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D4YTR4D3R

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  #11 (permalink)
Dallas, TX, USA
 
Experience: Intermediate
Platform: NinjaTrader, T4
Broker: IQFeed
Trading: 6E
 
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Posts: 358 since Oct 2009
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Trade #1) NQ: Pullback to OS low in uptrend. Hilbert SineWave (HSW) crossing to upside on NQ 150T & ES 500T. Premature price had a rapid sell off out at hard stop. -2.50 pts

Trade #2) NQ: Pullback to overnight support and rising moving averages in uptrend. HSW still up on NQ 150T & ES 500T. Target/profit a few ticks before next possible resistance level: minor swing high, also HOD at the time, also break of immediately preceding minor swing high. +4.00 pts

- D4



Sim:


"Is it hard? Not if you have the right attitude. It's having the right attitude that's hard." - Robert Pirsig
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  #12 (permalink)
Dallas, TX, USA
 
Experience: Intermediate
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Trade #1) Long ES at test of over night support. Long-term trend was up, but short-term trend was down as evidenced by ema's on my charts. Shouldn't have been buying here low probability setup. Got out on second test of OS high and test of falling ema on ES 1500T & ES 500T. +0.50 pts.

Trade #2) Short ES on pullback to previous support and falling ema's. Out at hard stop. -2.00 pts.

Trade #3) Long NQ on pullback to previous resistance and rising ema's. HSW turning up on 450T and 150T. Out at full target. +4.00 pts.

Trade #4) Long ES on pullback to rising ema's. HSW turning up on 1500T and 500T. Out a few ticks below prior resistance level & HOD. +1.50 pts.

Trade #5) Long NQ on pullback to previous resistance and rising ema's. I belatedly realized that price had already reached overnight resistance. Out at hard stop. -2.50 pts.

Taking tomorrow (Friday) off - spending the day with the wife. Have a good day of trading and a great weekend.





Sim:


"Is it hard? Not if you have the right attitude. It's having the right attitude that's hard." - Robert Pirsig
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  #13 (permalink)
Dallas, TX, USA
 
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Posts: 358 since Oct 2009
Thanks: 6,868 given, 867 received


I eliminated the "Points" column this week because I'm trading more than one instrument and a total points number is pretty meaningless as different instruments have different point values.


"Is it hard? Not if you have the right attitude. It's having the right attitude that's hard." - Robert Pirsig
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  #14 (permalink)
Legendary Market Wizard
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Thanks for sharing your trading journal. I hope you find much success.

FYI:

I notice that your Expectancy is also your average profit per trade. That is likely based on a misleading definition that Van Tharp gave in an early edition of one of his books, and has circulated around the internet.

In the second edition of the same book, Tharp "corrects" his expectancy calculation to account for the risk per trade. Now, he says expectancy is the average profit per trade divided by the average loss.

You might find this updated calculation useful, since it takes into account your average loss.

So, for example, in your case, if your average profit per trade is $27, and your average loss is $500, your expectancy is 27/500 = .05 (not that great). But, if your average loss is only $100, your expectancy is 27/100 = .27, which is pretty good.

Maybe you will find this new metric useful. Maybe not.

In any event, I am pulling for your trading success!


Note that in the futures.io (formerly BMT) wiki entry for expectancy, this different risk adjusted return calculation of expectancy is described at the bottom.

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  #15 (permalink)
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kevinkdog View Post
Thanks for sharing your trading journal. I hope you find much success.

FYI:

I notice that your Expectancy is also your average profit per trade. That is likely based on a misleading definition that Van Tharp gave in an early edition of one of his books, and has circulated around the internet.

In the second edition of the same book, Tharp "corrects" his expectancy calculation to account for the risk per trade. Now, he says expectancy is the average profit per trade divided by the average loss.

You might find this updated calculation useful, since it takes into account your average loss.

So, for example, in your case, if your average profit per trade is $27, and your average loss is $500, your expectancy is 27/500 = .05 (not that great). But, if your average loss is only $100, your expectancy is 27/100 = .27, which is pretty good.

Maybe you will find this new metric useful. Maybe not.

In any event, I am pulling for your trading success!


Note that in the futures.io (formerly BMT) wiki entry for expectancy, this different risk adjusted return calculation of expectancy is described at the bottom.

Thanks! Very interesting.

I just created a new column to calculate E as you've described and it is the same as my Avg W:L (avg wing / avg loss) figure (currently 1.01).

With the E I've been using, I was thinking of it as "how much profit (or loss) I make, on average, every time I take a trade."

And with my Avg W:L, I was looking at it as "anything above 1.00 is positive." If this figure is the "correct" E, then I'll have to re-frame the way I'm looking at this number.

I'll look into this more closely. Thanks for the input!

Have a good one.

"Is it hard? Not if you have the right attitude. It's having the right attitude that's hard." - Robert Pirsig
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  #16 (permalink)
Legendary Market Wizard
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D4YTR4D3R View Post
Thanks! Very interesting.

it is the same as my Avg W:L (avg wig / avg loss) figure (currently 1.01).

Sorry, I did not describe it accurately. It is your avg trade / avg loss, Not your avg win / avg loss.

In your case, take the value you are currently using as "E" (which is your avg profit per trade), and divide it by your avg loss. Most strategies have a value between 0 and .25.

I hope this is clearer. Sorry bout that!

Kevin

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  #17 (permalink)
Dallas, TX, USA
 
Experience: Intermediate
Platform: NinjaTrader, T4
Broker: IQFeed
Trading: 6E
 
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Posts: 358 since Oct 2009
Thanks: 6,868 given, 867 received


kevinkdog View Post
Sorry, I did not describe it accurately. It is your avg trade / avg loss, Not your avg win / avg loss.

In your case, take the value you are currently using as "E" (which is your avg profit per trade), and divide it by your avg loss. Most strategies have a value between 0 and .25.

I hope this is clearer. Sorry bout that!

Kevin

Thanks for the clarification! I was worried that I woke up this morning a lot dumber than yesterday (which is still quite possible).

I corrected the calculation in my trade log and the number now stands at 0.29. Per your explanation above it appears that this is a decent number.

I'll still have to look at it over time to understand what it "means" to me. In other words I don't really have a context for using it yet. I will however make adjustments to my weekly stats grid to include it.

Thanks again.

Update: Here's a link to another futures.io (formerly BMT) thread discussing Expectancy.

"Is it hard? Not if you have the right attitude. It's having the right attitude that's hard." - Robert Pirsig
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  #18 (permalink)
Dallas, TX, USA
 
Experience: Intermediate
Platform: NinjaTrader, T4
Broker: IQFeed
Trading: 6E
 
AttitudeTrader's Avatar
 
Posts: 358 since Oct 2009
Thanks: 6,868 given, 867 received

I've modified my Weekly Stats grid to incorporate the "corrected" expectancy calculation as described by @kevinkdog in the post(s) above, and re-titled the previous "E" column to "Avg Trade." Thanks Kevin!


"Is it hard? Not if you have the right attitude. It's having the right attitude that's hard." - Robert Pirsig
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  #19 (permalink)
Legendary Market Wizard
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Posts: 2,806 since Jul 2012
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D4YTR4D3R View Post
Thanks for the clarification! I was worried that I woke up this morning a lot dumber than yesterday (which is still quite possible).

I corrected the calculation in my trade log and the number now stands at 0.29. Per your explanation above it appears that this is a decent number.

I'll still have to look at it over time to understand what it "means" to me. In other words I don't really have a context for using it yet. I will however make adjustments to my weekly stats grid to include it.

Thanks again.



.29 would mean for every $100 you risk in the market (actually, your average loss), your system will eventually profit $29.

As a contrast, let's say your expectancy is .10. That would mean for every $100 you risk in the market over time you earn $10.

The nice thing is that the calculation gives you an idea of risk adjusted reward, and makes it easier to compare different strategies.

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  #20 (permalink)
Dallas, TX, USA
 
Experience: Intermediate
Platform: NinjaTrader, T4
Broker: IQFeed
Trading: 6E
 
AttitudeTrader's Avatar
 
Posts: 358 since Oct 2009
Thanks: 6,868 given, 867 received



kevinkdog View Post
.29 would mean for every $100 you risk in the market (actually, your average loss), your system will eventually profit $29.

As a contrast, let's say your expectancy is .10. That would mean for every $100 you risk in the market over time you earn $10.

The nice thing is that the calculation gives you an idea of risk adjusted reward, and makes it easier to compare different strategies.

Ah! Got it!

Alright, thanks again for turning me on to this way of looking at my performance and helping me to understand it. I appreciate it.

Have a good one.

"Is it hard? Not if you have the right attitude. It's having the right attitude that's hard." - Robert Pirsig
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August 28, 2012


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