analyzing trading results

[jamesj188]

hey guys,

im sure people might have posted this before (I couldnt find it) but what is a list of things to look at when analyzing the summary of your trades? day trades!

things like total number of trades....% correct vs wrong, average profit on winners and average loss on losers......

thanks
james

 

[Rhody Trader]

As much possible information as you can collect - but only if you're actually going to go back and review your trading. For example, you want to know if you're making good trades, not just winning ones.

 

[Shakone]

Yeah as you mentioned for starters you want

%win, %loss
average win size, average loss size

from these you then calculate your expectancy per trade.

Ideally you'll have a positive expectancy (incl commission costs). Then there are a lot of other things you could look at, like Sharpe ratio, maximum favourable/adverse excursion, drawdown etc. Also might be worth looking at trades results and their times, i.e. you could be doing better than usual from 8am-11am, then losing more often 11am-1pm.

 

[wackypete2]

Make a note on every trade you take whether or not you followed your rules completely or you didn't. Be honest or else it's just a waste of time. Then when you do your analysis separate those 2 groups and compare the results.

Peter

 

[blind_eye]

Might be of use.

DATE
TIME of ENTRY
METHOD
MARKET
DIRECTION
ENTRY
EXIT
STOP
MAXIMUM REVERSAL ON STOP (HOW MANY PIPS IT REVERSED FROM ENTRY)
PROFIT/LOSS
MAX (MAX PIPS IT WENT IN DESIRED DIRECTION)
TRADED PLAN Y/N
LENGTH OF TRADE TIME
COMMENTS

 

[Hotch]

MAXIMUM REVERSAL ON STOP (HOW MANY PIPS IT REVERSED FROM ENTRY)
MAX (MAX PIPS IT WENT IN DESIRED DIRECTION)

These are known as MAE (Maximum adverse excursion) and MFE (Maximum favorable exposure) respectively.

 

[jamesj188]

very helpful.
anything else (anything unconventional) worth considering when summarizing/analyzing your day trading results!?!?!?

thanks again

 

[Eric Geddes]

very helpful.
anything else (anything unconventional) worth considering when summarizing/analyzing your day trading results!?!?!?

thanks again

All previous stuff excellent. I also note ATR which, as a measure of volatility, I use to calculate a stop based upon a % of whatever ATR is used - I'm swinger so use 14 day ATR. If you have noted MAE you can see over a large number of results where the optimum place is for your stop - based on your trading style. (and you need these results to be derived from a consistent strategy, otherwise they will be meaningless. For these calcs Mr Excel becomes your best mate.

 

[blind_eye]

These are known as MAE (Maximum adverse exposure) and MFE (Maximum favorable exposure) respectively.

Thanks for the correction never knew that. Any more useful ones you can think of?

 

[Rhody Trader]

These are known as MAE (Maximum adverse exposure) and MFE (Maximum favorable exposure) respectively.

Actually, its "excursion" not "exposure".

 

[anley]

This is an excellent site to run your results through.

Do some work on what's a good Kelly value, it should help get a better understanding of where you stand.

Trading System Simulator

 

[tomorton]

All good advice re collecting data on each individual trade, but you should want to relate trades to things like performance trends. You might want to derive from your data -
points gained / lost per week
rolling av winning weeks in any 20 / 26 / 52
rolling % winning trades in last 20
highlighting days / weeks / trade series with winning points but losing £
equity curve
whilst keeping track of any strategy changes that might impact on on-going performance.

 

[Hotch]

Actually, its "excursion" not "exposure".

You know it didn't seem right when I wrote it, had been talking about exposure to someone, my bad!

 

[Shakone]

This is an excellent site to run your results through.

Do some work on what's a good Kelly value, it should help get a better understanding of where you stand.

Trading System Simulator

Be very careful about using Kelly Criterion for bet size. It doesn't really apply to trading, and will cause a newbie to trade with far too much risk.

 

[anley]

Be very careful about using Kelly Criterion for bet size. It doesn't really apply to trading, and will cause a newbie to trade with far too much risk.

True, but it's a good point to start, then divide.

For example, whatever Kelly states to trade, divide by 4, maybe even more. But it does all depend on how much reward you're looking for versus how much risk you're willing to take. They're 2 sides of the same coin, very hard to alter one without the other.

 

[Shakone]

True, but it's a good point to start, then divide.

For example, whatever Kelly states to trade, divide by 4, maybe even more. But it does all depend on how much reward you're looking for versus how much risk you're willing to take. They're 2 sides of the same coin, very hard to alter one without the other.

I don't use Kelly at all. First I look at what is the worst case scenario I've seen. Whatever I think it is, it can probably be worse, but it's a good place to start. So you've got to make sure that the worst gap you've ever seen would not take your whole account and more. Had you been short during the EURCHF when they moved it to 1.2 where would your stop have been filled? How much worse than what you were expecting your risk to be is that? This is one of the reasons why Kelly criterion is not very good. Not the only reason though.

That's the upper limit in terms of % risk. Then I'd reduce it further if that upper limit was too large a size that it effects my trading. My view might be skewed by day-trading though. Perhaps Kelly is useful for longer term trading where stops are large.