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Trade statistics spreadsheet - suggestions?
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Trade statistics spreadsheet - suggestions?

  #1 (permalink)
CL Assassin
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Trade statistics spreadsheet - suggestions?

Hey everyone,

I am still fairly new to the CL, but like what I see as compared with the ES and ZN, and thus have been focusing much of my attention on this instrument for the last couple of weeks.

Something I started doing (which was long overdue) is keeping a basic spreadsheet with the following information:

Time / Entry / MAE / Max Pullback / MFE / Notes / $ / T-CT (trend or counter)

Example from today's CL:

8:03 CST / 65.16 / 8 / 12 / 49 / ATM stop / $360 / T

Now, with this particular trade, it went as much as 8 ticks against me, and during this trade, the largest pullback was 12 ticks. When I say 49 for the MFE, I mean, what is the maximum number of ticks I could have got from this trade. One contract would have net me $360 or 36 ticks based on the latest ATM I am using with a trailing stop, and this was with the larger trend.

I will record these settings for every time my setup occurs. I am currently starting a 10 tick stop, and thus the maximum MAE will be 10 for tracking purposes.

The idea is to gather several days/weeks/months of data and then change my stop/target/ATM accordingly based on the averages.

I have a running average for the day as well as a running total for all of the data collected. So, for example, the first 10 trades which happened this morning averaged about 6 ticks MAE and 20 ticks MFE, the average pull back was about 12 ticks. I will then adjust my initial stop/target and ATM strategy based on these numbers,and may make changes throughout the day.

ATM Example:

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I am still working on the following:

1) Should I track a larger MAE even though I initially plan to use a 10 tick stop? Right now I put 10 as the maximum, but this may not serve me best for tracking purposes?
2) For my stopped trades, what should I be including in the statistics and what should be left out?
3) How to best trail my stop based on these statistics?
4) What other information should I be gathering?
5) Ideally, I want to have 2 or more contracts, and will use this information to help me decide where to scale in / scale out.

If you have read all of this, thank you. I would really love to hear your feedback or ideas on how I can best use this information or any other suggestions would be greatly appreciated.

I plan to add more to the thread once I have a little more in the spreadsheet.

Thanks!
Gary


Last edited by Gary; July 23rd, 2009 at 03:49 PM.
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  #2 (permalink)
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Gary View Post
Hey everyone,

I am still fairly new to the CL, but like what I see as compared with the ES and ZN, and thus have been focusing much of my attention on this instrument for the last couple of weeks.

Something I started doing (which was long overdue) is keeping a basic spreadsheet with the following information:

Time / Entry / MAE / Max Pullback / MFE / Notes / $ / T-CT (trend or counter)

Example from today's CL:

8:03 CST / 65.16 / 8 / 12 / 49 / ATM stop / $360 / T

Now, with this particular trade, it went as much as 8 ticks against me, and during this trade, the largest pullback was 12 ticks. When I say 49 for the MFE, I mean, what is the maximum number of ticks I could have got from this trade. One contract would have net me $360 or 36 ticks based on the latest ATM I am using with a trailing stop, and this was with the larger trend.

I will record these settings for every time my setup occurs. I am currently starting a 10 tick stop, and thus the maximum MAE will be 10 for tracking purposes.

The idea is to gather several days/weeks/months of data and then change my stop/target/ATM accordingly based on the averages.

I have a running average for the day as well as a running total for all of the data collected. So, for example, the first 10 trades which happened this morning averaged about 6 ticks MAE and 20 ticks MFE, the average pull back was about 12 ticks. I will then adjust my initial stop/target and ATM strategy based on these numbers,and may make changes throughout the day.

This is an absolutely terrific approach. I really like how you've recorded the the MFE as this value is not available anywhere automatically it requires you to do the legwork to produce the correct value, and by doing so you can greatly improve your trading. Everyone needs to pay very close attention to your work.

By calculating the best possible MFE you have a value in which you can determine how "accurate" (for lack of a better word) your trading strategy is. How much of the move did you capture? 10%, 50%? You will never capture 100% of the maximum possible MFE on every move, but by using statistical information you can device a very nice ATM strategy that is based on factual data and not feelings or emotions about the market. Further, this data is based entirely on your trade setups specifically and not just market highs or lows.

You can take this MFE column and capture just the lowest say 25% percentile and use those averages as your first target. Then capture the entire spectrum of trades minus say the lowest 10% and highest 10% (throw those out) and use the mean of what is left as your second target. Then take the highest 75% percentile and use those averages as your third target. This is a system that is sure to be extremely profitable!


Gary View Post
I am still working on the following:

1) Should I track a larger MAE even though I initially plan to use a 10 tick stop? Right now I put 10 as the maximum, but this may not serve me best for tracking purposes?
2) For my stopped trades, what should I be including in the statistics and what should be left out?
3) How to best trail my stop based on these statistics?
4) What other information should I be gathering?
5) Ideally, I want to have 2 or more contracts, and will use this information to help me decide where to scale in / scale out.

If you have read all of this, thank you. I would really love to hear your feedback or ideas on how I can best use this information or any other suggestions would be greatly appreciated.

I plan to add more to the thread once I have a little more in the spreadsheet.

Thanks!
Gary

I think the following:
1) If your setup would have still worked with a larger MAE than 10 ticks, you need to have the ability to record that information. The whole point of the exercise should be to determine what is the optimum MAE for your setup? If you exclude trades that go beyond 10 ticks, but the entry signal was your setup, then you are hindering your efforts. What you've created is more a piece of statistical analysis of your trading plan and less of a trade journal, so don't get caught up in the journaling aspect.

2) Is there such a thing as a stopped trade for this spreadsheet? I guess a stopped trade would be one where the signal flat broke down to an unrealistic MAE with no favorable MFE worth mentioning. I believe the information that should be recorded in these situations is whatever will best help you to identify these patterns in the future. Was there some underlying event that you could have paid closer attention to?

3) I think I went into a lot of detail on my thoughts on this one above in my initial ramblings. But I would take those three sets of averages (for a 3 contract order) and use them as targets, then as for the distance of the trailing stop, I think you will need to analyze your pullback data and then apply some good sound money management to it. For instance, in order to hit the lowest 25% percentile target, a trailing stop is probably pretty tight. But to hit the middle 50% target it needs more room, and to hit the 75% target it needs a lot of room. In each case however (the 50% and 75%) you should lock in the profits that your factual data tells you to (what is the average pullback, place the trailing stop below that).

4) I wouldn't turn it into a journal. I would keep it separate. I see you posted it in the journal section but I really feel this is a money management system, a very innovative and fact-based one. It is not a journal and I wouldn't want it to be.

5) You are on the right track. This should really be a "light bulb" moment for fellow traders, people who read this post should be very excited to adopt this strategy. If they aren't then I'd venture a guess they don't understand how to really make money in the market.


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  #3 (permalink)
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I moved this to Money Management forum. I also endorse this approach, I just blogged about it in fact to reveal this to more people. This is where everyone should be focusing the majority of their time, not on indicators!

Big Mike's Trading Blog: Using trade statistics to improve your money management system

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  #4 (permalink)
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1) Should I track a larger MAE even though I initially plan to use a 10 tick stop? Right now I put 10 as the maximum, but this may not serve me best for tracking purposes?
>> In my view, the reason for tracking trades is to prove out and tune (or redo if necessary) your trading plan... that's why my spreadsheet has a place to enter the trading plan... so if you tweak the plan, the next group of trades includes a cell for saying what it is and linking to it. Therefore, IMHO the MAE should represent the drawdown for the plan being tracked.

2) For my stopped trades, what should I be including in the statistics and what should be left out?
>> I would start out entering something in the comments section. Then, if you see a pattern, I would include additional information in a column(s) to aid in analyse additional aspects of the trade. Kind of back to the scientific method.. hypothesis, experiments, conclusions.. repeat

5) Ideally, I want to have 2 or more contracts, and will use this information to help me decide where to scale in / scale out.
>> include a calculation such as I have wherein you can change the t1 delta value and at the same time figure what the trade would have yielded in an AIAO method.

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These posts couldn't be more timely for me.

Just this week I've started to give some serious thought about how to manage the risk / reward aspect of the trades I make against the ES on an ongoing basis.

Thanks to these ideas that exercise just became a whole lot easier :-)

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These posts couldn't be more timely for me.

Just this week I've started to give some serious thought about how to manage the risk / reward aspect of the trades I make against the ES on an ongoing basis.

Thanks to these ideas that exercise just became a whole lot easier :-)

I think this is great and also remember there are many ways to skin a cat. But anytime the conversation is about money management and not about an indicator I think progress is being made.

You can also use other methodology to minimize risk. For instance, don't trade the FOMC day, or don't trade triple witching day, those kinds of things. But at the end of the day I prefer money management to minimize risk, by scaling out of contracts at predetermined levels. Those levels are based on factual data in Gary's example but some may prefer to use a trailing stop indicator like ATRtrailing for example.

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  #7 (permalink)
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Hi Caprica,

Thanks for the response, it makes total sense.

I have actually found some advice a trusted trader gave me to be more valuable for my trading results than my indicators. It's called 'framing the market'. It involves trying to put the market in context for the day ahead. I mention this because it is actually helpful in reducing risk, which feeds into money management.

For me framing the market is now part of my daily routine. My rule is I can't trade until I have completed this task each day, and made some written notes. Somehow writing notes makes a difference in absorbing the information I look at.

One of the items on my framing list is a daily check of: Forex Factory for the data / reports that are due that day, the times of their release, and their expected level of impact on the market.

I've found this simple discipline has helped enormously, if something big is coming out, I know to be on the 'sidelines'. Hence, risk reduction, just like your FOMC comment.

What I didn't have on my pre-trading task list was a specific money management task. Now, I would suggest that checking the data collected from Gary's method to my pre-market /framing checks fits that area perfectly. You could then adjust your stops / profit levels when the data showed it appeared prudent to do so.

Triple Witching Day is a lovely expression that I've not heard before, what does it refer to?

Cheers,

MDM.

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Moondialman View Post
Triple Witching Day is a lovely expression that I've not heard before, what does it refer to?


Quoting 
What Does Triple Witching Mean?
An event that occurs when the contracts for stock index futures, stock index options and stock options all expire on the same day. Triple witching days happen four times a year on the third Friday of March, June, September and December.

This phenomenon is sometimes referred to as "freaky Friday".

from Investopedia.

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  #9 (permalink)
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hi gary, i did the same thing on CL. the method is sound and tremendously useful, after some time of taking stats you'll know what to expect.

to me, the primary objective was to come up with the best possible stoploss. my records indicated that my average MAE was 8 tks, so now i use 12 just to give it more room.

also, i think it's very important to understand what happens when you're stopped out. does the move take off in the opposite direction of your entry? or does it shake you out and then resumes the original move?

i concentrated more on the loss than the profit. i've been sim trading crude for a couple of months now, and i use 2 contracts, 1st out at +8, 2nd is trailed from a safe distance, with a target of 30 tks.

keep doing your homework, your trading will benefit a lot from it.

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  #10 (permalink)
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Gary,

A pivot table will reveal much more than a simple spreadsheet in evaluating data.

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