NexusFi: Find Your Edge


Home Menu

 





Daily profit measured by volatility


Discussion in Psychology and Money Management

Updated
      Top Posters
    1. looks_one Big Mike with 28 posts (8 thanks)
    2. looks_two markbrown with 8 posts (2 thanks)
    3. looks_3 Silvester17 with 6 posts (3 thanks)
    4. looks_4 wldman with 5 posts (4 thanks)
      Best Posters
    1. looks_one Private Banker with 6 thanks per post
    2. looks_two wldman with 0.8 thanks per post
    3. looks_3 Silvester17 with 0.5 thanks per post
    4. looks_4 Big Mike with 0.3 thanks per post
    1. trending_up 12,471 views
    2. thumb_up 35 thanks given
    3. group 7 followers
    1. forum 63 posts
    2. attach_file 3 attachments




 
Search this Thread

Daily profit measured by volatility

  #51 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,397 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537


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:


Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
NexusFi Journal Challenge - April 2024
Feedback and Announcements
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
Deepmoney LLM
Elite Quantitative GenAI/LLM
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
 
  #52 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,397 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537


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

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:
  #53 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,397 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537



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

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #54 (permalink)
 
josh's Avatar
 josh 
Georgia, US
Legendary Market Wizard
 
Experience: None
Platform: SC
Broker: Denali+Rithmic
Trading: ES, NQ, YM
Posts: 6,216 since Jan 2011
Thanks Given: 6,752
Thanks Received: 18,136


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!

Reply With Quote
  #55 (permalink)
 
Cashish's Avatar
 Cashish 
Miami FL USA
 
Experience: Advanced
Platform: Ensign 10, NT7 DOM
Broker: IB, IQ
Trading: Currency Futures
Posts: 802 since May 2011
Thanks Given: 811
Thanks Received: 2,102

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.

Visit my NexusFi Trade Journal Reply With Quote
  #56 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,397 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537

Thread renamed to "Daily profit measured by volatility".

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #57 (permalink)
 
redratsal's Avatar
 redratsal 
Milan (I)
 
Experience: Advanced
Platform: Ninjatrader
Broker: Kinetick
Trading: FDAX,6E,CL,YM,NQ,ES
Posts: 1,648 since Oct 2010
Thanks Given: 1,215
Thanks Received: 2,090

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).



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

 
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
Elite Membership required to download: GomePNLFramework.mp4
Elite Membership required to download: PNL.cs
Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #58 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,397 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537

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

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #59 (permalink)
 
redratsal's Avatar
 redratsal 
Milan (I)
 
Experience: Advanced
Platform: Ninjatrader
Broker: Kinetick
Trading: FDAX,6E,CL,YM,NQ,ES
Posts: 1,648 since Oct 2010
Thanks Given: 1,215
Thanks Received: 2,090


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

Visit my NexusFi Trade Journal Reply With Quote
  #60 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,397 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537



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

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote




Last Updated on March 11, 2013


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts