We can see below the list of current positions (X was sold).
We have 3 long and 1 short positions.
There are three columns at the right side of the table:
- The 5D Probability of hitting the stop: This is the number of times that the stop loss would have been hit in the past 200 days, under similar price conditions.
- The Max Loss: This is the difference in percentage between the stop level and the last close.
- The Total Portfolio risk: This is the Max Loss multiplied by the probability that this loss will occur.
In blue, we can compare these figures with TNA, under the premise that we also set a stop loss of 5%.
In the past 200 days, the probability of hitting a 5% stop level when buying TNA in conditions similar to the last close was only 12.63%. This is mainly because the market has been going up in an almost straight line. We can see that the portfolio risk is about half that of a single TNA position. This also does not take into account the fact that TNA is very directional, while the portfolio has a combination of long/short positions, which decorrelates the implication of individual price movements on the portfolio.
Let's review our TRIP short.
The stop is set at 5%, which gives a stop level of 88.46. This stop level has a 12% chance of being hit.
We can see that the proposed stop is below the $90 resistance and the present resistance level.
I believe that I acted recklessly yesterday by opening two half short positions, one at 84.02 and the other at 85.52. because of these two positions, I cannot raise the stop in the safe zone above $90 without diminishing the actual position (so that the maximum hit to the portfolio would be limited to 1%.)
However, let's see what raising the stop would give:
It is interesting to see that even though the max loss has increased to 7%, because the probability that this level will be reached has dropped proportionally more, the impact on the portfolio risk is comparatively better.
The list of interesting trades for today is below.
I am mostly interested in a long IBKR, but only if the market holds well.