An update from me on my $50K weekly gap strategy. Firstly, the 3 missed trades triggered Monday which I didn't enter yesterday:
CGF - had hit stoploss yesterday morning so negated a trade entry
CWN - in TH yesterday so wasn't sure what to expect with that, but it came out of TH this morning at below my stoploss price - hence negated trade entry
Finally CIM - I had decided last night to take this one after hesitating yesterday on what looked like a poor announcement (which is irrelevent for my strategy, hence intention to take the position) - also opened below the stoploss this morning hence negating the trade
All 3 positions should have been taken Monday and purely by luck I didn't take any of them, and they all stopped out. What to do about that - for the purpose of tracking variance of executed results vs strategy results, I will count those in strategy results but not executed results, i.e. they are a positive variance (even though by luck) - primarily so that I can track what the strategy results are vs backtest results since strategy results breaking the backtest limits is something I want to know about.
As of the end of today's trades, the overall position of open and closed trades looks as follows:
And the actual vs strategy equity curve for fully closed trades now looks as follows:
So the results now show a approx. $500 positive variance between actual and strategy because I missed those 3 trades. That's ok, but as I said it was luck not skill so I need to look beyond that. To that end there are some noteworthy comments in analysing the results a bit further:
There are now 12 fully closed trades and as per strategy of those 6 have hit their stoploss, and only 2 have closed in profit.
That's not exactly a stellar start, but its not disastrous. The (strategy) stoploss rate at 50% so far is high (compared to 10% for entire backtest sample), but the backtest data shows there can be longer losing runs at this level (and with deeper drawdowns).
The (strategy) drawdown is also still relatively low at just more than $1000 (2%)
So I originally thought this would be a quiet week for the strategy, but the 1st half of the week has turned out to be quite eventful, and interesting enough to force me to go over the model's data to assure myself all is ok so far.
