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You nailed it in this post. It was exactly what I needed to read.
On this particular day of dealing with trading at the lows of the day, I had made a handful of great trades earlier in the day, and ended up giving back all the profits trying to catch the falling knife. Then, after it fell some some, I placed a revenge trade out of frustration which put me in the red for the day. I know it was metal mistakes that cost me and had me trading outside of my plan.
Your words on looking at a higher time frame for S/R is very helpful...I can get so dialed in on my trading time frame that I subconsciously disregard the other time frames that I monitor...
Daily P/L to daily max drawdown. Something that is a focus of mine now.
Here it is since I started keeping up with it on 5-7-12.
Looks to be improving. (6-1-12 I didn't have a drawdown, so I just gave myself 2.5x... not sure how to deal with that. The most important thing to me is that I consider that day a great day, and I want that stat to look good for that day) Here's the ratio of the previous graph showing both P/L and DD for the day. This one just shows the ratio of the two.
Interesting to see the consistent trade off between win% and win:loss ratio. It's really finding a balance between the two, but I'm always looking to improve both at the same time. Hard to do that for sure.
The last three swings in Win% (down up down) are exact opposite of win:loss (up down up). We'll keep trying for up up up.
Quite pleased with reducing the size of my drawdowns as of late. This is certainly due to me not scaling into losing positions and jacking up the risk per trade. Here's the % drawdown chart from May onward.
One interesting thing to monitor is a ticks drawdown chart. This gives me a better picture of what type of drawdown I'm capable of... as far as actual trading performance drawdown. The % drawdown is important, but it's a very different type of information. The % drawdown chart can take a huge dip on a single trade if I load up on a bunch of contracts. The ticks drawdown chart shows me what life is like from a pure trading performance perspective, as if I traded level contract size all the time. Here's the ticks dd chart since I started full time in February. Getting down 96 ticks is the worst performance drawdown.
It is essentially what you are doing here, only it typically measures a fund's performance over the last 36 months. But the principle could be over any time frame. In short, it is rate of return divided by drawdown. Simple, but effective.
So, as some of you may know. I scalped during the month of May, and ended up not happy with the true performance. Made $, but it wasn't near as steady and good from a risk-adjusted perspective.
This rolling ticks P/L chart paints a pretty clear picture. I started out (price action trading), and had large periods of ticks profitability, with small periods of negative ticks for the rolling period. When I transitioned to complete scalping, the returns became quite sporadic (as annotated on the picture with the pink arrows). Now that I've gone back to regular price action methods, sure enough... a big block of profitability has begun and I'm still in it.
On another note, does anyone have any ideas why there seems to be somewhat of a cyclical pattern to my performance? Probably can't tell much from this chart alone, but maybe someone has some ideas as to what I could look for in my data to see what's causing the cycles. Maybe it's just that I can't be profitable all the time and this type of cycle naturally will form. I think there's more to it myself. Here's a blank one to see.
On another note, does anyone have any ideas why there seems to be somewhat of a cyclical pattern to my performance? Probably can't tell much from this chart alone, but maybe someone has some ideas as to what I could look for in my data to see what's causing the cycles. Maybe it's just that I can't be profitable all the time and this type of cycle naturally will form. I think there's more to it myself. Here's a blank one to see.
Indextrader7:
Some reasons for the cycles could be:
The daily range during the hours that you trade (versus the entire trading day range)... ie the best time for me to trade is 5am-8am pst. Trading after 8am is not as profitable.
The natural cycle of inside and outside days... ie small inside days are much less profitable for me than large range outside days.
The structure of the moves during the day. ie A huge move during a small part of the day and the rest of the day is just chop. This allows me a couple of chances at a good trade and the rest of the day for my losers.
Last is how the moves roll out. Sometimes there are days where individual candles are larger than my initial stoploss. Sometimes there are days when price moves in a direction for a long time, but the pullbacks are just a bit larger than my stop during the trades.
At least these are the excuses that I use when my trading day sucks.
I'm not sure if this has anything to do with it, but I see you are using a 50 trade rolling calculation for your charts. If you have large winners (or losers) in the data then they will "roll" through the daily value as they fade into history. I tend to agree with Toucan that it may simply be volatility cycles from day to day. You get larger wins then you get smaller wins (as the absolute negative swings are small it seems losses are not as big a factor as variation in the size of winners). This is just speculation, but you could mine through the actual data and see which is having more impact. Try changing the rolling period and see how that affects the apparent cycle.