(2013-12-27, 03:03 PM)theory6453 Wrote: Hey all. This question is more portfolio-related rather than SA-related, but I wanted to get some feedback on how everyone calculates their portfolio performance since we are closing in on the end of the year.
The way I am calculating it currently for my retail portfolio is as follows:
EOY % Gain/Loss = Change in Portfolio Value / (Beginning of Year Portfolio Balance + Debits) = XX.X%
Change in Portfolio Value = End of Year Portfolio Balance - Beginning of Year Portfolio Balance - Debits + Credits
Debits = Sum of Total Deposits made during the Year
Credits = Sum of Account Withdrawals = Sum of Margin Interest Charged + Sum of Commissions Fees
There is a "real" performance versus "true" performance factor to be taken into account. For example, the method above shows the "true" performance of my portfolio since I am backing out Broker Commissions Fees and Margin Interest. If I were to calculate the "real" performance of my portfolio, I would not back those out as they are the "costs of doing business" so to speak and those fees would be included in my portfolio's "real" performance and my performance would lower. Any dividends received are already baked in.
This is how my 401K calculates it (approximately) when I login to the Fidelity website but wondering if maybe there is a better way to do it or if anyone has any feedback on my approach.
Danke.
Personally I'm only interested on how each stock has done on an ATR adjusted basis and am looking for the winners that I close out to be at least 3 times the losers. So for example I use a -2x ATR value for my stop loss distance on average, so I want my closed winners to be at least 6x ATR. The portfolio percentage value overall is affected by the various costs and inputs you mentioned above and they vary on a percentage basis based on your account size, so I prefer the stock by stock approach to get a better idea of performance.
isatrader
Fate does not always let you fix the tuition fee. She delivers the educational wallop and presents her own bill - Reminiscences of a Stock Operator.
(2013-12-27, 03:03 PM)theory6453 Wrote: Hey all. This question is more portfolio-related rather than SA-related, but I wanted to get some feedback on how everyone calculates their portfolio performance since we are closing in on the end of the year.
The way I am calculating it currently for my retail portfolio is as follows:
EOY % Gain/Loss = Change in Portfolio Value / (Beginning of Year Portfolio Balance + Debits) = XX.X%
Change in Portfolio Value = End of Year Portfolio Balance - Beginning of Year Portfolio Balance - Debits + Credits
Debits = Sum of Total Deposits made during the Year
Credits = Sum of Account Withdrawals = Sum of Margin Interest Charged + Sum of Commissions Fees
There is a "real" performance versus "true" performance factor to be taken into account. For example, the method above shows the "true" performance of my portfolio since I am backing out Broker Commissions Fees and Margin Interest. If I were to calculate the "real" performance of my portfolio, I would not back those out as they are the "costs of doing business" so to speak and those fees would be included in my portfolio's "real" performance and my performance would lower. Any dividends received are already baked in.
This is how my 401K calculates it (approximately) when I login to the Fidelity website but wondering if maybe there is a better way to do it or if anyone has any feedback on my approach.
Danke.
Personally I'm only interested on how each stock has done on an ATR adjusted basis and am looking for the winners that I close out to be at least 3 times the losers. So for example I use a -2x ATR value for my stop loss distance on average, so I want my closed winners to be at least 6x ATR. The portfolio percentage value overall is affected by the various costs and inputs you mentioned above and they vary on a percentage basis based on your account size, so I prefer the stock by stock approach to get a better idea of performance.
Good point. The bigger your account gets, the less impact the fees or deposits might potentially have on overall performance using the method I described. Thanks Isa.
Follow-up: Once you have determined your winners/losers on an individual basis, do you do any aggregation of the results or use any kind of average or weighted average to get a higher-level view of performance? How are you determining a "good" year versus a "bad" year? Are you just looking for the number of winners to outweigh the number of losers? Or maybe you don't quantify it from that perspective? My goal is to try to get an objective measure of how I did overall for the year so I can compare against my past performance to see if I am doing better/worse/same...
I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game winning shot and missed. I've failed over and over again in my life. And that is why I succeed. - Michael Jordan
(2013-12-27, 03:31 PM)theory6453 Wrote: Follow-up: Once you have determined your winners/losers on an individual basis, do you do any aggregation of the results or use any kind of average or weighted average to get a higher-level view of performance? How are you determining a "good" year versus a "bad" year? Are you just looking for the number of winners to outweigh the number of losers? Or maybe you don't quantify it from that perspective? My goal is to try to get an objective measure of how I did overall for the year so I can compare against my past performance to see if I am doing better/worse/same...
One simple calculation I like to look at is the average winner versus average loser, again using the ATR percentages though and not actual percentages as I use the ATR value for position sizing. So for example if calculate your average winners divided by your average losers then you'll get a simple measure to compare against in future.
If you average winner was 4.19% ATR and the average loser was 1.24% ATR, then 4.19 / 1.24 = 3.38, so therefore your average winner was 3.38 times greater than your average loser.
You can also do the same with your Win/Loss Ratio = Winning Trades / Losing Trades for another measure, and if you want to get really serious about it then you can create your Sharpe Ratio, but you'll need to look up the calculation for that as it is a fair bit more complex.
isatrader
Fate does not always let you fix the tuition fee. She delivers the educational wallop and presents her own bill - Reminiscences of a Stock Operator.
A question about short interest in UK stocks came up a while ago, and I've come across a website that shows short positions held by fund managers when the size is above 0.5% of a company listed on the London stock exchange. Here's the link: http://www.shorttracker.co.uk/
isatrader
Fate does not always let you fix the tuition fee. She delivers the educational wallop and presents her own bill - Reminiscences of a Stock Operator.
Isa - I was re-reading Stan's book this morning and in Chapter 1 (page 14 of my copy) under the Moving Average section Stan says, "Over the years, I've found that a 30-week moving average (MA) is the best one for for long-term investors, while the 10-week MA is best for traders to use."
Is there anywhere later in the book that he expounds on traders using the 10-week MA rather than the 30-week MA? I seem to remember him saying that he would explain it in a later chapter but I'm having trouble finding it. Do you know where that might be located so I can brush up on this piece of the strategy? I had assumed that it would be in the traders section of Chapter 3 but I did not see it.
Thanks in advance.
I've missed more than 9,000 shots in my career. I've lost almost 300 games. 26 times, I've been trusted to take the game winning shot and missed. I've failed over and over again in my life. And that is why I succeed. - Michael Jordan
(2013-12-29, 07:30 PM)theory6453 Wrote: Isa - I was re-reading Stan's book this morning and in Chapter 1 (page 14 of my copy) under the Moving Average section Stan says, "Over the years, I've found that a 30-week moving average (MA) is the best one for for long-term investors, while the 10-week MA is best for traders to use."
Is there anywhere later in the book that he expands on traders using the 10-week MA rather than the 30-week MA? I seem to remember him saying that he would explain it in a later chapter but I'm having trouble finding it. Do you know where that might be located so I can brush up on this piece of the strategy? I had assumed that it would be in the traders section of Chapter 3 but I did not see it.
Thanks in advance.
No, he doesn't expand on using the 10 week MA later in the book unfortunately, as the trader method part of the book had a lot of unanswered questions, which I've tried to find answers to over the years of studying the method.
Basically imo, you only want to be in trader positions during the momentum part of the advance that stays mostly above the 10 week MA (50 day MA) with only occasional pullbacks to the 10 week MA. But once the momentum starts to wane and the stock starts to trade mostly below the 10 week MA then it's likely entering a more significant pullback in it's Stage 2 advance towards the 30 week MA, which can last many months, and so a trader would want to move onto another stock until the significant correction is over and the stock starts making a weekly close above it's 10 week MA once more before making a Stage 2 continuation break out. As a trader wants to avoid the significant pullback/consolidation periods and always be where the momentum is. So the 10 week MA does a good job of capturing those periods, and you can use trendlines as well when they form to further help with timing your exit.
isatrader
Fate does not always let you fix the tuition fee. She delivers the educational wallop and presents her own bill - Reminiscences of a Stock Operator.
I hope this has not been covered before. How do you actually buy shares? The book covers setting buy-stop orders on a good until cancelled basis to automatically buy shares on a breakout. However, the online service I use does not offer this (I'm in the UK). I'm not sure if this an often offered facility for mainstream services.
Even if it were offered I can see some issues - as you don't know exactly when and if a breakout will occur you will be wanting to set up multiple buy stops in place. However, multiple buy stops add some danger - you may end up with more commitments than you have been expecting.
Personally I'm watching stocks like a hawk and buying within a day or two of a breakout. However, it seems that a lot of stocks jump suddenly and I've found myself buying on a peak before a pullback. I'm sure in time that the majority of cases this issue will be moot in the long-term but it can be somewhat alarming to find myself buying a share only to make a loss at least for the short term.
I suppose one way around the buy-stop issue would be to set up a CFD account as they seem to offer more stop features. I presume that if you are careful with the stops then that does limit the risks - and I note that at least one provider limits liability to just the value of the account by closing the position so you can never owe them money. However, I a bit wary of the CFD route at present - not for widows & orphans etc. It also seems to me that CFD accounts are aimed at day traders - not what we are doing here. I suspect another strategy would be to keep a bit of cash in the standard share account - buy on the CFD and then if is a keeper simultaneously sell on the CFD and buy on the standard account - having the same effect as transferring the shares.
