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Search: Posts Made By: Big Mike
Forum: Psychology and Money Management March 11th, 2013, 07:26 PM
Replies: 63
Views: 12,571
Posted By Big Mike
I've closed the poll early since it was too...

I've closed the poll early since it was too confusing.

http://screencast.com/t/XAMykSlAZyR

Mike
Forum: Psychology and Money Management March 10th, 2013, 08:09 AM
Replies: 63
Views: 12,571
Posted By Big Mike
I need to sleep. :sleep: 7AM here, up for...

I need to sleep. :sleep: 7AM here, up for >24hours.

Logging off to do just that.

Mike
Forum: Psychology and Money Management March 10th, 2013, 07:54 AM
Replies: 63
Views: 12,571
Posted By Big Mike
Got it now. On the first glance, I thought the...

Got it now. On the first glance, I thought the panel 2 plot was MFE, and panel 3 plot the MAE. I see now both MFE and MAE are in panel 3.

Mike
Forum: Psychology and Money Management March 10th, 2013, 07:27 AM
Replies: 63
Views: 12,571
Posted By Big Mike
Very cool redratsal. Although I am not sure how...

Very cool redratsal. Although I am not sure how you have a negative MAE, seems like a bug?

I use similar measurements for my strategies so I can plot the cumulative PnL and the daily PnL. But...
Forum: Psychology and Money Management March 10th, 2013, 03:04 AM
Replies: 63
Views: 12,571
Posted By Big Mike
Thread renamed to "Daily profit measured by...

Thread renamed to "Daily profit measured by volatility".

Mike
Forum: Psychology and Money Management March 9th, 2013, 11:36 PM
Replies: 63
Views: 12,571
Posted By Big Mike
Yes, it was. I should not have included the A. ...

Yes, it was. I should not have included the A.

Mike
Forum: Psychology and Money Management March 9th, 2013, 11:36 PM
Replies: 63
Views: 12,571
Posted By Big Mike
Ben makes a good point. It was a mistake for me...

Ben makes a good point. It was a mistake for me to put average into the equation, because in actuality I am measuring against each days individual range, just like he is.

Mike
Forum: Psychology and Money Management March 9th, 2013, 11:34 PM
Replies: 63
Views: 12,571
Posted By Big Mike
It was part of other statistics shared in this...

It was part of other statistics shared in this thread:
https://nexusfi.com/elite-circle/20164-master-homework-statistics-thread.html

Mike
Forum: Psychology and Money Management March 9th, 2013, 11:34 PM
Replies: 63
Views: 12,571
Posted By Big Mike
Perhaps the word goal or objective should have...

Perhaps the word goal or objective should have been removed from the question, to simply ask "what is your daily profit in terms of % daily volatility".

Mike
Forum: Psychology and Money Management March 9th, 2013, 11:33 PM
Replies: 63
Views: 12,571
Posted By Big Mike
Thanks, I guess the data I used from another...

Thanks, I guess the data I used from another member was faulty, or the Excel function I used had the wrong inputs. Always great to double check against someone elses data.

Mike
Forum: Psychology and Money Management March 9th, 2013, 11:32 PM
Replies: 63
Views: 12,571
Posted By Big Mike
I don't understand the argument of MFE being...

I don't understand the argument of MFE being pointless. To me, MFE vs actual exit is extremely valuable. I talked about this in your TST journal in detail.

I'm sure there are better ways to ask...
Forum: Psychology and Money Management March 9th, 2013, 11:28 PM
Replies: 63
Views: 12,571
Posted By Big Mike
Everyone wants to trade well. It's a moot point....

Everyone wants to trade well. It's a moot point.

So the next step is to quantify what "well" means. And it doesn't just mean end with a net profit.

Since volatility is a key metric for...
Forum: Psychology and Money Management March 8th, 2013, 11:57 PM
Replies: 63
Views: 12,571
Posted By Big Mike
OK, it was not previously clear to me that you...

OK, it was not previously clear to me that you were an institutional trader or running HFT systems. So obviously the same objectives do not apply.

The majority of traders here are retail -- well,...
Forum: Psychology and Money Management March 8th, 2013, 11:20 PM
Replies: 63
Views: 12,571
Posted By Big Mike
Yes I know the market moves up and down. ...

Yes I know the market moves up and down.

Please look at post #21, and give a real world example including win rate, R and number of trades per day, so I can better understand. Please remember...
Forum: Psychology and Money Management March 8th, 2013, 10:49 PM
Replies: 63
Views: 12,571
Posted By Big Mike
It does not need to be taken so literal. You...

It does not need to be taken so literal. You could easily expand it to a weekly or monthly basis.

Mike
Forum: Psychology and Money Management March 8th, 2013, 09:45 PM
Replies: 63
Views: 12,571
Posted By Big Mike
OK so we can delete the word "objective" from the...

OK so we can delete the word "objective" from the poll and thread title, so the question is simply -- what are you actually doing vs what do you want to do.

Mike
Forum: Psychology and Money Management March 8th, 2013, 09:42 PM
Replies: 63
Views: 12,571
Posted By Big Mike
BTW, here is the most recent example from someone...

BTW, here is the most recent example from someone else. This is from Matt Davio who posted this in his thread a few minutes after I had created this poll.



Just to provide another perspective...
Forum: Psychology and Money Management March 8th, 2013, 09:38 PM
Replies: 63
Views: 12,571
Posted By Big Mike
So how would you measure your efficiency in terms...

So how would you measure your efficiency in terms of market movement?

I have something I track called "benchmark" which is basically where I list the absolute best case scenario for my trade setup...
Forum: Psychology and Money Management March 8th, 2013, 09:35 PM
Replies: 63
Views: 12,571
Posted By Big Mike
Dan, I think you might be looking at total...

Dan,

I think you might be looking at total net profit over all contracts.

Lets say a mediocre trader is trading 10 lots on the ES, then 1 trade (10 lots) for 4 ticks is 40 ticks, and could be...
Forum: Psychology and Money Management March 8th, 2013, 08:31 PM
Replies: 63
Views: 12,571
Posted By Big Mike
I just want to get people thinking. Discussion...

I just want to get people thinking. Discussion about such things is fruitful in my opinion, much more so than discussions on where to enter a trade or what indicators are showing.

I am sure there...
Forum: Psychology and Money Management March 8th, 2013, 08:29 PM
Replies: 63
Views: 12,571
Posted By Big Mike
Hi Dan, It's just an exercise to get people...

Hi Dan,

It's just an exercise to get people thinking. I know of several big traders who think this way, but I am not surprised that most don't. It's also entirely possible my wording has lead to...
Forum: Psychology and Money Management March 8th, 2013, 08:25 PM
Replies: 63
Views: 12,571
Posted By Big Mike
Can you post your bar data in the Homework...

Can you post your bar data in the Homework thread, so we can compare the bar data I used vs yours?

Mike
Forum: Psychology and Money Management March 8th, 2013, 06:15 PM
Replies: 63
Views: 12,571
Posted By Big Mike
So far the early voters are indicating they don't...

So far the early voters are indicating they don't have a plan to capture a certain amount of movement from the market.

Why does this not surprise me?

Mike
Forum: Psychology and Money Management March 8th, 2013, 06:12 PM
Replies: 63
Views: 12,571
Posted By Big Mike
My results are also a few days old I think, but...

My results are also a few days old I think, but you can check the csv source data I used and see if it is right. I hope to get NT fixed soon so I can test myself.

Mike
Forum: Psychology and Money Management March 8th, 2013, 06:03 PM
Replies: 63
Views: 12,571
Posted By Big Mike
See post 220 and this one: ...

See post 220 and this one:
https://nexusfi.com/elite-circle/20164-master-homework-statistics-thread-23.html#post308554

Feel free to check my math, I was using someone elses csv bar data because...
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