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Trading Metrics for journals/record keeping


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Trading Metrics for journals/record keeping

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  #31 (permalink)
 
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 Big Mike 
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rassi View Post
Yo Mike, hit us up with those metrics, been hanging out for them !

Yeah sorry, have had no time to work on it yet.

Mike

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  #32 (permalink)
 
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Fat Tails View Post
One trade


Both systems have the same expectancy of 1.1R (which is excellent, 0R stands for break-even). However, the first system has a better Sharpe Ratio, so you can actually trade it with a larger position sizing, without increasing your actual risk (measured in terms of max. drawdown).

Note that mathematics is in contradiction with the methods of Van Tharp.


Why do you think they are in contradiction ? SQN also includes a standard deviation consideration so a high win rate will implicitly be favored => under the constraint of an optimal average size

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  #33 (permalink)
 
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gabga100 View Post
Why do you think they are in contradiction ? SQN also includes a standard deviation consideration so a high win rate will implicitly be favored => under the constraint of an optimal average size

Being a foreigner I have a hard time to understand all those abbreviations, no idea what you mean with SQN.

Van Tharp teaches his students to look for larger R-Multiples. This points to a lower percentage of winning trades. This also increases the probability of larger drawdowns, if you compare this to an alternating approach that achieves the same expectancy with a higher win rate but lower R-Multiples.

As the number of contracts that you can trade is related to the max. expected drawdown, you may trade a higher number of contracts for the same risk of ruin.

There are several reasons that Van Tharp recommends to trade high R-multiples

(a) The R-Multiple is known for each trade setup, the win rate is unknown.

(b) Letting your profits run is counterintuitive. With a defined R-Multiple you can monitor your impulse to close out your winning trades too early.

(c) An unfavourable R-Multiple allows you to skip a trade.

This is valid for discretionary trading. If I was a systems trader, I would look for strategies with a win rate as high as possible, taking into account a low R-Multiple. This would allow me to trade size for the same risk.

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  #34 (permalink)
 
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 gabga100 
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Fat Tails View Post
Being a foreigner I have a hard time to understand all those abbreviations, no idea what you mean with SQN.

SQN = System quality Number = Average Profit per trade * SquareRoot(NumberTrades)/Standard Deviation of Profit per trade


"let your profits run" worked before when a strategy was not backtestable , now that we have this very powerful tool there is no sense anymore to trade without knowing exactly what happened in the past .... not that th situation will repat itself, but I am convinced that knowing the odds is a great statistical edge ...

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  #35 (permalink)
 
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Big Mike View Post
Yes, I will. I haven't had time this week to make any progress on it unfortunately.

Mike


Quoting 
@ Big Mike, are you planning on making your spreadsheet available when you are satisfied with it? I took a look at your beta version screen shot and I really like it......just curious.
Mike

Mike, have you actually released something yet ?


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  #37 (permalink)
 
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Here is where I left off on this project (attached). Needs some work, I've just had zero time lately to do it. Lots of calculations so it takes a second to open.

Please be certain to re-post if you finish it.

Mike

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  #38 (permalink)
 
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Big Mike View Post
Here is where I left off on this project (attached). Needs some work, I've just had zero time lately to do it. Lots of calculations so it takes a second to open.

Please be certain to re-post if you finish it.

Mike

Will do, thanks !


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  #39 (permalink)
 
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 Big Mike 
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tigertrader View Post
you might be interested in Trader DNA...
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Thanks, looks interesting.

Mike

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  #40 (permalink)
 
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Hello Big Mike,

thanks for the great journal template. Though I could'nt resist fiddling around with it a bit.
I hope you don't mind, otherwise I will delete the attachment of course.
It now calculates up to three exits (calc based on one contract each, could be easily changed though). Big Mike, thought you might like this!
All user input fields/columns are marked green.
Added some psychologically interesting stats (light blue fields in overview).
Added column for comments (no drop down list).
Simplified rules column (now only two options, whether trade worked or not is calculated automatically).
Would be possible to refine that (grading) if anyone needs it I'll be happy to do that.
Expectancy calculation seemed to have a sign error (please double check whether it is corrected now (might be that I am wrong here)).
Protected sheets so that no formula gets changed by mistake (no password).

v

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