Performance

HOW’S MY TRADING?

I’m aware of the perils of posting performance numbers so let me make clear what these pages represent. They will not be a record of everything I do, but they will be a record of everything I’ve mentioned on this blog. You won’t see me posting successful trades that you had no opportunity to enter.

If I post about entering a stock trade, the next open will be recorded as our entry price. For exits, when a closing price triggers a stop, the next day’s open will be recorded as our exit price. It’s that simple. For futures trades it may be more difficult to post before entry simply because of time constraints, but the general principle remains the same. In futures markets it should also be noted a position entered at the open of the evening session will bear the next day’s trade date. ie the open for trade date Monday is Sunday at 6pm.

Market closing prices trigger entry and exit signals, and resulting trades are executed at the next open.

This gives our performance numbers added credibility. It makes it easy for you to follow the progress of the positions, and most importantly ensures the entries, exits and numbers shown here can be replicated. It makes our blog posts actionable, measurable, and achievable. My main aim for this blog has always been to show what can be achieved with trend following, and demonstrate accountability, personal responsibility, and transparency.

Just so we’re both clear, for my protection and yours, you must first read my disclaimer.

 

WHAT YOU WILL NOT SEE:-

You will NOT see an overall portfolio return, and you will not see the position size.

The reason for this is simple. Position sizing is unique to each trader’s objectives and risk tolerance. It will significantly influence an overall portfolio return. Because of position sizing it would be possible for 100 people to take every trade shown here, achieve the exact same percentage returns by stock, but have 100 different portfolio returns. (And once you understand and appreciate the significance of that, you are really on to something.) *

Therefore it would be wrong for me to claim an overall portfolio return, implying you would have achieved the same, or to advise position size, as that would be akin to personalized financial advice which I cannot give.

Instead, the most consistent way for me to show performance is to show a percentage return for each trade, and the collective average return for those trades. It is what it is, just a track record of my calls on this blog.

*If you want to know more on this subject I would recommend researching portfolio expectancy, R-multiples, and position sizing. A good place to start is Van Tharp‘s site.

 

PERFORMANCE DATA – FUTURES

PERFORMANCE DATA – STOCKS

 

Futures

As per our stocks performance this isn’t necessarily a record of everything I’ve ever traded, just a record of every position I’ve mentioned on this blog, that’s the whole point, to monitor the overall performance of such calls. Trades are shown for 10 major futures markets as follows:- EQUITIES: S&P ($ES_F), NASDAQ ($NQ_F) RATES: 30yr ($ZB_F) CURRENCIES: Yen ($6J_F), Euro ($6E_F) COMMODITIES: Crude Oil ($CL_F), Gold ($GC_F), Coffee ($KC_F), Corn $ZC_F), Live Cattle ($LE_F) This …

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Stocks

This is not meant to be a record of everything I do, but it is a record of everything I’ve mentioned on this blog. You won’t see me posting successful trades that weren’t also communicated here at the outset. Alongside every trade is a link to the original entry and exit blog post. My main aim …

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  1. serendipitoustrader

    Jon – Does your process require you to have a view on the market? If I understand your process right, you go long or short because the chart says so and you don’t necessarily have a view on market one way or the other – is that correct?

    1. Jon Boorman

      That’s correct, my process doesn’t require me to have a view on the market, but eventually I may fine tune screening for stocks according to market type, or when we have another bear market potentially have means to have pairs trades, offset longs against $SPY shorts, something like that. For now though, this tab is really just to act as a record of everything I’ve made a call on.

  2. Mark B

    You know, I think about this idea of ego as it relates to trading a lot. I have a note taped to my monitor that says “take more losses/make more money”.

    I went through the usual “traders tuition” process where I started out thinking that I was a pretty smart guy, how hard could trading be? I took money out of my retirement fund, and lost 17% of it in the first two weeks. That was 10 years ago. I lost all of that money and, eventually, a good bit more, but since my first trade I knew (or convinced myself) that I was meant for this. I then spent the requisite Malcolm Gladwell 10,000 hours studying and practicing, I’ll bet none of my online broker’s clients were in their trading platform as much as I was. And now I’m happy to say I trade for a living. I’m not rich but I’m doing ok and I really couldn’t be happier.

    So, back to “take more losses…”. When I was still in my “experienced but not quite competent” phase, I would have four or five nice days in a row, then, because my ego couldn’t bear to take even a small loss, the fifth or sixth day I’d just get run over. I’d hang around in that one trade, average down (or up if I was shorting), and end up with a big position and a massive loss. I can feel the embarrassment as I write this. I’d scream into towels, call myself an idiot, break things, write new trading plans, then just do it all again a week or two later. All I would’ve had to do was get out with a small loss and reevaluate, but no, I just could not do it. It took many significant losses before I finally, finally, was mature enough to start getting out after I had proof that my premise wrong. That was the only way I could have ever quit my soul sucking, Office Space-like corporate job and earn a living here in my living room in my shorts.

    1. Jon Boorman

      Excellent story, thanks for sharing. I might want to use some of what you’ve said here, could be very helpful to others.

    2. serendipitoustrader

      amazing story… just amazing

      1. Mark B

        Thanks Jon and serendipitous, I really appreciate it. To be honest I still feel kind of like a pretender, but maybe that’s a good thing. It stops me from relaxing and getting cocky, not that getting cocky would happen anytime soon. Maybe at my retirement party.

        Feel free to use this Jon, no problem.

  3. KevStanf

    Hi Jon, I notice on your loosing positions that some were closed at minus 13% and minus 14%.
    Do you not use a stop loss to keep your losses under that figure, or was that just slippage.

    1. Jon Boorman

      Stop is an invalidation of the entry rationale, not a fixed percentage, and is always on a closing basis, but I believe in both cases you mention they were event-driven gaps lower, earnings on $PKI, and I think a loss of a contract on $MGLN, so a fixed stop would have made no difference.

  4. KevStanf

    Hi Jon. Thanks for the reply. Unfortunately some of the terminology is above my level. Sorry about that.

    1. Jon Boorman

      No need to apologize. Basically it would have made no difference if you said I’ll put a stop at 5%. If you were down 4%, and then next day it opened down 10%, you’re down 14% even if your stop is 5%. When you have a fixed stop that’s your best-case loss, not worst. I wait for something to close below my stop level, I don’t have stops in intraday on stocks, that way I ensure I don’t get stopped out on noise, it has to be real action that is confirmed. Read my post on ‘When To Exit A Trade’ to understand my thinking on exits and stops.

  5. KevStanf

    Thanks Jon. That makes perfect sense. I will read it.

  6. KevStanf

    Jon, Where can I find your post ‘When to exit a trade”
    Looking forward to reading it but can’t find it.
    Thanks Kev

  7. KevStanf

    Cheers.

  8. Vnick12

    Jon – Do you pyramid your trades or are they all single entry and single exit?

    1. Jon Boorman

      I can do personally but I do not show that here. I have sometimes mentioned additional buy points in commentary like with $V, but I’m not documenting those as additional trades on here for performance purposes in order to keep things simple. I also think it ties in with position size which I’m not recording as that’s something unique to each trader. I think it’s most useful if I just continue to record initial entry and then the exit. Exits are always single trades anyway, you can’t be a little bit pregnant, when you’re wrong you’re wrong.

  9. Kevin

    Can you please add futures open and closed position to performance page? Thanks!

    1. Jon Boorman

      I’m working on that but it’s very difficult. Futures is a lot more complicated because of holding across multiple contract months, the cost of roll, the choice of contract (big vs mini), and then how to show performance, percentage return, or p&l per contract which might not be effective measure. IE small accounts would likely only have held single contract on oil position losing 5k per contract, but could hold many e-mini S&P’s making $3k per contract. Have no way to reflect that.

  10. DAVE

    But did you beat the market? If not all this trading is a complete waste of time

    1. Jon Boorman

      Yes

    2. Jon Boorman

      Great post here by Benjamin Hurn on why beating the market is a flawed strategy https://signalpursuit.wordpress.com/2013/07/26/weekend-thought-on-beating-the-markets/

  11. julian

    Hello, Jon. I follow you on twitter. I dont want someone to give me a fish. I want to learn how to fish. What indicators do you recommend and where can I learn more about technical analysis the way you do it? Could you write a short summary of your method, what you look for on a chart, etc? Thanks

    1. Jon Boorman

      I recommend you read books on Trend Following by Michael Covel and you also visit his site trendfollowing.com which has a huge amount of resources on the subject. Also, review the work and teachings of Van Tharp iitm.com on position sizing. For my own part here is a post I did on how I might typically enter a trade http://jonboorman.com/the-genesis-of-a-trade-idea-cxw/ and here is one on exits http://jonboorman.com/when-to-exit-a-trade/

  12. Shaun

    Nice to see someone owns up to there trades. Many on twitter only post winners. Would you be willing to share the total R? Thanks for sharing!

    1. Jon Boorman

      Hey Shaun, yes that’s coming, but it’s going to need some explanation for those that won’t understand it, so I need to do some posts on position sizing and get a tab for futures performance before I start going into R-multiples.

  13. Greg

    What do you use to track the performance of your trades (win%, average gain/loss, etc.)?

    1. Jon Boorman

      Not sure I understand the question, you’re on the performance page, all the data is here, % return, win %, average gain/loss etc.

      1. Greg

        I was just wondering if you use a software program to track your trade statistics, or Excel. I have been researching to find the best option. I appreciate all of the good information you post.

        1. Jon Boorman

          Oh I see what you mean, yes I collate a lot of figures in various excel spreadsheets

  14. Tony Noknees

    Hi Jon

    Thanks for such a helpful and informative blog. I’ve been following your process for a few months and have found your posts to be very helpful. I’ve also been reading up on various elements and changing my ideas accordingly. I’ve come to realise just how little I know, and yet your posts reveal just how simple it can all be. As such I am developing my own trading system designed by me, for me, that I can follow on my own. I’ve come to realise that with a limited experience of markets, it’s essential that I have a set of rules to follow – rules that I can follow to the letter to make it easier to avoid panicked decisions (which I have certainly made a few of!). My reading has highlighted so many components to trend following that I’d side-stepped, most notably position sizing and exit strategy. What I’ve been reading has made sense, but I knew I needed to see it for myself to appreciate that I could be wrong on half of my trades and still make profit. I also knew I needed to find my edge – something that I could use to give me the confidence to stick to my own system.
    With all this in mind, over the last few weeks I dug out of the back of my brain all the programming skills I learned as a teenager in the 90s (when I was a computer nerd) and decided to put them back into use. I’ve taught myself how to use mysql (a database tool) in a Linux environment and have been busy working on a system for backtesting some exit strategies.
    I now have a system that allows you to enter symbols and dates and vary the initial sizing criteria and stop variables. It pulls data from yahoo and works out when you would exit and what your close would be (using your next day open/close timing). Your entries have been used (thank you!) and in order to ensure it can work for me too, I put together a separate list of 40 entries picked by myself using the trade navigator replay function to find stocks on the LSE whose futures I didn’t know.
    Unsurprisingly your entries are better than mine! I was expecting that! But I wasn’t expecting mine to be nearly as good as they are. Before I start it up for real, I’ll be picking at least another 40 from a different period to cross check.
    The system I’m working on is designed to be locked down – all I’m allowing myself to choose is the entry date and the stock. This is because I don’t want to trust myself to make too many subjective decisions. So, initial stop is calculated at a multiple of an x-day average true range (so far I’ve been using a 10 day atr). After the trade is running, the stop moves up parallel to an x-day dma (so if it were 20-day it would be the 20-day minus the atr multiple).
    Results: I took your entries (78 of them, there are maybe more now) and was keen to see which dma length is most profitable and which atr multiple is most profitable. The position size is whatever the initial stop takes you to. Obviously this sort of historical backtesting has limits and doesn’t predict what’ll happen in the future exactly, but it helps narrow down the variables I want to use for my system. So with your 78 positions, using atr multiples from 2.0 – 5.0 and dma lengths from 10 to 40, the least you made was $56 if you put $1 on each of your 78 positions. The most was $122. The best lengths and multiples combination seems to be around 2.0 and about 25 days. My selection differs somewhat and out of 40, the best I got was $42, the least was $14 – still, I’m very happy with that! My best atrs are closer to 4.0 but still around the same 25-dma. What’s really helpful to see is how many losing positions we both have and yet no combination gets close to producing a non-profitable system! In fact a decent range give us both 100% profit. I’m sure you’re producing more consistent results using your existing stop and position sizing methodology, but like I say, I really want to find something that works for me. Like I say, still a bit more work to do, but it should be up and running in a week or two.
    Thanks again for all of your work on this blog and for any advise – I’ll be making my system a little more user friendly and then I’ll give it to the internet for anyone to play with, but let me know if you’d like your results list!

    1. Jon Boorman

      Wow Tony, that has to be the record for the longest ever comment, thank you for taking the time, and thanks for reading the blog! I’m a little wary of optimizing data but I’ll happily take a look at what you’ve got, I’ll send you an email.

  15. Sunil

    In your summary, writing average holding period might be useful.

  16. Barton

    Hi Jon, I’ve been looking through your closed positions in order to learn more about trailing stops. I’m not sure how you have moved them over time in any given stock that has risen. Maybe you could illustrate with a closed position that’s been held for a while so we may learn how and when to move stops higher.

    It would also be instructive to see how you handle stocks like TASR QIHU TSLA with large moves (with regard to stops — when to move them, where, etc)
    Thanks a bunch for posting. The idea of using closing prices for stop levels has helped me. I’ve been that sucker for HFT noise for a few years and I have put in a new rule.
    Barton

    1. Jon Boorman

      I would look at the example of the first closed trade in $GMCR where we made over 50%, if you go to that exit post you can see the chart that shows how the stop was moved up all the way. Each time it’s the previous pivot low on a closing basis, usually a daily, and if possible a weekly (there are a couple of lines on there that are from months earlier charting its descent.) As a stock breaks higher you can use the base of its previous consolidation as your stop. It’s simply whatever breaks the sequence of higher lows for your timeframe. A good recent example is the TSLA chart from this week’s review, the initial stop was detailed in the entry post, but all the subsequent levels are shown on that chart, again it’s just moving up to each level of previous support or price congestion. If it happens to coincide with a major MA that can give it extra significance.
      The only downside to that method is that For stocks that rise rapidly you will simply have to wait for it to consolidate and run again before you can begin to trail a stop. That means leaving huge open profits. This can sometimes be overcome by also assigning an ATR stop, so should it suddenly break sharply it could still be possible to be stopped on an ATR basis before it’s gone through its previous consolidation area, but typically the best way is to just let it breathe. The faster something moves, the further back you have to stand or you will get hit.

  17. Barton

    Thanks Jon. Makes sense to me the levels of where stops may be placed. It might be instructive to indicate (on the chart, if it’s not too much work) when the stop was raised and related to which bar. I have a good idea but I’d like to learn from you. I appreciate your replies and your willingness to share.
    Barton

  18. Avinash

    Hi Jon

    I am Avinash, from Mumbai, India. I have been analyzing (technicals) equities since 1996. Came to know about you from Covel’s podcasts.

    I have one simple question for you? How do you keep track of all trading strategies? How do you track your own performance?

    Do you keep simple spreadsheet kind of thing or any software in particular?

    Henceforth my focus will be on trading rather than analyzing, so this question. :)

    1. Jon Boorman

      Hi Avinash, thanks for listening to the podcast. I use spreadsheets to track performance, but once I’m managing others money and setup as an RIA I will start to use some GIPS compliant software to measure it.

  19. Paolo M.

    Hi Jon,
    before all, thank you very much for what you’re doing here. For a new trader as me you bring immense value, not only at a technical level but also as a human being: I appreciate your generosity and your availability. If I understand correctly you don’t trade during markets hours, so I’m interested to know what a professional as you is focused on during the day (checking quotes, reading, researching, testing, …).

    Thank you in advance

    Paolo

    1. Jon Boorman

      Thank you for your kind comments Paolo, and thank you for reading, I’m glad you’re finding the content useful.

      The answer is all of the above. For the first part of this year much of the work was in building an audience for this blog and networking, building social capital if you will, via Twitter and StockTwits. In some respects that never changes but 9 months on it’s less work than it used to as it does seem to have some momentum of its own, so more recently I’ve been able to concentrate on other areas, principally on setting up a wealth management business which involves much more legal and administrative work than I had anticipated doing by myself.

  20. Shaun

    I was wondering if you could maybe provide a few examples or even suggestions on how you have seen successful trend followers apply risk management. I’m going to go ahead and briefly tell you how I have approached risk.
    A little back story first. Prior to this summer I only traded big cap stocks like AMZN, GOOG, AAPL, PCLN, PCP, MA, V etc. So, when the market is trending I’d have roughly 5-7 open positions at most. My “R” would be 1% of capital. My system was focused on trading long the 50MA as long as the long term trend was up. It has been very successful system over the years due to my strict stop outs but each position was starting out between 15-20% of my capital. This summer I came to a point that I was not comfortable having so much capital in only a few names. I wanted to try and spread my risk around more so I took my “R” down in half to 0.5%. This has allowed to take roughly 15 positions (have expanded my stock selection to stocks under $100) and spread my risk around. I still trade roughly the same system but actually focus more on support and resistance (for instance I read somewhere in your blog about stopping out when you define the trend is over). I really like this way of evaluating a stock, for some reason this has really stuck with me and gave me a ah ha moment, were I feel I was able to take my system to the next level. For that I greatly appreciate you sharing your strategy. Now back to my question. I would say currently on average a 0.5% stop out will give me roughly a 7% total position in each stock, for a total of 15 positions or so when the market is trending. Can you provide any feedback about position totals or even “R”? I’ve read all Van Tharp books and everything else under the sun, but I really want to gain a little insight on how real trend followers approach this. Not looking for investment advice just things you have seen over the years. In addition each month I adjust my R based on my realized (sold positions only) gain/loss on starting capital. Have you seen any other methods on when to adjust the R.? Monthly, qtrly, % movement in capital? Thanks again for any insight.
    Shaun

    1. Jon Boorman

      Thank you Shaun. Good questions. I believe Andy Abraham dealt with a few of these in his ‘Trend Following Bible’ book, where he limits exposure by sector, or by % of capital in open profits, much in the same way as you describe, that’s probably worth a read if you haven’t seen it. I’m still toying with a few of those because I also believe that if for example the financial sector is the only one trending then surely I want to have as much capital as the positions triggering dictate rather than be limited because it goes over an arbitrary level, that’s a work in progress for me. I like to think the market acts as its own filter, that is (up to a reasonable limit) you invest in as many names as screens dictate, and if only 15 names trigger for you then your size can simply increase, ie you’re always ‘fully invested’ in trend following, just with different portfolio concentrations according to market conditions. That’s why I’ve never understood why people try to gauge how much cash you have as a %, as if it somehow determines your level of conviction. All these type of measures are significant variables that come down to personal choice, I don’t believe there’s any ‘right’ answer, it comes down to what you can live with.
      The one theme I have noticed increasingly and with one notable trend follower I’ve met was the propensity for trading across multiple timeframes in the same stock or market. I’ve been surprised to hear 12x ATR being used, and 400-day MA’s. When describing my own preference to get out entirely when a stock invalidates, they said ‘but that means you then have to get back in’ and that they’ve discovered you’re better off just reducing size then increasing when appropriate. Although not specifically confirmed, the takeaway was they would have one stock with multiple positions across all manner of timeframes, ie based on simple MA crossover or x-day high systems, you could have 12 AAPL long positions and 3 short positions based on its current condition, like always being in, just adjusted by degrees over time, clearly it has a smoothing effect, but equally it is dependent on having a huge amount of capital at your disposal (a nice problem to have) and it’s their means of diversifying risk and smoothing returns. In some respects having less capital can be an edge in this regard, allowing the startup CTA to freely trade many of the softs and grains markets with ease and not need to resort to multiple timeframes across single stocks, but I believe that’s a key area where change in style begins amongst the pros as their AUM grow.

  21. Lorne

    how does your subscription service work

    1. Jon Boorman

      I don’t have one (yet)

  22. serendipitoustrader

    Jon

    i love reading your blog. Pretty awesome system you have got.

    Question – have you back tested your system on stock market with entries, exit, stop and sizing rules? I would be very curious about the returns in relation to max drawdown (CALMAR).

    Thanks much.

    1. Jon Boorman

      Thank you. Well if you mean on single stocks you’re kind of seeing a forward test right here, there’s almost 11 months of data there now, over 100 positions. My answer to any backtest question is ‘what do you want it to show?’ Like most successful long-term trend following systems the futures system will have a 10-20% avg annual return with max drawdown 30-40%, you can read more about developing a simple system with those parameters in Andreas Clenow’s book. The returns for trend following stocks won’t look like that, that’s because while you can trend follow stocks, because it’s effectively ‘one’ market you won’t get the same long-term results as a diversified non-correlated futures system. I allocate funds between the two systems. In a strong uptrending bull market like this one you would allocate funds to a stocks portfolio alongside the futures, and can handsomely beat the index like this year, but if we had a bear market in stocks the majority of funds would be allocated to the futures system. The stocks system is more of an add-on when conditions dictate. You could trade it as a standalone but you could have long periods where you were out of the market entirely. This is similar to what Greg Morris at Stadion Capital does I believe with ETF’s.

  23. serendipitoustrader

    Thank you Jon. Brilliant answer indeed.

    You answered my question. My hunch was that the system will give you mid teens returns for a 20% or so max draw down.

    Just a thought here would be that possibly you can enhance returns while reducing draw down by adding a mean reversion type of a system. Two cents.

    1. Jon Boorman

      It might ‘smooth’ returns, just like adding multiple timeframes will, but I’m not sure it would increase the overall return relative to drawdown. I’d have to research it further.

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