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Daily profit measured by volatility
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Daily profit measured by volatility

  #51 (permalink)
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markbrown View Post
ah so he is using the year to date as the lookback - thanks for pointing that out because i completely missed it not that i understand any better now why.

mark brown

It was part of other statistics shared in this thread:
https://futures.io/elite-circle/20164-master-homework-statistics-thread.html

Mike

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  #52 (permalink)
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Private Banker View Post
I don't see using the ADR as an efficient measurement on your intra-day trading. There will be days that far exceed the ADR or days that come nowhere near the ADR. I measure my trading performance against each specific day's range not the running average.

Ben makes a good point. It was a mistake for me to put average into the equation, because in actuality I am measuring against each days individual range, just like he is.

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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  #53 (permalink)
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Silvester17 View Post
I might be wrong, but I'm pretty sure that's what mike is trying to measure, the specific day's range. he just used the common term "adr".

at least that's what I understood or it would make even less sense.

Yes, it was. I should not have included the A.

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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  #54 (permalink)
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Big Mike View Post
Perhaps the word goal or objective should have been removed from the question, to simply ask "what is your daily profit in terms of % daily volatility".

Mike

This sounds very reasonable. Used as a measure of performance by itself, I think this is a great metric. Thanks for reminding me of this which I currently do not measure but now I will be!

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  #55 (permalink)
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This metric sounds somewhat familiar but I can't seem to recall where I read it. Not as a profit objective, well maybe, but as I recall a method to "grade" a trader's efficiency. The idea was to give yourself a grade like A,B,C or D at the end of the trading day. Simply, if the days range was 100 ticks and I closed out the day with only 25 (25% of the day's range) I earned a "D" grade for the day. If I closed out the day with 75 ticks or more (75% of the day's range) I earned an "A" grade for the day. These averages rolled over into a weekly grade, and then a monthly.

Funny thing about trading, there are as many opinions as there are traders. I wish I could remember where I read about this "grade" thing. I remember the author classified "you the reader" as an A, B or C trader and made suggestions for improvements based on your "grade" level. Maybe I'm losing my mind, maybe it was something I came up with myself. I doubt it, I'm not that smart, and the more I think about it it seems like a pretty good idea.

Even a small taste of successful trading can haze the view of the past and it's easy to forget how damn hard it is to make money trading. I'll never allow myself to forget the days when I couldn't "buy a profitable trade." I say, try any/every thing, if I had to stand on my head and trade I'd do it.

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  #56 (permalink)
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Thread renamed to "Daily profit measured by volatility".

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.
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  #57 (permalink)
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With regards to measuring PNL vs volatility a good tool can be found with @gomi 's Framework. I like to track not only peaks (MFE) and valleys(MAE) of my Pnl trades but the real time evolution of it, in simple words like having a realtime equity curve of single(blue line) and cumulated trades(orange line).

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This is an indicator not a strategy, it works with any account, be aware it is not persistent if you refresh the chart or close NT it will not save data. You need to have gomi's framework installed https://futures.io/elite-circle/17298-ninjatrader-framework-access-trades-history-indicators-using-ninjatrader-database.html

 
Code
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
    /// <summary>
    /// 
    /// </summary>
    [Description("")]
    public class PNL : GomTradeCalculatorIndicator
    {
		
		 protected override void GomInitialize()
        {
            Add(new Plot(Color.FromKnownColor(KnownColor.Orange), PlotStyle.Line, "Plot0"));
			Add(new Plot(Color.FromKnownColor(KnownColor.Blue), PlotStyle.Line, "Plot1"));
			Add(new Line(Color.Black, 0, "Zero line"));
			Add(new Line(Color.DarkGray, 250, "250 line"));
			Add(new Line(Color.DarkGray, -200, "200 line"));
            Overlay				= false;
			DrawOnPricePanel = false;
			
        }
		
		
		
		
		protected override void GomOnBarUpdate()
		{
			//new price => redraw
			Plot0.Set(TC.UnrealizedPnL+TC.RealizedPnL);
			Plot1.Set(TC.UnrealizedPnL);
			
		}
		
		
		#region Properties
		/// <summary>
		/// </summary>
		
		[Browsable(false)]	// this line prevents the data series from being displayed in the indicator properties dialog, do not remove
        [XmlIgnore()]		// this line ensures that the indicator can be saved/recovered as part of a chart template, do not remove
        public DataSeries Plot0
        {
            get { return Values[0]; }
        }
		
		[Browsable(false)]	// this line prevents the data series from being displayed in the indicator properties dialog, do not remove
        [XmlIgnore()]		// this line ensures that the indicator can be saved/recovered as part of a chart template, do not remove
        public DataSeries Plot1
        {
            get { return Values[1]; }
        }
		

		#endregion
		
    }
}

Attached Files
GomePNLFramework.mp4 (3.44 MB, 28 views)
Register to download File Type: cs PNL.cs (5.3 KB, 10 views)
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  #58 (permalink)
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Very cool @redratsal. Although I am not sure how you have a negative MAE, seems like a bug?

I use similar measurements for my strategies so I can plot the cumulative PnL and the daily PnL. But for my discretionary trading I have nothing so fancy, although I think Sierra Chart actually has it built-in, I've never tried to use it. Since I use multiple copies of Sierra Chart - one for charts, and others for DOM's, I think it is too much of a pain in the ass to link them together to get things like chart trader to work (never tried, really have no need for 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
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  #59 (permalink)
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Big Mike View Post
Very cool @redratsal. Although I am not sure how you have a negative MAE, seems like a bug?


Mike

Values are in Currencies

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  #60 (permalink)
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redratsal View Post
Values are in Currencies

Got it now. On the first glance, I thought the panel 2 plot was MFE, and panel 3 plot the MAE. I see now both MFE and MAE are in panel 3.

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

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