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

  #1 (permalink)
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Trading Metrics for journals/record keeping

I'm on a mission to improve my Excel trade journal.

I'd like to hear input on what metrics you guys measure in your journal. For instance:
  • Sharpe ratio
  • Expectancy
  • Win/Loss Dollar Ratio
  • Win Percentage
  • Dollar gain per trade put on
  • Account balance
  • Risk % per trade
  • Maximum drawdown
  • Realized MAE/MFE
  • Unrealized MFE (benchmark potential)

I was reading Brett's "Enhancing Traders Performance" book and it gave me the idea to consider categorizing days themselves, like uptrend, downtrend, reversal day, range bound, etc. I was wondering, do any of you guys do this and what have you found?

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.

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  #2 (permalink)
Quick Summary
Quick Summary Post

Latest version can be found HERE **Updated 5-13-2013
Latest BETA can be found HERE (my betas are often VERY buggy, vvhg)

To start fresh
Before you start, make sure any sheet you make changes to is protected (if not it's very likely you will break sth). If it is you can't delete any formulas which is quite important.
Then delete the trade records in the journal tab (they are just there to show the functions so you can play around with them).
If you get error messages you probably try to delete protected cells.
Next go to the instrument list tab and change the data in there to the instruments you trade.
Next go to the method list tab and change the methods to what you want.
next go to Overview tab and type in your starting account balance.

Migration/Compatibility:

To migrate your old journal to a new version use the "Import Old Journal" button on Overview tab, it will ask for the old journal to import.
Migration can be used from v1.6.8, but from v1.6.8 - v2.0.8 will break the table on "Instrument List" tab, this has to be fixed after migration (copy paste from untouched release).
Migrating from versions later than v2.0.8 should be a smooth ride...

From even older versions:
See HERE and next posts.

@petrmacs importer:

Latest version can be found HERE.

Just a couple of lines here:
1. export the trades from the NT (Account Performance -> Trades). Use the currency or points setting and then right click on the grid and Save as CSV file
2. Open the tool and import (more info on settings coming soon)
3. The tool allows to save either as a new file or append to existing




vvhg


Last edited by tturner86; June 30th, 2014 at 06:56 PM.
 
  #3 (permalink)
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Big Mike View Post
I'm on a mission to improve my Excel trade journal.

I'd like to hear input on what metrics you guys measure in your journal. For instance:
  • Sharpe ratio
  • Expectancy
  • Win/Loss Dollar Ratio
  • Win Percentage
  • Dollar gain per trade put on
  • Account balance
  • Risk % per trade
  • Maximum drawdown
  • Realized MAE/MFE
  • Unrealized MFE (benchmark potential)

I was reading Brett's "Enhancing Traders Performance" book and it gave me the idea to consider categorizing days themselves, like uptrend, downtrend, reversal day, range bound, etc. I was wondering, do any of you guys do this and what have you found?

Mike

I've attached a copy of my spreadsheet....as well as screen shot. Feel free to copy at will. I am sure mine is pretty rudimentary compared to some but I am making it available just the same.

I will be making more enhancements as time goes by, for instance I have a column for risk per trade, currently I just jam in a default 10 ticks. I want to actually put in the original stop in this column but so far, this has proved elusive. In time, I think this will be valuable piece of information. The MSA software tracks this as well I think.

Simplicity is the ultimate sophistication, Leonardo da Vinci


Most people chose unhappiness over uncertainty, Tim Ferris
Attached Thumbnails
Trading Metrics for journals/record keeping-30-july-income-excel.jpg  
Attached Files
Register to download File Type: xls Basic System acct tracking.xls (340.5 KB, 2175 views)
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  #4 (permalink)
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system quality number is interesting to look at:
(sqrt(total trades) *avg net profit)/stdev of net profit

the higher the number the better which translates into higher net profits w/ lower stdev of returns, ie consistent profitability

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  #5 (permalink)
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Hey Mike,

Congrats on the forum, I think it is one of the better trading forums I have come across, and I've seen my fair share. As to what I measure in terms of performance, besides the items you have, I also include the following in an excel file i've designed myself over the years:

  • Profit per day, month, quarter and annually, with the ability to provide filtered results instantly;
  • # of Trades
  • Trade Class/Type based on my trading system (eg, may have 'A' class trend continuation, 'B' class breakout, 'C' Reversal, etc...
  • # winners/losers per Class/Type
  • Trade Batting Average (winners to losers as above)
  • Average winning/losing trade amount ($ & R multiple)
  • Largest winning/losing trades
  • Average consecutive winners/losers
  • Largest consecutive winners/loser
  • Average winning/losing trade time
  • Average winning/losing trade - time of orders
  • Winning/losing periods (eg opening bell vs morning vs lunch vs afternoon vs close)
  • Winners to losers per Instrument
  • Average winner/loser per instrument
  • Average time in trade per instrument
  • Equity Curve per instrument and portfolio (see how my own trend is going )
  • Equity Curve vs Weekly Review Score (my own system for rating myself on trades, including completion of non-trading items each day) Essentially finding my profits go up when i complete all my tasks...
  • Average winner per trade rating (rating given based on performance criteria in each trade, detailing observation and monitoring of market, trade setup recognition, entry and execution, trade monitoring, trade exit, post trade analysis, etc...)
  • Profit/Loss Average per day of week (eg - do i trade well on Friday vs Monday)
  • Profit/Loss Average per session per day


There's a few other things i measure, but i won't go into detail as it probably isn't relevant to anyone except my strange self....


Hope this helps in some way...


The Hermit...

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  #6 (permalink)
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thetradinghermit View Post
Hey Mike,

Congrats on the forum, I think it is one of the better trading forums I have come across, and I've seen my fair share. As to what I measure in terms of performance, besides the items you have, I also include the following in an excel file i've designed myself over the years:



Good list, care to attach the Excel file?

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.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #7 (permalink)
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Big Mike View Post


Good list, care to attach the Excel file?

Mike


thetradinghermit View Post
Hey Mike,..., I also include the following in an excel file i've designed myself over the years:

  • Profit per day, month, quarter and annually, with the ability to provide filtered results instantly;
  • # of Trades
  • Trade Class/Type based on my trading system (eg, may have 'A' class trend continuation, 'B' class breakout, 'C' Reversal, etc...
  • # winners/losers per Class/Type
  • Trade Batting Average (winners to losers as above)
  • Average winning/losing trade amount ($ & R multiple)
  • Largest winning/losing trades
  • Average consecutive winners/losers
  • Largest consecutive winners/loser
  • Average winning/losing trade time
  • Average winning/losing trade - time of orders
  • Winning/losing periods (eg opening bell vs morning vs lunch vs afternoon vs close)
  • Winners to losers per Instrument
  • Average winner/loser per instrument
  • Average time in trade per instrument
  • Equity Curve per instrument and portfolio (see how my own trend is going )
  • Equity Curve vs Weekly Review Score (my own system for rating myself on trades, including completion of non-trading items each day) Essentially finding my profits go up when i complete all my tasks...
  • Average winner per trade rating (rating given based on performance criteria in each trade, detailing observation and monitoring of market, trade setup recognition, entry and execution, trade monitoring, trade exit, post trade analysis, etc...)
  • Profit/Loss Average per day of week (eg - do i trade well on Friday vs Monday)
  • Profit/Loss Average per session per day


There's a few other things i measure, but i won't go into detail as it probably isn't relevant to anyone except my strange self....


Hope this helps in some way...


The Hermit...

Hermit,

I second the request ..... VERY MUCH PLEASE would you share the spreadsheet ? You have put a lot of thought and expertise in that ... I hope we all here can develop it even further with input and work.

Jon

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  #8 (permalink)
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Excel workbook

Hey lads,

Am in the process of rejigging all my trading items this week in an effort to simplify and remember why i started trading all that time ago. My worksheets are just a part of that, but hoping to cull my trading plan from the bloated 70+ pages it currently sits at to about 5-10 pages max. Will be more than happy to upload my worksheets when i've made the necessary adjustment, as right now it's been in the "chop shop" for about a week.

Give me about a week and will gladly post it up...

the hermit

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  #9 (permalink)
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thetradinghermit View Post
Hey lads,

Am in the process of rejigging all my trading items this week in an effort to simplify and remember why i started trading all that time ago. My worksheets are just a part of that, but hoping to cull my trading plan from the bloated 70+ pages it currently sits at to about 5-10 pages max. Will be more than happy to upload my worksheets when i've made the necessary adjustment, as right now it's been in the "chop shop" for about a week.

Give me about a week and will gladly post it up...

the hermit


Wow ... I can empathize with that feeling ..

My situation is nowhere as massive, unless I think of different strategy iniatives as I look in my custom folders

... lol ..


Good speed with the culling and look forward to the result for you and your ability to enjoy your trading, and also to share it with us!

Thanks!!
Jon

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  #10 (permalink)
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I would like to talk about using R-Multiple.

On Trade #1, I risk $200. $200 is 1R. On Trade #2, I risk $250. $250 is 1R. Let's say in both cases, my profit is $400 on the trade. So profit on trade #1 is 2R, and profit on trade #2 is 1.6R.

Van Tharp suggests calculating all R-Multiples together (sum) then using that to find the median expectancy. I guess where I am getting hung up is that 1R is not always equal from trade to trade, as in my above example. What am I missing here? Don't I also need to factor in what 1R actually equals in terms of percentage risk to my account, as an anchor to the value?

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.

Reply With Quote
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