End of day update frmo me on my $50K weekly gap strategy. Today 4 more positions were triggered - AMC, WEB, TWE & GMG - and I only took 3 of them. GMG was the last to be triggered and capital applied to open positions had already hit $70K. All other things seeming normal (in accordance with the backtest results) I would have taken the GMG position, but a couple of issues I still haven't resolved held me back, namely:
Considering I am currently running the strategy at half the standard weighting for 6 months, the total cost and average cost per position seems very high (and hence has already reached $70K for 13 positions). I've been analysing the backtest data but still can't reconcile whay that is.
Another 2 positions today involved a gap up open above the strategy entry price - this brings the total number so far to 6 out of 17 positions or 35%, which is more than 3x the % in my backtest results (about 10% of entries involve a daily gap up open). The higher entry price for these positions accounts for about $720 out of the current variance between strategy and actual results, which is a concern.
Until I've resolved the above 2 issues I will apply a limit to the number of positions opened - not my preference but its also not my preference that the live results so far seem so out of kilter with the backtest results. A bit more homework to do.
My watchlist table below highlights in yellow today's positions entered, and in red the one I didn't take (I will keep a record of any trades that I don't take, as I want to track that as a variance factor between actual and strategy - in theory since I limit trades on a random basis that have an verall positive expectancy, I would expect that I am foregoing profits in doing so, but happy to wait till I've resolved the above issues and comfortable applying more capital).
On the positive side, the open positions had a good day today (one of the benefits of trading the large caps when the XJO has a strong day) so now overall the strategy is net positive although of course that will change between now and when positions are closed on their due date.
