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Trading Metrics for journals/record keeping


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Trading Metrics for journals/record keeping

  #1 (permalink)
 
Big Mike's Avatar
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I'm on a mission to improve my Excel trade journal.

I'd like to hear input on what metrics you guys measure in your journal. For instance:
  • Sharpe ratio
  • Expectancy
  • Win/Loss Dollar Ratio
  • Win Percentage
  • Dollar gain per trade put on
  • Account balance
  • Risk % per trade
  • Maximum drawdown
  • Realized MAE/MFE
  • Unrealized MFE (benchmark potential)

I was reading Brett's "Enhancing Traders Performance" book and it gave me the idea to consider categorizing days themselves, like uptrend, downtrend, reversal day, range bound, etc. I was wondering, do any of you guys do this and what have you found?

Mike

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  #3 (permalink)
 
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Big Mike View Post
I'm on a mission to improve my Excel trade journal.

I'd like to hear input on what metrics you guys measure in your journal. For instance:
  • Sharpe ratio
  • Expectancy
  • Win/Loss Dollar Ratio
  • Win Percentage
  • Dollar gain per trade put on
  • Account balance
  • Risk % per trade
  • Maximum drawdown
  • Realized MAE/MFE
  • Unrealized MFE (benchmark potential)

I was reading Brett's "Enhancing Traders Performance" book and it gave me the idea to consider categorizing days themselves, like uptrend, downtrend, reversal day, range bound, etc. I was wondering, do any of you guys do this and what have you found?

Mike

I've attached a copy of my spreadsheet....as well as screen shot. Feel free to copy at will. I am sure mine is pretty rudimentary compared to some but I am making it available just the same.

I will be making more enhancements as time goes by, for instance I have a column for risk per trade, currently I just jam in a default 10 ticks. I want to actually put in the original stop in this column but so far, this has proved elusive. In time, I think this will be valuable piece of information. The MSA software tracks this as well I think.

Simplicity is the ultimate sophistication, Leonardo da Vinci


Most people chose unhappiness over uncertainty, Tim Ferris
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  #4 (permalink)
tortexal
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system quality number is interesting to look at:
(sqrt(total trades) *avg net profit)/stdev of net profit

the higher the number the better which translates into higher net profits w/ lower stdev of returns, ie consistent profitability

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  #5 (permalink)
thetradinghermit
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Posts: 3 since Jul 2010
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Hey Mike,

Congrats on the forum, I think it is one of the better trading forums I have come across, and I've seen my fair share. As to what I measure in terms of performance, besides the items you have, I also include the following in an excel file i've designed myself over the years:

  • Profit per day, month, quarter and annually, with the ability to provide filtered results instantly;
  • # of Trades
  • Trade Class/Type based on my trading system (eg, may have 'A' class trend continuation, 'B' class breakout, 'C' Reversal, etc...
  • # winners/losers per Class/Type
  • Trade Batting Average (winners to losers as above)
  • Average winning/losing trade amount ($ & R multiple)
  • Largest winning/losing trades
  • Average consecutive winners/losers
  • Largest consecutive winners/loser
  • Average winning/losing trade time
  • Average winning/losing trade - time of orders
  • Winning/losing periods (eg opening bell vs morning vs lunch vs afternoon vs close)
  • Winners to losers per Instrument
  • Average winner/loser per instrument
  • Average time in trade per instrument
  • Equity Curve per instrument and portfolio (see how my own trend is going )
  • Equity Curve vs Weekly Review Score (my own system for rating myself on trades, including completion of non-trading items each day) Essentially finding my profits go up when i complete all my tasks...
  • Average winner per trade rating (rating given based on performance criteria in each trade, detailing observation and monitoring of market, trade setup recognition, entry and execution, trade monitoring, trade exit, post trade analysis, etc...)
  • Profit/Loss Average per day of week (eg - do i trade well on Friday vs Monday)
  • Profit/Loss Average per session per day


There's a few other things i measure, but i won't go into detail as it probably isn't relevant to anyone except my strange self....


Hope this helps in some way...


The Hermit...

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  #6 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
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thetradinghermit View Post
Hey Mike,

Congrats on the forum, I think it is one of the better trading forums I have come across, and I've seen my fair share. As to what I measure in terms of performance, besides the items you have, I also include the following in an excel file i've designed myself over the years:



Good list, care to attach the Excel file?

Mike

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  #7 (permalink)
 
Trader.Jon's Avatar
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Big Mike View Post


Good list, care to attach the Excel file?

Mike


thetradinghermit View Post
Hey Mike,..., I also include the following in an excel file i've designed myself over the years:

  • Profit per day, month, quarter and annually, with the ability to provide filtered results instantly;
  • # of Trades
  • Trade Class/Type based on my trading system (eg, may have 'A' class trend continuation, 'B' class breakout, 'C' Reversal, etc...
  • # winners/losers per Class/Type
  • Trade Batting Average (winners to losers as above)
  • Average winning/losing trade amount ($ & R multiple)
  • Largest winning/losing trades
  • Average consecutive winners/losers
  • Largest consecutive winners/loser
  • Average winning/losing trade time
  • Average winning/losing trade - time of orders
  • Winning/losing periods (eg opening bell vs morning vs lunch vs afternoon vs close)
  • Winners to losers per Instrument
  • Average winner/loser per instrument
  • Average time in trade per instrument
  • Equity Curve per instrument and portfolio (see how my own trend is going )
  • Equity Curve vs Weekly Review Score (my own system for rating myself on trades, including completion of non-trading items each day) Essentially finding my profits go up when i complete all my tasks...
  • Average winner per trade rating (rating given based on performance criteria in each trade, detailing observation and monitoring of market, trade setup recognition, entry and execution, trade monitoring, trade exit, post trade analysis, etc...)
  • Profit/Loss Average per day of week (eg - do i trade well on Friday vs Monday)
  • Profit/Loss Average per session per day


There's a few other things i measure, but i won't go into detail as it probably isn't relevant to anyone except my strange self....


Hope this helps in some way...


The Hermit...

Hermit,

I second the request ..... VERY MUCH PLEASE would you share the spreadsheet ? You have put a lot of thought and expertise in that ... I hope we all here can develop it even further with input and work.

Jon

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  #8 (permalink)
thetradinghermit
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Posts: 3 since Jul 2010
Thanks Given: 1
Thanks Received: 24

Hey lads,

Am in the process of rejigging all my trading items this week in an effort to simplify and remember why i started trading all that time ago. My worksheets are just a part of that, but hoping to cull my trading plan from the bloated 70+ pages it currently sits at to about 5-10 pages max. Will be more than happy to upload my worksheets when i've made the necessary adjustment, as right now it's been in the "chop shop" for about a week.

Give me about a week and will gladly post it up...

the hermit

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  #9 (permalink)
 
Trader.Jon's Avatar
 Trader.Jon 
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Experience: Beginner
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thetradinghermit View Post
Hey lads,

Am in the process of rejigging all my trading items this week in an effort to simplify and remember why i started trading all that time ago. My worksheets are just a part of that, but hoping to cull my trading plan from the bloated 70+ pages it currently sits at to about 5-10 pages max. Will be more than happy to upload my worksheets when i've made the necessary adjustment, as right now it's been in the "chop shop" for about a week.

Give me about a week and will gladly post it up...

the hermit


Wow ... I can empathize with that feeling ..

My situation is nowhere as massive, unless I think of different strategy iniatives as I look in my custom folders

... lol ..


Good speed with the culling and look forward to the result for you and your ability to enjoy your trading, and also to share it with us!

Thanks!!
Jon

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  #10 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,440 since Jun 2009
Thanks Given: 33,212
Thanks Received: 101,599


I would like to talk about using R-Multiple.

On Trade #1, I risk $200. $200 is 1R. On Trade #2, I risk $250. $250 is 1R. Let's say in both cases, my profit is $400 on the trade. So profit on trade #1 is 2R, and profit on trade #2 is 1.6R.

Van Tharp suggests calculating all R-Multiples together (sum) then using that to find the median expectancy. I guess where I am getting hung up is that 1R is not always equal from trade to trade, as in my above example. What am I missing here? Don't I also need to factor in what 1R actually equals in terms of percentage risk to my account, as an anchor to the value?

Mike

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