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Daily profit measured by volatility
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Daily profit measured by volatility

  #31 (permalink)
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markbrown View Post
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 we are talking about hft.

be glad to openly answer any questions.

mark brown

OK, it was not previously clear to me that you were an institutional trader or running HFT systems. So obviously the same objectives do not apply.

The majority of traders here are retail -- well, at least the majority that post. Most institutional traders have restrictions on what they are able to post in a public forum, so we don't hear from them much.

Mike

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  #32 (permalink)
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Big Mike View Post
OK, it was not previously clear to me that you were an institutional trader or running HFT systems. So obviously the same objectives do not apply.

The majority of traders here are retail -- well, at least the majority that post. Most institutional traders have restrictions on what they are able to post in a public forum, so we don't hear from them much.

Mike

my roots were retail trading with eric jensen one man ib who had an office rented from dallas commodity at park central. i have very close ties to many large and small retail firms all over and feed many institutional funds as well. mensa members and phd's are boring and have no desperation or originality - it s truly places like this that spawn in sometimes heated debate a brilliant idea. so here i am - lol.

mark brown

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  #33 (permalink)
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Right...


@Big Mike

I was thinking a number equal to the days range combining all the days trades. Per one lot would measure how much of the gross range with each one lot. Now I understand. I have no idea about that.

I do recognize a good day, profit wise, when the total number of ticks I made is equal or bigger than the number of ticks in the daily range.

If you care to, could you comment generally on the purpose of daily goals and why this metric might be valuable? Your comment of "not surprised" is interesting to me as I think most methods of daily goal setting in the trading venue are a waste of time. I realize that my ways or my opinions are only right to the extent that they work for me. I'm open to what works for others and why.

This seems more like an efficiency metric?

To trade well is the only goal for me. "Well" is sometimes not a measure of profitability on a specific trade. It seems as though a reasonable goal of say $400 per day would leave a guy taking $350 a day as failing everyday. How might that impact confidence or a traders psychology?

Thanks Mike.

Dan

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  #34 (permalink)
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Performance with regard to ADR can be a valuable metric, and as others pointed out, it's going to depend on your style of trading.

I think of that metric like @wldman said, it's an efficiency metric. It's practically like considering the daily range to be the MFE of the "trade" and you're seeing what you captured from what was "available".

For me, that metric is mostly pointless. It's because I don't hold trades that long. So I look at the swing sizes on timeframes that I DO hold trades on, and gauge performance there. Also, individual trade MFE/MAE data is good for everyone because it does account for your style.

But this is a slightly different thing here than what @Big Mike asked in the poll. He is asking about using this efficiency metric in the sense of a daily goal. Most of you probably know I am not personally a fan of this. I am a fan of analyzing my efficiency in hindsight; in seeing how I fared, given what was made available to me. BUT I am not a fan of going into a day with some type of average ADR goal, or any OUTCOME BASED goal in general. No one in sports sets these kind of goals, and there is a reason why. Trading is a performance activity, just like sports, and we must focus on taking care of what we can control. Performance is a byproduct.

Just my opinion.

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  #35 (permalink)
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indextrader7 View Post
I am not a fan of going into a day with some type of average ADR goal, or any OUTCOME BASED goal in general. No one in sports sets these kind of goals, and there is a reason why. Trading is a performance activity, just like sports, and we must focus on taking care of what we can control. Performance is a byproduct.

Just my opinion.

very eloquently put and the point i was feebly trying to make.

mark brown

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  #36 (permalink)
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ADR for ES, not counting the two holidays we have had so far, is 11.37, for 46 days, with all days being ESH except the last one (yesterday) which is ESM. Median, a more robust statistic IMO, is 10.375 (as the effect of outliers like 2/25 are minimized).

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As for the topic at hand, as IT7 mentioned, this is an outcome goal, and hence subject to the limitations of outcome goals. I think it can be a VERY useful metric to analyze one's progress (is the percentage of ADR being captured increasing or decreasing, for example), but it could be dangerous to make it a goal. If you don't capture any of the first 30 ticks offered, are you going to force a trade because it's your goal to make 50% of ADR? If so, then it could be a dangerous goal to have.

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  #37 (permalink)
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josh View Post
ADR for ES

question is that data for the day session only?

mark brown

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  #38 (permalink)
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markbrown View Post
question is that data for the day session only?

mark brown

Yes.

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  #39 (permalink)
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josh View Post
Yes.

can't find where mike said how many days were to be used in the average ?

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  #40 (permalink)
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markbrown View Post
can't find where mike said how many days were to be used in the average ?

He just gave the ES ADR as an example:
https://futures.io/psychology-money-management/26351-daily-profit-objective-measured-adr.html#post309729

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