend that lives last longer than moments. Gods come, and gods go. Mortals flicker and flash and fade. Worlds don’t last; and stars and galaxies are transient, fleeting things that twinkle like fireflies and vanish into cold and dust. But I can pretend…”

– Destruction, Brief Lives, from the Sandman series, by Neil Gaiman

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