Trading Records in App: Prop Shops
To follow up on a prior post (thank you bondarb and macro arb for your comments), I'd like to get your take on some other stats that may be useful, particularly to a prop shop. I've been trading three years with a CAGR around 27% and a sharpe around .65. i don't know whether it is a better idea to leave it at that or to list more key stats. i am considering:
1.categorizing by long/short equity, commodity, FX, fixed income and vol trades -- break each down by % of total trade volume over 3-year period.
2. individual rate of return on each, average length held, levered/unlevered.
looking at these stats gives me some interesting conundra. first, i made most of my return this year. i was actually only slightly positive in 2009 and actually negative in 2010 since QEII caught me with my pants down and i got destroyed on some mean reversion strategies that did not revert late last year.
is it better to include just TTM or the whole three years? the problem with TTM is that my return would be well over 90% then on the year -- not that i am bothered by posting such a return but it might smell too good to be true even though it is.
second, i have an issue with the style of my trading: a lot of near-fatal blowouts but a lot of ridiculous winners that i timed well.
blowouts: QEII, may 11 silver smash, oct 3 11 rally. the worst drawdown came in the silver smash with a 70% drawdown; the rest around 30%.
winners: QEII commodities and silver rally (latter reversed by the smash), silver revival rally in summer 2011 (exited properly this time), gold flight to safety rally (exited properly), euro crisis vol surge (exited and partially negated by the vol crush post oct 3), shorted some fraudcap chinese stocks (on an individual basis these were some of my highest % winners).
i apologize for the wall of text. i just wanted to give this information to whomever might be interested. i am not sure whether i just want to go with the sharpe/CAGR/drawdown stats for 3 years or 1 year, and whether i should include a breakdown of furhter stats. in the latter option, we might have to talk about these other issues i have listed above, and these issues may make a hiring manager nervous about me.
It seems all your noteworthy profitable trades occurred in the past year and a half, hence I think it would make more sense to compile your track record for two years in the event your MAR ratio is higher than that of three years. If you have compiled records of all your trades, it would be wise to plot a monthly returns distribution for both winning and losing months. If you managed to dig yourself out of the 70% drawdown, it may be likely that your MFE is significantly higher than your MAE. If such is the case, it could make up for the fact that your MAR ratio is lower than 0.5. Certainly plot out an equity (you may choose to use a logarithmic scale to visually conceal recent losses) and drawdown curve. Also include the number of winning and losing trades, average holding period for winning and losing etc. As for the massive silver draw-down, come up a story to try and explain that away and make it clear that you've taken steps to ensure such a drawdown never takes place again: forgot to add stops and the market gaped down while you were asleep, severe lack of liquidity, you were trying to place a leveraged bullspread but didn't get filled for your back month short position, you went long 222 instead of two contracts due to a fat finger error etc.
Bondarb also made an insightful post in another thread: //www.wallstreetoasis.com/forums/personal-trading-experience
"personal trading or paper trading are what you make of them. If you have detailed records of your trading, a log of how you came up with ideas, detailed portfolio statistics for how you did, etc then you can really impress people...as someone who loves trading i would ALWAYS look at something like that if it was given to me by a junior person. At the very least, i might get some ideas...i often find that young people wo dont read all the research and are just starting can sometimes provide unique insights just because they arent a part of the normal thought-stream.
If however you just kicked around some stocks, without any real deep thinking about it and dont have a good log of what you did other then a few e-trade statements then it can not only be unimpressive, it can actually be a negative because it gives an insight into how you will handle a "real job".
So definitely bring in a book of charts and ideas if you have it...in fact if you PM me maybe I will read it for you and critique..."
On a side note, I'm curious as to how you'd best describe your trading style. If it is purely systematic you might want to backtest it and have those results prepared as well.
Are you an undergrad?
I like you keeping your initial CAGR and Sharpe stats and leaving it at that. It's impressive enough that it will help get your foot in the door and it will certainly spark conversation in the interview, at which point you can expand on your other statistics.
Here's a piece of advice when interviewing with traders:
I've interviewed at several props and they respect honesty/self-awareness as much as anything. They were more impressed with me telling them how I initially blew half my account overtrading/what I learned from it than they were about one of my best trades ever. They want to see that you've suffered the mental anguish that will normally happen throughout the career of a trader. When you talk to them, I think it's perfectly fine to say you're up 90% for the year, but then talk about the massive silver drawdown you've had - AND how now you've implemented risk measures to reduce the volatility of your portfolio etc.
Macro Arb lists some other good statistics to follow -- def know % of winner trades, $ gained per average winning trade, $ loss per average losing trade, etc.
thank you gentlemen. i definitely do not imagine that my little retail trading account and record will impress any professional trader. i would rather convey that indeed i learned some hard lessons on my own nickel and even then i was able to get back on the horse after several major drawdowns and not make the same mistakes.
MA, as for your earlier question, i don't trade with technicals or with any quantitative strategies. i do some simple pairs trading but i wouldn't presume to call that quantitative (i.e., short highly anticorrelated instruments with time decay and pick up the theta). i read bloomberg and a lot of other macro news sources, keep an eye on key daily stats (equity indices, rates/spreads, key FX crosses) and trade on gut. the strategy has not been bad for the past 24 months because so many market moves have been macro/policy driven.
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