Monday
Jan182010
Analysis of My 2009 Gap Trades
1 CommentThe impressive rally of 2009 was almost as concerning to us market-neutral traders / investors as the record-setting selloff of 2008. But I managed to keep it going and with the exception of one problematic period in late March and early April (as the v-bottom was formed), I had a very good year. The equity curve for 2009 can be see in the prior post, "My Gap Trading Since the Markest Peaked in October, 2007."
Here's a detailed breakdown of my 2009 trades:
- Win rate: 65% (48/74)
- Profitable months: 11
- Losing months: 1
- Profits per contract for year: $2827
- Profits per contract per trade: $38.20 (note does not include commissions which average $3-5 per round-trip trade depending on the account and broker)
- # Short trades: 53 (72% of all trades)
- Short win rate: 64%
- Short % of total profits: 77%
- # Long trades: 21 (28% of all trades)
- Long win rate: 67%
- Long % of total profits: 23%
- Average win size: $202 / contract
- Average loss size: $264 / contract
- Win / loss ratio: .77
- Extended target: 35 attempts, 24 hit / 11 missed (69% success)
- Time in market: .7 % (62 hours / 8760 hours for the year)
- Average trade length: 50 minutes
- Average winning trade length: 42 minutes
- Average losing trade length: 1 hr, 05 minutes
- Most consecutive wins: 8 (1 time), 7 (1 time), 5 (3 times)
- Most consecutive losses: 4 (1 time), 2 (3 times)
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Reader Comments (1)
Thanks for the info Scott!