June and Second Quarter 2010 Trading Review

Market volatility continues in June. I took a more aggressive approach this month and executed more trades in my RRSP trading account. The monthly return is excellent but I noticed a few issues with my trading. These will be the main topic of this post. Let's go over some performance data. Seeing that it is the end of the second quarter, I will do a quarterly statistical report. I couldn't do a monthly review like I used to because I trade much less frequently now. Note that the October data is from last year's forex trading. That was the best month I've had. I am attaching the data here just for comparison. Quarterly Metric Q2 October Sarting Fund \$8,000.00 End of Quarter Fund \$9,404.87 Total Net Profit \$1,404.87 Gross Profit \$1,800 Gross Loss -\$395 Profit Factor 4.56 1.75 Net Profit % 17.56% 4.19% Max. Drawdown % 3.36% 2.32% Total Commission \$155.1 Commission / Net Return 11.04% This highlight the bane of my problem trading my RRSP. Although Questrade offers the best commission in Canada as far as I know, it is still much higher than those offered by brokers in the states. However, this is a self-directed RRSP trading account, so it's not like I can just switch broker. I will just have to stop being so active in my trading for this particular account. Sterling Ratio 1.44 0.65 Excess Return 17.46% 4.14% SDev Return per Trade 2.21% 0.79% Kurtosis -0.93 8.53 Skewness 0.72 2.49 These statistics above show my second problem. Although I am very profitable so far, my return per trade is not consistent. The distribution is too flat and not skewed enough to the positive for my liking. A standard deviation less than 1%, a slightly positive kurtosis, and a skewness above 1.0 would be ideal. 95th Percentile P&L \$421.15 \$70.11 5th Percentile P&L -\$102.13 -\$33.60 Net Profit Mid 90% Only \$0.29 \$46.34 Total # of Trades 14 34 Percent Profitable 61.54% 44.12% # of Winning Trades 8 15 # of Losing Trades 5 19 # of Break-even Trades 1 0 Average Trade Profit % 1.18% 0.12% Average Winning % 2.59% 0.66% Average Losing % -0.83% -0.30% Ratio Win% / Loss% 3.12 2.21 Max. Conseq. Winners 5 4 Max. Conseq. Losers 3 6 Largest Winning Trade \$464.05 \$171.79 Largest Losing Trade -\$116.75 -\$44.17 Most of my winning are due to this Cenovus short in May and this CIBC short in June. Avg. Time Held 5.17 days 2.18 hours Aside from trading my RRSP account, I have finally opened a live forex account at Dukascopy. My time remains split between developing automated strategies for trading forex and manual equity trading as usual. My JForex contest strategy in June ends up near the bottom again as I took the wrong side of the move on USD/CAD. The JForex contest will start with a new set of rules for July. Namely that strategies need to be fully automated and winnings from each trade cannot be excessive (50%) to prevent an all-in approach that's been dominating the contest. My revised strategy is ready. It is now version 2.14 since the first release in April.

Goal for July

My goal for July is to learn the indicators part of the JForex API and to program my first custom JForex indicator from my other collection. I will be away in Hong Kong for two weeks in July for some family matter. So there's not much time to work.