Trading Metrics for journals/record keeping
futures io futures trading



Trading Metrics for journals/record keeping


Psychology and Money Management

Created August 1st 2010 by Big Mike
Updated February 6th 2020 by xplorer
looks_onevvhg with 354 posts (683 thanks)
looks_twomadLyfe with 202 posts (104 thanks)
looks_3petrmac with 73 posts (103 thanks)
looks_4Big Mike with 35 posts (158 thanks)
 
trending_up210,513 views
thumb_up1,473 thanks given
forum939 replies
attach_file252 attachments



Welcome to futures io.

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

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you dont need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

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

Reply
 
Thread Tools Search this Thread
 

Trading Metrics for journals/record keeping

  #41 (permalink)
Toronto, Canada
 
Trading Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Interactive Brokers
Favorite Futures: Guitar, (...ES)
 
Darlh's Avatar
 
Posts: 28 since Dec 2010
Thanks: 9 given, 54 received


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.

Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to Darlh for this post:

Can you help answer these questions
from other members on futures io?
Multiple working buy/sell order with preset SL and TP - Getting Error
NinjaTrader
More order types or programmable trading
Stocks and ETFs
Depth of market, Simulated trading
Platforms and Indicators
CFTC Quietly Bails Out Capital One
Traders Hideout
adding labels that always stay on the left on horizonal lines
ThinkOrSwim
 
Best Threads (Most Thanked)
in the last 7 days on futures io
ES futures Spoo-nalysis SP500/SPX
198 thanks
Coronavirus COVID-19
166 thanks
Recession? Depression? Bailout!
161 thanks
Is Orderflow An Outdated Concept?
98 thanks
Gold Futures (GC) main discussion
52 thanks
 
  #42 (permalink)
Northern Germany
 
Trading Experience: Intermediate
Platform: NT
Favorite Futures: FDAX, CL
 
vvhg's Avatar
 
Posts: 1,583 since Mar 2011
Thanks: 1,016 given, 2,810 received

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!)

Reply With Quote
The following 2 users say Thank You to vvhg for this post:
 
  #43 (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.

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

Best regards,
Joo Soares

Reply With Quote
 
  #44 (permalink)
Northern Germany
 
Trading Experience: Intermediate
Platform: NT
Favorite Futures: FDAX, CL
 
vvhg's Avatar
 
Posts: 1,583 since Mar 2011
Thanks: 1,016 given, 2,810 received

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.

Reply With Quote
The following 2 users say Thank You to vvhg for this post:
 
  #45 (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.


Last edited by jsengxx; March 9th, 2011 at 03:34 PM.
Reply With Quote
 
  #46 (permalink)
Northern Germany
 
Trading Experience: Intermediate
Platform: NT
Favorite Futures: FDAX, CL
 
vvhg's Avatar
 
Posts: 1,583 since Mar 2011
Thanks: 1,016 given, 2,810 received


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




Attached Thumbnails
Trading Metrics for journals/record keeping-journalscreenshot1.jpg   Trading Metrics for journals/record keeping-journalscreenshot2.jpg  
Attached Files
Register to download File Type: xlsx Copy of BMT Trading Journal 0.2.xlsx (457.3 KB, 332 views)
Reply With Quote
The following 10 users say Thank You to vvhg for this post:
 
  #47 (permalink)
POrtugal
 
 
Posts: 54 since Nov 2009

Hello vvhg,

Iam 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 dont 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.

Attached Thumbnails
Trading Metrics for journals/record keeping-digitalizar0005.jpg  
Reply With Quote
 
  #48 (permalink)
Northern Germany
 
Trading Experience: Intermediate
Platform: NT
Favorite Futures: FDAX, CL
 
vvhg's Avatar
 
Posts: 1,583 since Mar 2011
Thanks: 1,016 given, 2,810 received

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

Reply With Quote
The following 2 users say Thank You to vvhg for this post:
 
  #49 (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


Reply With Quote
 
  #50 (permalink)
Northern Germany
 
Trading Experience: Intermediate
Platform: NT
Favorite Futures: FDAX, CL
 
vvhg's Avatar
 
Posts: 1,583 since Mar 2011
Thanks: 1,016 given, 2,810 received

Here Comes The Mother Of All Journals


Caution! This Excel table performs VERY VERY MANY calculations! I will not take any responsibility if it crashes your machine! USE AT YOUR OWN RISK! (It works on my end though.)


Change Log:


Various error corrections
Various little improvements
Added Pivot table with various stats
Added Pivot table with net profit per day
Added Monte Carlo simulation (50 iterations)
Possible to add methods now (only the first two will displayed on the Overview tab)
Instruments are not limited anymore
Embedded two little macros to update the pivot tables
If you don’t trust them just disable them but then you have to unprotect the sheets containing the pivot tables to update them (I can also post a macro-free version if anyone wishes so)
Code looks like this:
 
Code
Private Sub Worksheet_Activate()
  Dim pt As PivotTable
   
  Me.Protect Password:="", UserInterfaceOnly:=True, AllowUsingPivotTables:=True
   
      For Each pt In Me.PivotTables
          pt.RefreshTable
      Next pt
  End Sub
If anything doesn't work as intended or if you want more features, just shout.

Edit: new version, corrected glitch in code.
vvhg

Hic Rhodos, hic salta.
Attached Thumbnails
Trading Metrics for journals/record keeping-journalscreenshot1.0.1.jpg   Trading Metrics for journals/record keeping-journalscreenshot1.0.2.jpg   Trading Metrics for journals/record keeping-journalscreenshot1.0.3.jpg  
Attached Files
Register to download File Type: rar Journal 1.1.rar (756.6 KB, 222 views)

Last edited by vvhg; March 16th, 2011 at 10:14 AM.
Reply With Quote
The following 15 users say Thank You to vvhg for this post:

Reply



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




Upcoming Webinars and Events (4:30PM ET unless noted)
 

futures io is celebrating 10-years w/ over $18,000 in prizes!

Right now
 

$250 Amazon Gift Cards with our "Thanks Contest" challenge!

Right now
 

Social Media Predictive Data for Traders w/Joe Gits @ SMA [and Lime Brokerage]

Apr 9
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Keeping it Simple Silver Dragon Trading Journals 26 September 19th, 2011 05:00 PM
Are there any journals that define a completely OBJECTIVE method? forrestang Psychology and Money Management 46 July 31st, 2011 01:07 AM
ZH0001YE'S Trading Journals zh0001ye Trading Journals 6 March 3rd, 2011 08:23 PM
reading journals rtrade Trading Journals 9 December 2nd, 2010 11:16 AM


All times are GMT -4. The time now is 05:31 PM. (this page content is cached, log in for real-time version)

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