Overall performance trading the daily has been respectable in 2022 but we’ve been giving back too much open trade equity on reversals and experiencing larger than normal intra-month drawdowns. Adding insult to injury the opinion and S&R filters designed to reduce trade frequency and improve reward risk have kept us out of profitable trades.
Major cause, the overall change to maximum range ratios have deteriorated from 2 to 1 to nearly 0.75 to 1.
A good change to maximum range ratio
-
- Net change over 60 days = 100 points, divided by the maximum 1 day range of 50 points = 2 to 1, this tells you on a long-term trade you had the opportunity of making $2.00 over the 60 day period with a maximum one day loss of $1.00.
- Net change over 60 days = 100 points, divided by the maximum 1 day range of 50 points = 2 to 1, this tells you on a long-term trade you had the opportunity of making $2.00 over the 60 day period with a maximum one day loss of $1.00.
A bad change to maximum range ratio
-
- Net change over 60 days = 75 points, divided by the maximum 1 day range of 100 points = 0.75 to 1, this tells you on a long-term trade you had the opportunity of making $0.75 over the 60 day period with a maximum one day loss of $1.00.
How the 60 day change to range ratios have deteriorated on the S&P
-
- Average 60 day change to range January 2017 – December 2021 1.86 to 1
- 60 change to day change to range 2021 2.00 to 1
- 60 day change to day change to range 2022 1.38 to 1
- 60 day change to day change to range September 2022 0.75 to 1
In 2021 we had a profit potential of making $2.00 over a 60 day period for every $1.00 of maximum daily abuse, by September 2022 this ratio deteriorated to a $0.75 to 1.00.
2017 – 2022 60 Day change to maximum 1 day range
In 2022 the average dollar value range per contact has been $4,731, maximum $11,825, minimum $1,863.
To time period with a 0.75 to 1 change to range ratio with swings in contact valuation of $4,731 doesn’t work for me, especially when we have the tools to benefit from these swings rather than being hurt by them.
2017-2022 Daily Range In Contract Valuation
How bad change to range ratios have impacted Daily EMA performance
Since 1 April 2022 trading the daily EMA 9-18 we’re up $235,678.43 but we’ve gone through $81,677.47 in drawdown abuse to net this $235,678.43.
April’s numbers
1.86 winning days for every 1 losing day
Average daily up/down change in equity $8,174.07
Average wining day $9,997.90, average losing day -$4,824.09
Largest profitable day $23,055.50, largest losing day -$11,589.38
Number of net new equity highs 11
Net profit on the month $95,944.11
By August 2022
0.92 winning days for every 1 losing day
Average daily up/down change in equity $7,390.85
Average wining day $8,082.92, average losing day -$6,756.45
Largest profitable day $21,498.12, largest losing day -$17,471.87
Number of net new equity highs 0
Net profit on the month $8,082.92
1 September through the 16th of September
1.00 winning day for every 1 losing day
Average wining day $19,024.80, average losing day -$14,764.15
Average daily change in equity $16,944.77
Largest profitable day $46,035.13, largest losing day -$27,013.87
Number of net new equity highs 0
Net profit 1 September through 16 September $19,024.80
Daily EMA 9-18 Performance 1 April 2022 through 16 September 2022
| Date | Up Days | Down Days | Cumulative | Drawdown |
| April | $75,112.88 | |||
| 01-Apr-22 | -$11,589.38 | $63,523.50 | -$11,589.38 | |
| 04-Apr-22 | $21,331.50 | $84,855.00 | $0.00 | |
| 05-Apr-22 | -$1,471.50 | $83,383.50 | -$1,471.50 | |
| 06-Apr-22 | $322.25 | $83,705.75 | -$1,149.25 | |
| 07-Apr-22 | $366.88 | $84,072.63 | -$782.37 | |
| 08-Apr-22 | -$1,055.75 | $83,016.88 | -$1,838.12 | |
| 11-Apr-22 | $2,649.75 | $85,666.63 | $0.00 | |
| 12-Apr-22 | $11,959.31 | $97,625.94 | $0.00 | |
| 13-Apr-22 | -$2,435.06 | $95,190.88 | -$2,435.06 | |
| 14-Apr-22 | $4,324.37 | $99,515.25 | $0.00 | |
| 18-Apr-22 | $8,757.94 | $108,273.19 | $0.00 | |
| 19-Apr-22 | -$10,228.38 | $98,044.81 | -$10,228.38 | |
| 20-Apr-22 | -$4,223.25 | $93,821.56 | -$14,451.63 | |
| 21-Apr-22 | $15,271.07 | $109,092.63 | $0.00 | |
| 22-Apr-22 | $15,016.43 | $124,109.06 | $0.00 | |
| 25-Apr-22 | $4,052.75 | $128,161.81 | $0.00 | |
| 26-Apr-22 | $23,055.50 | $151,217.31 | $0.00 | |
| 27-Apr-22 | $7,925.63 | $159,142.94 | $0.00 | |
| 28-Apr-22 | -$2,765.31 | $156,377.63 | -$2,765.31 | |
| 29-Apr-22 | $14,679.36 | $171,056.99 | $0.00 | |
| Monthly Net | Avg + Days | Avg – Days | + Days to – | |
| $95,944.11 | $9,977.90 | -$4,824.09 | $1.86 | |
| May |
||||
| 02-May-22 | $12,078.20 | $183,135.19 | $0.00 | |
| 03-May-22 | -$8,952.88 | $174,182.31 | -$8,952.88 | |
| 04-May-22 | -$14,135.87 | $160,046.44 | -$23,088.75 | |
| 05-May-22 | $34,109.94 | $194,156.38 | $0.00 | |
| 06-May-22 | $6,968.06 | $201,124.44 | $0.00 | |
| 09-May-22 | $18,215.87 | $219,340.31 | $0.00 | |
| 10-May-22 | -$1,054.31 | $218,286.00 | -$1,054.31 | |
| 11-May-22 | $16,723.31 | $235,009.31 | $0.00 | |
| 12-May-22 | $18,864.13 | $253,873.44 | $0.00 | |
| 13-May-22 | -$5,348.56 | $248,524.88 | -$5,348.56 | |
| 16-May-22 | $514.12 | $249,039.00 | -$4,834.44 | |
| 17-May-22 | $6,607.88 | $255,646.88 | $0.00 | |
| 18-May-22 | -$7,682.94 | $247,963.94 | -$7,682.94 | |
| 19-May-22 | -$8,519.75 | $239,444.19 | -$16,202.69 | |
| 20-May-22 | $7,050.00 | $246,494.19 | -$9,152.69 | |
| 23-May-22 | -$17,452.88 | $229,041.31 | -$26,605.57 | |
| 24-May-22 | $2,616.13 | $231,657.44 | -$23,989.44 | |
| 25-May-22 | $1,293.87 | $232,951.31 | -$22,695.57 | |
| 26-May-22 | -$5,295.81 | $227,655.50 | -$27,991.38 | |
| 27-May-22 | -$13,953.39 | $213,702.11 | -$41,944.77 | |
| 30-May-22 | $1,153.39 | $214,855.50 | -$40,791.38 | |
| June |
||||
| Monthly Net | Avg + Days | Avg – Days | + Days to – | |
| $43,798.51 | $10,516.24 | -$9,155.15 | $1.33 | |
| 01-Jun-22 | $58.06 | $214,913.56 | -$40,733.32 | |
| 02-Jun-22 | -$3,437.00 | $211,476.56 | -$44,170.32 | |
| 03-Jun-22 | $12,885.25 | $224,361.81 | -$31,285.07 | |
| 06-Jun-22 | -$2,666.50 | $221,695.31 | -$33,951.57 | |
| 07-Jun-22 | $6,660.38 | $228,355.69 | -$27,291.19 | |
| 08-Jun-22 | -$45.63 | $228,310.06 | -$27,336.82 | |
| 09-Jun-22 | -$1,909.93 | $226,400.13 | -$29,246.75 | |
| 10-Jun-22 | $5,846.18 | $232,246.31 | -$23,400.57 | |
| 13-Jun-22 | $40,910.50 | $273,156.81 | $0.00 | |
| 14-Jun-22 | $7,493.82 | $280,650.63 | $0.00 | |
| 15-Jun-22 | -$25,995.57 | $254,655.06 | -$25,995.57 | |
| 16-Jun-22 | $1,474.44 | $256,129.50 | -$24,521.13 | |
| 17-Jun-22 | -$4,315.31 | $251,814.19 | -$28,836.44 | |
| 20-Jun-22 | -$4,007.06 | $247,807.13 | -$32,843.50 | |
| 21-Jun-22 | -$7,886.07 | $239,921.06 | -$40,729.57 | |
| 22-Jun-22 | $7,188.63 | $247,109.69 | -$33,540.94 | |
| 23-Jun-22 | $2,130.31 | $249,240.00 | -$31,410.63 | |
| 24-Jun-22 | -$22,540.56 | $226,699.44 | -$53,951.19 | |
| 27-Jun-22 | $116.56 | $226,816.00 | -$53,834.63 | |
| 28-Jun-22 | $15,643.88 | $242,459.88 | -$38,190.75 | |
| 29-Jun-22 | $7,723.31 | $250,183.19 | -$30,467.44 | |
| 30-Jun-22 | $14,265.12 | $264,448.31 | -$16,202.32 | |
| Monthly Net | Avg + Days | Avg – Days | + Days to – | |
| $49,592.81 | $9,415.11 | -$8,089.29 | $1.44 | |
| July | ||||
| 01-Jul-22 | $1,621.75 | $266,070.06 | -$14,580.57 | |
| 05-Jul-22 | $26,460.38 | $292,530.44 | $0.00 | |
| 06-Jul-22 | $4,444.00 | $296,974.44 | $0.00 | |
| 07-Jul-22 | -$18,157.63 | $278,816.81 | -$18,157.63 | |
| 08-Jul-22 | -$3,485.65 | $275,331.16 | -$21,643.28 | |
| 11-Jul-22 | $11,778.63 | $287,109.79 | -$9,864.65 | |
| 12-Jul-22 | $24,350.24 | $311,460.03 | $0.00 | |
| 13-Jul-22 | -$5,574.94 | $305,885.09 | -$5,574.94 | |
| 14-Jul-22 | $22,318.44 | $328,203.53 | $0.00 | |
| 15-Jul-22 | -$18,657.57 | $309,545.96 | -$18,657.57 | |
| 18-Jul-22 | -$21,798.50 | $287,747.46 | -$40,456.07 | |
| 19-Jul-22 | -$1,682.31 | $286,065.15 | -$42,138.38 | |
| 20-Jul-22 | $9,151.56 | $295,216.71 | -$32,986.82 | |
| 21-Jul-22 | $8,481.88 | $303,698.59 | -$24,504.94 | |
| 22-Jul-22 | -$9,374.13 | $294,324.46 | -$33,879.07 | |
| 25-Jul-22 | -$1,688.53 | $292,635.93 | -$35,567.60 | |
| 26-Jul-22 | -$5,572.88 | $287,063.05 | -$41,140.48 | |
| 27-Jul-22 | $9,445.13 | $296,508.18 | -$31,695.35 | |
| 28-Jul-22 | -$11,588.38 | $284,919.80 | -$43,283.73 | |
| 29-Jul-22 | -$3,266.42 | $281,653.38 | -$46,550.15 | |
| Monthly Net | Avg + Days | Avg – Days | + Days to – | |
| $66,797.88 | $13,116.89 | -$9,167.90 | $0.82 | |
| August | ||||
| 01-Aug-22 | $7,184.32 | $288,837.70 | -$39,365.83 | |
| 02-Aug-22 | -$6,325.87 | $282,511.83 | -$45,691.70 | |
| 03-Aug-22 | $13,219.87 | $295,731.70 | -$32,471.83 | |
| 04-Aug-22 | $12,683.50 | $308,415.20 | -$19,788.33 | |
| 05-Aug-22 | -$17,417.87 | $290,997.33 | -$37,206.20 | |
| 08-Aug-22 | $8,857.75 | $299,855.08 | -$28,348.45 | |
| 09-Aug-22 | -$3,926.90 | $295,928.18 | -$32,275.35 | |
| 10-Aug-22 | $21,498.12 | $317,426.30 | -$10,777.23 | |
| 11-Aug-22 | -$7,899.50 | $309,526.80 | -$18,676.73 | |
| 12-Aug-22 | $16,579.56 | $326,106.36 | -$2,097.17 | |
| 15-Aug-22 | -$3,236.23 | $322,870.13 | -$5,333.40 | |
| 16-Aug-22 | $344.11 | $323,214.24 | -$4,989.29 | |
| 17-Aug-22 | -$15,754.19 | $307,460.05 | -$20,743.48 | |
| 18-Aug-22 | -$2,917.19 | $304,542.86 | -$23,660.67 | |
| 19-Aug-22 | -$3,593.37 | $300,949.49 | -$27,254.04 | |
| 22-Aug-22 | -$5,504.50 | $295,444.99 | -$32,758.54 | |
| 23-Aug-22 | -$5,449.25 | $289,995.74 | -$38,207.79 | |
| 24-Aug-22 | $3,800.87 | $293,796.61 | -$34,406.92 | |
| 25-Aug-22 | -$655.00 | $293,141.61 | -$35,061.92 | |
| 26-Aug-22 | -$8,397.55 | $284,744.06 | -$43,459.47 | |
| 29-Aug-22 | $1,955.50 | $286,699.56 | -$41,503.97 | |
| 30-Aug-22 | $504.88 | $287,204.44 | -$40,999.09 | |
| 31-Aug-22 | $2,283.62 | $289,488.06 | -$38,715.47 | |
| Monthly Net | Avg + Days | Avg – Days | + Days to – | |
| $7,834.68 | $8,082.92 | -$6,756.45 | $0.92 | |
| September | ||||
| 01-Sep-22 | $18,047.75 | $307,535.81 | -$20,667.72 | |
| 02-Sep-22 | $567.00 | $308,102.81 | -$20,100.72 | |
| 06-Sep-22 | $8,167.38 | $316,270.19 | -$11,933.34 | |
| 07-Sep-22 | -$7,125.25 | $309,144.94 | -$19,058.59 | |
| 08-Sep-22 | -$10,953.88 | $298,191.06 | -$30,012.47 | |
| 09-Sep-22 | -$27,013.87 | $271,177.19 | -$57,026.34 | |
| 12-Sep-22 | -$24,646.13 | $246,531.06 | -$81,672.47 | |
| 13-Sep-22 | $46,035.13 | $292,566.19 | -$35,637.34 | |
| 14-Sep-22 | -$4,081.63 | $288,484.56 | -$39,718.97 | |
| 15-Sep-22 | $22,306.75 | $310,791.31 | -$17,412.22 | |
| Monthly Net | Avg + Days | Avg – Days | + Days to – | |
| $21,303.25 | $19,024.80 | -$14,764.15 | $1.00 | |
| Apr.-Sep. 2022 | ||||
| Net Profit | $235,678.43 | |||
| Max Draw | -$81,672.47 | |||
| Ratio | $2.89 |
The second issue impacting performance are the opinion and S&R filters
| Markets | Hourly |
3 Hour |
5 Hour |
Daily |
Opinion |
S&R |
| SP 500 | ES 1H | ES 3H | ES 5H | ES D | 80% | ES S&R |
These filters we’re originally put in place to reduce trade frequency and enhance reward risk, the expectation was to keep us out of volatile sideways markets until the move had fully engaged.
Initially they did the job in 2017, as contract value and daily swings in contract valuation increased, these filters negatively impacted performance.
2017 2022 trading the hourly with the opinion & S&R filters
2017 2022 trading the hourly without the opinion & S&R filters
Effective 16 September 2022, we’ll be gradually shifting from the daily EMA 9-18s and into allocations that trade the 1,3 and 5 hour with no opinion or S&R filters, we’ll continue to monitor the daily’s and hourly with the opinion and S&R filters, when trends clean up, reward justifies risk, we’ll re-activate these programs if reward justifies risk.
For position & performance updates see section 2 on this page.
2014-2022 monthly/annual performance by market/time period, section 5 this page
2014- 2022 allocation by sector and time period traded this page
To create your own allocation and review 2014-2022 performance this page
All allocation revisions will be consistent with current markets and risk tolerance levels on record for all accounts. If you’d like to define your own allocation please see this page , contact me if you need assistance.
We’ve gone through periods like this before, unfortunately will have to face them again, the upside is my team is solid, experienced and we have the tools in our trading war chest to put what’s hurts us to work for us.
Contact me with any questions or special instructions.
Peter Knight Advisor
My current date and time June 8, 2023 8:35 pm
Direct VI Phone 24/7 +340 244 4310
Skype:: Peter Knight Advisor
Message me
Peter_Knight@peterknightadvisor.com
