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Modeling spreadsheet
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Created: by Saroj Attachments:2

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Modeling spreadsheet

  #1 (permalink)
Elite Member
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Futures Experience: Intermediate
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Favorite Futures: index futures, oil
 
Saroj's Avatar
 
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Modeling spreadsheet

This is a spreadsheet to figure on various Money Management techniques given certain assumptions about targets and a "set" of trades (how many fail, how many go further than initial target, etc.)

This is a work-in-progress... ES seems complete; NQ I just added and have not taken the time to verify...

Any and all comments, suggestions, enhancements, new ideas are welcomed.

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  #2 (permalink)
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Nice job Saroj, I think I can incorporate your work into my exercise. The real trick, it seems to me, is to arrive at an "Ease of Movement" ratio to finish the job. In other words, discover how easily a particular instrument moves from one tick to the next after entry. It gets crazy complicated in a hurry.

For example, let's say you study the 6E from midnight to 6 AM for 2 months. You would need to first identify a particular strategy for entry. Code that strategy in Ninja and have it draw an arrow at each entry point. Then go back and count how many ticks it moved in your favor before turning against you.

The idea being you can best determine exit points and stops. My gut feeling is this is really an exercise in futility because markets change over time. But if this were quantifiable, I think it would be a real eye opener.

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Modeling spreadsheet-entry_chart.gif  
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  #3 (permalink)
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hondo69 View Post
Nice job Saroj, I think I can incorporate your work into my exercise. The real trick, it seems to me, is to arrive at an "Ease of Movement" ratio to finish the job. In other words, discover how easily a particular instrument moves from one tick to the next after entry. It gets crazy complicated in a hurry.

For example, let's say you study the 6E from midnight to 6 AM for 2 months. You would need to first identify a particular strategy for entry. Code that strategy in Ninja and have it draw an arrow at each entry point. Then go back and count how many ticks it moved in your favor before turning against you.

The idea being you can best determine exit points and stops. My gut feeling is this is really an exercise in futility because markets change over time. But if this were quantifiable, I think it would be a real eye opener.

speaking of "ease of movement", there is an indicator for that.. native NT I believe... don't know if it has any relevancy to you, but thought I'd mention it.

As far as the modeling spreadsheet goes.. one step that would make it much easier to use is to make the assumptions data rather than string where you have to manually enter the combinations.

Another thing is that you need to keep stats to know just how the market is changing. I posted another spreadsheet which will do this in 25 item samples...
https://futures.io/psychology-money-management/439-another-spreadsheet-try-out.html#post2789
it was oriented towards testing the consolidation method but was adapted from testing Woodie's CCI and can be adapted to others.. the important aspect of it is that it automatically calculates the P/L, MFE and MFA with minimal entries... Mike recently posted one that does nice lookups to reason for entry and exit...

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Thanks for the pointers, they look promising. Yes, there is an Ease of Movement indicator, but this is a little different idea. It's based on the following observations:

- my stops have a knack for calling market tops (or bottoms)
- I let too many winners turn into losers
- the "eye in the sky" knows when I enter a trade, and then moves the market in the other direction

OK, it's not really all that bad but some days it kind of feels like it. Here's the idea: a trader uses Strategy A of 3 contracts with a 10 pip stop. Take off 1 contract at +4, another at +8 and then move the stop to break even. Then monitor the last contract (the runner) and take it off as needed. If there were a method of tracking each trade, it might be discovered that win percentage would increase by making a slight change.

Change #1: move stop to 12 pips, win percentage changes how?
Change #2: take contracts off at +4 and +6, what is the change?
Change #3: take contracts off at +4 and +4, what is the change?
etc.

So I think I'll come up with a new type of trading journal in Excel that tracks all the usual information but with eventual market outcome added. Since you can easily add images to Excel I could include a chart snapshot as well. My guess is it will be a real eye opener.

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