An update from me on my $50K weekly gap strategy - 4 more positions were triggered today, BXB, CCP, LNK & NWS. NWS was the position I missed yesterday due the screener subset I couldn't complete until after Monday's close of trading. Entered on open this morning and got a slightly favourable entry compared to the strategy requirement. I basically got some slight positive and negative slippage on 3 out of 4 of today's entries, small amounts which I expect will all even out in the wash. The exception was CCP which gapped up about 10% which caused me to hesitate but took the trade as required (and naturally according to my luck promptly sold off, although it partially recovered late afternoon).
I've added a couple of columns to the table above to better highlight the variations between strategy & execution (I'm a visual person so colour-coding always helps me to better understand what's going on).
I also noticed that despite my reduced weighting (50% of standard, for 6 month probation period), the cost of my positions has already exceeded my $50K account allocation. Hence I should explain:
I did a quick check of my backtest database & calculated that my average entry price for the entire backtest data set was $10.98, whereas for the live positions so far it is $22.90. A little surprising that's more than double but I can guess there are a couple of possible reasons for this (sample skew, survivorship bias).
Also, when I refer to my $50K allocation, that is not the total amount of capital available for me to trade this strategy. I use this number as the basis for calculating the position sizing, that's all. I have a larger amount of capital which is / will be applied across a portfolio of several strategies, and the reality is because my strategy does not involve a fixed number of positions with equal weightings, but rather a variable number of positiions with fixed weightings, the amount of capital applied at any one time varies depending on number of positions open. As such most of the time my strategies would have less than their $50K capital applied to open positions, so essentially the total capital is under-utilised. Hence I have figured out that a more efficient way to apply the total portfolio capital is to have a portfolio of strategies of equal size, but for which I can apply capital interchangeably so when one strategy needs some more and another less, that capital is simply applied to the one that needs it (hopefully that makes sense). I don't see the sense in keeping capital in a broker account not utilised.
