Trading Metrics for journals/record keeping - futures io
futures io futures trading



Trading Metrics for journals/record keeping


Discussion in Psychology and Money Management

Updated by kremat0r
      Top Posters
    1. looks_one vvhg with 354 posts (685 thanks)
    2. looks_two madLyfe with 202 posts (104 thanks)
    3. looks_3 petrmac with 73 posts (103 thanks)
    4. looks_4 Big Mike with 35 posts (161 thanks)
      Best Posters
    1. looks_one PandaWarrior with 71.5 thanks per post
    2. looks_two Big Mike with 4.6 thanks per post
    3. looks_3 vvhg with 1.9 thanks per post
    4. looks_4 madLyfe with 0.5 thanks per post
    1. trending_up 220,714 views
    2. thumb_up 1,481 thanks given
    3. group 220 followers
    1. forum 940 replies
    2. attach_file 252 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 100,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

Trading Metrics for journals/record keeping

(login for full post details)
  #31 (permalink)
Site Administrator
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,044 since Jun 2009
Thanks: 31,653 given, 94,911 received


rassi View Post
Yo Mike, hit us up with those metrics, been hanging out for them !

Yeah sorry, have had no time to work on it yet.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to Big Mike for this post:

Can you help answer these questions
from other members on futures io?
T​​​​​​radestation datafeed (real time and historical) to NT8
NinjaTrader
How to place NT8 indicator output into a grid, under each bar?
NinjaTrader
Horizontal Line Indicator
Platforms and Indicators
IB Bracker Order
Platforms and Indicators
OPEN_CLOSE_DOTS
ThinkOrSwim
 
 
(login for full post details)
  #32 (permalink)
New York
 
Experience: Advanced
Platform: NT
 
gabga100's Avatar
 
Posts: 147 since Nov 2009
Thanks: 44 given, 70 received


Fat Tails View Post
One trade


Both systems have the same expectancy of 1.1R (which is excellent, 0R stands for break-even). However, the first system has a better Sharpe Ratio, so you can actually trade it with a larger position sizing, without increasing your actual risk (measured in terms of max. drawdown).

Note that mathematics is in contradiction with the methods of Van Tharp.


Why do you think they are in contradiction ? SQN also includes a standard deviation consideration so a high win rate will implicitly be favored => under the constraint of an optimal average size

You know what you know but you do not know what you do not know.
You do not see things how they are, you see things how you are.
In life you do what you want but you do not want what you want.
Reply With Quote
The following 4 users say Thank You to gabga100 for this post:
 
(login for full post details)
  #33 (permalink)
Market Wizard
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,840 since Mar 2010
Thanks: 4,238 given, 26,582 received



gabga100 View Post
Why do you think they are in contradiction ? SQN also includes a standard deviation consideration so a high win rate will implicitly be favored => under the constraint of an optimal average size

Being a foreigner I have a hard time to understand all those abbreviations, no idea what you mean with SQN.

Van Tharp teaches his students to look for larger R-Multiples. This points to a lower percentage of winning trades. This also increases the probability of larger drawdowns, if you compare this to an alternating approach that achieves the same expectancy with a higher win rate but lower R-Multiples.

As the number of contracts that you can trade is related to the max. expected drawdown, you may trade a higher number of contracts for the same risk of ruin.

There are several reasons that Van Tharp recommends to trade high R-multiples

(a) The R-Multiple is known for each trade setup, the win rate is unknown.

(b) Letting your profits run is counterintuitive. With a defined R-Multiple you can monitor your impulse to close out your winning trades too early.

(c) An unfavourable R-Multiple allows you to skip a trade.

This is valid for discretionary trading. If I was a systems trader, I would look for strategies with a win rate as high as possible, taking into account a low R-Multiple. This would allow me to trade size for the same risk.

Reply With Quote
The following 7 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #34 (permalink)
New York
 
Experience: Advanced
Platform: NT
 
gabga100's Avatar
 
Posts: 147 since Nov 2009
Thanks: 44 given, 70 received


Fat Tails View Post
Being a foreigner I have a hard time to understand all those abbreviations, no idea what you mean with SQN.

SQN = System quality Number = Average Profit per trade * SquareRoot(NumberTrades)/Standard Deviation of Profit per trade


"let your profits run" worked before when a strategy was not backtestable , now that we have this very powerful tool there is no sense anymore to trade without knowing exactly what happened in the past .... not that th situation will repat itself, but I am convinced that knowing the odds is a great statistical edge ...

You know what you know but you do not know what you do not know.
You do not see things how they are, you see things how you are.
In life you do what you want but you do not want what you want.
Reply With Quote
The following 4 users say Thank You to gabga100 for this post:
 
(login for full post details)
  #35 (permalink)
Legendary Market Wizard
Philly, Pa
 
Experience: Master
Platform: NinjaTrader
Trading: ES, ZB
 
tigertrader's Avatar
 
Posts: 6,255 since Jul 2010
Thanks: 6,573 given, 34,898 received

you might be interested in Trader DNA...
TraderDNA - Performance Analysis for Active Traders

Follow me on Twitter Reply With Quote
The following 4 users say Thank You to tigertrader for this post:
 
(login for full post details)
  #36 (permalink)
Nijmegen, NL
 
Experience: Intermediate
Platform: Sierra Chart, JForex
Broker: TP Futures, Sierra Chart data feed
Trading: 6E,6B,ES
 
PTG1's Avatar
 
Posts: 31 since Sep 2009
Thanks: 9 given, 15 received


Big Mike View Post
Yes, I will. I haven't had time this week to make any progress on it unfortunately.

Mike


Quoting 
@Big Mike, are you planning on making your spreadsheet available when you are satisfied with it? I took a look at your beta version screen shot and I really like it......just curious.
Mike

Mike, have you actually released something yet ?


If it requires a uniform, itís a worthless endeavor. - GC
Reply With Quote
The following user says Thank You to PTG1 for this post:
 
(login for full post details)
  #37 (permalink)
Site Administrator
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,044 since Jun 2009
Thanks: 31,653 given, 94,911 received

Here is where I left off on this project (attached). Needs some work, I've just had zero time lately to do it. Lots of calculations so it takes a second to open.

Please be certain to re-post if you finish it.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Attached Files
Register to download File Type: xlsx BMT Trading Journal.xlsx (65.5 KB, 481 views)
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following 15 users say Thank You to Big Mike for this post:
 
(login for full post details)
  #38 (permalink)
Nijmegen, NL
 
Experience: Intermediate
Platform: Sierra Chart, JForex
Broker: TP Futures, Sierra Chart data feed
Trading: 6E,6B,ES
 
PTG1's Avatar
 
Posts: 31 since Sep 2009
Thanks: 9 given, 15 received


Big Mike View Post
Here is where I left off on this project (attached). Needs some work, I've just had zero time lately to do it. Lots of calculations so it takes a second to open.

Please be certain to re-post if you finish it.

Mike

Will do, thanks !


If it requires a uniform, itís a worthless endeavor. - GC
Reply With Quote
The following 2 users say Thank You to PTG1 for this post:
 
(login for full post details)
  #39 (permalink)
Site Administrator
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,044 since Jun 2009
Thanks: 31,653 given, 94,911 received


tigertrader View Post
you might be interested in Trader DNA...
TraderDNA - Performance Analysis for Active Traders

Thanks, looks interesting.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
(login for full post details)
  #40 (permalink)
Northern Germany
 
Experience: Intermediate
Platform: NT
Trading: FDAX, CL
 
vvhg's Avatar
 
Posts: 1,583 since Mar 2011
Thanks: 1,016 given, 2,812 received


Hello Big Mike,

thanks for the great journal template. Though I could'nt resist fiddling around with it a bit.
I hope you don't mind, otherwise I will delete the attachment of course.
It now calculates up to three exits (calc based on one contract each, could be easily changed though). Big Mike, thought you might like this!
All user input fields/columns are marked green.
Added some psychologically interesting stats (light blue fields in overview).
Added column for comments (no drop down list).
Simplified rules column (now only two options, whether trade worked or not is calculated automatically).
Would be possible to refine that (grading) if anyone needs it I'll be happy to do that.
Expectancy calculation seemed to have a sign error (please double check whether it is corrected now (might be that I am wrong here)).
Protected sheets so that no formula gets changed by mistake (no password).

v

Attached Thumbnails
Click image for larger version

Name:	JournalScreenshot.JPG
Views:	546
Size:	240.5 KB
ID:	32891  
Attached Files
Register to download File Type: xlsx Copy of BMT Trading Journal.xlsx (291.4 KB, 411 views)
Reply With Quote
The following 18 users say Thank You to vvhg for this post:


futures io Trading Community Psychology and Money Management > Trading Metrics for journals/record keeping


April 29, 2020


Upcoming Webinars and Events
 

Live Video Panel: Ask Me Anything w/Ironbeam Brokerage

Aug 6
     



Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
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.
no new posts