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Trading Metrics for journals/record keeping


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Trading Metrics for journals/record keeping

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  #41 (permalink)
Boston
 
 
Posts: 21 since Nov 2010
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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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  #42 (permalink)
Toronto, Canada
 
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wown View Post
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)),"")

Good catch! The commission could have been intended to include both entry and exit but the commission per contract was well spotted.

Thank you, Darryl H.

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  #43 (permalink)
Northern Germany
 
Experience: Intermediate
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Well.... yes...and....no.
Let me explain: the changes I made are for up to three contracts (although this could be adjusted).
If you trade three contracts with three targets then you have only one contract per target hence (presumed the commission is RT) the calculation is correct (IMHO).
If you trade three contracts with only one target you would have to fill the (identical) exit price into e1, e2 and e3.
I know it's not ideal.
Perhaps it would be better to have vol columns next to the exits?
I think I will just fiddle around with it a bit more, perhaps a grading option on how well the trade was carried out would also be interesting?
have you got any additional ideas as to what else to stick in there, especially any stats that might be interesting from a psychological perspective ( especially as this is the main reason for journaling in the first place!)

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  #44 (permalink)
POrtugal
 
 
Posts: 54 since Nov 2009

Hello,

I have read this thread and I miss something. The benefits of a track record it to improve trading, by this I mean that we are interested in the minimal stop loss and max profit that we can do with our trading plan.

I think the best spreadsheet is the one with the following information:
- The maximum adverse excursion (how much a trade moves against you)
- Realized MFA
- Unrealized MFA (how much a trade moves in your favor)

Whit this tree numbers a calculation can be made by exel to determine the STOPLOSS and TARGET so we can improve our trading.

IŽam not so good with exel so if some one can look at it.

Best regards,
Joăo Soares

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  #45 (permalink)
Northern Germany
 
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Hello jsengxx,

it's all in there, have a look at BM's template.
I'll have an update with some improvements and various error corrections ready soon.

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  #46 (permalink)
POrtugal
 
 
Posts: 54 since Nov 2009

Hello VVHG,

I have looked at the shead of BM but I can not find the calculation that I talked of.

If we can put in a shead how much a trade moves against you, how much a trade moves in your favor and the realized MFA, whe than can calculate the stoploss and target. So if we have the data say from the last month we can than trade with the stoploss and target from the exel shead.
At the bottom of the exel shead there must be 2 colums with the calculation for best target and stoploss.

So if we can tighten the stop for say 1 tick we are not giving away that 1 tick whit every losser and if we can move our stop with 1 or 2 ticks we then earn 1 or 2 ticks per winning trade. That is money management.
It is not important to know how much you have earned.

It is some kind of back testing to perform your stop loss and target.

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  #47 (permalink)
Northern Germany
 
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OK, here is the update and a little not exhaustive changelog.

The main new feature is now that contract size is specified per exit, so you can use how ever many contracts you want with up to three exits.



· Graph Account Balance has dynamic range now

· Quantity now calculated per exit

· Risk now calculated from initial stoploss

· Changed matching from instrument list so that further instruments can be added without formula changes

· Time is now MIL format (9:30 AM is now 930 ; 2:54 PM is now 1454) for faster typing

· % win/loss per hour changed to net profit per hour

· graph now also shows negative values


· corrected numerous errors and glitches (I made them in thefirst place, not BM)


Hello jsengxx,
if you tell me exactly what you want to calculate, I'll have a look whether I can stick it in.


vvhg




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  #48 (permalink)
POrtugal
 
 
Posts: 54 since Nov 2009

Hello vvhg,

IŽam gone explain it with a spreadsheet that I have made were I put al my trades by hand in it.

The 4 most important information is:
- Stop
- MAE - The maximum Adverse Excursion, measures how much a trade moves against you.
- MFE - (in my shead MFA error must be MFE) the max. favorable excursion, measures how much a trade moves
in your favor.
- R.MFE - Realized MFE.

In the spreadsheed you see are the trades that I made yesterday on the 6E. I used a stop of 6ticks and a target if 8 ticks. So I made 5 trades, 3 were winners, 1 loser and 1 breakeven. I made 18 ticks.
I donŽt use multiple targets, I like to use one fixed target for al my contracts.
If you now look at the spreadsheed you can see that if I where using a stop of 3 ticks and a target of 11 ticks instead of the 6tick stop and 8 ticks target, I had made 30 ticks of profit, that is a difference of 12ticks that I trough away yesterday.

Off course this is only the data for 1 day but if you have data for say 1 month you can than calculate the best stop and target to use for a specific market. So every month you can than adjust your stop and target because markets are always changing.

I hope this will clear thinks.

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  #49 (permalink)
Northern Germany
 
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Ok, got it now, some is already in there:

Stop is filed as Init Stop (ticks)
MAE is in there ( for up to three exits)
MFE is filed as Benchmark
Realised MFE is only as profit and also in relation to MFE expressed as efficiency

Hope that helps. What do you want to calculate specifically with these values?

vvhg

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  #50 (permalink)
POrtugal
 
 
Posts: 54 since Nov 2009


Yes your wright, that information is in the spreadsheed already but your or not doing anything with it!

The MFE is how much a trade moves in your favor and if your target is hit say at 8 ticks and the move continues and reached say 12 ticks than the MFE of that specific trade or move is 12 ticks.

With that information you can calculate the stop-loss and target to maxima-is the profit of your trading system.

Sorry for my bad English.







vvhg View Post
Ok, got it now, some is already in there:

Stop is filed as Init Stop (ticks)
MAE is in there ( for up to three exits)
MFE is filed as Benchmark
Realised MFE is only as profit and also in relation to MFE expressed as efficiency

Hope that helps. What do you want to calculate specifically with these values?

vvhg


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