Springfield,Missouri, USA
Experience: Advanced
Platform: NinjaTrader (It's a love/hate relationship)
Trading: CL, TF, 6E
Posts: 169 since May 2010
Thanks Given: 60
Thanks Received: 314
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I'm looking for input with evaluating discretionary performance using average win/loss, MAE, MFE, etc.
I'm consistently making small gains daily. I have a decent win%... about 65%. I'm scalping crude (which has been terrible that last week, BTW). The concern with scalping is that the high win% is merely a function of a poor risk:reward. For example, a scalper could have 3t target and 20t stop. You could probably get away with this for a while thinking you are trading well. I imagine that an honest evaluation of MAE, MFE, ETD and average win/loss would reveal the danger of such a strategy before the inevitable big loss or two wipes out days or weeks of profits.
My average win is 4x my average loss, but average MAE is only slightly lower than average win.
I want to make sure that I am not deluding myself into thinking I have an edge or am trading well, when in reality, my results may be simply random.
How do any of you scalpers use average MAE, MFE & ETD to evaluate your trading? Would making sure that average win is larger than average MAE be a good way to assess that I am not taking too much risk?
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