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Trading Metrics for journals/record keeping


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Trading Metrics for journals/record keeping

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  #1 (permalink)
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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

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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
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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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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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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

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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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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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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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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

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Big Mike View Post
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

One trade

For one trade the expectancy is a theoretical value, as it assumes probabilities for losing and winning. There is only one practical outcome, which is statistically insignificant, and you cannot calculate the expectancy without assuming ex-ante probabilities.

The R-multiple depends a bit on the mechanics of the trade. If you enter long for 2 contracts with a logical stop of -10 ticks, a 1st profit target of + 10 ticks with adjustment to breakeven, and a second profit target of +20 ticks, the outcome for a random market after a larger number of trades would be close to:

-10 ticks = 50%
+10 ticks = 25% (first contract)
+20 ticks = 12.5% (second contract splits between 0 and 20 ticks)
+- 0 ticks = 12.5%

The weighted reward-to-risk is (0.125*20 + 0.125*0 + 0.25*10)/ 0.5*10 = 5:5 = 1:1 Reward-to-risk is needed to calculate the edge of a trading system. The edge is the expectancy.

Expectancy = Average winner * Winning percentage - Average Loser * Losing percentage or by requiring a positive expectancy this equation can be transformed to

(1) R-Multiple > 1/winning percentage - 1

Example: If your winning percentage is 40%, your R-Multiple required to breakeven would be 1/0.4 -1 = 1.5 This example is before transaction cost and slippage. This is the easy part.

Many similar trades

If you have a larger number of similar trades, you can calculate a statistically based expectancy. This is based on an ex post probability which is a result of the trades. Note the difference with one trade.

If you are trading an automated system, always using the same stop and the same profit targets, you can calculate the correct reward-to-risk ratio by empirically counting the number of outcomes for each of the four possible results (I stay with my no-slippage model). The relative frequency of the outcomes is an approximation of the probability, and you can again calculate the reward-to-risk ratio by comparing the added positive outcomes with the added negative outcomes:

(2) R-Multiple = (added $ of winning trades/ number of winning trades)/ (added $ of losing trades/ number of losing trades)

Many different trades

If there are many different trades, you may want to evaluate them. For technical and other reasons your risk will sometimes be 2.3%, sometimes 1.4% of your account. I think that Van Tharp wants to make these trades comparable by not using the $$ outcome, but the outcome measured in multiples of R.

This is a way of normalizing the position sizing of the trades. If an undisciplined trader doubles position size and luckily wins, this for sure affects his account. In this case Van K Tharp - as I understand him - does not want to take into account the unduly increased position size, so he measures the outcome in terms of R achieved.

Now, there is a catch.

Expectancy

The idea of calculating an average R-Multiple is mathematical nonsense. But it can be a valid educational concept. The expectancy can only be calculated by taking into account both winning percentage and R-Multiple. A scalper with a high winning percentage does not need high R-multiples, as he relies on a hihg winning percentage. The high winning percentage will even allow him to increase his position sizing, because the probability of a larger drawdown is reduced. The scalper may actually tolerate a higher risk per trade, without increasing the risk of ruin*).

So why does Van Tharp calculate R-multiples?

Psychological Barriers

Most beginning traders do not let their profits run, and achieve bad R-Multiples. You will find some journals here that show R-multiples < 1. It is psychologically easy to take a quick profit, and have a large loss every 5 trades. You are emotionally rewarded with 4 successes and only 1 failure! Van Tharp uses this method as a way to monitor the trader's performance to cope with loss aversion and not letting profits run.

It is an educational tool

And there is another reason to use this method. To complete evaluate a trader's edge you would need to know the winning percentage and the R-multiple. To get a good approximation for the winning percentage, you would need something like 100 trades if you search for statistical significance. So you cannot give the trader immediate feedback on his performance. The R-Mulitple can be used even after 1 trade and is significant. So it is a concept that can be used to train traders.

Why does he choose the median?

He could choose the arithmetic average, the geometric average, the median, the mode, etc. No importance, the median can be observed without calculating anything.

And the mathematics?

There is little valid mathematics in the books of Van K Tharp. If you are really intested in the subject you should start with "The Mathematics of Money Management" by Ralph Vince. Not an easy read though, but very important. I am slowly digging through this, interrupted again and again by other priorities.

*) not known by many traders: Let us assume two trading systems:

system 1: winning percentage 70%, R-Multiple = 2
system 2: winning percentage 42%, R-Multiple = 4

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.

Who is able to calculate the position sizing for the 1st system relative to the 2nd, so that the risk of ruin becomes equal?

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  #12 (permalink)
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I found this on the interwebs, it has some good functions in it for risk (R-Multiples, SQN, Expectancy, MAE, exit efficiency) etc.

I'm still working on my own new journal.

Mike

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Here are some screen shots of the new journal I am working on. Thanks goes to @sam028 and @Gary for helping me with some of it.

The basic idea is an Overview panel that shows me at a glance some meaningful statistics. I still have a lot of work to do on this, so the screen shot is not complete. The idea is to be able to breakdown stats by Method (entry) and also by result (Comment field), so I can see how methods compare, and also I can track 'Comment' like followed rules/not followed rules, or any other comment I want, and see how stats breakdown. There are not many sample trades entered in this journal yet, so some pages appear empty.

The Journal panel is for data entry. Most fields are auto-populated. Just need to enter the date/time, instrument (from drop-down choice), method (drop-down choice), entry/exit price. I have VWAP here because I want to conduct a study to determine if tracking VWAP in relation to my trades is important -- stats on the Overview page reflect this, am I more successful longing above VWAP, more successful shorting below, etc? This will allow me to track that. MAE is self-explanatory. The Bench field is what I call benchmark, it is the absolute best-case scenario for a trade. If I exited at the absolute best tick possible during this trade while following my rules, I would get <xx> ticks. The next field is efficiency, it measures my actual realized exit compared with the benchmark. Minutes tracks how long the trade was, so I can breakdown my average winner and loser in minutes (on overview page). Risk, Result, Balance are self-explanatory. The Comment field will allow me to enter a few 'scenarios' perhaps and track each uniquely, getting stats per scenario. The rest of the fields are just there to make formulas easier, they are all automatic.

The Method List allows you to enter new methods that will appear automatically in the drop-down menu and the rest of the spreadsheet.

The Comment List is the same way.

The Instrument List is the same, and is necessary to define tick values and such so math calculations can be done correctly on the Journal tab.

The Internal Calcs tab/panel is just for behind-the-scenes formulas that are necessary to create some of the results in the Overview page, like the trade result per hour breakdown, the annualized returns, etc.

I will post the spreadsheet when I consider it 'ready'. I welcome feedback with what I have so far.

Mike

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  #14 (permalink)
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Looks brilliant, I will stop all my efforts in this area, and wait until you're ready. But of course, post any later improvements, if this is still possible.

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BigMike:

You might be able to import from the following to save some typing on the instrument list.


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Big Mike View Post
Here are some screen shots of the new journal I am working on. Thanks goes to @sam028 and @Gary for helping me with some of it.

The basic idea is an Overview panel that shows me at a glance some meaningful statistics. I still have a lot of work to do on this, ....
Mike

Mike,

This is excellent for assisting with discretionary trading. I know you have a keen interest in the 'state of mind' && 'state of health' when you are trading ... do you intend to incorporate those as inputs for a later version?

Jon

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BigMike, i don't want to make free publicity and i know every programmer like to recreate the wheel but have you considered this tool $57 ?

Trading Journal Spreadsheet - Trade Tracking for Traders

Maybe you could get inspired too.

There is this other tool too:
- | Y o u r T r a d i n g J o u r n a l | -


I post them just for inspiration as i know you'll prefer to build your own from scratch
(i know as i was a programmer before)

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Trader.Jon View Post
Mike,

This is excellent for assisting with discretionary trading. I know you have a keen interest in the 'state of mind' && 'state of health' when you are trading ... do you intend to incorporate those as inputs for a later version?

Jon

Yes, the 'comments' block will be where I tag each trade with relevant info to help me track such things.


trendisyourfriend View Post
BigMike, i don't want to make free publicity and i know every programmer like to recreate the wheel but have you considered this tool $57 ?

Trading Journal Spreadsheet - Trade Tracking for Traders

Maybe you could get inspired too.

There is this other tool too:
- | Y o u r T r a d i n g J o u r n a l | -


I post them just for inspiration as i know you'll prefer to build your own from scratch
(i know as i was a programmer before)

I will look at them to see if I can add anything useful to mine. The second link, I tried this last year and ran into too many technical problems. I actually still have a membership there, it was comped gratis due to the issues. But, I prefer my spreadsheet.

Mike

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Big Mike View Post
Yes, the 'comments' block will be where I tag each trade with relevant info to help me track such things....

Mike

So, more than one comment can be tagged for each trade? C@@L

TJ

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Trader.Jon View Post
So, more than one comment can be tagged for each trade? C@@L

TJ

No not at present. But I could have a list of pre-defined comments that should cover enough range to give me post-trade analysis info. There are two fields to classify or categorize trades, the 'method' and 'comment' field. More could be added, but this is enough for me.

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I dont have a predefined journal that I use daily (personally I found I became too obsessed with it rather than using my gut feel which works better), but previously when I did use one, the thing I found more important than a bunch on numbers and mathematical analytics when I looked back at the history - which lets face it thats what a journal is for - was the personal thoughts v the actual positions taken.
eg; the market was in a long term uptrend, short term consolidation, my thoughts were to buy a dip. So why then did I suddenly find myself doing more than a fair share of failed sells. It was because I was focussed on trying to make the market fit my strategy and predefined journals etc; rather than following my plan and the market.

It was more a personal thing for me as I was largely discretionary - but I found the focus of any journal should be tailored to the element that highlights the weaknesses and strengths. So when I feel I am not in sync with the market these days, I actually write down a simple review of thoughts and plans and see how closely I follow that, or deviate from that in order to get back in sync. Once back in sync, I drop the journal so that I dont fall into the trap of obsessing about trying to perfect it, or my style.

Point being is sometimes just reviewing the numbers is less relevant than the frame of mind, or if you are so number inclined then maybe use a ranking system - eg; bullish to bearish on a scale of 1-5 in order to review your history.

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@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.

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aztrader9 View Post
@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.

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

Mike

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My friend, a successful forex trader, uses a spreadsheet he bought from TradingSpreadsheets.com and says it has helped him immensely improve his trading.

Here's sample spreadsheet they have for futures. They also have stock, options and forex-specific spreadsheets. Cost is $57 for all of them.


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@Mike,

looking at your beta screen shot looks great, what is your sharpe ratio calc? thats the highest SR i have ever seen and am wondering if its correct? might be worth checking?

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rassi View Post
@Mike,

looking at your beta screen shot looks great, what is your sharpe ratio calc? thats the highest SR i have ever seen and am wondering if its correct? might be worth checking?

I believe the calculation is right. You need to remember, the results are annual, but the screen shots only had 2 days of trading results, so it was extrapolating 2 days of performance over 365 days.

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I believe the calculation is right. You need to remember, the results are annual, but the screen shots only had 2 days of trading results, so it was extrapolating 2 days of performance over 365 days.

Mike

my bad thanks Mike, any way of making it calc it as a rolling sum? say EOD?

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rassi View Post
my bad thanks Mike, any way of making it calc it as a rolling sum? say EOD?

"Any way" ? I'm sure. But I won't be pursuing it, just the initial math required and special cells required in the spreadsheet were already more than I cared to do for the sharpe ratio.

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Big Mike View Post
"Any way" ? I'm sure. But I won't be pursuing it, just the initial math required and special cells required in the spreadsheet were already more than I cared to do for the sharpe ratio.

Mike

Great! when you release it i will have a stab at making it a monthly figure. Really looking forward to using your spreadsheet Mike, I think it will be the most profitable "indicator" on this site .

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

Mike

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

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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.

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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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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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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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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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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

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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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tigertrader View Post
you might be interested in Trader DNA...
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Thanks, looks interesting.

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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

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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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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)
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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)
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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

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  #45 (permalink)
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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)
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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)
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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,

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.

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  #49 (permalink)
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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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  #51 (permalink)
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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.
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  #52 (permalink)
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New version, added some functionality:

Methods can now be unlimited, two user selectable methods display in Overview tab (can be changed any time, there is a drop down list in the cells containing the heading in Overview).
Added table displaying Profit per date.
Various minor improvenents.

Have fun.

vvhg

PS: Is actually anyone interested in this template (perhaps even uses it) or is it just me??

Hic Rhodos, hic salta.
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  #53 (permalink)
Near the BEuTiFULL Horse Shoe
 
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vvhg View Post
New version, added some functionality:

Methods can now be unlimited, two user selectable methods display in Overview tab (can be changed any time, there is a drop down list in the cells containing the heading in Overview).
Added table displaying Profit per date.
Various minor improvenents.

Have fun.

vvhg

PS: Is actually anyone interested in this template (perhaps even uses it) or is it just me??

I am DEFINITELY interested as my Excel skills are nananna ... I woould really like a way that this could be incorporated into optimization of strategies so that all itinerations of an optimizations would be available on a daily basis to augment as a DIY walk-forward. Obviously that is a project in itself ... will be looking at this very closely once I get the automation of the strategy completed!

Thanks mucho!
Jon

Writing to you from the wonderful province of Ontario, Canada. Home to the world's biggest natural negative ion generator, the Niagara Falls, and to those that dare to know how to go over it in a barrel. SALUTE!
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  #54 (permalink)
Nijmegen, NL
 
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vvhg View Post
PS: Is actually anyone interested in this template (perhaps even uses it) or is it just me??

Yes I am, although I have started to use the TJS spreadsheet (tradingspreadsheets.com) after I decided it was too much work for me to modify Mike's earlier version

It would have been very nice is the TJS spreadsheets had MAE/MFE provisions but they don't, unfortunately. I'm going to check out the template again in a couple of weeks time and might be able to provide some feedback for additional functionality if you wish. Recording trades is very, very important (imho) so it does pay off to put time and effort into this.

Cheers, PTG.


If it requires a uniform, its a worthless endeavor. - GC
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  #55 (permalink)
POrtugal
 
 
Posts: 54 since Nov 2009

Hello,

How can I change the colour of the column AN? I only want to see green and red and not licht green green purple red etc... If it is green and red only it is better to see.

Best regards,
Joo Soares

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  #56 (permalink)
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Hello jsengxx,

1. unprotect the sheet
2. select AN column
3. go to home tab
4. go to conditional formatting
5. select highlight cells rules
6. select greater than
7. rule: >0
8. custom formatting-> select green
9. go back to step 6 then select smaller than <0 red

vvhg

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

VVHG,

Ok. Thanks....

I have a question, How is the win loss ratio calculated?
I see in your spreadsheet that if I lief the MAE and Efficiency values unfilled the win loss calculation is not don. I think that the win loss calculation is always done with the initial stop loss, that is the amount of ticks your are willing too lose.

The MAE is a data that can be useful for stop loss calculation. If for example you have made 200 trades with an initial stop loss of 12 ticks and all your winning trades have an MAE of 6 ticks than you can tighten your stop loss to 7 ticks so now your losing trade will only lose 7 ticks instead of 12 ticks.

Best regards,
Joo Soares

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

The win loss ratios are not good in this spreadsheet.
The formula is:
Win loss ratio = (Target price - Purchase price)/(Purchase price - Stop loss)

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  #59 (permalink)
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AFAIK that would be R/R!?

vvhg

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  #60 (permalink)
POrtugal
 
 
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vvhg View Post
AFAIK that would be R/R!?

vvhg



What do you mean by that?

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  #61 (permalink)
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I think you are referring to risk reward ratio.

vvhg

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

Hello vvhg and Big Mike,

Iam tweaking your spreadsheet but I hate working with exel. I can not code the formulas for the different columns. I have try it but it made me furious, the only thing that I want to do is pick a hammer and crack that monitor in front of me.

Can I count with your help?
I have already made the journal and Iam working on the overview.
When I have this done I will post the attachment.

Best regards,
Joo Soares

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  #63 (permalink)
Como Italy
 
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BM and vvhg,

Thanks very much for this - I'm just coming back to trading after months away, and this is just what I was looking for.

I have two suggestions / requests:

1. I think it would be very useful to be able to include trades that were 'Passed' on or 'Missed', perhaps with a separate column with dropdown to note their status, so that their metrics would be separated from the actual account.

2. The Benchmark could usefully be split in two: MFE before Exit1, and MFE if the trade had been held until the ideal exit.

Thanks again for the great work.

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  #64 (permalink)
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futuretrader View Post
BM and vvhg,

Thanks very much for this - I'm just coming back to trading after months away, and this is just what I was looking for.

I have two suggestions / requests:

1. I think it would be very useful to be able to include trades that were 'Passed' on or 'Missed', perhaps with a separate column with dropdown to note their status, so that their metrics would be separated from the actual account.

2. The Benchmark could usefully be split in two: MFE before Exit1, and MFE if the trade had been held until the ideal exit.

Thanks again for the great work.

1. I really like the idea! But I believe if I stick that in too, that beast will bring nearly every computer down on its knees, it's quite big already. May I suggest that you just use a second journal for that (ie just copy this template)?

2. No problem to have a 2nd MFE column. Though I don't get your concept on that yet. Wouldn't the MFE before E1 1. on a winning trade be E1
2. on a loosing trade the same than any other definition of MFE (as long as you are not thinking of increasing your stop)?

Thanks a lot for your ideas!

vvhg

Hic Rhodos, hic salta.
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  #65 (permalink)
Northern Germany
 
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Latest update:
Added some stuff like drawdown now on overview displayed, added some pivot tables, completed calculations on overview tab....and minor things here and there.....
If you are missing sth just shout and I'll try to stick it in. If you find any errors (and I'm sure that I missed the occasional one) please report them, so I can correct them.....thanks.

vvhg

Edit: corrected glitch in macro.

Hic Rhodos, hic salta.
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  #66 (permalink)
Como Italy
 
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vvhg View Post
1. I really like the idea! But I believe if I stick that in too, that beast will bring nearly every computer down on its knees, it's quite big already. May I suggest that you just use a second journal for that (ie just copy this template)?

2. No problem to have a 2nd MFE column. Though I don't get your concept on that yet. Wouldn't the MFE before E1 1. on a winning trade be E1
2. on a loosing trade the same than any other definition of MFE (as long as you are not thinking of increasing your stop)?

Thanks a lot for your ideas!

vvhg

Hi vvhg,

yes of course you're right about (1), as it is I turned off the auto-recalculate function to make inputting data more bearable.

Re the MFE - the standard measure is of course the maximum excursion before the exit (which will correspond to E1 on a winning trade only if you're using a profit target, not if you're using some sort of trail). But it's also very useful to keep track of the 'ideal' exit after your target is hit. Anyway, I'm starting to remember how Excel works, so I can add this myself, but I thought you might also be interested in it.

Thanks again for your work on this!

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  #67 (permalink)
Northern Germany
 
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Hello futuretrader,
thank you for your input, that's exactly what we need to develop this template!

Next version will have a 2nd MFE.
I often have thought about MFE after exit, though IMHO it is slightly complicated how exactly to define that...

vvhg

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  #68 (permalink)
Marietta, Oh USA
 
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Hi,

Thanks vvhg for all your hard work on this journal.

Can someone please help. Is it possible to use this journal (spreadsheet) to track Euro (6E) trades? I added the 6E to the instrument list. It will not allow me to record an entry price with four decimal places. EX...I type in 1.4777 and it shows 1.48. Sorry, I am not that familiar with Excel.

Any help/suggestions would certainly be appreciated. Thanks.

emini

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  #69 (permalink)
Site Administrator &
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Just format the cell:

Let me google that for you

Mike

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  #70 (permalink)
Melbourne, Australia
 
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Thanks for all the inputs, I am now looking for record-keeping tools, and found the Excel spreadsheets in the thread very helpful, I also notice two commercial software: Stator and Elder's AK47 (I was not able to post the links yet, but Google should help), which seem to satisfy my needs.

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  #71 (permalink)
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i am looking for a trading journal as well and this looks nice but has soooo much stuff im not sure where to start. i use NT, i was looking through the control center tabs in NT(still dont know much about them) and shouldnt it already keep a journal?

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  #72 (permalink)
Boston MA
 
 
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madLyfe View Post
i am looking for a trading journal as well and this looks nice but has soooo much stuff im not sure where to start. i use NT, i was looking through the control center tabs in NT(still dont know much about them) and shouldnt it already keep a journal?

Most people have problems with the NT 'journal'. Many times it's calculations are WAY off. I think you really want separate software for this.

forker

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  #73 (permalink)
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forker View Post
Most people have problems with the NT 'journal'. Many times it's calculations are WAY off. I think you really want separate software for this.

forker

ya im going to have to figure out how to work a a spread sheet so i can do all the drop down selection stuff.. hmmm..

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madLyfe View Post
ya im going to have to figure out how to work a a spread sheet so i can do all the drop down selection stuff.. hmmm..

If you found problems with the spreadsheet on this thread, you could try Trading Journal Spreadsheet (TJS). Google it. The learning curve probably isn't too steep.

forker

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Boston MA
 
 
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vvhg View Post
Latest update:
Added some stuff like drawdown now on overview displayed, added some pivot tables, completed calculations on overview tab....and minor things here and there.....
If you are missing sth just shout and I'll try to stick it in. If you find any errors (and I'm sure that I missed the occasional one) please report them, so I can correct them.....thanks.

vvhg

Edit: corrected glitch in macro.

Kudos to vvhg. I will take a look at this later. Based on your screen shots, you really know how to use excel!

forker

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  #76 (permalink)
Boston MA
 
 
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VVHG,

Will the Trading Journal work on any versions of Excel for Mac? I tried it on version 2004, and got numerous reported issues. Thanks,

forker

p.s. what is your favorite version of excel? I'm interested, because you are very good on it, and I've heard a lot of bad things about versions 07,08 and 11.

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  #77 (permalink)
Northern Germany
 
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Hello forker,

the journal was created using 07 so it should work with that and newer. I don't know a lot about Macs to say the least, so I can't give you any advice on that.
Thank you very much, but I'm afraid that I'm not half as good with Excel as you think I am....Big Mike has done most of the work here as I only added some stuff to his journal!
As to excel versions...I think they all are good but it does take some time to get used to the changed layout in the versions you mentioned.


vvhg

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  #78 (permalink)
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i was wondering if someone could help me out with my journal that ive taken from big mikes thread and added my own stuff.. what i need added on is when i select the instrument from the drop down list that i made and i enter the entry and exit price it will calculate the total ticks for that particular instrument, add the commission for that instrument, and then post the net profit and gross profit less the commissions..

here is where i got attached below..

dont believe anything you hear and only half of what you see

\_(ツ)_/

(╯□)╯︵ ┻━┻
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  #79 (permalink)
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Hello fellow traders,

I have decided to add something of my doing to this thread.
Here is the automatic tool that generates the xlsx journal (version 1.5 with some minor fixes) from the ninja trader grid of trade results (Account performance -> Trades ).

1. Just set the output to the points (combo Mode, select Points), export to csv
2. Run the exe
3. Select the CSV
4. Click Import!
5. The program allows you to select the location of the excel
6. You have the trades imported to the journal

Please bear in mind, that the software is provided AS IS. Feel free to post any suggestions though. This is merely the "beta" version - at the moment it has enough features that I need.

Consider this as my way to say "thank you" for the excellent journal.
Attached the zip with .NET assemblies. Built under the .Net 4.0 profile.


Regards

Petr

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  #80 (permalink)
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forker View Post
VVHG,

Will the Trading Journal work on any versions of Excel for Mac? I tried it on version 2004, and got numerous reported issues. Thanks,

forker

p.s. what is your favorite version of excel? I'm interested, because you are very good on it, and I've heard a lot of bad things about versions 07,08 and 11.

Hello Forker,

consider upgrading the excel. I am using excel (2011) for mac myself and everything works fine. The only issue is with the custom VBA on the dashboard calculating the bounds for the equity curve.

The problem could be caused, that the file format (xml) is not supported in excel 2004 (but I cannot swear).

Read the specs..

Petr

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  #81 (permalink)
CO
 
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I'm blown away by all the work BM & vvhg put into this spreadsheet. I'm truly grateful.

A great big Thank You!!

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  #82 (permalink)
Northern Germany
 
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It has been waaaay too long since my last update! So here is something new: MAE and Stop analysis!

I still need a bit of help (in the fom of ideas) on how to calculate the ideal/simulatd stop return mot accurately.

There are other things where I have changed a bit here and there...e.g on Overview tab stats can now be displayed for each method as well as for each instrument...

If you find bugs and glitches (I'm sure there are plenty), please report so I can fix them. If you have any ideas, I will happily try to put them into the journal!!

Cheers,

vvhg

Hic Rhodos, hic salta.
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  #83 (permalink)
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Once again thank you for the hard work on this!

Some of the calculations on the overview tab are returning 'DIV/0!' errors. Example: N4 has formula =AVERAGEIF(Journal!AN:AN, "<=0").

Changing the formula to =IF(COUNTIF(Journal!AN:AN,"<=0"), ">0"),AVERAGEIF(Journal!AN:AN,"<=0"),"") would merely show a blank cell.

I plan on working through all of them, but thought I should report back.

Samurai

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  #84 (permalink)
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Yes I am aware of this, simply couldn't be bothered as it only happens when there is no data to calculate the stats from (so I classified it as cosmetics....), if you are willing to put the time in to change that, great!
Have you had a look at the MAE calc? Does it make any sense?

vvhg

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  #85 (permalink)
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I haven't looked at the MAE yet. I've been addressing the issue I raised.

I'll take a look at MAE once I have some data.

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  #86 (permalink)
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The formula for Internal Calcs!AP13 should be:

=IF(COUNTIF(Journal!AH:AH,"<0")<=0,0,(SUMIFS(Journal!AV:AV,Journal!AH:AH,"<0")+SUMIFS(Journal!AV:AV,Journal!AI:AI,"<0")+SUMIFS(Journal!AV:AV,Journal!AJ:AJ,"<0"))/COUNTIF(Journal!AH:AJ,"<0")*-1)

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  #87 (permalink)
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Here is a little update:

1. corrected Internal Calcs!AP13 as @samurai pointed out, thanks again!
2. added a grading system for entry and exit
for exits there is only a single grade even if there are several exits
3. corrected some problems with name definitions and chart ranges
4. bits and bobs here and there

I still need help with the MAE and Stop calculations, esp. regarding the hypothetical profit with different stops....tricky as the other stop would probably also influence the entries and what to do with the trades that would have hit the hypothetical stop? All full stop losers? It's getting a bit philosophical here.

vvhg

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  #88 (permalink)
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P.S. I strongly suggest to turn off the auto-recalculate function.

vvhg

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  #89 (permalink)
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So....is anyone actually interested in this template? Or even using it?
I'd be happy to further develop this journal, but I don't want to spam the forum with updates noone ever needs....
Also I don't mind doing the excel stuff, but I can't always guess what functionalities you would like to add , so some input would be nice!

vvhg

Hic Rhodos, hic salta.
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  #90 (permalink)
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vvhg View Post
So....is anyone actually interested in this template? Or even using it?

Yes, please continue. You have to realize most people don't take the time to say thanks or reply, but they still use it.

Mike

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  #91 (permalink)
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Thanks for your support! Once again shows this site would be nothing without you, I am truly amazed by the work you put into this forum!

But:
Big Mike View Post
You have to realize most people don't take the time to say thanks or reply, but they still use it.

Maybe I am wrong on this but I thought "most people" don't journal at all, I thought it was one of the reasons why "most people" are actually losing money....

vvhg

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  #92 (permalink)
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vvhg View Post
Maybe I am wrong on this but I thought "most people" don't journal at all, I thought it was one of the reasons why "most people" are actually losing money....

vvhg

Correct. I am just saying that you should not always give with the expectations to get. Sometimes you give because in the end, you will receive -- but it will be indirectly. So in other words, don't get discouraged because no one is giving feedback on the spreadsheet. Know that it all works out in the end.



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  #93 (permalink)
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Very happy to give without recieving!
I'm not selfish, except for trading that is of course

The only thing is that it's nice to know that you actually give something as opposed to producing sth useless....

vvhg

Hic Rhodos, hic salta.
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  #94 (permalink)
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I'm using the tracking spreadsheet. The other day, I went through much, but not all, of the overview tab fixing the formulas (rev 1.6.2). I got pulled away and never got back to it over the weekend.

This raises the questions:
  • How should I get the fixes to you?
  • How does one migrate to the newer revisions?
    • Are you just reentering the data in the new revision?
Samurai

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  #95 (permalink)
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Thank you very much @samurai!


samurai View Post
How should I get the fixes to you?

Best would probably be to send me the spreadsheet via PM so I can put it into the latest version and post it.


samurai View Post
How does one migrate to the newer revisions?

At the moment you would have to copy paste all the user entered data, I will work on making that easier for future versions.


Keep up the good work! I really appreciate the help!

About the overview tab div/0 errors, what do your corrections display? Sth that makes you realize that there isn't enough data to calculate?


vvhg

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  #96 (permalink)
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@vvhg

I'm still using the template and plan to download the new one, for which I'm grateful. However, I've made a lot of changes to my version, so I'm uncertain what approach I'll take to the new one.

As far as suggestions go, I added scatter plots for MFE and MAE to mine, which I find useful for evaluating stops etc, at least when first trying out new methods or ideas.

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  #97 (permalink)
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I am attaching an xls that I use to analyze best scales and initial stop loss placement.
I have two objectives, first to share with fellow MBT's and hope this will help you the same way it helped me, and second to ask for corrections and suggestions.
This is very simple compared to other xls posted here but the objective is very focused too, just to milk a specific trade as much as possible.
I do not backtest but I like to follow a trade (or a new product) and take manual records for months before adopting it.
All the numbers are entered manually/daily, this way I have a good feeling for the specific trade and I am aware of externalities (news etc). For example if I do not trade a trend set up around news then I do not include it, on the other hand, if I am trading a breakout set up, then it should be part of the "around news" trade. So each one should decide what to include or not.
The first page shows the stats, best scales all in all out, and a reasonable stop loss location. The second page shows best scales in order to maximize r/r.
Instead of explaining in detail I will let you tear it apart (lol) and ask me questions.

I hope it helps.

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  #98 (permalink)
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vvhg View Post
So....is anyone actually interested in this template? Or even using it?
I'd be happy to further develop this journal, but I don't want to spam the forum with updates noone ever needs....
Also I don't mind doing the excel stuff, but I can't always guess what functionalities you would like to add , so some input would be nice!

vvhg

Using it and liking it very much. please don't stop updating

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  #99 (permalink)
Northern Germany
 
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futuretrader View Post
@vvhg

I'm still using the template and plan to download the new one, for which I'm grateful. However, I've made a lot of changes to my version, so I'm uncertain what approach I'll take to the new one.

As far as suggestions go, I added scatter plots for MFE and MAE to mine, which I find useful for evaluating stops etc, at least when first trying out new methods or ideas.

Sounds very interesting!
Would you be willing to to share your version? Perhaps I could have a look at yours :
1. to have a look at the changes you made and perhaps steal some of them for future versions
2. to hopefully find an easy way for you to update
3. I was already thinking about these plots and would really like to see how they turn out!


meyer99 View Post
I am attaching an xls that I use to analyze best scales and initial stop loss placement.
I have two objectives, first to share with fellow MBT's and hope this will help you the same way it helped me, and second to ask for corrections and suggestions.
This is very simple compared to other xls posted here but the objective is very focused too, just to milk a specific trade as much as possible.
I do not backtest but I like to follow a trade (or a new product) and take manual records for months before adopting it.
All the numbers are entered manually/daily, this way I have a good feeling for the specific trade and I am aware of externalities (news etc). For example if I do not trade a trend set up around news then I do not include it, on the other hand, if I am trading a breakout set up, then it should be part of the "around news" trade. So each one should decide what to include or not.
The first page shows the stats, best scales all in all out, and a reasonable stop loss location. The second page shows best scales in order to maximize r/r.
Instead of explaining in detail I will let you tear it apart (lol) and ask me questions.

I hope it helps.

Thanks a lot. I will have a very close look at your spreadsheet and, with your approval, might incorporate some into the journal...


vvhg

Hic Rhodos, hic salta.
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  #100 (permalink)
Northern Germany
 
Experience: Intermediate
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Posts: 1,583 since Mar 2011
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@meyer99 great work, this looks very good!

It might be a good idea to stick that into the journal....
However, my first question would be how you define MFE for these calculations, as it clearly must be an after trade MFE!?

vvhg

Hic Rhodos, hic salta.
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