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TST Combine Journal


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TST Combine Journal

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  #191 (permalink)
Legendary Market Wizard
Georgia, US
 
Experience: None
Platform: SC
Broker: AMP+CQG
Trading: ES, HSI, Nikkei
 
josh's Avatar
 
Posts: 5,466 since Jan 2011
Thanks: 6,054 given, 14,471 received


indextrader7 View Post
- My stats here, as they are calculated, show me a pure trading performance. This is in terms of.... ok.... Mr. Trader... what did you take from the market in terms of base units that the market fluctuates in...

Most people use the method that you made 100 ticks if you traded a 100 lot and made a tick. See how that is totally crap metric of true performance? P/L can show that information, ticks should be a totally seperate, pure, animal.

I agree 100%, but I hope my point was clear that keeping a running sum of this metric it does not really give you anything; it's the average that's important, which you do not show.

Here is how I am now keeping track of this metric, which I agree with you is the real measure of performance (this is for two weeks of trading):



The number at the bottom is net P/L divided by total contracts traded (to be more clear: Net $ / total cars / 12.50), which is the average I was talking about. So this includes all wins and losses, and takes account for commissions. This is my 'expectancy' per contract traded. The distribution graph on the right shows ticks per contract (again, net, minus commissions) gained or lost, and the percentage of total trades for each one. So there are quite a few small losses, and a handful of good winners. By the way, all the stats are taken using LIFO (flat to flat) matching algorithm, which is what most people use. It can make a significant difference in win rate, etc., but I find that the logical sequence of going from flat, to opening a trade, and then back to flat, and counting all scales as part of that same trade, the most logical for my mind to work with, so that's what I use.

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  #192 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012

Shorted a 1/3 position simply based on the news coming out, and from what I remember, markets don't like uncertainty. I love uncertainty.


 
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  #193 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012


Wait... am i accidentally trading CL again today???


 
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  #194 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012

1/2 out at yesterday's RTH lows. We'll see what the rest can do.




Remainder of the position trailed out where the stop is in the picture (above the swing high). Tough to know when you're too greedy, or selling yourself short on a trade like this. Given the crazy economic environment, I chose to let it run if it would!

 
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  #195 (permalink)
Market Wizard
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
trendisyourfriend's Avatar
 
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indextrader7 View Post
1/2 out at overnight lows. We'll see what the rest can do.




Remainder of the position trailed out where the stop is in the picture (above the swing high). Tough to know when you're too greedy, or selling yourself short on a trade like this. Given the crazy economic environment, I chose to let it run if it would!

From experience when price hits the IB x 2 (at 1534.50 today) chances are it has reached a peak. 1534.50 is also Yesterday VWAP second standard deviation at the close.

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  #196 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012

Here's the trade analyzer data for 3-13 through 3-19:




Here's another type of chart I keep up with that shows $P/L per trade and the running total $P/L over the same period.



The first chart shows what I think of as the "behind the scenes" look at the 2nd chart.


@josh Thanks for pointing that out. Nice trading btw!! Yes, expectancy is a nice thing to know. If I run the calculation you mentioned (total PL / total lots traded / tick value) I come out to 2.2 ticks/contract traded expectancy, so you're twice as good of a trader over the period as me! ha

IMHO it's certainly something to keep up with, and I do on my main trade log spreadsheet, but I still, personally, get value of looking at the running P/L discussed earlier. It may not account for position size, but it flat out shows you... regardless of size... that if you can make that chart look good, you can make money.

If you can make any of these charts or metrics look good, you're doing just fine. Keep focusing on trading. I know I can personally get caught up in splitting hairs over stats stuff, when in the end, it's fairly irrelevant past a certain measure.

 
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  #197 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012

I figured I would put some hard data in for this "better risk adjusted returns" i'm seeing in ES vs CL.

Here's what I did in CL 3/8 through 3/15





Here's what I've done in ES 3/13 through 3/19




So, the two different measures for each market are first using the average ticks per contract style discussed recently on the thread here. the 2nd part for each market (with the $'s over the numbers) are in what would be dollars terms if you multiplied it by 10 or 12.5 respectively.

The realized R measures the average heat I take on trades. The P/L is simply the total P/L.

We can see that I'm achieving roughly 7 to 10 R on my CL trading, and roughly 14 to 16 R in ES. That's a 76% increase in risk adjusted performance.

*Note this is a small, small sample size to run this type of analysis on. Time will tell if it holds true, but I thought it interesting, and figured I'd journal it here.



One day I'll look back at this post and realize how dumb I was, or how smart I was for doing this stuff. I'm just a young buck trying to get better every day.

 
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  #198 (permalink)
Legendary Market Wizard
Georgia, US
 
Experience: None
Platform: SC
Broker: AMP+CQG
Trading: ES, HSI, Nikkei
 
josh's Avatar
 
Posts: 5,466 since Jan 2011
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indextrader7 View Post
Wait... am i accidentally trading CL again today???

lol! ES is a beast when it moves. And it traded more volume in those 15 minutes than crude has all day today. It was very weird for me when I went from seeing watching the crude tape to seeing the velocity of ES trades (literally so many prints that many of them never even make it to the screen much less your eyes), makes the CL tape look like a sloth. Of course, because there's so much more liquidity the price does not move as freely, but in terms of sheer size it's the biggest of the bigs.

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  #199 (permalink)
Legendary Market Wizard
Georgia, US
 
Experience: None
Platform: SC
Broker: AMP+CQG
Trading: ES, HSI, Nikkei
 
josh's Avatar
 
Posts: 5,466 since Jan 2011
Thanks: 6,054 given, 14,471 received

Merritt, since you are an excel addict, I thought I would post this chart for you. It serves the same purpose as your S5T-inspired view, except a bit different perspective:



Y axis is % of account. X axis are individual trades over some period of time.

I really liked the S5T view that AttitudeTrader and Profiler have been posting, that you then adopted. Except for the fact that the black bar is black whether you closed the trade for a profit or a loss, and also it is the same width as the MAE/MFE for the trade. In short, we are looking at the low point of the trade (MAE), the high point (MFE), and the close (profit or loss). So, I decided to try to find a way to graph this clearly in excel. It turns out that excel has a HLC graph type just like trading charts, but it didn't quite give me the view I wanted. I wanted a "candlestick" view which is what the above is. So, if you or anyone else is interested, here is how I did it (using excel 07):

Create a new column chart. Add three data series, and have them be in this order: DD, MFE, and PL. Go to paint or another graphics app and create a small (mine is about 5x5 pixels) solid black image and save it.

Right click and format the DD data series; in the options make sure the Series Overlapped is 100%. Then under "Fill," select "Picture or texture fill" and choose your black image. Select Stretch, and left and right offsets of 30% each. Follow the same procedure for MFE.

For the PL series, use a Gradient fill, and select "Invert if negative." For gradient stop 1, use your up color with a stop position of 1%; for 2, use your down color with a stop of 1%; for 3, up color with 99%; for 4, down color with 99%.

To me it is very clear where my lows and highs are, and the "tails" on the low side are what I want to avoid.

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  #200 (permalink)
Birmingham, AL
 
 
Posts: 1,065 since Apr 2012


Currently down 1.3 normal R units. Getting chopped up in the slosh while looking for directional plays.

We've really been unable to make any higher highs. (not that we've really been able to make any solid lower lows! but we have been grinding lower at this point so short is the play for me now) A swing or two more like this, and I'll start fading 2.5 to 3 point moves regardless of direction.

Here's the position right now:



ENDED UP SCRATCHING THIS TRADE FOR -3/4pt


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