Posts
Ideas, paper notes, backtests. Not a buy signal.
- backtest
The 4R Target Illusion vs 2.0R Split Trailing
With a 4R target, the actual reach rate was only 5.2%. Why taking half at 2.0R and trailing the rest works.
- backtest
Why Buying in Daytime Sessions Hurts: The Cost of Gaps
Buying early in daytime ATS looks convenient, but overnight gap-downs straight through stops erode strategy edge.
- log
Why I ran the momentum paper book again
On August 27 I started the momentum paper book over, dropping names weaker than their sector.
- log
August 30 paper book, pluses and minuses
Open seats stay blurred, ±% only. Closed names: PYPL, PANW, ANET.
- log
Why I opened a separate paper book for smaller names
A 500-name paper book opened August 28. No auto-buy. No rows yet.
- log
Why I ran the breakout paper book again
On August 27 I started the breakout paper book over with a filter that drops names weaker than their sector.
- backtest
Does the breakout rule break in the 2022 bear?
The full sample looks like a pass. 2022’s bear and 2023’s chop still lose money.
- backtest
Drop names weaker than their sector — does it help?
Dropping weaker-than-sector names cuts trades ~14% and lifts Sharpe 0.35→0.40. Bears still lose.
- backtest
Momentum re-measured with only that day’s information
No peeking at later news. Only the FOMC calendar and the 200-day line known at time T.
- backtest
Buy the close on signal day, or the next open?
Same momentum rule, 2019 onward: signal-day close versus the next regular-hours open.
- log
Momentum paper book: same rules, no real money
From August 20, the momentum rule is logged every 30 minutes with no live cash. Separate files from the breakout book.
- idea
Why the accounts are split: alerts vs automation
The aggressive buyer and the human-confirm alert book do not share one account.
- backtest
Can FOMC dates and a market trend replace reading the news?
Instead of headlines, I skipped new buys when the market was under its 200-day line or around FOMC.
- backtest
Follow momentum from 2019 — what’s left?
Same momentum rule since 2019: 1,953 trades, 41% wins, +0.068R per trade. Drawdown −71%.
- idea
When I buy momentum: averages stacked, swings not too wild
Close above the 20-day and 50-day lines, and only if daily swings are not too large.
- backtest
Leave on a 20-day-line break and the book falls apart
Same entries: an ATR stop is +0.07R per trade; exiting when close loses the 20-day line is −0.10R.
- idea
A 20-day high, only if the target is twice the stop
A close through the 20-day high counts only when the target is at least twice the stop.
- idea
What this journal does
Not trade calls. A notebook of which rules hold up and where they broke.
- log
Breakout paper: 150 names scanned every day
From August 16, about 150 names are scanned daily for 20-day highs. 1% of equity per seat.
- idea
Five lines: why I bought, and when I’m wrong
Every candidate gets why, evidence, invalidation, take-profit, and ops. Not a trade call.
- backtest
Which filters hold up in a bear or a sideways market
Same breakout rule, different filters, through 2022’s bear and chop. Piling on filters does not win.
- backtest
Thirteen small names, run for two years
A 13-name research panel from 2024. Momentum +57%, breakout +82%. Drawdowns both about −6%.
- backtest
Better to leave when the trend flips than at a target?
Leaving on a 50-day or 200-day flip lifts expected R versus a fixed 2R target, and also gives back more.