A bit late this weekend but here is the update for my $50K weekly gap strategy including results update for last week, plus screen for this week's watchlist (except for the Monday PM update which I still haven't fixed):
Below is the summary page showing results for all the trades so far, including fully closed and remaining open positions:
In summary:
There are now 16 positions fully closed (excluding the 3 positions I didn't take last week, highlighted in blue in columns 5-7, as discussed last week)
Net P/L of fully closed positions is -$423.18, while the current open position is underwater (-$1,109.86) thanks to Friday's selloff
Below is the table tracking execution variances to strategy: Some comments:
I got lucky last week with the 3 positions I missed on the Monday and then decided not to take - a positive variance from those 3 trades
Overall the sum of all variances was positive after those 3 trades, but by the end of the week it was negatve due tot he variances related to trades closed on Friday - mainly due to the partial exits I decided to execute in an adjustment to the strategy the week before to keep the cost of open positions closer to the max of $50K starting balance - had I kept the original positiion sizes I would have ended the trades $1,359.39 better off than actual, in particular due to the NWS trade which proved to be a very good result. But I have no problem with that (temporary) change in strategy as I was not comfortable with the higher than expected position cost to keep them all open.
The % of positions affected by a gap up open jump over the entry price has come down from > 75% to approx. 35% (10 out of 29), so as I expected the initial high % was just a timing factor based on the small number of initial positions, and so far it seems to be trending down towards what I expect from backtest results (around 15% of positions)
There are quite a high % of positions affected by variances (19 out of 29), mostly the delayed entries due to late completion of the screen on Monday evenings for v2 gaps, but also the partial exits which were a one-off decision. So I know those variances are costing me (a total of -$624.83, so if those variances were avoided I would be in profit). The partial exits being one-off I'm not concerned about, but I obviously have to fix that delayed part of the screen before it costs me more money!
Below is a graph of the fully closed trade P/L's, and the running equity (strategy vs actual):
So far from the fully closed trades, I have only 4 wins out of 16 trades, so a strike rate of just 25%, however they have been good enough (mainly CAR & NWS) to keep the total equity close to breakeven, and I expect that strike rate to increase over time.
The watchlist for this week is shown below (excluding Monday PM update):
