Trading Metrics for journals/record keeping
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Trading Metrics for journals/record keeping


Psychology and Money Management

Created August 1st 2010 by Big Mike
Updated February 6th 2020 by xplorer
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Trading Metrics for journals/record keeping

  #31 (permalink)
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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

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  #32 (permalink)
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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.

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  #33 (permalink)
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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 ...

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  #34 (permalink)
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  #35 (permalink)
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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 ?


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  #36 (permalink)
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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

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

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  #37 (permalink)
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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 !


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  #38 (permalink)
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tigertrader View Post
you might be interested in Trader DNA...
TraderDNA - Performance Analysis for Active Traders

Thanks, looks interesting.

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 (see why)

Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
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  #39 (permalink)
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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
Trading Metrics for journals/record keeping-journalscreenshot.jpg  
Attached Files
Register to download File Type: xlsx Copy of BMT Trading Journal.xlsx (291.4 KB, 401 views)

Last edited by vvhg; March 7th, 2011 at 08:49 AM.
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  #40 (permalink)
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vvhg View Post
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

Hey,

I was looking through this sheet. Very helpful, thanks Mike and vvhg.

A quick note: I think the commission calculations are wrong if you pay commission/contract. If you look at sheet "Journal", in column AA, the commission calculated is a flat fee (e.g. $4.50 for ES). So no matter if you trade 10 or 1 contract, it always shows $4.50.
Not to mention If does not calculate the exit commission.
Anyway, for me this forumla works better in column AA:
=IF(ISNUMBER(A2),(IF(F2="Short",H2-I2,I2-H2)*AK2-(AI2*G2*2)),"")

Thanks again.

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