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ah so he is using the year to date as the lookback - thanks for pointing that out because i completely missed it not that i understand any better now why.
Broker: Advantage, Trading Technologies, OptionsCity, IQ Feed
Trading: CL, NG
Posts: 1,038 since Jul 2010
Thanks Given: 1,713
Thanks Received: 3,863
I don't see using the ADR as an efficient measurement on your intra-day trading. There will be days that far exceed the ADR or days that come nowhere near the ADR. I measure my trading performance against each specific day's range not the running average. The same goes for the week, month, etc., etc. You just never know what you're really going to get in the market and this provides an open minded approach to just accept what the market does without having some sort of expectation. When you "expect" the market to do something, it usually ends up being a disappointment for you. Sure, I could just look to get 1 or 2 points in Crude per day but that's trying to impose my will on the market which is a big mistake. Accept what the day provides and go with the flow. Going into the market with the intent of making a specific amount of money can be detrimental. On tight range days, you'll become extremely frustrated and on big trend days, you'll end up getting out of your trade before the move is complete because you "hit your daily target". You'll ultimately miss out on the big moves.
Below is an example of how I keep track of my performance. I do this on a daily, weekly, monthly, quarterly and annual basis. I also use an average for every 3 contracts traded as I'm scaling in and out in 1/3's.
Broker: Advantage, Trading Technologies, OptionsCity, IQ Feed
Trading: CL, NG
Posts: 1,038 since Jul 2010
Thanks Given: 1,713
Thanks Received: 3,863
This only pertains to trend days and its my running average final exit vs. the RTH VWAP close. I use this because I scale in and out throughout the day especially on trend days. On down trending days, I want my running average to be above VWAP (positive skew) with my final exit being below the VWAP close and vice versa for up trending days. The reason for this is to prevent selling in the hole or buying into potential resistance while maintaining a positive skew. Its a lot more than that but that's the gist of it.
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 my question or better ways to measure it. The purpose of the thread and poll was to get people thinking, and the goal has been accomplished.
I want people to start thinking about their performance vs what was available to them, ie volatility.
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.
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".
With that in mind, most professional traders are measured objectively with the Sharpe ratio. Usually it is the monthly SR. Someone with a Sharpe of about 2.0-3.0 is considered a top trader and would easily get to trade a book of tens of millions of dollars in the hedge fund industry.
That's close to my goal.
Edit: the good thing about using the monthly Sharpe Ratio is that it allows for some variation in the market and gives traders time to make up losses if they indeed have an edge. Everyone runs into losses, it's a fact of life. Using monthly statistics accounts for that.