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Daily profit measured by volatility
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Daily profit measured by volatility

  #21 (permalink)
Site Administrator
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wldman View Post
I will take a look at that as a performance metric. Still a little hard to define for me. Like asking a baseball player what his goal is for reaching base. Wouldn't the answer be every time. The metric, on base percentage would include a couple different items, but I'd say that a player whose goal is less than 100% is not worth his salt as a pro. Now there is a difference between goal and performance metric as both trading and baseball are not "games of perfection" Either way, I do not have a specific goal in ticks or dollars or % of range.

I want to trade well. To trade well is to make lots of money. So each day I review each trade for it's specific result and against what opportunity was there at the time. Sometimes a 50 tick trade is a failure and sometimes a 7 tick loser was a great trade. My goal is to trade well, the rest takes care of itself.

When you hosted that author Denise she mentioned something that I sort of did, but since I absolutely do. That is to focus on the bottom 20% of trades and look to improve or eliminate. It is a freaking beautiful thing when the bottom 20% of a period's trades includes winning trades. I believe that if my focus is there, on trading well that is a better metric, goal, outcome than hitting a percentage of a daily range. Does than make sense? Thanks for the interesting poll question and debate. Dan

Dan,

I think you might be looking at total net profit over all contracts.

Lets say a mediocre trader is trading 10 lots on the ES, then 1 trade (10 lots) for 4 ticks is 40 ticks, and could be 100% of the average daily range for instance.

Or are you saying that you think based on a 1-lot you should be capturing 100% of ADR each day (over multiple trades)?

Put another way, if we assume 50% win ratio and 2:1 reward-to-risk, are there 20 setups a day on the ES where you can risk 4 ticks to make 8? If you are right 50% of the time with 0.5R, you will have 80 ticks profit (forgetting commission, which will be a hefty price). Your losing trades, 50% of all trades, would have lost you 40 ticks (again, plus c). Leaving you with 40 ticks net on the day, but of course with 20 trades your C will be hefty percentage of that figure.

I tend to find that hard to believe.

Mike

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  #22 (permalink)
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Silvester17 View Post
I think it also depends how you trade, what kind of a trader you are.

here're some extreme examples:

- the market shoots up 50 points, one big move, one swing. but it doesn't offer me a good opportunity to enter on a pullback. so the adr is 50 points and I don't get anything.

- now the market goes up 10 points, then down 10 points and up 10 points etc. it does that 10 times. so 10 x 10 point swings. the adr is still 10 points. but I might be able to catch 5 points out of every swing, leaving me with 50 points at the end of the day.

like I said those are extreme and not very likely examples, but you get the idea. so to compare your trade results to a naked adr number doesn't make much sense to me.

So how would you measure your efficiency in terms of market movement?

I have something I track called "benchmark" which is basically where I list the absolute best case scenario for my trade setup in terms of total possible ticks. This is not to be confused with in-trade MFE. This is a hypothetical best case scenario, saying I captured 100% of the move based on my methodology.

I use that to measure my actual performance for an individual trade against the benchmark performance.

But I still find it useful to look at my overall daily performance and compare it to the overall daily volatility.

Mike

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  #23 (permalink)
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BTW, here is the most recent example from someone else. This is from Matt Davio who posted this in his thread a few minutes after I had created this poll.


MissTrade View Post
I am definitely a daytrader if opportunities arise, however, I don't like to scalp, my goal for the day as a daytrader is to pull out 1/4 or 1/2 of the total range the day trades. So if the ES was 20 pts wide today, if I was successful I was able to take out 5-10 pts out of my daytrading efforts. I usually am able to do this if successful in 1-3 trades maximum. That being said, I have no problem swing trading positions, and those typically last 1 day to 4 weeks. I do utilize options in some of my longer timed trades along with futures.

Matt

Just to provide another perspective or reference.

I know @tigertrader has also made similar comments to me, but I cannot recall if they were in PM or public posts and no clue where they reside so not easy to go find and quote.

Mike

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Need help?
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2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #24 (permalink)
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empty View Post
I think now you're getting to the heart of the question. The distinction between a goal and a metric is what could be confusing. Perhaps what is helpful is to know what % of daily ATR are you capturing on average. Secondly what % of ATR do you seek to achieve in your trading. Some would suggest the second question should always be at least 100% but perhaps frame it in terms of next steps.

OK so we can delete the word "objective" from the poll and thread title, so the question is simply -- what are you actually doing vs what do you want to do.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

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  #25 (permalink)
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i am not able to vote because i expect to be a net loser on the day, this is no joke and probably a more realistic outcome than any of the other choices. i never would lower myself to look at performance on a daily basis yet i do expect i will out perform any expected profitability on a yearly basis. ~m

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  #26 (permalink)
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markbrown View Post
i am not able to vote because i expect to be a net loser on the day, this is no joke and probably a more realistic outcome than any of the other choices. i never would lower myself to look at performance on a daily basis yet i do expect i will out perform any expected profitability on a yearly basis. ~m

It does not need to be taken so literal. You could easily expand it to a weekly or monthly basis.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
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  #27 (permalink)
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Big Mike View Post
It does not need to be taken so literal. You could easily expand it to a weekly or monthly basis.

Mike

the range of the day does not take into account all the movement in a day. a market may open and go directly up to close 20 points higher on the day. the next day may open and trade 5 points up and down every hour and close where it opened - that day to me had a 30+ point range.

based on this premise i would expect in a years time that i would capture well over 4500% of the cumulative daily ranges as described in the poll. however on a daily basis i always expect to be negative, with respect.

mark brown

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  #28 (permalink)
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markbrown View Post
the range of the day does not take into account all the movement in a day. a market may open and go directly up to close 20 points higher on the day. the next day may open and trade 5 points up and down every hour and close where it opened - that day to me had a 30+ point range.

based on this premise i would expect in a years time that i would capture well over 4500% of the cumulative daily ranges as described in the poll. however on a daily basis i always expect to be negative, with respect.

mark brown

Yes I know the market moves up and down.

Please look at post #21, and give a real world example including win rate, R and number of trades per day, so I can better understand. Please remember this is based on 1-lot per, size has nothing to do with it.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #29 (permalink)
Trading Apprentice
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Big Mike View Post
Yes I know the market moves up and down.

Please look at post #21, and give a real world example including win rate, R and number of trades per day, so I can better understand. Please remember this is based on 1-lot per, size has nothing to do with it.

Mike


one lot basis

average day is 92% winners and few trades last longer than 1 second.

we are going market on both sides of execution simultaneously without confirmation of fills on either side.

averaging 50.00 per minute on the session not including commissions which are about 10% of the profits total.

gross 15-20k a day, infrastructure / transaction cost eats one third to one half that.

there are about 40,000 trade opportunity's ever 5 minutes on just one symbol however only about 3-400 trades taken per session.

yes when i lose it's big numbers (as compared to the trade profit) we are talking about hft.

be glad to openly answer any questions.

mark brown


Last edited by markbrown; March 9th, 2013 at 12:57 AM.
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  #30 (permalink)
Market Wizard
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Big Mike View Post
So how would you measure your efficiency in terms of market movement?

I have something I track called "benchmark" which is basically where I list the absolute best case scenario for my trade setup in terms of total possible ticks. This is not to be confused with in-trade MFE. This is a hypothetical best case scenario, saying I captured 100% of the move based on my methodology.

I use that to measure my actual performance for an individual trade against the benchmark performance.

But I still find it useful to look at my overall daily performance and compare it to the overall daily volatility.

Mike

well I don't.

I'm very confident with my entries and exits. done a lot of stats for different market conditions. therefore I don't even scale in or out.

but of course if you dig deep enough, you'll always find a hair in the soup.

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