SL - One of the aspects of journaling (as I was taught) was to keep a record of every trade. One of the key data points for every trade is max adverse excursion AKA how much the ****ing thing went against you.
In my opinion, this is a better way to refine your stops than setting it below a swing lowor the previous low of certain timeframes bars.
See attached s'sheet.
Sheet 1: PnL - Description:
This is a s'sheet that calculates the Expectancy and SD of i) the past 50 trades, and ii) a 20 trade rolling average of this. It then uses these datapoints to calculate the confidence level of the alternative hypothesis that your trade results are better than guessing. There is conditional formatting etc which I won't bother explaining.
Sheet 1: PnL - Legend
(in blue, "trade details")
Date / Contract / Size / L/S / Style - all fairly obvious I should hope
STOP - TGT - Stop and Target obviously, but
must be expressed in %age of account for meaningful figures!
(in Pink, "trade phase parameters")
These are something similar to what DT describes above - the Maximum Adverse Excersion (S(A))and Maximum Favourable Excursion (T(A)) for each trade after you put on until a specified time (e.g. mkt close).
For Example, see the image attached: This reads as...
A) I could have made 15 ticks if I had a stop of 6
B) I could have made 24 ticks if I had a stop of 8
C) I could have made 36 ticks if I had a stop of 12
... and so on
F) this is what I would have made if I had no stop and closed the trade at the close of the market.
NB: A couple of points here - be sure to use the right bid/offer price for your measurements - for example, for A), it means that price went 15+spread in my favour, and 6-spread against me. Also, it is pretty rare to fill all A - E phases - this means that your PnL goes up and down in increasing amounts like a megaphone.
$W/ $L / PnL are obvious.
The rest of the sheet (yellow) describes:
50~E(X) - 50 trade average
50~SD(X) - 50 trade standard deviation
50~C.L. - 50 trade confidence interval (E(X) > 0).
The 20~50~E(X) are simple the 20 period overages of each of the above.
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Now, the other pages in the worsksheet are fairly similar in layout, except they are obviously labelled by the instruments that I trade - you can amend these as you see fit, of course. The layout of the data input in identical to the first PnL s'sheet - so all you need to do is copy and paste them from the PnL sheet (from column T# to PnL).
The cool stuff:
Each instrument specific page has an additional feature at the end (in pink and blue). Note the two white cells labelled "TARGET" and "STOP" over the pink cell "Sim Results". What you can do here is input different values of STOP and TARGET, and the s'sheet will run through the trade phase parameters and show you what the result would have been for your past trades in the light blue PnL column at the far right.
The point is that you can - in a rough way - backtest different values of STOP and TARGET for trades that you actually took. You can do this with backtesting software only of your system is entirely rule based, and so this is a (very) rough way of looking at what effect changing your stop and tgt are, and also helps you pick out when volatility in increasing/decreasing.
NB: As I said, it's pretty rough. If you get the result "FAIL" in the far right column (the rest are "working cells") it means it isn't possible to deduce what the result would have been.
Anyway - Merry Christmas, and enjoy
