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Short term TF trading
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Short term TF trading

  #421 (permalink)
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Birmingham, AL
 
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Video Recap

And here is the video recap of all the trades today.
Screenr - indextrader7: 6-14-12 Recap

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  #422 (permalink)
Elite Member
Houston,Tx
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Mirus Futures/Zen-Fire
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indextrader7 View Post
Ok, so this guy has a lot of books. Which one would you guys familiar with him recommend I start with?

For what it's worth ... I've gotten more out of this thread than all the trading books I've ever read...

I'm just a simple man trading a simple plan.

My daddy always said, "Every day above ground is a good day!"
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  #423 (permalink)
Membership Temporarily Revoked
Birmingham, AL
 
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Taking out a frustrating week on the ball


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  #424 (permalink)
Membership Temporarily Revoked
Birmingham, AL
 
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The real Performance Ratio

As some of you may remember I'm reading "Trading Risk - Enhanced Profitability Through Risk Control".

I was mistaken from my reading a few weeks ago on what I've been calling the "Performance Ratio". That is actually called ROMAD (Returns Over MAx Drawdown). So I'll start using that term.

The real Performance Ratio = (win%) x (average win: average loss)

This ratio should be above 0.5 to be profitable for all intensive purposes. (50% win) x (1:1 win:loss) = 0.5

I've actually kept up with this for some time, but in a different way. I've posted up the chart before that has a concave breakeven curve on it, and a squiggly line representing my performance. It's an x,y plot of win% and avg win:loss ratio. The way Kenneth Grant (author of the book) uses this is to multiply the two ratios and have a single number to keep above 0.5. If it starts to go down, then you can dive into the details and find out what is causing the performance issues. If the problem is more with the win:loss, look at the numerator/denominator to find the root of the problem. If it's the denominator (average loss), then you can infer you are sacrificing on some aspect of risk management. Etc, etc.

Here's my chart with data since February. Each data point represents the average ratios for the previous rolling 50 trades.

You can see the cyclical, but consistent trading for a while, then you can see where I scalped for a while, then you can see my return to the first type pattern, and finally, you can see my poor performance as of late dropping down below the 0.5 level.

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Are any of you keeping up with this? Would love to hear from you on this, whether here on the thread or by PM if you prefer. I would really appreciate seeing some others performance data.

I wonder if I will be able to get my performance ratio above some number (say... 1) and keep it there more consistently. Right now I can only "consistently" range between 0.5 and 1.0.

Again, would love to hear from others on this.

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The following user says Thank You to indextrader7 for this post:
 
  #425 (permalink)
Membership Temporarily Revoked
Birmingham, AL
 
Futures Experience: Advanced
Platform: Sierra
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Posts: 1,065 since Apr 2012
Thanks: 713 given, 2,758 received

Ok guys, banked a couple ticks this morning. I'm headed out of town for a wedding Fri/Sat, then Sunday flying out to CA for a 10 day vacation. I'll probably be trading some from the laptop, but we'll play that by ear. I'll be back on the desk on the 27th.

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  #426 (permalink)
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indextrader7 View Post
Ok guys, banked a couple ticks this morning. I'm headed out of town for a wedding Fri/Sat, then Sunday flying out to CA for a 10 day vacation. I'll probably be trading some from the laptop, but we'll play that by ear. I'll be back on the desk on the 27th.

Have a good trip IT7.

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  #427 (permalink)
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indextrader7 View Post
Ok guys, banked a couple ticks this morning. I'm headed out of town for a wedding Fri/Sat, then Sunday flying out to CA for a 10 day vacation. I'll probably be trading some from the laptop, but we'll play that by ear. I'll be back on the desk on the 27th.

Enjoy your vacation. Looking forward to 27th!

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  #428 (permalink)
Trading Apprentice
London
 
Futures Experience: Intermediate
Platform: Sierra Chart, Ninjatrader
Favorite Futures: NQ, ES
 
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Just wondering what is the max size one can expect to trade in the TF with 0 or 1 tick slippage? Thanks

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  #429 (permalink)
Elite Member
Kampala, Uganda
 
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mastertrader View Post
Just wondering what is the max size one can expect to trade in the TF with 0 or 1 tick slippage? Thanks

You should not experience any slippage trading the TF. Now it does not trade near the volume of the ES on a daily basis, but over the last 10 trading days, the TF has averaged just over 170,000 contracts a day.

How many contracts are you thinking about....?

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  #430 (permalink)
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austin, texas
 
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Ratio



indextrader7 View Post
As some of you may remember I'm reading "Trading Risk - Enhanced Profitability Through Risk Control".

I was mistaken from my reading a few weeks ago on what I've been calling the "Performance Ratio". That is actually called ROMAD (Returns Over MAx Drawdown). So I'll start using that term.

The real Performance Ratio = (win%) x (average win: average loss)

This ratio should be above 0.5 to be profitable for all intensive purposes. (50% win) x (1:1 win:loss) = 0.5

I've actually kept up with this for some time, but in a different way. I've posted up the chart before that has a concave breakeven curve on it, and a squiggly line representing my performance. It's an x,y plot of win% and avg win:loss ratio. The way Kenneth Grant (author of the book) uses this is to multiply the two ratios and have a single number to keep above 0.5. If it starts to go down, then you can dive into the details and find out what is causing the performance issues. If the problem is more with the win:loss, look at the numerator/denominator to find the root of the problem. If it's the denominator (average loss), then you can infer you are sacrificing on some aspect of risk management. Etc, etc.

Here's my chart with data since February. Each data point represents the average ratios for the previous rolling 50 trades.

You can see the cyclical, but consistent trading for a while, then you can see where I scalped for a while, then you can see my return to the first type pattern, and finally, you can see my poor performance as of late dropping down below the 0.5 level.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Are any of you keeping up with this? Would love to hear from you on this, whether here on the thread or by PM if you prefer. I would really appreciate seeing some others performance data.

I wonder if I will be able to get my performance ratio above some number (say... 1) and keep it there more consistently. Right now I can only "consistently" range between 0.5 and 1.0.

Again, would love to hear from others on this.

Indextrader, is there any type of template of your performance chart. I sure would like to use it but I don't know how to code or anything like that. But it looks very interesting, almost like keeping your own eyes on top of you to make sure you perform.

Thanks
Hector

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