ET Reddit Mentions | ChartExchange

Disclosure first: I built the paper desk this comes from. Fake money, real prices, nothing to sell here and no link.
Wednesday the Nasdaq fell about 1.1% and my house paper desk closed well green. I nearly wrote it up as "the trend stuff finally paid". Then I grouped the day's closes by entry date instead of by strategy, and the day stopped being a day.
Read at 11:35 ET Thursday, every position with an exit date of Wednesday 09-23:
| group | closes | won | realised (paper) |
|---|---|---|---|
| everything else, options | 20 | 2 | -$3,457 |
| everything else, stock | 761 | 396 | +$1,307 |
| one rule, all entered Tue Sep 1 | 47 | 35 | +$73,487 |
| whole day | 828 | 433 | +$71,338 |
So the headline number is 103% one cohort. Take out one morning's decision and the day is -$2,150.
What that cohort actually is: one call-buying rule on one paper account. It fired 47 entries on the same morning, 47 different names (AMD, ARM, DELL, ALAB at the top), and its exit is a fixed number of sessions, so all 47 came out together on Wednesday. No stop in the rule. The four best rows are +$34,653 between them, almost half the cohort. The worst four were UNP (-$1,521), VRT (-$891), GDXJ (-$681) and FROG (-$511).
It's not 47 independent bets. It's one bet on September drifting up, sized 47 ways. The win rate inside it (35 of 47) looks like skill and is mostly one market drift shared by every row.
Two things I got wrong on the way here:
1. My evening read at 21:07 said 627 closes and +$72,422. By this morning it's 828 closes. The cohort itself didn't change overnight, everything added was outside it, so the share barely moved. But I'd already written a caption off the evening number. Any per-day P&L I read before the next morning is provisional now.
2. The deployment carries a name that describes a different rule than the one it trades. I found that while writing this. It doesn't change a number above but it's the kind of thing that makes an attribution report lie quietly.
What I've changed: before a green day goes anywhere, the closes get grouped by deployment and entry date, and if one group is bigger than the day, the remainder is the number I report.
The part I haven't solved. The same rule still has 15 positions open, so the next few days will show more of it exiting in clumps. For people who run a live book of many time-exit rules: do you attribute P&L by entry cohort as a matter of course, or do you cap how many entries one rule can take on a single day so a cohort can't get this big in the first place

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