Futures Trading in a truly diversified portfolio

[Vijay Gupta]

Screen shot for 9-12-2013. Profitable day.
Net profit from 18/11/2013 till date : 124751
Percentage returns till date : 6.24%
Highest draw down : -3.36%

 

[Vijay Gupta]

Screen shot for 10-12-2013. A small loss.

Net profit from 18/11/2013 till date : 122712
Percentage returns: 6.14%

 

[Vijay Gupta]

Thanks to all who are reading this thread.

Screen shot for 11-12-2013. Another day of small loss.

Net profit from 18/11/2013 till date : 91611
Percentage returns :4.58%

 

[Vijay Gupta]

Screen shot for 12-12-2013. Comparative big loss.

Net profit from 18/11/2013 till date :3004
Percentage returns : 0.15%
Highest drawdown from top: -6.09

 

[Vijay Gupta]

Screen shot for 13-12-2013. Another day of loss
Net loss from 18/11/2013 till date : -44102
Percentage returns : -2.2%

 

[timepass]

Screen shot for 13-12-2013. Another day of loss
Net loss from 18/11/2013 till date : -44102
Percentage returns : -2.2%

Seems like your stoploss is too deep for an intraday trader. Do you trade as per any charts/strategy ?? Please post your trading strategy here.

 

[TraderRavi]

Seems like your stoploss is too deep for an intraday trader. Do you trade as per any charts/strategy ?? Please post your trading strategy here.

meri samajh mein to kuch na aawe hai, kuch din pehle 1 lakh profit tha ab 40k loss

 

[Vijay Gupta]

Thanks to Timepass & TraderRavi for taking interest in the thread.

As I have mentioned before, this is not an intraday trading strategy. I first determine the trend on daily charts. If it up, then I wait for a correction on hourly charts and look for lower tops and bottoms. Thereafter, I buy on breakout of hourly swing. Same thing in reverse for taking short positions.

Some of the trades are also taken on breakout of daily chart swing. The stop losses are generally 2-3 % away on hourly charts and 3-5% on daily charts.

So far as loss of 40000 is concerned after netting a profit of 1,00,000, it is not very large since I am always prepared to suffer a drawdown of minimum 10% of the capital. Once I reach 10% loss, I tend to reduce my trading quantity to half. I refuse to change my strategy until 20% loss is suffered which has never happened with me in last so many years while trading this strategy.

However, future is something entirely different and anything can happen.

I am not running this thread to prove the defects of any intraday strategy but to prove that in order to manage a large amount of money, we need to trade at least on hourly charts in a diversified portfolio with both long and short positions. Sometimes, all the items give profit, at other times, all of them give loss but on most occasions, small and slow growth takes place. One month is a small time frame to conclude anything.

 

[anuragmunjal]

dear Vijay,

I think you are doing a very good job of managing this portfolio. I have a query...
I see that you have a diversified portfolio where you are trading 6-7 different instruments. on what basis do you choose these instruments. what I mean is why choose copper and not lead or why choose chana & not jeera?
also, on what basis do you decide quantities of individual instruments to balance the portfolio?

regards

 

[Vijay Gupta]

dear Vijay,

I think you are doing a very good job of managing this portfolio. I have a query...
I see that you have a diversified portfolio where you are trading 6-7 different instruments. on what basis do you choose these instruments. what I mean is why choose copper and not lead or why choose chana & not jeera?
also, on what basis do you decide quantities of individual instruments to balance the portfolio?

regards

Thanks for your comments.

A reasonable diversification program requires at least 4 asset classes e.g. Bonds, equity index, forex, commodities etc. Each of these classes can be further diversified, for e.g. in commodities you can have 4 items and so on. Liquidity of the chosen instrument is also a factor. Chana is more liquid than Jeera and so is copper as compared to lead. The upper circuit in case of jeera it is 2%. This lower limit can create problem if the market opens against you. However, the number of items should not be too large to be unmanageable, hence 8 items are probably ideal (as well as maximum).

So far as the quantity is concerned, I first calculate the position size based on the distance of my stop loss from the entry point and do not take more than 1-2% risk in any one item. Secondaly, if the stop loss is very near, I have a maximum limit on the quantity as well. This ensures that margin remains sufficient.

I welcome any other queries.